{ "schemaVersion": 3, "reportDate": "2026-09-12", "generatedAt": "2026-09-12T16:40:31+00:00", "currentSnapshotAt": "2026-09-12T16:29:00+00:00", "previousSnapshotAt": "2026-09-11T16:29:00+00:00", "sourceSnapshots": { "current": { "id": 346342, "timestamp": "2026-09-12T16:29:00+00:00" }, "previous": { "id": 336263, "timestamp": "2026-09-11T16:29:00+00:00" } }, "windowHours": 24.0, "currency": "SOL", "methodology": { "source": "Derivasys proprietary historical SVI surface database", "comparison": "Nearest successful surface snapshots approximately 24 hours apart", "rrConvention": "25-delta call IV minus 25-delta put IV", "bfConvention": "Average 25-delta wing IV minus ATM forward IV", "greeks": "Black forward Greeks for a normalized one-SOL ATM-forward call, zero rate, fitted SVI IV", "commentary": "Metrics and takeaways are deterministic. Daily headlines and introductions may be model-assisted, constrained to the same stored facts; weekly prose is deterministic.", "fixedTenors": "Fixed-tenor measures are published only when listed expiries bracket the target at both comparison snapshots. Targets outside either observable range are suppressed, not extrapolated; headline rankings use only supported tenors.", "smileReconstruction": "Listed-expiry smiles are reconstructed from stored SVI total-variance parameters on a fixed log-moneyness grid.", "ultraShortExpiry": "Expiries with fewer than 2 full days remaining stay in detailed tables but are excluded from headline rankings. Settlement proximity, time decay, changing liquidity and fewer quotes can exaggerate their changes.", "causalClaims": "The report describes observed surface changes only and does not infer unsupported market drivers, spot moves, flows or forecasts." }, "realisedVolatilityUnavailableReason": "Canonical SOL index coverage for 30d is incomplete: expected 43200 one-minute returns, found 43164 (99.9167% coverage); returns spanning missing minutes are excluded", "fitQuality": { "currentObjective": 0.01498056, "previousObjective": 0.05786273, "currentLiveError": 7.93271287, "previousLiveError": 25.08470804 }, "coverage": { "currentListedExpiries": 6, "previousListedExpiries": 6, "comparedListedExpiries": 5, "addedExpiries": [ "14SEP26" ], "removedExpiries": [ "12SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M" ], "suppressedFixedTenors": [ "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Solana’s options surface rotates lower with limited ATM change", "executiveSummary": "Solana’s surface rotation was lower, yet the front-end ATM IV average rose modestly to 51.32%. Two-week RR25 declined 0.92 points toward puts but remained call-rich at 4.49%.", "evidenceIds": [ "rr25", "front-atm", "largest-standard-tenor" ], "newsSummary": "No report-relevant news context qualified for retention.", "marketContextSummary": "No retained news item provides a supported explanation for Solana’s surface repricing; causal confidence is low.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +0.17 volatility points to 51.32% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV is unavailable because comparable observations were not present at both snapshots." }, { "id": "rr25", "label": "Skew", "text": "RR25 was broadly unchanged, averaging -0.04 volatility points to 3.83% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.12 volatility points to 3.89% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +0.64 volatility points at 2W, to 51.38%.", "tenor": "2W", "value": 0.64 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "collection": { "schemaVersion": 1, "basis": "monitored-source-search", "status": "complete", "requiredScopes": [ "MACRO", "SOL" ], "completedScopes": [ "MACRO", "SOL" ], "missingScopes": [], "queries": [ { "arguments": { "assets": [ "SOL" ], "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-12T16:29:00Z", "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-11T16:29:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 0, "hasMore": false, "nextCursor": null, "resultSha256": "e88f3a0a4478e2efd693ede0f6bdfc94bd69378c3e7a3cdc2473dfc26ed1a327" } ] }, { "arguments": { "assets": [ "SOL" ], "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-12T16:29:00Z", "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-05T16:29:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 1, "hasMore": false, "nextCursor": null, "resultSha256": "47e432d62043f2e5100cbd83276aa24b9fe5d6ff34aecbfbb971397291e3be1c" } ] }, { "arguments": { "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-12T16:29:00Z", "event_types": [ "macro_release", "central_bank_decision", "regulatory_action", "legislation" ], "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-05T16:29:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 20, "hasMore": false, "nextCursor": null, "resultSha256": "354c4cbfc35f5d3d42cbb831cdb40b3b0d424c5c02cf2deff05ca0d298a8f302" } ] } ], "upstreamIngestionHealth": "not-exposed" }, "generatedAt": "2026-09-12T16:29:00+00:00", "window": { "startAt": "2026-09-11T16:29:00+00:00", "endAt": "2026-09-12T16:29:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 2, "macroQueries": 1, "canonicalEventsConsidered": 0, "publishersRepresented": 0, "discoveryEventsScanned": 53, "upstreamFeedCount": null, "coverageNote": "The local news MCP exposes canonical events, not its upstream feed inventory; legacy feed-count fields below describe the single MCP endpoint and are not comparable with the former RSS collector." }, "selection": { "feedsQueried": 1, "publishersQueried": 0, "feedEntriesScanned": 0, "articlesPassingTimeFilter": 0, "articlesPassingSourceRelevanceRules": 0, "articlesPassingSelectionThreshold": 0, "storiesSelected": 0, "selectedPublishers": 0, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 0, "lockedEventSet": true, "qualityThresholds": { "minimumConfidence": 0.65, "minimumImportance": 0.5, "minimumSourceQuality": 0.58, "minimumCatalystScore": 0.25 }, "eventsSelected": 0 }, "items": [], "events": [] }, "newsContext": { "outcome": "No sufficiently relevant context identified", "highest_causal_confidence": "low", "section_heading": "No sufficiently relevant context identified", "events": [], "coverage_status": "healthy", "coverage_basis": "monitored-source-search", "summary": "No qualifying context was found in the monitored news sources for this reporting window." }, "marketRead": { "text": "2W RR25 moved 0.92 volatility points toward puts to 4.49%, leaving calls richer than puts. Front-end ATM IV averaged 51.32%, +0.17 points from the prior snapshot. Long-dated fixed tenors were suppressed because listed expiries did not bracket them. 2W ATM IV rose 0.64 volatility points to 51.38%. 2W BF25 fell 0.44 volatility points to 3.25%. The nearest eligible forward, 18SEP26, rose $0.16 (+0.16%) to $102.03. Realised-volatility comparisons were unavailable because the canonical minute series did not meet the completeness requirement. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.", "wordCount": 93, "source": "deterministic structured report facts", "evidenceFields": [ "summaryMetrics.largestAtmMove", "summaryMetrics.frontEndAverageAtm", "summaryMetrics.largestRr25Move", "summaryMetrics.largestBf25Move", "summaryMetrics.nearestEligibleForwardMove", "newsContext.outcome", "newsContext.highest_causal_confidence" ] }, "facts": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +0.17 volatility points to 51.32% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV is unavailable because comparable observations were not present at both snapshots." }, { "id": "rr25", "label": "Skew", "text": "RR25 was broadly unchanged, averaging -0.04 volatility points to 3.83% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.12 volatility points to 3.89% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +0.64 volatility points at 2W, to 51.38%.", "tenor": "2W", "value": 0.64 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 0.16, "rr25Change": -0.04, "bf25Change": -0.12, "largestAtmMove": { "tenor": "2W", "current": 51.38, "previous": 50.74, "change": 0.64, "historicalSignificance": { "absoluteMove": 0.64, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 15, "observationsFullHistory": 15, "levelObservationsFullHistory": 16 } }, "frontEndAverageAtm": { "current": 51.32, "previous": 51.15, "change": 0.17 }, "longEndAverageAtm": { "current": null, "previous": null, "change": null }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "2W", "current": 4.49, "previous": 5.41, "change": -0.92, "historicalSignificance": { "absoluteMove": 0.92, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 15, "observationsFullHistory": 15, "levelObservationsFullHistory": 16 }, "direction": "toward puts", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "2W", "current": 3.25, "previous": 3.69, "change": -0.44, "historicalSignificance": { "absoluteMove": 0.44, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 15, "observationsFullHistory": 15, "levelObservationsFullHistory": 16 } }, "nearestEligibleForwardMove": { "label": "18SEP26", "daysToExpiry": 5.647, "current": 102.03, "previous": 101.87, "change": 0.16, "percentChange": 0.16 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789835340867, "availability": "available", "unavailableReason": null, "atmIv": { "current": 