01 · Daily briefing
Macro · Crypto · OptionsThe day in markets.
Hormuz report adds broader risk context
Al Jazeera reported fears of renewed US-Iran fighting after President Trump rejected a deal, a broader economic development.
Macro
Al Jazeera described lingering Strait of Hormuz tensions and fears of renewed US-Iran fighting.
Crypto
No qualifying crypto event was retained for this report window.
Links identify the underlying reporting for retained events; entries without a retained link are marked.
BTC volatility context · Derivasys DS30 and Bitfinex BVIV
Model-derived and market-implied volatility.
Derivasys DS30 is model-derived volatility; Bitfinex BVIV is a market-implied reference. Values and their difference are shown in volatility points.
37.60 vol points
Measurement 27 Sept 2026, 19:05:00 UTC
At report cutoff · 0 min measurement lag
36.81 vol points
Measurement 27 Sept 2026, 19:03:56 UTC
At report cutoff · 1 min measurement lag
-0.79 vol points
As of 27 Sept 2026, 19:05 UTC. Measurement freshness is shown separately for each index.
Index evidence and methodology
DS30 · Source measurement 27 Sept 2026, 19:05:00 UTC; observed receipt not recorded; ingested not recorded. Freshness: At report cutoff, evaluated 27 Sept 2026, 19:05:00 UTC. Derivasys model-free 30-calendar-day implied volatility from fitted BTC SVI slices
BVIV · Source measurement 27 Sept 2026, 19:03:56 UTC; observed receipt 27 Sept 2026, 19:04:00 UTC; ingested 27 Sept 2026, 19:04:00 UTC. Freshness: At report cutoff, evaluated 27 Sept 2026, 19:05:00 UTC. Bitfinex BVIV reference price from the status channel
BVIV minus independently selected latest eligible DS30 at or before the requested cutoff
{
"schemaVersion": 1,
"source": "market-context-mcp",
"type": "btc_volatility_context_latest",
"asset": "BTC",
"asOfTimestamp": "2026-09-27T19:05:00+00:00",
"status": "available",
"ds30": {
"value": 37.60121851289327,
"units": "volatility_points",
"sourceTimestamp": "2026-09-27T19:05:00+00:00",
"observedAt": null,
"ingestedAt": null,
"freshness": {
"status": "fresh",
"ageSeconds": 0,
"evaluatedAt": "2026-09-27T19:05:00+00:00"
},
"availability": null,
"methodology": "Derivasys model-free 30-calendar-day implied volatility from fitted BTC SVI slices"
},
"bviv": {
"value": 36.806490477358,
"units": "volatility_points",
"sourceTimestamp": "2026-09-27T19:03:56+00:00",
"observedAt": "2026-09-27T19:04:00+00:00",
"ingestedAt": "2026-09-27T19:04:00+00:00",
"freshness": {
"status": "fresh",
"ageSeconds": 64,
"evaluatedAt": "2026-09-27T19:05:00+00:00"
},
"availability": "streaming",
"methodology": "Bitfinex BVIV reference price from the status channel"
},
"bvivMinusDs30": {
"value": -0.7947280355352717,
"units": "volatility_points",
"status": "available",
"methodology": "BVIV minus independently selected latest eligible DS30 at or before the requested cutoff"
}
}Source index JSON02 · Options market read
What the volatility surface did.
5 of 6 headline tenors were comparable at both endpoints. The largest ATM IV move was 1W at +2.06 volatility points, to 32.76%.
RV observation windows
The 24-hour, seven-day and 30-day RV windows are assessed independently using observed one-minute index returns, annualised on a 365-day basis. Recorded minimums: at least 98% coverage over 24 hours, 97% coverage over seven days, 99.5% coverage over 30 days, with no gap longer than 60 minutes. Returns spanning gaps are excluded, not interpolated; unavailable windows remain unreported. The exact 24-hour spot return requires prices at both endpoints.
03 · Catalyst check
26 Sept 2026, 19:05 UTC to 27 Sept 2026, 19:05 UTCRelevant context found; no confirmed catalyst
Relevant market event
1 relevant event was retained for the comparison window.
News is presented as contextual association unless the structured evidence supports a stronger relationship.
04 · Detailed analysis
What changed across the BTC volatility surface.
At the 19:05 UTC cutoff, 1W ATM IV was 32.76%, 3.19 volatility points below seven-day realised volatility of 35.95%; 24-hour realised volatility was 18.32% and 30-day realised volatility was 34.45%.
Front-end ATM IV increased, averaging +1.14 volatility points to 33.27% across 1W, 2W and 1M.
Six-month ATM IV was broadly unchanged at 37.81% (-0.14 volatility points); 1Y was unavailable.
RR25 moved towards calls, averaging +0.23 volatility points to -0.79 volatility points across the five available headline tenors.
BF25 was broadly unchanged, averaging -0.01 volatility points to 1.87 volatility points across the five available headline tenors.
The largest standard-tenor ATM IV move was +2.06 volatility points at 1W, to 32.76%.
Universe roll: added 1OCT26; removed 27SEP26. Comparisons use common expiries only.