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\"\" DERIVASYS

Focused research note

SOL RR25 turns marginally negative at middle tenors

SOL’s skew adjustment split by maturity: 2M and 3M RR25 crossed into marginally negative territory while nearer-tenor asymmetry improved. Butterfly premiums narrowed across maturities, and easing ATM volatility left the front curve inverted. The evidence describes a rotation in relative protection pricing, rather than uniform deterioration across the options surface.

Derivasys Research

Report date07 Nov 2026
Current snapshot07 Nov 2026 · 17:31 UTC
CoverageSOL
Comparison snapshot06 Nov 2026 · 17:31 UTC

The reading

What the evidence says

SOL’s middle-tenor options shifted toward downside asymmetry while nearer maturities showed relief. RR25 measures call-versus-put implied-volatility asymmetry: 2M RR25 changed by -1.09 vol points [1] to -0.72 vol points [2], and 3M RR25 changed by -1.09 vol points [3] to -0.44 vol points [4]. These were crossings from positive levels into a shallow downside bias. By contrast, 1W RR25 changed by +0.14 vol points [5] to -4.08 vol points [6], while 2W RR25 changed by +0.10 vol points [7] to -2.66 vol points [8]. Nearer-tenor relief therefore left their existing negative asymmetry intact. Meanwhile, 1M RR25 changed by -0.95 vol points [9], deepening its existing downside bias rather than reintroducing it.

The 2M RR25 adjustment had a full-captured-history absolute-move percentile of 76.2nd percentile [10], within 42 observations (observed sampling; 08 Sep 2026–06 Nov 2026) [10]. That places the magnitude in context without making the tenor split itself historically unusual. Butterfly premiums also narrowed beyond the front. BF25 measures average wing IV premium over ATM: 2M BF25 changed by -0.36 vol points [11], 2W BF25 changed by -0.19 vol points [12] to 1.48 vol points [13], and 1M BF25 changed by -0.21 vol points [14]. The 3M BF25 change of -0.32 vol points [15] reinforces that the narrowing was not confined to nearer maturities. Symmetric butterfly compression can coexist with the more negative 1M, 2M and 3M RR25 readings; it does not establish directional relief.

ATM, or at-the-money, implied volatility eased alongside the skew rotation. SOL 1W ATM IV changed by -1.06 vol points [16] to 56.18% [17], while 1M ATM IV changed by -1.11 vol points [18] to 54.39% [19]. The higher 1W level relative to 1M leaves the front curve inverted despite easing at these maturities. The 2W ATM IV change of -1.93 vol points [20] further rules out describing the volatility decline as confined to 1W. More negative middle-tenor RR25 thus accompanied lower ATM volatility, separating relative call-put pricing from the overall volatility level.

SOL spot changed by -0.61% [21] over the aligned daily comparison. Trailing realized volatility was 58.66% [22], recomputed from canonical minute returns over the trailing weekly window. Forward 1W ATM IV minus that trailing realized measure stood at -2.48 vol points [23]. The negative spread qualifies the easing in 1W implied volatility, but does not establish cheap options or predict subsequent realized volatility. The central watch is whether marginally negative 2M and 3M RR25 deepen while 1W and 2W RR25 continue improving; supporting watches are whether 1M butterfly compression continues and whether the 1W-to-1M ATM inversion remains.

Qualifications and limits

  • The surface comparison uses aligned daily endpoints. Historical ranks cover eligible observed changes in the stated captured sample, with gaps and selection retained; they do not establish population rarity or joint significance. Comparable 3M history could not be ranked.
  • RR25 and BF25 describe relative implied-volatility pricing, not investor flows or positioning. The endpoint changes do not identify their cause.
  • Forward 1W implied volatility and trailing weekly realized volatility cover different periods. Their spread is descriptive and does not establish a forecast or trading edge.

