{ "schemaVersion": 1, "currency": "MAJOR_COINS", "reportDate": "2026-09-18", "generatedAt": "2026-09-18T16:31:13+00:00", "currentSnapshotAt": "2026-09-18T16:30:00+00:00", "previousSnapshotAt": "2026-09-17T16:30:00+00:00", "headline": "Major-coin options narrow volatility gap while Solana retains premium", "standfirst": "One-week ATM IV dispersion between Solana and Bitcoin narrowed 1.67 volatility points to 18.64 points at the cutoff. Solana’s one-week ATM IV was 50.69%, versus Bitcoin’s 32.05%, while Ether’s one-week ATM IV was 46.19%. The compression coincided with Bitcoin’s one-week ATM IV rising 2.46 volatility points, compared with a 0.79-point rise in Solana’s one-week ATM IV.", "marketSummary": "The major-coin complex became less dispersed at one week, but Solana preserved a substantial implied-volatility premium over Bitcoin. Skew dispersion also narrowed, with Solana retaining the most call-rich one-week RR25 and Bitcoin the least call-rich positive reading.", "constituents": [ { "asset": "BTC", "reportDate": "2026-09-18", "artifactId": "sha256:80ff65878904e74f3fbfe71b4ac4fad4ddc9c62b4af12e0bc0145613d120c0f9", "contentSha256": "1b4c85ca240ede54ad0a8af058ef3bb3b064520dc238f13c5c3c74cb2ca50281", "currentSnapshotId": 406770, "currentSnapshotAt": "2026-09-18T16:30:00+00:00", "previousSnapshotId": 396688, "previousSnapshotAt": "2026-09-17T16:30:00+00:00" }, { "asset": "ETH", "reportDate": "2026-09-18", "artifactId": "sha256:e500633d4515c9aa2f019dcefc1c5682d1089f164b54054fc68c32988960aac0", "contentSha256": "9d1c665c29a78dafd989ecbe223449ece5e18166d08c9bf1b2927b41be122409", "currentSnapshotId": 406771, "currentSnapshotAt": "2026-09-18T16:30:00+00:00", "previousSnapshotId": 396694, "previousSnapshotAt": "2026-09-17T16:30:00+00:00" }, { "asset": "SOL", "reportDate": "2026-09-18", "artifactId": "sha256:6226ceb408446bfd33d856f5252a9ad28384272577c793ec016648e934820cd2", "contentSha256": "27b336df2de4b8b4e97017b6f5ede239b5b493c210dcf3f99692f06f36270aaf", "currentSnapshotId": 406766, "currentSnapshotAt": "2026-09-18T16:30:00+00:00", "previousSnapshotId": 396689, "previousSnapshotAt": "2026-09-17T16:30:00+00:00" } ], "rows": [ { "asset": "BTC", "report": { "schemaVersion": 3, "reportDate": "2026-09-18", "generatedAt": "2026-09-18T16:30:29+00:00", "currentSnapshotAt": "2026-09-18T16:30:00+00:00", "previousSnapshotAt": "2026-09-17T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 406770, "timestamp": "2026-09-18T16:30:00+00:00" }, "previous": { "id": 396688, "timestamp": "2026-09-17T16:30:00+00:00" } }, "windowHours": 24.0, "currency": "BTC", "methodology": { "source": "Derivasys proprietary historical SVI surface and canonical BTC index databases", "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-BTC 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 and realised-volatility changes only and does not infer unsupported market drivers, flows or forecasts.", "realisedVolatility": "Annualised root-mean-square of one-minute canonical BTC-USD index log returns using a 365-day basis; all windows end at the current snapshot." }, "realisedVolatility": { "source": "canonical/BTC-USD-INDEX (DERIBIT and OKX indexes)", "fallbackObservations": 85, "fallbackPolicy": "Missing canonical minutes use the stored Deribit index first, then the stored OKX index; canonical bars always take precedence.", "samplingInterval": "1 minute", "annualizationBasis": "365 days", "windowEnd": "2026-09-18T16:30:00+00:00", "spotWindowStart": "2026-09-17T16:30:00+00:00", "spotMetric": "spot-index return", "spotUnit": "percent", "spotMove24hPercent": 5.73, "rv24hPercent": 40.8, "rv7dPercent": 35.59, "rv30dPercent": 40.76, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 32.05, "oneWeekIvMinus7dRvPoints": -3.54, "oneWeekIvMinus24hRvPoints": -8.75, "oneWeekIvMinus30dRvPoints": -8.71 }, "fitQuality": { "currentObjective": 0.05130748, "previousObjective": 0.15294405, "currentLiveError": 85.68934817, "previousLiveError": 140.75485834 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [ "22SEP26" ], "removedExpiries": [ "18SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Bitcoin’s two-week skew provides the sharper signal", "executiveSummary": "Bitcoin’s most material options change was the two-week shift toward call-side volatility. 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At the cutoff, realised volatility measured 40.80% over 24 hours, 35.59% over seven days and 40.76% over 30 days. Front-end ATM IV averaged 32.89%, +1.52 points from the prior snapshot, while the long end averaged 38.18%, +0.11 points. 2W RR25 moved 1.34 volatility points toward calls to 0.69%, leaving calls richer than puts. 1W BF25 rose 0.19 volatility points to 1.78%. The nearest eligible forward, 21SEP26, rose $4,356.85 (+5.68%) to $81,035.18. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.", "wordCount": 106, "source": "deterministic structured report facts", "evidenceFields": [ "summaryMetrics.largestAtmMove", "realisedVolatility.rv24hPercent", "realisedVolatility.rv7dPercent", "realisedVolatility.rv30dPercent", "summaryMetrics.frontEndAverageAtm", "summaryMetrics.longEndAverageAtm", "summaryMetrics.largestRr25Move", "summaryMetrics.largestBf25Move", "summaryMetrics.nearestEligibleForwardMove", "newsContext.outcome", "newsContext.highest_causal_confidence" ] }, "facts": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:30 UTC cutoff, 1W ATM IV was 32.05%, 3.54 volatility points below seven-day realised volatility of 35.59%; 24-hour realised volatility was 40.80% and 30-day realised volatility was 40.76%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +1.52 volatility points to 32.89% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.11 volatility points to 38.18% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.78 volatility points to -0.30% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.13 volatility points to 2.01% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +2.46 volatility points at 1W, to 32.05%.", "tenor": "1W", "value": 2.46 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 0.96, "rr25Change": 0.78, "bf25Change": 0.13, "largestAtmMove": { "tenor": "1W", "current": 32.05, "previous": 29.59, "change": 2.46, "historicalSignificance": { "absoluteMove": 2.46, "movePercentile30d": 43.3, "movePercentileFullHistory": 66.0, "currentLevelPercentileFullHistory": 20.3, "classificationPercentile": 66.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 147, "levelObservationsFullHistory": 148 } }, "frontEndAverageAtm": { "current": 32.89, "previous": 31.36, "change": 1.52 }, "longEndAverageAtm": { "current": 38.18, "previous": 38.07, "change": 0.11 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "2W", "current": 0.69, "previous": -0.65, "change": 1.34, "historicalSignificance": { "absoluteMove": 1.34, "movePercentile30d": 73.3, "movePercentileFullHistory": 82.3, "currentLevelPercentileFullHistory": 91.9, "classificationPercentile": 82.3, "label": "notable", "observations30d": 30, "observationsFullHistory": 147, "levelObservationsFullHistory": 148 }, "direction": "toward calls", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "1W", "current": 1.78, "previous": 1.59, "change": 0.19, "historicalSignificance": { "absoluteMove": 0.19, "movePercentile30d": 53.3, "movePercentileFullHistory": 58.5, "currentLevelPercentileFullHistory": 37.8, "classificationPercentile": 58.5, "label": "routine", "observations30d": 30, "observationsFullHistory": 147, "levelObservationsFullHistory": 148 } }, "nearestEligibleForwardMove": { "label": "21SEP26", "daysToExpiry": 2.646, "current": 81035.18, "previous": 76678.33, "change": 4356.85, "percentChange": 5.68 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1790353800448, "availability": "available", "unavailableReason": null, "atmIv": { "current": 32.05, "previous": 29.59, "change": 2.46, "percentChange": 8.31 }, "rr25": { "current": 0.62, "previous": -0.11, "change": 0.73, "percentChange": 663.64 }, "bf25": { "current": 1.78, "previous": 1.59, "change": 0.19, "percentChange": 11.95 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.46, "movePercentile30d": 43.3, "movePercentileFullHistory": 66.0, 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0.3393, 0.3596, 0.3798, 0.3997, 0.4194, 0.4389 ] }, { "label": "25JUN27", "values": [ -0.13, -0.1278, -0.1254, -0.123, -0.1203, -0.1175, -0.1145, -0.1113, -0.1079, -0.1044, -0.1004, -0.0962, -0.0918, -0.0871, -0.082, -0.0766, -0.0708, -0.0648, -0.0584, -0.0517, -0.0447, -0.0372, -0.0293, -0.0212, -0.0127, -0.0038, 0.0055, 0.015, 0.0249, 0.0351, 0.0457, 0.0565, 0.0677, 0.0792, 0.0908, 0.1028, 0.1151, 0.1274, 0.1401, 0.153, 0.166 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-18T16:30:00+00:00", "window": { "startAt": "2026-09-17T16:30:00+00:00", "endAt": "2026-09-18T16:30:00+00:00", "endExclusive": true }, "headline": "Bitcoin options turn call-rich as two-week skew reverses", "standfirst": "Bitcoin two-week RR25 rose 1.34 volatility points to 0.69%, reversing from a Bitcoin two-week RR25 reading of -0.65% and leaving calls richer than puts at the cutoff. Bitcoin’s two-week RR25 move was notable at the 82.3 percentile of comparable history. Bitcoin’s 24-hour spot-index return was 5.73%, while Bitcoin one-week ATM IV of 32.05% stood 3.54 volatility points below Bitcoin seven-day realised volatility of 35.59%, according to Derivasys data.", "days": [ { "reportDate": "2026-09-18", "headline": "Japan rate decision and sanctions frame Bitcoin day", "summary": "Japan raised rates, while US sanctions targeted Iran’s BitBank over alleged Bitcoin transfers.", "macro": { "summary": "The Bank of Japan raised interest rates by 25 basis points, with Bitcoin reported above $77,000.", "events": [] }, "crypto": { "summary": "US sanctions against Iran’s BitBank supplied separate crypto-market context during the window.", "events": [ { "eventId": "b903cc5e-24e9-4c2b-b2e1-265a0ee08430", "title": "Bank of Japan raises interest rates by 25 basis points. Bitcoin tops $77,000", "publisher": "CoinDesk", "url": "https://www.coindesk.com/markets/2026/09/17/boj-rate-hike", "publishedAt": "2026-09-18T03:03:38+00:00" }, { "eventId": "0bdfc09c-13bb-4030-a40c-7b31fd38085e", "title": "US sanctions Iran’s BitBank, saying it processes ‘Hormuz Safe’ Bitcoin payments", "publisher": "Cointelegraph", "url": "https://cointelegraph.com/news/us-sanctions-irans-bitbank-saying-it-processes-hormuz-safe-bitcoin-payments", "publishedAt": "2026-09-18T01:33:54+00:00" } ] } } ] }, "newsStatus": "context", "headline": "Bitcoin options turn call-rich as two-week skew reverses", "standfirst": "Bitcoin two-week RR25 rose 1.34 volatility points to 0.69%, reversing from a Bitcoin two-week RR25 reading of -0.65% and leaving calls richer than puts at the cutoff. Bitcoin’s two-week RR25 move was notable at the 82.3 percentile of comparable history. Bitcoin’s 24-hour spot-index return was 5.73%, while Bitcoin one-week ATM IV of 32.05% stood 3.54 volatility points below Bitcoin seven-day realised volatility of 35.59%, according to Derivasys data.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "BTC", "sessionDate": "2026-09-17", "asOfTimestamp": "2026-09-17T20:00:00+00:00", "summary": "Latest completed common SPX/VIX session retrieved as of the report cutoff. The crypto-minus-SPX realised-volatility spread was 24.23 points, at the 37.7 percentile across 236 prior observations. The 60-session crypto-SPX return correlation was 0.27 from 60 aligned observations.", "regimeInsights": [ "The crypto-minus-SPX realised-volatility spread was 24.23 points, at the 37.7 percentile across 236 prior observations.", "The 60-session crypto-SPX return correlation was 0.27 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 31.99, "vix": 15.4399995803833, "vix9d": 13.39, "vix3m": 18.55, "ivSpread": 16.550000419616698, "ivRatio": 2.0718912480181455, "cryptoRealisedVol20d": 34.086581535896116, "spxRealisedVol20": 9.851683413758092, "rvSpread": 24.234898122138024, "rvRatio": 3.4599753264800874, "rvSpreadPercentile": 37.71186440677966, "rvSpreadPercentileSampleCount": 236, "rvRatioPercentile": 57.6271186440678, "rvRatioPercentileSampleCount": 236, "returnCorrelation30": 0.26242230025825225, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.27496053904676254, "returnCorrelation60SampleCount": 60 }, "methodology": "Persisted Derivasys market context; crypto RV uses sqrt(365), SPX RV uses sqrt(252)." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1790353800448, "availability": "available", "unavailableReason": null, "atmIv": { "current": 32.05, "previous": 29.59, "change": 2.46, "percentChange": 8.31 }, "rr25": { "current": 0.62, "previous": -0.11, "change": 0.73, "percentChange": 663.64 }, "bf25": { "current": 1.78, "previous": 1.59, "change": 0.19, "percentChange": 11.95 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.46, "movePercentile30d": 43.3, "movePercentileFullHistory": 66.0, "currentLevelPercentileFullHistory": 20.3, "classificationPercentile": 66.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 147, "levelObservationsFullHistory": 148 }, "rr25": { "absoluteMove": 0.73, "movePercentile30d": 40.0, "movePercentileFullHistory": 47.6, "currentLevelPercentileFullHistory": 89.9, "classificationPercentile": 47.6, "label": "routine", "observations30d": 30, "observationsFullHistory": 147, "levelObservationsFullHistory": 148 }, "bf25": { "absoluteMove": 0.19, "movePercentile30d": 53.3, "movePercentileFullHistory": 58.5, "currentLevelPercentileFullHistory": 37.8, "classificationPercentile": 58.5, "label": "routine", "observations30d": 30, "observationsFullHistory": 147, "levelObservationsFullHistory": 148 } } } }, { "asset": "ETH", "report": { "schemaVersion": 3, "reportDate": "2026-09-18", "generatedAt": "2026-09-18T16:30:51+00:00", "currentSnapshotAt": "2026-09-18T16:30:00+00:00", "previousSnapshotAt": "2026-09-17T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 406771, "timestamp": "2026-09-18T16:30:00+00:00" }, "previous": { "id": 396694, "timestamp": "2026-09-17T16:30:00+00:00" } }, "windowHours": 24.0, "currency": "ETH", "methodology": { "source": "Derivasys proprietary historical SVI surface and canonical ETH index databases", "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-ETH 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 and realised-volatility changes only and does not infer unsupported market drivers, flows or forecasts.", "realisedVolatility": "Annualised root-mean-square of one-minute canonical ETH-USD index log returns using a 365-day basis; all windows end at the current snapshot." }, "realisedVolatility": { "source": "canonical/ETH-USD-INDEX (DERIBIT and OKX indexes)", "fallbackObservations": 85, "fallbackPolicy": "Missing canonical minutes use the stored Deribit index first, then the stored OKX index; canonical bars always take precedence.", "samplingInterval": "1 minute", "annualizationBasis": "365 days", "windowEnd": "2026-09-18T16:30:00+00:00", "spotWindowStart": "2026-09-17T16:30:00+00:00", "spotMetric": "spot-index return", "spotUnit": "percent", "spotMove24hPercent": 5.43, "rv24hPercent": 54.72, "rv7dPercent": 50.18, "rv30dPercent": 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"candidateAudit": [ { "eventId": "444acc77-3231-4475-b377-8c9abd56fd25", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" }, { "eventId": "6136ef06-64a4-464e-bd00-e11c0dacd76e", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" }, { "eventId": "55d08327-4b75-484b-b050-f54bb568752d", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" }, { "eventId": "b903cc5e-24e9-4c2b-b2e1-265a0ee08430", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" }, { "eventId": "0bdfc09c-13bb-4030-a40c-7b31fd38085e", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" }, { "eventId": "c0d914f9-8b87-4e9a-95a6-6f8d1bb3e7b5", "selected": true, "eligible": true, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": true, "decision": "selected" }, { "eventId": "c5587fad-bf9d-4f96-b7b6-4a4ebca57cf9", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" }, { "eventId": "ee231855-2f92-4147-998e-50f98d20d7d4", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": false, "reportRelevant": false, "decision": "ineligible" }, { "eventId": "f35a571c-68e3-4ae1-b1c2-6cf2ab4d29b6", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" }, { "eventId": "19decf6f-b4e0-4dc0-8739-6cd73c0e0018", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" } ], "planRationale": "Kraken's confirmed primary-market status notice is directly ETH-relevant and qualifies as context; no measured reaction supports a causal link to the