50.01, "previous": 50.46, "change": -0.45, "percentChange": -0.89 }, "rr25": { "current": 4.5, "previous": 4.05, "change": 0.45, "percentChange": 11.11 }, "bf25": { "current": 3.68, "previous": 3.99, "change": -0.31, "percentChange": -7.77 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.45, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 15, "observationsFullHistory": 15, "levelObservationsFullHistory": 16 }, "rr25": { "absoluteMove": 0.45, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 15, "observationsFullHistory": 15, "levelObservationsFullHistory": 16 }, "bf25": { "absoluteMove": 0.31, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 15, "observationsFullHistory": 15, "levelObservationsFullHistory": 16 } } }, { "tenor": "2W", "targetExpiry": 1790440140867, "availability": "available", "unavailableReason": null, "atmIv": { "current": 51.38, "previous": 50.74, "change": 0.64, "percentChange": 1.26 }, "rr25": { "current": 4.49, "previous": 5.41, "change": -0.92, "percentChange": -17.01 }, "bf25": { "current": 3.25, "previous": 3.69, "change": -0.44, "percentChange": -11.92 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.64, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 15, "observationsFullHistory": 15, "levelObservationsFullHistory": 16 }, "rr25": { "absoluteMove": 0.92, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 15, "observationsFullHistory": 15, "levelObservationsFullHistory": 16 }, "bf25": { "absoluteMove": 0.44, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 15, "observationsFullHistory": 15, "levelObservationsFullHistory": 16 } } }, { "tenor": "1M", "targetExpiry": 1791822540867, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.58, "previous": 52.26, "change": 0.32, "percentChange": 0.61 }, "rr25": { "current": 3.36, "previous": 3.07, "change": 0.29, "percentChange": 9.45 }, "bf25": { "current": 3.84, "previous": 3.83, "change": 0.01, "percentChange": 0.26 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.32, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 15, "observationsFullHistory": 15, "levelObservationsFullHistory": 16 }, "rr25": { "absoluteMove": 0.29, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 15, "observationsFullHistory": 15, "levelObservationsFullHistory": 16 }, "bf25": { "absoluteMove": 0.01, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 15, "observationsFullHistory": 15, "levelObservationsFullHistory": 16 } } }, { "tenor": "3M", "targetExpiry": 1797092940867, "availability": "available", "unavailableReason": null, "atmIv": { "current": 51.94, "previous": 51.8, "change": 0.14, "percentChange": 0.27 }, "rr25": { "current": 2.98, "previous": 2.96, "change": 0.02, "percentChange": 0.68 }, "bf25": { "current": 4.78, "previous": 4.54, "change": 0.24, "percentChange": 5.29 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.14, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 15, "observationsFullHistory": 15, "levelObservationsFullHistory": 16 }, "rr25": { "absoluteMove": 0.02, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 15, "observationsFullHistory": 15, "levelObservationsFullHistory": 16 }, "bf25": { "absoluteMove": 0.24, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 15, "observationsFullHistory": 15, "levelObservationsFullHistory": 16 } } }, { "tenor": "6M", "targetExpiry": 1804955340867, "availability": "unavailable", "unavailableReason": "The target tenor falls outside the listed-expiry range at one or both snapshots; extrapolated values are suppressed.", "atmIv": { "current": null, "previous": null, "change": null, "percentChange": null }, "rr25": { "current": null, "previous": null, "change": null, "percentChange": null }, "bf25": { "current": null, "previous": null, "change": null, "percentChange": null }, "historicalSignificance": { "atmIv": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 }, "rr25": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 }, "bf25": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 } } }, { "tenor": "9M", "targetExpiry": 1812817740867, "availability": "unavailable", "unavailableReason": "The target tenor falls outside the listed-expiry range at one or both snapshots; extrapolated values are suppressed.", "atmIv": { "current": null, "previous": null, "change": null, "percentChange": null }, "rr25": { "current": null, "previous": null, "change": null, "percentChange": null }, "bf25": { "current": null, "previous": null, "change": null, "percentChange": null }, "historicalSignificance": { "atmIv": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 }, "rr25": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 }, "bf25": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 } } }, { "tenor": "1Y", "targetExpiry": 1820766540867, "availability": "unavailable", "unavailableReason": "The target tenor falls outside the listed-expiry range at one or both snapshots; extrapolated values are suppressed.", "atmIv": { "current": null, "previous": null, "change": null, "percentChange": null }, "rr25": { "current": null, "previous": null, "change": null, "percentChange": null }, "bf25": { "current": null, "previous": null, "change": null, "percentChange": null }, "historicalSignificance": { "atmIv": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 }, "rr25": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 }, "bf25": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 } } } ], "listedExpiries": [ { "label": "13SEP26", "expiry": 1789286400000, "tauYears": 0.00177132, "daysToExpiry": 0.647, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 102.01, "previous": 101.84, "change": 0.17, "percentChange": 0.17 }, "atmIv": { "current": 35.21, "previous": 45.59, "change": -10.38, "percentChange": -22.77 }, "rr25": { "current": -0.45, "previous": 3.29, "change": -3.74, "percentChange": -113.68 }, "bf25": { "current": 0.73, "previous": 2.75, "change": -2.02, "percentChange": -73.45 }, "svi": { "a": { "current": -0.016, "previous": -0.0521, "change": 0.0361, "percentChange": 69.36 }, "b": { "current": 0.0383, "previous": 0.1161, "change": -0.0778, "percentChange": -67.02 }, "rho": { "current": -0.0841, "previous": 0.1388, "change": -0.2229, "percentChange": -160.59 }, "m": { "current": -0.0326, "previous": 0.0526, "change": -0.0851, "percentChange": -161.96 }, "sigma": { "current": 0.4238, "previous": 0.4607, "change": -0.037, "percentChange": -8.02 } }, "smile": { "logMoneyness": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "current": [ 152.1232, 145.511, 138.8461, 132.1334, 125.379, 118.5906, 111.7774, 104.9511, 98.126, 91.3201, 84.5565, 77.8649, 71.2843, 64.8673, 58.6853, 52.8377, 47.4628, 42.7507, 38.9503, 36.3506, 35.2143, 35.6715, 37.6493, 40.9094, 45.1542, 50.1121, 55.5701, 61.3725, 67.4082, 73.5985, 79.8869, 86.2322, 92.6041, 98.9799, 105.3423, 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The largest standard-tenor ATM IV change was a 0.64-point rise in two-week ATM IV to 51.38%; realised-volatility comparisons were unavailable at the cutoff.", "days": [ { "reportDate": "2026-09-12", "headline": "Solana volatility edges higher at the front", "summary": "A lower strike-surface rotation accompanied a small front-end ATM volatility increase without qualifying news context.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto context was retained.", "events": [] } } ] }, "newsStatus": "no-relevant-catalyst", "headline": "Solana options soften across strikes while front-end volatility edges higher", "standfirst": "Solana’s options surface rotated lower across strikes, while front-end ATM IV increased only 0.17 volatility points on average to 51.32%. The largest standard-tenor ATM IV change was a 0.64-point rise in two-week ATM IV to 51.38%; realised-volatility comparisons were unavailable at the cutoff.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "SOL", "sessionDate": "2026-09-11", "asOfTimestamp": "2026-09-11T20:00:00+00:00", "summary": "Previous session (latest completed): Persisted common SPX/VIX session and aligned SOL volatility context. The crypto-to-SPX realised-volatility ratio was 7.77, at the 78.3 percentile across 226 prior observations. The 60-session crypto-SPX return correlation was 0.30 from 60 aligned observations.", "regimeInsights": [ "The crypto-to-SPX realised-volatility ratio was 7.77, at the 78.3 percentile across 226 prior observations.", "The 60-session crypto-SPX return correlation was 0.30 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 52.38, "vix": 15.84000015258789, "vix9d": 14.470000267028809, "vix3m": 18.600000381469727, "ivSpread": 36.53999984741211, "ivRatio": 3.3068181499633584, "cryptoRealisedVol20d": 69.88084875417255, "spxRealisedVol20": 8.992020679301438, "rvSpread": 60.88882807487111, "rvRatio": 7.771428830788829, "rvSpreadPercentile": 46.46017699115044, "rvSpreadPercentileSampleCount": 226, "rvRatioPercentile": 78.31858407079646, "rvRatioPercentileSampleCount": 226, "returnCorrelation30": 0.24051425359297446, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.2954398922716925, "returnCorrelation60SampleCount": 60 }, "methodology": "DerivaSys persisted market-context-v1. Crypto RV is annualised using sqrt(365); SPX RV uses sqrt(252)." } }