Verified market snapshot

Current levels and changes over each recorded native interval. Only receipt-matched quotes are shown; an em dash marks a missing matching quote.
Asset · tenorATM IVATM IV changeRR25RR25 changeBF25 change
SOL · 1W56.18 %[17]-1.06 vol pts[16]-4.08 vol pts[6]0.14 vol pts[5]-0.18 vol pts[24]
SOL · 2W54.77 %[25]-1.93 vol pts[20]-2.66 vol pts[8]0.10 vol pts[7]-0.19 vol pts[12]
SOL · 1M54.39 %[19]-1.11 vol pts[18]-1.35 vol pts[26]-0.95 vol pts[9]-0.21 vol pts[14]
SOL · 2M54.53 %[27]-0.81 vol pts[28]-0.72 vol pts[2]-1.09 vol pts[1]-0.36 vol pts[11]
SOL · 3M54.45 %[29]-0.94 vol pts[30]-0.44 vol pts[4]-1.09 vol pts[3]-0.32 vol pts[15]

Weekly versus monthly curve

Matched native endpoints; inverted means monthly ATM IV is below weekly ATM IV. Regimes compare verified levels; no numerical slope is inferred.
AssetPrior 1WPrior 1MCurrent 1WCurrent 1MCurve regime
SOL57.24 % [31]55.50 % [32]56.18 % [17]54.39 % [19]Remained inverted
Recent ATM curve history

One-month minus one-week at-the-money implied volatility. Negative values mean an inverted curve. Each row retains its native observation time; missing days are not filled.

AssetNative observation (UTC)1M minus 1W ATM IV
SOL2026-11-07T17:31:00+00:00-1.79 vol pts [33]
SOL2026-11-06T17:31:00+00:00-1.74 vol pts [34]
SOL2026-11-05T17:31:00+00:00-7.77 vol pts [35]
SOL2026-11-04T17:31:00+00:00+2.75 vol pts [36]

SOL RR25 curve

SOL RR25 curve0.65 vol pts-0.57 vol pts-1.79 vol pts-3.00 vol pts-4.22 vol pts1W2W1M2M3M1W · Current · 07 Nov 2026 · 17:31 UTC: -4.08 vol pts2W · Current · 07 Nov 2026 · 17:31 UTC: -2.66 vol pts1M · Current · 07 Nov 2026 · 17:31 UTC: -1.35 vol pts2M · Current · 07 Nov 2026 · 17:31 UTC: -0.72 vol pts3M · Current · 07 Nov 2026 · 17:31 UTC: -0.44 vol pts1W · Comparison · 06 Nov 2026 · 17:31 UTC: -4.22 vol pts2W · Comparison · 06 Nov 2026 · 17:31 UTC: -2.76 vol pts1M · Comparison · 06 Nov 2026 · 17:31 UTC: -0.40 vol pts2M · Comparison · 06 Nov 2026 · 17:31 UTC: 0.37 vol pts3M · Comparison · 06 Nov 2026 · 17:31 UTC: 0.65 vol pts
Current · 07 Nov 2026 · 17:31 UTC · Comparison · 06 Nov 2026 · 17:31 UTC. Tenors are equally spaced categories, not elapsed time. Gaps remain unconnected.

Figure sources: [37] [38] [39] [40] [41]

SOL: size of daily changes in the 2-month call-minus-put volatility premium (RR25)