options move.", "eventsSelected": 1 }, "items": [ { "id": "c0d914f9-8b87-4e9a-95a6-6f8d1bb3e7b5", "sourceId": "kraken_status", "publisher": "Kraken", "title": "Ethereum Gateway ERC20 Withdraw Delays", "url": "https://status.kraken.com/incidents/nhkkfrdg21dl", "publishedAt": "2026-09-18T07:48:59+00:00", "summary": "Ethereum Gateway ERC20 Withdraw Delays.", "matchedTerms": [ "ETH", "Ethereum", "Kraken" ], "topics": [ "market", "other" ], "sourceKind": "primary_market", "rightsStatus": "link-and-summary", "selectionScore": 62, "quality": { "eligible": true, "score": 62.1, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.8993, "signals": { "confidence": 0.87, "importance": 0.59, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.8993, "effectiveSourceQuality": 0.8993, "catalystScore": 0.277, "effectiveCatalystScore": 0.277, "contentKind": "reporting", "status": "confirmed" }, "thresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "policy": "source-backed-context-v1", "role": "context", "attributionRequired": false }, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 21SEP26: +130.96 USD (+5.31%) to 2599.27 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 21SEP26: +130.96 USD (+5.31%) to 2599.27 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "c0d914f9-8b87-4e9a-95a6-6f8d1bb3e7b5", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 21SEP26: +130.96 USD (+5.31%) to 2599.27 USD", "ATM IV 1W: up 1.74 points to 46.19%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 21SEP26: +130.96 USD (+5.31%) to 2599.27 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-6e584ddb48a1" } ], "events": [ { "event_cluster_id": "market-event-6e584ddb48a1", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 21SEP26: +130.96 USD (+5.31%) to 2599.27 USD", "ATM IV 1W: up 1.74 points to 46.19%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 21SEP26: +130.96 USD (+5.31%) to 2599.27 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "c0d914f9-8b87-4e9a-95a6-6f8d1bb3e7b5", "sourceId": "kraken_status", "publisher": "Kraken", "title": "Ethereum Gateway ERC20 Withdraw Delays", "url": "https://status.kraken.com/incidents/nhkkfrdg21dl", "publishedAt": "2026-09-18T07:48:59+00:00", "summary": "Ethereum Gateway ERC20 Withdraw Delays.", "matchedTerms": [ "ETH", "Ethereum", "Kraken" ], "topics": [ "market", "other" ], "sourceKind": "primary_market", "rightsStatus": "link-and-summary", "selectionScore": 62, "quality": { "eligible": true, "score": 62.1, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.8993, "signals": { "confidence": 0.87, "importance": 0.59, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.8993, "effectiveSourceQuality": 0.8993, "catalystScore": 0.277, "effectiveCatalystScore": 0.277, "contentKind": "reporting", "status": "confirmed" }, "thresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "policy": "source-backed-context-v1", "role": "context", "attributionRequired": false }, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 21SEP26: +130.96 USD (+5.31%) to 2599.27 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 21SEP26: +130.96 USD (+5.31%) to 2599.27 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "c0d914f9-8b87-4e9a-95a6-6f8d1bb3e7b5", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 21SEP26: +130.96 USD (+5.31%) to 2599.27 USD", "ATM IV 1W: up 1.74 points to 46.19%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 21SEP26: +130.96 USD (+5.31%) to 2599.27 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-6e584ddb48a1" }, "additional_coverage": [] } ] }, "newsContext": { "outcome": "Relevant context found; no confirmed catalyst", "highest_causal_confidence": "low", "section_heading": "Relevant market event", "events": [ { "event_cluster_id": "market-event-6e584ddb48a1", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 21SEP26: +130.96 USD (+5.31%) to 2599.27 USD", "ATM IV 1W: up 1.74 points to 46.19%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 21SEP26: +130.96 USD (+5.31%) to 2599.27 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "c0d914f9-8b87-4e9a-95a6-6f8d1bb3e7b5", "sourceId": "kraken_status", "publisher": "Kraken", "title": "Ethereum Gateway ERC20 Withdraw Delays", "url": "https://status.kraken.com/incidents/nhkkfrdg21dl", "publishedAt": "2026-09-18T07:48:59+00:00", "summary": "Ethereum Gateway ERC20 Withdraw Delays.", "matchedTerms": [ "ETH", "Ethereum", "Kraken" ], "topics": [ "market", "other" ], "sourceKind": "primary_market", "rightsStatus": "link-and-summary", "selectionScore": 62, "quality": { "eligible": true, "score": 62.1, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.8993, "signals": { "confidence": 0.87, "importance": 0.59, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.8993, "effectiveSourceQuality": 0.8993, "catalystScore": 0.277, "effectiveCatalystScore": 0.277, "contentKind": "reporting", "status": "confirmed" }, "thresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "policy": "source-backed-context-v1", "role": "context", "attributionRequired": false }, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 21SEP26: +130.96 USD (+5.31%) to 2599.27 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 21SEP26: +130.96 USD (+5.31%) to 2599.27 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "c0d914f9-8b87-4e9a-95a6-6f8d1bb3e7b5", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 21SEP26: +130.96 USD (+5.31%) to 2599.27 USD", "ATM IV 1W: up 1.74 points to 46.19%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 21SEP26: +130.96 USD (+5.31%) to 2599.27 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-6e584ddb48a1" }, "additional_coverage": [] } ], "coverage_status": "healthy", "coverage_basis": "monitored-source-search" }, "marketRead": { "text": "2W RR25 moved 3.29 volatility points toward calls to 2.48%, leaving calls richer than puts; this was a large move at the 94th percentile among 31 comparable historical observations. At the cutoff, realised volatility measured 54.72% over 24 hours, 50.18% over seven days and 56.83% over 30 days. Front-end ATM IV averaged 47.00%, +0.31 points from the prior snapshot, while the long end averaged 54.58%, +0.24 points. 1W ATM IV rose 1.74 volatility points to 46.19%. 2W BF25 rose 0.37 volatility points to 2.90%. The nearest eligible forward, 21SEP26, rose $130.96 (+5.31%) to $2,599.27. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.", "wordCount": 108, "source": "deterministic structured report facts", "evidenceFields": [ "summaryMetrics.largestAtmMove", "realisedVolatility.rv24hPercent", "realisedVolatility.rv7dPercent", "realisedVolatility.rv30dPercent", "summaryMetrics.frontEndAverageAtm", "summaryMetrics.longEndAverageAtm", "summaryMetrics.largestRr25Move", "summaryMetrics.largestBf25Move", "summaryMetrics.nearestEligibleForwardMove", "newsContext.outcome", "newsContext.highest_causal_confidence" ] }, "facts": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:30 UTC cutoff, 1W ATM IV was 46.19%, 3.99 volatility points below seven-day realised volatility of 50.18%; 24-hour realised volatility was 54.72% and 30-day realised volatility was 56.83%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +0.31 volatility points to 47.00% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.24 volatility points to 54.58% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +1.83 volatility points to 1.73% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.18 volatility points to 2.94% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +1.74 volatility points at 1W, to 46.19%.", "tenor": "1W", "value": 1.74 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 0.18, "rr25Change": 1.83, "bf25Change": 0.18, "largestAtmMove": { "tenor": "1W", "current": 46.19, "previous": 44.45, "change": 1.74, "historicalSignificance": { "absoluteMove": 1.74, "movePercentile30d": 18.5, "movePercentileFullHistory": 22.6, "currentLevelPercentileFullHistory": 35.3, "classificationPercentile": 22.6, "label": "routine", "observations30d": 27, "observationsFullHistory": 31, "levelObservationsFullHistory": 34 } }, "frontEndAverageAtm": { "current": 47.0, "previous": 46.69, "change": 0.31 }, "longEndAverageAtm": { "current": 54.58, "previous": 54.34, "change": 0.24 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "2W", "current": 