01 · Daily briefing
Macro · Crypto · OptionsThe day in markets.
Bitcoin one-month put skew deepens as weekly ATM volatility falls
The skew adjustment extended across maturities: two-week RR25 fell 0.93 volatility points to -1.47 volatility points, and three-month RR25 dropped 0.53 points to -1.22 volatility points. Negative RR25 means 25-delta puts carry higher implied volatility than equivalent calls. These changes establish a relative shift toward puts, without establishing that put volatility rose outright.
Macro
No qualifying macro event was retained for this report window.
Crypto
Bitcoin’s spot index gained just 0.09% over the matching window. Cointelegraph reported sharply falling US bond yields around Thursday’s Wall Street open as Bitcoin sought to preserve higher lows. That developing account provides macro context, but supplies no measured causal link to the daily skew changes.
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.
39.78 vol points
Measurement 01 Oct 2026, 16:30:00 UTC
At report cutoff · 0 min measurement lag
38.52 vol points
Measurement 01 Oct 2026, 16:28:57 UTC
At report cutoff · 1 min measurement lag
-1.26 vol points
As of 01 Oct 2026, 16:30 UTC. Measurement freshness is shown separately for each index.
Index evidence and methodology
DS30 · Source measurement 01 Oct 2026, 16:30:00 UTC; observed receipt not recorded; ingested not recorded. Freshness: At report cutoff, evaluated 01 Oct 2026, 16:30:00 UTC. Derivasys model-free 30-calendar-day implied volatility from fitted BTC SVI slices
BVIV · Source measurement 01 Oct 2026, 16:28:57 UTC; observed receipt 01 Oct 2026, 16:29:00 UTC; ingested 01 Oct 2026, 16:29:00 UTC. Freshness: At report cutoff, evaluated 01 Oct 2026, 16:30:00 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": "2026-10-01T16:30:00+00:00",
"status": "available",
"ds30": {
"value": 39.78001269350505,
"units": "volatility_points",
"sourceTimestamp": "2026-10-01T16:30:00+00:00",
"observedAt": null,
"ingestedAt": null,
"freshness": {
"status": "fresh",
"ageSeconds": 0,
"evaluatedAt": "2026-10-01T16:30:00+00:00"
},
"availability": null,
"methodology": "Derivasys model-free 30-calendar-day implied volatility from fitted BTC SVI slices"
},
"bviv": {
"value": 38.524164354661,
"units": "volatility_points",
"sourceTimestamp": "2026-10-01T16:28:57+00:00",
"observedAt": "2026-10-01T16:29:00+00:00",
"ingestedAt": "2026-10-01T16:29:00+00:00",
"freshness": {
"status": "fresh",
"ageSeconds": 63,
"evaluatedAt": "2026-10-01T16:30:00+00:00"
},
"availability": "streaming",
"methodology": "Bitfinex BVIV reference price from the status channel"
},
"bvivMinusDs30": {
"value": -1.2558483388440465,
"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 -0.87 volatility points, to 29.99%.
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
30 Sept 2026, 16:30 UTC to 01 Oct 2026, 16:30 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 16:30 UTC cutoff, 1W ATM IV was 29.99%, 2.60 volatility points below seven-day realised volatility of 32.59%; 24-hour realised volatility was 32.61% and 30-day realised volatility was 35.28%.
Front-end ATM IV was broadly unchanged, averaging -0.10 volatility points to 32.14% across 1W, 2W and 1M.
Six-month ATM IV was broadly unchanged at 37.61% (-0.11 volatility points); 1Y was unavailable.
RR25 moved towards puts, averaging -0.66 volatility points to -1.35 volatility points across the five available headline tenors.
BF25 increased, averaging +0.10 volatility points to 2.15 volatility points across the five available headline tenors.
The largest standard-tenor ATM IV move was -0.87 volatility points at 1W, to 29.99%.
Universe roll: added 23OCT26, 5OCT26; removed 1OCT26. Comparisons use common expiries only.