SOL: size of daily changes in the 2-month call-minus-put volatility premium (RR25)2.69 vol pts2.03 vol pts1.38 vol pts0.72 vol pts0.06 vol pts2026-10-06T17:31:00+00:00: 0.06 vol pts2026-09-20T17:31:00+00:00: 0.07 vol pts2026-10-03T17:31:00+00:00: 0.09 vol pts2026-09-09T17:31:00+00:00: 0.11 vol pts2026-10-19T17:31:00+00:00: 0.11 vol pts2026-10-02T17:31:00+00:00: 0.13 vol pts2026-10-22T17:31:00+00:00: 0.14 vol pts2026-09-14T17:31:00+00:00: 0.19 vol pts2026-09-27T17:31:00+00:00: 0.20 vol pts2026-09-16T17:31:00+00:00: 0.28 vol pts2026-10-15T17:31:00+00:00: 0.29 vol pts2026-10-05T17:31:00+00:00: 0.30 vol pts2026-10-24T17:31:00+00:00: 0.31 vol pts2026-09-08T17:31:00+00:00: 0.38 vol pts2026-10-13T17:31:00+00:00: 0.45 vol pts2026-11-06T17:31:00+00:00: 0.45 vol pts2026-10-04T17:31:00+00:00: 0.46 vol pts2026-10-01T17:31:00+00:00: 0.48 vol pts2026-09-19T17:31:00+00:00: 0.51 vol pts2026-09-30T17:31:00+00:00: 0.54 vol pts2026-10-07T17:31:00+00:00: 0.57 vol pts2026-09-18T17:31:00+00:00: 0.61 vol pts2026-10-21T17:31:00+00:00: 0.65 vol pts2026-09-23T17:31:00+00:00: 0.76 vol pts2026-10-23T17:31:00+00:00: 0.78 vol pts2026-10-18T17:31:00+00:00: 0.84 vol pts2026-10-08T17:31:00+00:00: 0.95 vol pts2026-09-15T17:31:00+00:00: 0.96 vol pts2026-10-11T17:31:00+00:00: 0.97 vol pts2026-10-16T17:31:00+00:00: 1.03 vol pts2026-10-10T17:31:00+00:00: 1.07 vol pts2026-10-14T17:31:00+00:00: 1.09 vol pts2026-10-17T17:31:00+00:00: 1.11 vol pts2026-09-25T17:31:00+00:00: 1.19 vol pts2026-09-10T17:31:00+00:00: 1.31 vol pts2026-09-26T17:31:00+00:00: 1.35 vol pts2026-09-24T17:31:00+00:00: 1.53 vol pts2026-09-11T17:31:00+00:00: 1.61 vol pts2026-09-17T17:31:00+00:00: 1.64 vol pts2026-10-20T17:31:00+00:00: 1.67 vol pts2026-10-12T17:31:00+00:00: 2.04 vol pts2026-10-09T17:31:00+00:00: 2.69 vol ptsCurrent statistic: 1.09 vol ptsSample rank (ordered by value)
Observed samples in teal. Current statistic: 1.09 vol pts (red). Change sizes ignore direction: increases and decreases of the same size are ranked together. RR25 is 25-delta call implied volatility minus 25-delta put implied volatility. n=42; 2026-09-08 to 2026-11-06; source-selected observed sample, no fill.

[10]

BF25 change by tenor

BF25 change by tenor-0.30 vol pts0.00 vol pts0.30 vol pts1W1W · SOL · 06 Nov 2026 · 17:31 UTC → 07 Nov 2026 · 17:31 UTC · 24h: -0.18 vol pts-0.182W2W · SOL · 06 Nov 2026 · 17:31 UTC → 07 Nov 2026 · 17:31 UTC · 24h: -0.19 vol pts-0.191M1M · SOL · 06 Nov 2026 · 17:31 UTC → 07 Nov 2026 · 17:31 UTC · 24h: -0.21 vol pts-0.21
SOL · 06 Nov 2026 · 17:31 UTC → 07 Nov 2026 · 17:31 UTC · 24h. Own-run receipt-matched changes; missing or ambiguous points remain gaps.