2.48, "previous": -0.81, "change": 3.29, "historicalSignificance": { "absoluteMove": 3.29, "movePercentile30d": 92.6, "movePercentileFullHistory": 93.5, "currentLevelPercentileFullHistory": 79.4, "classificationPercentile": 93.5, "label": "large", "observations30d": 27, "observationsFullHistory": 31, "levelObservationsFullHistory": 34 }, "direction": "toward calls", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "2W", "current": 2.9, "previous": 2.53, "change": 0.37, "historicalSignificance": { "absoluteMove": 0.37, "movePercentile30d": 70.4, "movePercentileFullHistory": 64.5, "currentLevelPercentileFullHistory": 58.8, "classificationPercentile": 70.4, "label": "notable", "observations30d": 27, "observationsFullHistory": 31, "levelObservationsFullHistory": 34 } }, "nearestEligibleForwardMove": { "label": "21SEP26", "daysToExpiry": 2.646, "current": 2599.27, "previous": 2468.31, "change": 130.96, "percentChange": 5.31 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1790353800591, "availability": "available", "unavailableReason": null, "atmIv": { "current": 46.19, "previous": 44.45, "change": 1.74, "percentChange": 3.91 }, "rr25": { "current": 1.78, "previous": -0.2, "change": 1.98, "percentChange": 990.0 }, "bf25": { "current": 2.32, "previous": 2.24, "change": 0.08, "percentChange": 3.57 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.74, "movePercentile30d": 18.5, "movePercentileFullHistory": 22.6, "currentLevelPercentileFullHistory": 35.3, "classificationPercentile": 22.6, "label": "routine", "observations30d": 27, "observationsFullHistory": 31, "levelObservationsFullHistory": 34 }, "rr25": { "absoluteMove": 1.98, "movePercentile30d": 63.0, "movePercentileFullHistory": 64.5, "currentLevelPercentileFullHistory": 79.4, "classificationPercentile": 64.5, "label": "routine", "observations30d": 27, "observationsFullHistory": 31, "levelObservationsFullHistory": 34 }, "bf25": { "absoluteMove": 0.08, "movePercentile30d": 7.4, "movePercentileFullHistory": 9.7, "currentLevelPercentileFullHistory": 17.6, "classificationPercentile": 9.7, "label": "routine", "observations30d": 27, "observationsFullHistory": 31, "levelObservationsFullHistory": 34 } } }, { "tenor": "2W", "targetExpiry": 1790958600591, "availability": "available", "unavailableReason": null, "atmIv": { "current": 46.13, "previous": 46.77, "change": -0.64, "percentChange": -1.37 }, "rr25": { "current": 2.48, "previous": -0.81, "change": 3.29, "percentChange": 406.17 }, "bf25": { "current": 2.9, "previous": 2.53, "change": 0.37, "percentChange": 14.62 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.64, "movePercentile30d": 18.5, "movePercentileFullHistory": 25.8, "currentLevelPercentileFullHistory": 11.8, "classificationPercentile": 25.8, "label": "routine", "observations30d": 27, "observationsFullHistory": 31, "levelObservationsFullHistory": 34 }, "rr25": { "absoluteMove": 3.29, "movePercentile30d": 92.6, "movePercentileFullHistory": 93.5, "currentLevelPercentileFullHistory": 79.4, "classificationPercentile": 93.5, "label": "large", "observations30d": 27, "observationsFullHistory": 31, "levelObservationsFullHistory": 34 }, "bf25": { "absoluteMove": 0.37, "movePercentile30d": 70.4, "movePercentileFullHistory": 64.5, "currentLevelPercentileFullHistory": 58.8, "classificationPercentile": 70.4, "label": "notable", "observations30d": 27, "observationsFullHistory": 31, "levelObservationsFullHistory": 34 } } }, { "tenor": "1M", "targetExpiry": 1792341000591, "availability": "available", "unavailableReason": null, "atmIv": { "current": 48.68, "previous": 48.85, "change": -0.17, "percentChange": -0.35 }, "rr25": { "current": 1.75, "previous": -0.28, "change": 2.03, "percentChange": 725.0 }, "bf25": { "current": 2.89, "previous": 2.58, "change": 0.31, "percentChange": 12.02 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.17, "movePercentile30d": 7.4, "movePercentileFullHistory": 12.9, "currentLevelPercentileFullHistory": 8.8, "classificationPercentile": 12.9, "label": "routine", "observations30d": 27, "observationsFullHistory": 31, "levelObservationsFullHistory": 34 }, "rr25": { "absoluteMove": 2.03, "movePercentile30d": 88.9, "movePercentileFullHistory": 90.3, "currentLevelPercentileFullHistory": 91.2, "classificationPercentile": 90.3, "label": "large", "observations30d": 27, "observationsFullHistory": 31, "levelObservationsFullHistory": 34 }, "bf25": { "absoluteMove": 0.31, "movePercentile30d": 59.3, "movePercentileFullHistory": 58.1, "currentLevelPercentileFullHistory": 52.9, "classificationPercentile": 59.3, "label": "routine", "observations30d": 27, "observationsFullHistory": 31, "levelObservationsFullHistory": 34 } } }, { "tenor": "3M", "targetExpiry": 1797611400591, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.87, "previous": 53.15, "change": -0.28, "percentChange": -0.53 }, "rr25": { "current": 1.19, "previous": 0.01, "change": 1.18, "percentChange": 11800.0 }, "bf25": { "current": 3.31, "previous": 3.23, "change": 0.08, "percentChange": 2.48 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.28, "movePercentile30d": 33.3, "movePercentileFullHistory": 35.5, "currentLevelPercentileFullHistory": 47.1, "classificationPercentile": 35.5, "label": "routine", "observations30d": 27, "observationsFullHistory": 31, "levelObservationsFullHistory": 34 }, "rr25": { "absoluteMove": 1.18, "movePercentile30d": 85.2, "movePercentileFullHistory": 80.6, "currentLevelPercentileFullHistory": 85.3, "classificationPercentile": 85.2, "label": "notable", "observations30d": 27, "observationsFullHistory": 31, "levelObservationsFullHistory": 34 }, "bf25": { "absoluteMove": 0.08, "movePercentile30d": 33.3, "movePercentileFullHistory": 35.5, "currentLevelPercentileFullHistory": 88.2, "classificationPercentile": 35.5, "label": "routine", "observations30d": 27, "observationsFullHistory": 31, "levelObservationsFullHistory": 34 } } }, { "tenor": "6M", "targetExpiry": 1805473800591, "availability": "available", "unavailableReason": null, "atmIv": { "current": 54.58, "previous": 54.34, "change": 0.24, "percentChange": 0.44 }, "rr25": { "current": 1.45, "previous": 0.77, "change": 0.68, "percentChange": 88.31 }, "bf25": { "current": 3.29, "previous": 3.25, "change": 0.04, "percentChange": 1.23 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.24, "movePercentile30d": 44.4, "movePercentileFullHistory": 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of -0.81% and making calls richer than puts at the cutoff. Ether’s two-week RR25 move ranked at the 93.5 percentile of comparable history. Ether’s 24-hour spot-index return was 5.43%, while Ether one-week ATM IV of 46.19% was 3.99 volatility points below Ether seven-day realised volatility of 50.18%, according to Derivasys data.", "days": [ { "reportDate": "2026-09-18", "headline": "Kraken reports Ethereum withdrawal delays", "summary": "Kraken reported delays affecting Ethereum Gateway ERC20 withdrawals during the observation window.", "macro": { "summary": "No qualifying macro event was retained.", "events": [] }, "crypto": { "summary": "Kraken confirmed delays affecting withdrawals through its Ethereum Gateway ERC20 service.", "events": [ { "eventId": "c0d914f9-8b87-4e9a-95a6-6f8d1bb3e7b5", "title": "Ethereum Gateway ERC20 Withdraw Delays", "publisher": "Kraken", "url": "https://status.kraken.com/incidents/nhkkfrdg21dl", "publishedAt": "2026-09-18T07:48:59+00:00" } ] } } ] }, "newsStatus": "context", "headline": "Ether options turn call-rich after sharp two-week skew move", "standfirst": "Ether two-week RR25 rose 3.29 volatility points to 2.48%, reversing from an Ether two-week RR25 reading of -0.81% and making calls richer than puts at the cutoff. Ether’s two-week RR25 move ranked at the 93.5 percentile of comparable history. Ether’s 24-hour spot-index return was 5.43%, while Ether one-week ATM IV of 46.19% was 3.99 volatility points below Ether seven-day realised volatility of 50.18%, according to Derivasys data.