{
  "snapshot_id": "btc-svi-calibration-replay-2026-07-15T10:35:22.943Z",
  "captured_at": "2026-07-15T10:35:22.943Z",
  "timezone": "UTC",
  "source": "wss://api.derivasys.com",
  "currency": "BTC",
  "expiry": "31JUL26",
  "year_fraction_act_365": 0.0435401829,
  "quote_filter": "Finite best bid and ask; 0 < IV < 200%; non-crossed; bid/ask spread no greater than 10 volatility points.",
  "residual_convention": "Fitted IV minus observed bid/ask mid, in volatility basis points (1 vol point = 100 vol bp).",
  "production_fit": {
    "parameters": {
      "a": -0.07431954215406086,
      "b": 0.12774684951578835,
      "rho": 0.12622570625454124,
      "m": 0.14293274008008924,
      "sigma": 0.6222771337395133
    },
    "success": true,
    "objective": 0.05278404069385409,
    "publication_state": "accepted",
    "expected_rmse_vol_bp": 99.7,
    "expected_quotes_beyond_300_vol_bp": 1
  },
  "replay_rejection": {
    "parameters": {
      "a": 0.018,
      "b": 0.16,
      "rho": -0.45,
      "m": -0.02,
      "sigma": 0.11
    },
    "publication_state": "rejected_in_deterministic_replay",
    "rejection_rule": "Reject when more than 25% of included quote mids have an absolute residual greater than 300 volatility basis points.",
    "expected_rmse_vol_bp": 6288.3,
    "expected_quotes_beyond_300_vol_bp": 34
  },
  "quotes": [
    { "strike": 45000, "log_moneyness": -0.36298603, "bid_iv_percent": 62.51, "ask_iv_percent": 69.00 },
    { "strike": 46000, "log_moneyness": -0.34100712, "bid_iv_percent": 59.02, "ask_iv_percent": 65.20 },
    { "strike": 48000, "log_moneyness": -0.29844751, "bid_iv_percent": 56.17, "ask_iv_percent": 60.69 },
    { "strike": 50000, "log_moneyness": -0.25762552, "bid_iv_percent": 53.43, "ask_iv_percent": 57.01 },
    { "strike": 52000, "log_moneyness": -0.21840480, "bid_iv_percent": 49.96, "ask_iv_percent": 53.01 },
    { "strike": 54000, "log_moneyness": -0.18066447, "bid_iv_percent": 45.59, "ask_iv_percent": 49.78 },
    { "strike": 55000, "log_moneyness": -0.16231534, "bid_iv_percent": 44.02, "ask_iv_percent": 46.78 },
    { "strike": 56000, "log_moneyness": -0.14429683, "bid_iv_percent": 42.70, "ask_iv_percent": 45.97 },
    { "strike": 57000, "log_moneyness": -0.12659725, "bid_iv_percent": 41.52, "ask_iv_percent": 44.63 },
    { "strike": 58000, "log_moneyness": -0.10920551, "bid_iv_percent": 40.50, "ask_iv_percent": 43.00 },
    { "strike": 59000, "log_moneyness": -0.09211108, "bid_iv_percent": 38.27, "ask_iv_percent": 41.96 },
    { "strike": 60000, "log_moneyness": -0.07530396, "bid_iv_percent": 37.42, "ask_iv_percent": 39.56 },
    { "strike": 61000, "log_moneyness": -0.05877466, "bid_iv_percent": 37.10, "ask_iv_percent": 38.89 },
    { "strike": 62000, "log_moneyness": -0.04251414, "bid_iv_percent": 35.42, "ask_iv_percent": 37.72 },
    { "strike": 63000, "log_moneyness": -0.02651379, "bid_iv_percent": 34.56, "ask_iv_percent": 35.99 },
    { "strike": 64000, "log_moneyness": -0.01076544, "bid_iv_percent": 33.24, "ask_iv_percent": 35.37 },
    { "strike": 65000, "log_moneyness": 0.00473875, "bid_iv_percent": 32.37, "ask_iv_percent": 34.30 },
    { "strike": 66000, "log_moneyness": 0.02000622, "bid_iv_percent": 31.63, "ask_iv_percent": 33.62 },
    { "strike": 67000, "log_moneyness": 0.03504410, "bid_iv_percent": 31.01, "ask_iv_percent": 33.18 },
    { "strike": 68000, "log_moneyness": 0.04985918, "bid_iv_percent": 30.70, "ask_iv_percent": 32.42 },
    { "strike": 69000, "log_moneyness": 0.06445798, "bid_iv_percent": 30.30, "ask_iv_percent": 33.22 },
    { "strike": 70000, "log_moneyness": 0.07884672, "bid_iv_percent": 31.17, "ask_iv_percent": 32.80 },
    { "strike": 71000, "log_moneyness": 0.09303136, "bid_iv_percent": 31.06, "ask_iv_percent": 33.45 },
    { "strike": 72000, "log_moneyness": 0.10701760, "bid_iv_percent": 31.42, "ask_iv_percent": 33.95 },
    { "strike": 73000, "log_moneyness": 0.12081092, "bid_iv_percent": 31.85, "ask_iv_percent": 34.45 },
    { "strike": 74000, "log_moneyness": 0.13441657, "bid_iv_percent": 32.92, "ask_iv_percent": 35.70 },
    { "strike": 75000, "log_moneyness": 0.14783959, "bid_iv_percent": 34.08, "ask_iv_percent": 37.11 },
    { "strike": 76000, "log_moneyness": 0.16108482, "bid_iv_percent": 34.65, "ask_iv_percent": 38.10 },
    { "strike": 77000, "log_moneyness": 0.17415690, "bid_iv_percent": 35.69, "ask_iv_percent": 39.57 },
    { "strike": 78000, "log_moneyness": 0.18706031, "bid_iv_percent": 36.11, "ask_iv_percent": 40.68 },
    { "strike": 79000, "log_moneyness": 0.19979933, "bid_iv_percent": 38.25, "ask_iv_percent": 41.42 },
    { "strike": 80000, "log_moneyness": 0.21237811, "bid_iv_percent": 37.44, "ask_iv_percent": 41.53 },
    { "strike": 81000, "log_moneyness": 0.22480063, "bid_iv_percent": 39.16, "ask_iv_percent": 43.64 },
    { "strike": 82000, "log_moneyness": 0.23707073, "bid_iv_percent": 40.84, "ask_iv_percent": 45.71 }
  ],
  "limitations": [
    "The accepted state and quote inputs were observed on the production BTC WebSocket, but the feed did not expose a historical production rejection event during sampling.",
    "The rejected row is a deterministic replay of deliberately poor parameters against the same observed quote mids; it is not represented as a production event.",
    "The replay rule is an explicit publication control for this example, not a claim about an undisclosed production threshold.",
    "No raw order identifiers, sizes, prices, or user data are included."
  ]
}