01 · Daily briefing
Macro · Crypto · OptionsThe day in markets.
Bitcoin options: 2W RR25 drops through zero toward puts
Bitcoin 2W RR25 crossed from +0.84 to -0.30 volatility points over the October 4–5 comparison at 16:29 UTC, a decline of 1.14 volatility points. Derivasys classified the move as notable, at the 83.3 percentile among 30 comparable observations. Because RR25 measures 25-delta call IV minus put IV, this establishes a shift in their relative volatility, without proving an absolute increase in put IV.
Macro
No qualifying macro event was retained for this report window.
Crypto
The Block reported that Strategy bought 334 bitcoin for $28.7 million, taking its holdings above 848,000 BTC. Separately, it reported that Strive added 2,000 bitcoin, bringing its holdings near 30,000 BTC. These remain provisional single-source reports of distinct purchases; neither establishes a causal link to the measured skew change.
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.
40.22 vol points
Measurement 05 Oct 2026, 16:29:00 UTC
At report cutoff · 0 min measurement lag
38.63 vol points
Measurement 05 Oct 2026, 16:27:57 UTC
At report cutoff · 1 min measurement lag
-1.60 vol points
As of 05 Oct 2026, 16:29 UTC. Measurement freshness is shown separately for each index.
Index evidence and methodology
DS30 · Source measurement 05 Oct 2026, 16:29:00 UTC; observed receipt not recorded; ingested not recorded. Freshness: At report cutoff, evaluated 05 Oct 2026, 16:29:00 UTC. Derivasys model-free 30-calendar-day implied volatility from fitted BTC SVI slices
BVIV · Source measurement 05 Oct 2026, 16:27:57 UTC; observed receipt 05 Oct 2026, 16:28:00 UTC; ingested 05 Oct 2026, 16:28:00 UTC. Freshness: At report cutoff, evaluated 05 Oct 2026, 16:29:00 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": "2026-10-05T16:29:00+00:00",
"status": "available",
"ds30": {
"value": 40.22382461387702,
"units": "volatility_points",
"sourceTimestamp": "2026-10-05T16:29:00+00:00",
"observedAt": null,
"ingestedAt": null,
"freshness": {
"status": "fresh",
"ageSeconds": 0,
"evaluatedAt": "2026-10-05T16:29:00+00:00"
},
"availability": null,
"methodology": "Derivasys model-free 30-calendar-day implied volatility from fitted BTC SVI slices"
},
"bviv": {
"value": 38.628033927012,
"units": "volatility_points",
"sourceTimestamp": "2026-10-05T16:27:57+00:00",
"observedAt": "2026-10-05T16:28:00+00:00",
"ingestedAt": "2026-10-05T16:28:00+00:00",
"freshness": {
"status": "fresh",
"ageSeconds": 63,
"evaluatedAt": "2026-10-05T16:29:00+00:00"
},
"availability": "streaming",
"methodology": "Bitfinex BVIV reference price from the status channel"
},
"bvivMinusDs30": {
"value": -1.5957906868650227,
"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 1M at +0.42 volatility points, to 34.41%.
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
04 Oct 2026, 16:29 UTC to 05 Oct 2026, 16:29 UTCRelevant context found; no confirmed catalyst
Relevant market events
2 relevant events were 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 16:29 UTC cutoff, 1W ATM IV was 32.25%, broadly in line with seven-day realised volatility of 32.98%; 24-hour realised volatility was 36.49% and 30-day realised volatility was 34.11%.
Front-end ATM IV increased, averaging +0.27 volatility points to 33.04% across 1W, 2W and 1M.
Six-month ATM IV was broadly unchanged at 37.47% (-0.03 volatility points); 1Y was unavailable.
RR25 moved towards puts, averaging -0.66 volatility points to -0.67 volatility points across the five available headline tenors.
BF25 was broadly unchanged, averaging +0.04 volatility points to 2.12 volatility points across the five available headline tenors.
The largest standard-tenor ATM IV move was +0.42 volatility points at 1M, to 34.41%.
Universe roll: no additions; removed 5OCT26. Comparisons use common expiries only.