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "ETH", "sessionDate": "2026-09-17", "asOfTimestamp": "2026-09-17T20:00:00+00:00", "summary": "Latest completed common SPX/VIX session retrieved as of the report cutoff. The crypto-minus-SPX realised-volatility spread was 30.25 points, at the 12.4 percentile across 233 prior observations.", "regimeInsights": [ "The crypto-minus-SPX realised-volatility spread was 30.25 points, at the 12.4 percentile across 233 prior observations." ], "metrics": { "cryptoAtmIv30d": 48.39, "vix": 15.4399995803833, "vix9d": 13.39, "vix3m": 18.55, "ivSpread": 32.9500004196167, "ivRatio": 3.1340674426882797, "cryptoRealisedVol20d": 40.096696179217666, "spxRealisedVol20": 9.851683413758092, "rvSpread": 30.245012765459574, "rvRatio": 4.07003498744405, "rvSpreadPercentile": 12.446351931330472, "rvSpreadPercentileSampleCount": 233, "rvRatioPercentile": 27.896995708154506, "rvRatioPercentileSampleCount": 233, "returnCorrelation30": 0.18829146198309643, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.2342629901050473, "returnCorrelation60SampleCount": 60 }, "methodology": "Persisted Derivasys market context; crypto RV uses sqrt(365), SPX RV uses sqrt(252)." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1790353800591, "availability": "available", "unavailableReason": null, "atmIv": { "current": 46.19, "previous": 44.45, "change": 1.74, "percentChange": 3.91 }, "rr25": { "current": 1.78, "previous": -0.2, "change": 1.98, "percentChange": 990.0 }, "bf25": { "current": 2.32, "previous": 2.24, "change": 0.08, "percentChange": 3.57 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.74, "movePercentile30d": 18.5, "movePercentileFullHistory": 22.6, "currentLevelPercentileFullHistory": 35.3, "classificationPercentile": 22.6, "label": "routine", "observations30d": 27, "observationsFullHistory": 31, "levelObservationsFullHistory": 34 }, "rr25": { "absoluteMove": 1.98, "movePercentile30d": 63.0, "movePercentileFullHistory": 64.5, "currentLevelPercentileFullHistory": 79.4, "classificationPercentile": 64.5, "label": "routine", "observations30d": 27, "observationsFullHistory": 31, "levelObservationsFullHistory": 34 }, "bf25": { "absoluteMove": 0.08, "movePercentile30d": 7.4, "movePercentileFullHistory": 9.7, "currentLevelPercentileFullHistory": 17.6, "classificationPercentile": 9.7, "label": "routine", "observations30d": 27, "observationsFullHistory": 31, "levelObservationsFullHistory": 34 } } } }, { "asset": "SOL", "report": { "schemaVersion": 3, "reportDate": "2026-09-18", "generatedAt": "2026-09-18T16:31:13+00:00", "currentSnapshotAt": "2026-09-18T16:30:00+00:00", "previousSnapshotAt": "2026-09-17T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 406766, "timestamp": "2026-09-18T16:30:00+00:00" }, "previous": { "id": 396689, "timestamp": "2026-09-17T16:30:00+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 7d is incomplete: expected 10080 one-minute returns, found 10042 (99.6230% coverage); returns spanning missing minutes are excluded", "fitQuality": { "currentObjective": 0.07944312, "previousObjective": 0.01034222, "currentLiveError": 63.97154508, "previousLiveError": 12.06902682 }, "coverage": { "currentListedExpiries": 6, "previousListedExpiries": 6, "comparedListedExpiries": 5, "addedExpiries": [ "20SEP26" ], "removedExpiries": [ "18SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M" ], "suppressedFixedTenors": [ "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Solana’s one-month convexity reset leads the options read", "executiveSummary": "Solana’s standout move was a sharp reduction in one-month BF25, indicating lower priced convexity away from the centre of the options surface. That reset sat alongside a strongly positive two-week RR25, where call-side volatility remained richer than put-side volatility.", "evidenceIds": [ "bf25", "rr25" ], "newsSummary": "CoinDesk reported faster Solana blocks while transaction capacity remained unchanged.", "marketContextSummary": "The Solana technical report is relevant context, but the available evidence does not establish that it caused the one-month convexity repricing.", "marketContext": [ { "title": "Solana technical update", "explanation": "The reported block-speed change occurred within the window, but no measured Solana options reaction links it directly to the one-month BF25 decline.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "bf25" ], "newsEvidenceIds": [ "c5587fad-bf9d-4f96-b7b6-4a4ebca57cf9" ] } ], "newsEvidenceIds": [ "c5587fad-bf9d-4f96-b7b6-4a4ebca57cf9" ], "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -0.47 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the surface data does not establish a causal relationship.", "primary_article": { "id": "c5587fad-bf9d-4f96-b7b6-4a4ebca57cf9", "sourceId": "coindesk", "publisher": "CoinDesk", "title": "Solana speeds up blocks by 17%, but transaction capacity stays the same", "url": "https://www.coindesk.com/tech/2026/09/18/solana-speeds-up-blocks-by-17-but-transaction-capacity-stays-the-same", "publishedAt": "2026-09-18T06:16:57+00:00", "summary": "Solana speeds up blocks by 17%, but transaction capacity stays the same.", "matchedTerms": [ "SOL", "Solana" ], "topics": [ "market", "other" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 35, "quality": { "eligible": true, "score": 34.8, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.6125, "signals": { "confidence": 0.53, "importance": 0.39, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.6125, "effectiveSourceQuality": 0.6125, "catalystScore": 0.076, "effectiveCatalystScore": 0.076, "contentKind": "reporting", "status": "developing" }, "thresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "policy": "source-backed-context-v1", "role": "context", "attributionRequired": true }, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 25SEP26: +10.49 USD (+10.36%) to 111.70 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 25SEP26: +10.49 USD (+10.36%) to 111.70 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "c5587fad-bf9d-4f96-b7b6-4a4ebca57cf9", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 25SEP26: +10.49 USD (+10.36%) to 111.70 USD", "ATM IV 1M: down 2.13 points to 52.69%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 25SEP26: +10.49 USD (+10.36%) to 111.70 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-6facae77d17f" }, "additional_coverage": [] } ] }, "newsContext": { "outcome": "Relevant context found; no confirmed catalyst", "highest_causal_confidence": "low", "section_heading": "Relevant market event", "events": [ { "event_cluster_id": "market-event-6facae77d17f", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 25SEP26: +10.49 USD (+10.36%) to 111.70 USD", "ATM IV 1M: down 2.13 points to 52.69%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 25SEP26: +10.49 USD (+10.36%) to 111.70 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "c5587fad-bf9d-4f96-b7b6-4a4ebca57cf9", "sourceId": "coindesk", "publisher": "CoinDesk", "title": "Solana speeds up blocks by 17%, but transaction capacity stays the same", "url": "https://www.coindesk.com/tech/2026/09/18/solana-speeds-up-blocks-by-17-but-transaction-capacity-stays-the-same", "publishedAt": "2026-09-18T06:16:57+00:00", "summary": "Solana speeds up blocks by 17%, but transaction capacity stays the same.", "matchedTerms": [ "SOL", "Solana" ], "topics": [ "market", "other" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 35, "quality": { "eligible": true, "score": 34.8, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.6125, "signals": { "confidence": 0.53, "importance": 0.39, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.6125, "effectiveSourceQuality": 0.6125, "catalystScore": 0.076, "effectiveCatalystScore": 0.076, "contentKind": "reporting", "status": "developing" }, "thresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "policy": "source-backed-context-v1", "role": "context", "attributionRequired": true }, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 25SEP26: +10.49 USD (+10.36%) to 111.70 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 25SEP26: +10.49 USD (+10.36%) to 111.70 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "c5587fad-bf9d-4f96-b7b6-4a4ebca57cf9", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 25SEP26: +10.49 USD (+10.36%) to 111.70 USD", "ATM IV 1M: down 2.13 points to 52.69%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 25SEP26: +10.49 USD (+10.36%) to 111.70 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-6facae77d17f" }, "additional_coverage": [] } ], "coverage_status": "healthy", "coverage_basis": "monitored-source-search" }, "marketRead": { "text": "1M ATM IV fell 2.13 volatility points to 52.69%, a notable move at the 71st percentile among 21 comparable historical observations. Front-end ATM IV averaged 51.78%, -0.47 points from the prior snapshot. Long-dated fixed tenors were suppressed because listed expiries did not bracket them. 2W RR25 moved 2.05 volatility points toward calls to 5.09%, leaving calls richer than puts. 1M BF25 fell 1.03 volatility points to 3.69%. The nearest eligible forward, 25SEP26, rose $10.49 (+10.36%) to $111.70. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.", "wordCount": 91, "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 decreased, averaging -0.47 volatility points to 51.78% 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 moved towards calls, averaging +0.60 volatility points to 3.91% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.52 volatility points to 4.12% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -2.13 volatility points at 1M, to 52.69%.", "tenor": "1M", "value": -2.13 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -0.79, "rr25Change": 0.6, "bf25Change": -0.52, "largestAtmMove": { "tenor": "1M", "current": 52.69, "previous": 54.82, "change": -2.13, "historicalSignificance": { "absoluteMove": 2.13, "movePercentile30d": 71.4, "movePercentileFullHistory": 71.4, "currentLevelPercentileFullHistory": 50.0, "classificationPercentile": 71.4, "label": "notable", "observations30d": 21, "observationsFullHistory": 21, "levelObservationsFullHistory": 22 } }, "frontEndAverageAtm": { "current": 51.78, "previous": 52.25, "change": -0.47 }, "longEndAverageAtm": { "current": null, "previous": null, "change": null }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "2W", "current": 5.09, "previous": 3.04, "change": 2.05, "historicalSignificance": { "absoluteMove": 2.05, "movePercentile30d": 52.4, "movePercentileFullHistory": 52.4, "currentLevelPercentileFullHistory": 100.0, "classificationPercentile": 52.4, "label": "routine", "observations30d": 21, "observationsFullHistory": 21, "levelObservationsFullHistory": 22 }, "direction": "toward calls", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "1M", "current": 3.69, "previous": 4.72, "change": -1.03, "historicalSignificance": { "absoluteMove": 1.03, "movePercentile30d": 95.2, "movePercentileFullHistory": 95.2, "currentLevelPercentileFullHistory": 9.1, "classificationPercentile": 95.2, "label": "large", "observations30d": 21, "observationsFullHistory": 21, "levelObservationsFullHistory": 22 } }, "nearestEligibleForwardMove": { "label": "25SEP26", "daysToExpiry": 6.646, "current": 111.7, "previous": 101.21, "change": 10.49, "percentChange": 10.36 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1790353800100, "availability": "available", "unavailableReason": null, "atmIv": { "current": 50.69, "previous": 49.9, "change": 0.79, "percentChange": 1.58 }, "rr25": { "current": 4.01, "previous": 3.98, "change": 0.03, "percentChange": 0.75 }, "bf25": { "current": 3.81, "previous": 4.42, "change": -0.61, "percentChange": -13.8 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.79, "movePercentile30d": 19.0, "movePercentileFullHistory": 19.0, "currentLevelPercentileFullHistory": 18.2, "classificationPercentile": 19.0, "label": "routine", "observations30d": 21, "observationsFullHistory": 21, "levelObservationsFullHistory": 22 }, "rr25": { "absoluteMove": 0.03, "movePercentile30d": 0.0, "movePercentileFullHistory": 0.0, "currentLevelPercentileFullHistory": 81.8, "classificationPercentile": 0.0, "label": "routine", "observations30d": 21, "observationsFullHistory": 21, "levelObservationsFullHistory": 22 }, "bf25": { "absoluteMove": 0.61, "movePercentile30d": 66.7, "movePercentileFullHistory": 66.7, "currentLevelPercentileFullHistory": 31.8, "classificationPercentile": 66.7, "label": "routine", "observations30d": 21, "observationsFullHistory": 21, "levelObservationsFullHistory": 22 } } }, { "tenor": "2W", "targetExpiry": 1790958600100, "availability": "available", "unavailableReason": null, "atmIv": { "current": 51.97, "previous": 52.04, "change": -0.07, "percentChange": -0.13 }, "rr25": { "current": 5.09, "previous": 3.04, "change": 2.05, "percentChange": 67.43 }, "bf25": { "current": 3.71, "previous": 4.36, "change": -0.65, "percentChange": -14.91 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.07, "movePercentile30d": 9.5, "movePercentileFullHistory": 9.5, "currentLevelPercentileFullHistory": 36.4, "classificationPercentile": 9.5, "label": "routine", "observations30d": 21, "observationsFullHistory": 21, "levelObservationsFullHistory": 22 }, "rr25": { "absoluteMove": 2.05, "movePercentile30d": 52.4, "movePercentileFullHistory": 52.4, "currentLevelPercentileFullHistory": 100.0, "classificationPercentile": 52.4, "label": "routine", "observations30d": 21, "observationsFullHistory": 21, "levelObservationsFullHistory": 22 }, "bf25": { "absoluteMove": 0.65, "movePercentile30d": 76.2, "movePercentileFullHistory": 76.2, "currentLevelPercentileFullHistory": 18.2, "classificationPercentile": 76.2, "label": "notable", "observations30d": 21, "observationsFullHistory": 21, "levelObservationsFullHistory": 22 } } }, { "tenor": "1M", "targetExpiry": 1792341000100, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.69, "previous": 54.82, "change": -2.13, "percentChange": -3.89 }, "rr25": { "current": 3.13, "previous": 3.32, "change": -0.19, "percentChange": -5.72 }, "bf25": { "current": 3.69, "previous": 4.72, "change": -1.03, "percentChange": -21.82 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.13, "movePercentile30d": 71.4, "movePercentileFullHistory": 71.4, "currentLevelPercentileFullHistory": 50.0, "classificationPercentile": 71.4, "label": "notable", "observations30d": 21, "observationsFullHistory": 21, "levelObservationsFullHistory": 22 }, "rr25": { "absoluteMove": 0.19, "movePercentile30d": 14.3, "movePercentileFullHistory": 14.3, "currentLevelPercentileFullHistory": 68.2, "classificationPercentile": 14.3, "label": "routine", "observations30d": 21, "observationsFullHistory": 21, "levelObservationsFullHistory": 22 }, "bf25": { "absoluteMove": 1.03, "movePercentile30d": 95.2, "movePercentileFullHistory": 95.2, "currentLevelPercentileFullHistory": 9.1, "classificationPercentile": 95.2, "label": "large", "observations30d": 21, "observationsFullHistory": 21, "levelObservationsFullHistory": 22 } } }, { "tenor": "3M", "targetExpiry": 1797611400100, "availability": "available", "unavailableReason": null, "atmIv": { "current": 54.03, "previous": 55.77, "change": -1.74, "percentChange": -3.12 }, "rr25": { "current": 3.4, "previous": 2.89, "change": 0.51, "percentChange": 17.65 }, "bf25": { "current": 5.28, "previous": 5.07, "change": 0.21, "percentChange": 4.14 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.74, "movePercentile30d": 71.4, "movePercentileFullHistory": 71.4, "currentLevelPercentileFullHistory": 63.6, "classificationPercentile": 71.4, "label": "notable", "observations30d": 21, "observationsFullHistory": 21, "levelObservationsFullHistory": 22 }, "rr25": { "absoluteMove": 0.51, "movePercentile30d": 23.8, "movePercentileFullHistory": 23.8, "currentLevelPercentileFullHistory": 77.3, "classificationPercentile": 23.8, "label": "routine", "observations30d": 21, "observationsFullHistory": 21, "levelObservationsFullHistory": 22 }, "bf25": { "absoluteMove": 0.21, "movePercentile30d": 47.6, "movePercentileFullHistory": 47.6, "currentLevelPercentileFullHistory": 68.2, 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One-month ATM IV fell 2.13 volatility points to 52.69%, according to Derivasys data; realised-volatility comparisons were unavailable.", "days": [ { "reportDate": "2026-09-18", "headline": "Solana block-speed report offers market context", "summary": "CoinDesk reported that Solana sped up blocks while transaction capacity remained unchanged.", "macro": { "summary": "No qualifying macro event was retained.", "events": [] }, "crypto": { "summary": "CoinDesk reported faster Solana blocks while transaction capacity remained unchanged.", "events": [ { "eventId": "c5587fad-bf9d-4f96-b7b6-4a4ebca57cf9", "title": "Solana speeds up blocks by 17%, but transaction capacity stays the same", "publisher": "CoinDesk", "url": "https://www.coindesk.com/tech/2026/09/18/solana-speeds-up-blocks-by-17-but-transaction-capacity-stays-the-same", "publishedAt": "2026-09-18T06:16:57+00:00" } ] } } ] }, "newsStatus": "context", "headline": "Solana options reprice convexity lower as call skew persists", "standfirst": "Solana one-month BF25 fell 1.03 volatility points to 3.69%, a large convexity repricing at the 95.2 percentile of comparable history. Separately, Solana two-week RR25 rose 2.05 volatility points to 5.09%, leaving calls materially richer than puts. One-month ATM IV fell 2.13 volatility points to 52.69%, according to Derivasys data; realised-volatility comparisons were unavailable.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "SOL", "sessionDate": "2026-09-17", "asOfTimestamp": "2026-09-17T20:00:00+00:00", "summary": "Latest completed common SPX/VIX session retrieved as of the report cutoff. The crypto-minus-SPX realised-volatility spread was 38.48 points, at the 25.7 percentile across 230 prior observations. The 60-session crypto-SPX return correlation was 0.30 from 60 aligned observations.", "regimeInsights": [ "The crypto-minus-SPX realised-volatility spread was 38.48 points, at the 25.7 percentile across 230 prior observations.", "The 60-session crypto-SPX return correlation was 0.30 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 51.6, "vix": 15.4399995803833, "vix9d": 13.39, "vix3m": 18.55, "ivSpread": 36.1600004196167, "ivRatio": 3.341969002742617, "cryptoRealisedVol20d": 48.33067881631948, "spxRealisedVol20": 9.851683413758092, "rvSpread": 38.47899540256138, "rvRatio": 4.905829469593453, "rvSpreadPercentile": 25.652173913043477, "rvSpreadPercentileSampleCount": 230, "rvRatioPercentile": 33.47826086956522, "rvRatioPercentileSampleCount": 230, "returnCorrelation30": 0.41233881901288066, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.2991773852121689, "returnCorrelation60SampleCount": 60 }, "methodology": "Persisted Derivasys market context; crypto RV uses sqrt(365), SPX RV uses sqrt(252)." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1790353800100, "availability": "available", "unavailableReason": null, "atmIv": { "current": 50.69, "previous": 49.9, "change": 0.79, "percentChange": 1.58 }, "rr25": { "current": 4.01, "previous": 3.98, "change": 0.03, "percentChange": 0.75 }, "bf25": { "current": 3.81, "previous": 4.42, "change": -0.61, "percentChange": -13.8 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.79, "movePercentile30d": 19.0, "movePercentileFullHistory": 19.0, "currentLevelPercentileFullHistory": 18.2, "classificationPercentile": 19.0, "label": "routine", "observations30d": 21, "observationsFullHistory": 21, "levelObservationsFullHistory": 22 }, "rr25": { "absoluteMove": 0.03, "movePercentile30d": 0.0, "movePercentileFullHistory": 0.0, "currentLevelPercentileFullHistory": 81.8, "classificationPercentile": 0.0, "label": "routine", "observations30d": 21, "observationsFullHistory": 21, "levelObservationsFullHistory": 22 }, "bf25": { "absoluteMove": 0.61, "movePercentile30d": 66.7, "movePercentileFullHistory": 66.7, "currentLevelPercentileFullHistory": 31.8, "classificationPercentile": 66.7, "label": "routine", "observations30d": 21, "observationsFullHistory": 21, "levelObservationsFullHistory": 22 } } } } ], "crossAssetAnalysis": { "schemaVersion": 1, "purpose": "Explain what is happening between BTC, ETH and SOL, not recap the component reports.", "returnMetric": { "key": "spotPerformance24h", "source": "spotMove24hPercent", "label": "24h spot-index return", "unit": "percent" }, "assets": [ "BTC", "ETH", "SOL" ], "comparableAssets": [ "BTC", "ETH", "SOL" ], "oneWeek": { "atmIvLevel": { "leader": "SOL", "laggard": "BTC", "highest": 50.69, "lowest": 32.05, "spread": 18.64, "highestToLowestRatio": 1.5816, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 50.69, "values": [ { "asset": "BTC", "value": 32.05 }, { "asset": "ETH", "value": 46.19 }, { "asset": "SOL", "value": 50.69 } ], "previousSpread": 20.31, "spreadChange": -1.67, "dispersionDirection": "compressing" }, "atmIvChange": { "leader": "BTC", "laggard": "SOL", "highest": 2.46, "lowest": 0.79, "spread": 1.67, "highestToLowestRatio": 3.1139, "largestAbsoluteMoveAsset": "BTC", "largestAbsoluteMoveValue": 2.46, "values": [ { "asset": "BTC", "value": 2.46 }, { "asset": "ETH", "value": 1.74 }, { "asset": "SOL", "value": 0.79 } ] }, "rr25Level": { "leader": "SOL", "laggard": "BTC", "highest": 4.01, "lowest": 0.62, "spread": 3.39, "highestToLowestRatio": 6.4677, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 4.01, "values": [ { "asset": "BTC", "value": 0.62 }, { "asset": "ETH", "value": 1.78 }, { "asset": "SOL", "value": 4.01 } ], "previousSpread": 4.18, "spreadChange": -0.79, "dispersionDirection": "compressing" }, "rr25Change": { "leader": "ETH", "laggard": "SOL", "highest": 1.98, "lowest": 0.03, "spread": 1.95, "highestToLowestRatio": 66.0, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 1.98, "values": [ { "asset": "BTC", "value": 0.73 }, { "asset": "ETH", "value": 1.98 }, { "asset": "SOL", "value": 0.03 } ] } }, "relativeVolatilityLeader": { "asset": "BTC", "metric": "absolute 1W ATM IV change", "value": 2.46 }, "termStructure": { "definition": "1Y minus 1W ATM IV, in volatility points", "currentSlope": { "leader": null, "laggard": null, "highest": null, "lowest": null, "spread": null, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": null, "largestAbsoluteMoveValue": null, "values": [ { "asset": "BTC", "value": null }, { "asset": "ETH", "value": null }, { "asset": "SOL", "value": null } ], "previousSpread": null, "spreadChange": null, "dispersionDirection": "unavailable" }, "slopeChange": { "leader": null, "laggard": null, "highest": null, "lowest": null, "spread": null, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": null, "largestAbsoluteMoveValue": null, "values": [ { "asset": "BTC", "value": null }, { "asset": "ETH", "value": null }, { "asset": "SOL", "value": null } ] } }, "relativeValue": { "ivMinusRealised7d": { "leader": "BTC", "laggard": "ETH", "highest": -3.54, "lowest": -3.99, "spread": 0.45, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": -3.99, "values": [ { "asset": "BTC", "value": -3.54 }, { "asset": "ETH", "value": -3.99 }, { "asset": "SOL", "value": null } ] }, "spotPerformance24h": { "leader": "BTC", "laggard": "ETH", "highest": 5.73, "lowest": 5.43, "spread": 0.3, "highestToLowestRatio": 1.0552, "largestAbsoluteMoveAsset": "BTC", "largestAbsoluteMoveValue": 5.73, "values": [ { "asset": "BTC", "value": 5.73 }, { "asset": "ETH", "value": 5.43 }, { "asset": "SOL", "value": null } ] } }, "rankings": { "oneWeekAtmIvLevel": [ { "rank": 1, "asset": "SOL", "value": 50.69, "previousRank": 1, "rankChange": 0 }, { "rank": 2, "asset": "ETH", "value": 46.19, "previousRank": 2, "rankChange": 0 }, { "rank": 3, "asset": "BTC", "value": 32.05, "previousRank": 3, "rankChange": 0 } ], "oneWeekAtmIvChange": [ { "rank": 1, "asset": "BTC", "value": 2.46, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "ETH", "value": 1.74, "previousRank": null, "rankChange": null }, { "rank": 3, "asset": "SOL", "value": 0.79, "previousRank": null, "rankChange": null } ], "oneWeekAtmIvAbsoluteMove": [ { "rank": 1, "asset": "BTC", "value": 2.46, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "ETH", "value": 1.74, "previousRank": null, "rankChange": null }, { "rank": 3, "asset": "SOL", "value": 0.79, "previousRank": null, "rankChange": null } ], "ivMinusRealised7d": [ { "rank": 1, "asset": "BTC", "value": -3.54, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "ETH", "value": -3.99, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "SOL", "value": null, "previousRank": null, "rankChange": null } ], "oneWeekRr25CallRichness": [ { "rank": 1, "asset": "SOL", "value": 4.01, "previousRank": 1, "rankChange": 0 }, { "rank": 2, "asset": "ETH", "value": 1.78, "previousRank": 3, "rankChange": 1 }, { "rank": 3, "asset": "BTC", "value": 0.62, "previousRank": 2, "rankChange": -1 } ], "oneWeekRr25PutRichness": [ { "rank": 1, "asset": "BTC", "value": 0.62, "previousRank": 2, "rankChange": 1 }, { "rank": 2, "asset": "ETH", "value": 1.78, "previousRank": 1, "rankChange": -1 }, { "rank": 3, "asset": "SOL", "value": 4.01, "previousRank": 3, "rankChange": 0 } ], "termStructureSlope": [ { "rank": null, "asset": "BTC", "value": null, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "ETH", "value": null, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "SOL", "value": null, "previousRank": null, "rankChange": null } ], "termStructureSlopeChange": [ { "rank": null, "asset": "BTC", "value": null, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "ETH", "value": null, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "SOL", "value": null, "previousRank": null, "rankChange": null } ], "spotPerformance24h": [ { "rank": 1, "asset": "BTC", "value": 5.73, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "ETH", "value": 5.43, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "SOL", "value": null, "previousRank": null, "rankChange": null } ] }, "outliers": [ { "metric": "1W ATM IV change", "asset": "SOL", "value": 0.79, "groupMedian": 1.74, "distanceFromMedian": -0.95 }, { "metric": "1W ATM IV level", "asset": "BTC", "value": 32.05, "groupMedian": 46.19, "distanceFromMedian": -14.14 }, { "metric": "1W RR25 level", "asset": "SOL", "value": 4.01, "groupMedian": 1.78, "distanceFromMedian": 2.23 } ], "relativeValueObservation": { "richestAsset": "BTC", "cheapestAsset": "ETH", "spread": 0.45, "metric": "1W ATM IV minus 7D realised volatility", "interpretation": "BTC screens richest and ETH cheapest on one-week implied volatility versus seven-day realised volatility, with a 0.45-point cross-sectional range." }, "historicalContext": { "minimumObservations": 20, "observations": 20, "oneWeekAtmIvLevelDispersionPercentile": 65.0, "oneWeekAtmIvChangeDispersionPercentile": 20.0, "oneWeekRr25LevelDispersionPercentile": 70.0, "termStructureDispersionPercentile": null, "ivMinusRealisedDispersionPercentile": 25.0, "availabilityNote": null }, "correlations": { "metric": "spotMove24hPercent", "minimumObservations": 10, "lookbackObservations": 30, "pairs": [ { "assets": [ "BTC", "ETH" ], "value": 0.8769, "observations": 21 }, { "assets": [ "BTC", "SOL" ], "value": null, "observations": 7 }, { "assets": [ "ETH", "SOL" ], "value": null, "observations": 7 } ], "availabilityNote": "Pair correlations require 10 aligned prior reports." }, "evidence": [ { "id": "majors-cross-1w-atm-change-dispersion", "metric": "1W ATM IV change dispersion", "unit": "volatility points", "leader": "BTC", "laggard": "SOL", "highest": 2.46, "lowest": 0.79, "spread": 1.67, "highestToLowestRatio": 3.1139, "largestAbsoluteMoveAsset": "BTC", "largestAbsoluteMoveValue": 2.46, "values": [ { "asset": "BTC", "value": 2.46 }, { "asset": "ETH", "value": 1.74 }, { "asset": "SOL", "value": 0.79 } ] }, { "id": "majors-cross-1w-atm-level-dispersion", "metric": "1W ATM IV level dispersion", "unit": "volatility points", "leader": "SOL", "laggard": "BTC", "highest": 50.69, "lowest": 32.05, "spread": 18.64, "highestToLowestRatio": 1.5816, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 50.69, "values": [ { "asset": "BTC", "value": 32.05 }, { "asset": "ETH", "value": 46.19 }, { "asset": "SOL", "value": 50.69 } ], "previousSpread": 20.31, "spreadChange": -1.67, "dispersionDirection": "compressing" }, { "id": "majors-cross-1w-rr25-dispersion", "metric": "1W RR25 level dispersion", "unit": "volatility points", "leader": "SOL", "laggard": "BTC", "highest": 4.01, "lowest": 0.62, "spread": 3.39, "highestToLowestRatio": 6.4677, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 4.01, "values": [ { "asset": "BTC", "value": 0.62 }, { "asset": "ETH", "value": 1.78 }, { "asset": "SOL", "value": 4.01 } ], "previousSpread": 4.18, "spreadChange": -0.79, "dispersionDirection": "compressing" }, { "id": "majors-cross-term-structure-divergence", "metric": "1Y minus 1W ATM IV slope dispersion", "unit": "volatility points", "leader": null, "laggard": null, "highest": null, "lowest": null, "spread": null, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": null, "largestAbsoluteMoveValue": null, "values": [ { "asset": "BTC", "value": null }, { "asset": "ETH", "value": null }, { "asset": "SOL", "value": null } ], "previousSpread": null, "spreadChange": null, "dispersionDirection": "unavailable" }, { "id": "majors-cross-iv-minus-realised-dispersion", "metric": "1W IV minus 7D realised volatility dispersion", "unit": "volatility points", "leader": "BTC", "laggard": "ETH", "highest": -3.54, "lowest": -3.99, "spread": 0.45, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": -3.99, "values": [ { "asset": "BTC", "value": -3.54 }, { "asset": "ETH", "value": -3.99 }, { "asset": "SOL", "value": null } ] }, { "id": "majors-cross-spot-performance", "metric": "24H spot performance dispersion", "unit": "percentage points", "leader": "BTC", "laggard": "ETH", "highest": 5.73, "lowest": 5.43, "spread": 0.3, "highestToLowestRatio": 1.0552, "largestAbsoluteMoveAsset": "BTC", "largestAbsoluteMoveValue": 5.73, "values": [ { "asset": "BTC", "value": 5.73 }, { "asset": "ETH", "value": 5.43 }, { "asset": "SOL", "value": null } ] }, { "id": "majors-cross-term-structure-change", "metric": "1Y minus 1W ATM IV slope change dispersion", "unit": "volatility points", "leader": null, "laggard": null, "highest": null, "lowest": null, "spread": null, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": null, "largestAbsoluteMoveValue": null, "values": [ { "asset": "BTC", "value": null }, { "asset": "ETH", "value": null }, { "asset": "SOL", "value": null } ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-18T16:30:00+00:00", "window": { "startAt": "2026-09-17T16:30:00+00:00", "endAt": "2026-09-18T16:30:00+00:00", "endExclusive": true }, "headline": "Major-coin options narrow volatility gap while Solana retains premium", "standfirst": "One-week ATM IV dispersion between Solana and Bitcoin narrowed 1.67 volatility points to 18.64 points at the cutoff. Solana’s one-week ATM IV was 50.69%, versus Bitcoin’s 32.05%, while Ether’s one-week ATM IV was 46.19%. The compression coincided with Bitcoin’s one-week ATM IV rising 2.46 volatility points, compared with a 0.79-point rise in Solana’s one-week ATM IV.", "days": [ { "reportDate": "2026-09-18", "headline": "Major coins rally amid regulatory backdrop", "summary": "Bitcoin, Solana and Hyperliquid rose as US regulators advanced crypto-related rulemaking, The Block reported.", "macro": { "summary": "US regulators’ crypto-related rulemaking provided a shared policy backdrop for major coins.", "events": [] }, "crypto": { "summary": "No separate qualifying crypto event was retained.", "events": [ { "eventId": "6136ef06-64a4-464e-bd00-e11c0dacd76e", "title": "Bitcoin reclaims $80,000, Solana and Hyperliquid rally as crypto markets shrug off Clarity setback", "publisher": "The Block", "url": "https://www.theblock.co/news/markets/2026-09-18-bitcoin-reclaims-80000-solana-hyperliquid-rally-crypto-markets-shrug-off-clarity-setback-415523", "publishedAt": "2026-09-18T15:27:41+00:00" } ] } } ] }, "summaryMetrics": { "basis": "Equal-weight average across BTC, ETH and SOL headline metrics", "unit": "volatility points", "atmIvChange": 0.11666666666666664, "rr25Change": 1.07, "bf25Change": -0.07 }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Solana’s volatility premium persists despite compression", "executiveSummary": "The major-coin complex became less dispersed at one week, but Solana preserved a substantial implied-volatility premium over Bitcoin. Skew dispersion also narrowed, with Solana retaining the most call-rich one-week RR25 and Bitcoin the least call-rich positive reading.", "evidenceIds": [ "majors-cross-1w-atm-level-dispersion", "majors-cross-1w-rr25-dispersion" ], "newsSummary": "The Block reported that Bitcoin, Solana and Hyperliquid rallied as the SEC and CFTC advanced crypto-related rulemaking despite the Clarity Act’s Senate setback.", "marketContextSummary": "The broad market report is relevant shared context, but it does not demonstrate a direct explanation for the narrowing major-coin volatility gap.", "marketContext": [ { "title": "Shared regulatory backdrop", "explanation": "The retained report covers Bitcoin and Solana, yet no measured reaction ties it directly to the one-week ATM IV dispersion narrowing between the two assets.", "relationship": "no-clear-link", "confidence": "low", "surface_evidence_ids": [ "majors-cross-1w-atm-level-dispersion" ], "news_evidence_ids": [ "6136ef06-64a4-464e-bd00-e11c0dacd76e" ] } ], "newsEvidenceIds": [ "6136ef06-64a4-464e-bd00-e11c0dacd76e" ] } }