Figure evidence: [24] [12] [14]

What to watch next

Each monitor describes a verified component or central counterexample of the selected story; observation tests, not a joint forecast.
Story componentNext snapshotObserved conditionComparison periodEvidence
SOL · 1W 25-delta risk reversal08 Nov 2026 · 17:31 UTCCurrent level: at or above -4.08 vol pts (current level).
Between current and prior: strictly below -4.08 vol pts and strictly above -4.22 vol pts.
Prior level: at or below -4.22 vol pts (prior level).		06 Nov 2026 · 17:31 UTC → 07 Nov 2026 · 17:31 UTC[6] [47] [5]
SOL · 2W 25-delta risk reversal08 Nov 2026 · 17:31 UTCCurrent level: at or above -2.66 vol pts (current level).
Between current and prior: strictly below -2.66 vol pts and strictly above -2.76 vol pts.
Prior level: at or below -2.76 vol pts (prior level).		06 Nov 2026 · 17:31 UTC → 07 Nov 2026 · 17:31 UTC[8] [51] [7]
SOL · 2M 25-delta risk reversal08 Nov 2026 · 17:31 UTCCurrent level: at or below -0.72 vol pts (current level).
Between current and prior: strictly above -0.72 vol pts and strictly below 0.37 vol pts.
Prior level: at or above 0.37 vol pts (prior level).		06 Nov 2026 · 17:31 UTC → 07 Nov 2026 · 17:31 UTC[2] [57] [1]
Historical sampling methodology

Each rank describes its supplied population. Exact consecutive daily endpoints use fixed UTC anchors and 24 elapsed hours, including across daylight-saving changes. Missing pairs are omitted without interpolation; their absence does not establish why the provider omitted them. Full captured history is bounded by this run. Different captures and windows can have different denominators even when their ranks agree.

MeasurePopulationObserved pairs or levelsRequested windowExcluded pair or level endpoints
SOL 2M.rr25.absolute_move[10]full captured history422026-09-07T17:31:00+00:00 to 2026-11-06T17:31:00+00:002026-09-12T17:31:00+00:00, 2026-09-13T17:31:00+00:00, 2026-09-21T17:31:00+00:00, 2026-09-22T17:31:00+00:00, 2026-09-28T17:31:00+00:00, 2026-09-29T17:31:00+00:00, 2026-10-25T17:31:00+00:00, 2026-10-26T17:31:00+00:00, 2026-10-27T17:31:00+00:00, 2026-10-28T17:31:00+00:00, 2026-10-29T17:31:00+00:00, 2026-10-30T17:31:00+00:00, 2026-10-31T17:31:00+00:00, 2026-11-01T17:31:00+00:00, 2026-11-02T17:31:00+00:00, 2026-11-03T17:31:00+00:00, 2026-11-04T17:31:00+00:00, 2026-11-05T17:31:00+00:00

BF25 = (25-delta call IV + 25-delta put IV) / 2 − ATM IV. Levels and changes are measured in volatility points.

Retrospective report: native market dates are distinct from later retrieval and run clocks. Later capture does not establish availability at the original cutoff.

Source notes

[1] SOL 2M RR25 difference

-1.09 vol pts

Source type: calculation

Observed: 2026-11-07T17:31:00+00:00

[2] SOL 2M RR25

-0.72 vol pts

Source type: calculation

Observed: 2026-11-07T17:31:00+00:00

[3] SOL 3M RR25 difference

-1.09 vol pts

Source type: calculation

Observed: 2026-11-07T17:31:00+00:00

[4] SOL 3M RR25

-0.44 vol pts

Source type: calculation

Observed: 2026-11-07T17:31:00+00:00

[5] SOL 1W RR25 difference

0.14 vol pts

Source type: calculation

Observed: 2026-11-07T17:31:00+00:00

[6] SOL 1W RR25

-4.08 vol pts

Source type: calculation

Observed: 2026-11-07T17:31:00+00:00

[7] SOL 2W RR25 difference

0.10 vol pts

Source type: calculation

Observed: 2026-11-07T17:31:00+00:00

[8] SOL 2W RR25

-2.66 vol pts

Source type: calculation

Observed: 2026-11-07T17:31:00+00:00

[9] SOL 1M RR25 difference

-0.95 vol pts

Source type: calculation

Observed: 2026-11-07T17:31:00+00:00

[10] SOL 2M RR25 absolute move percentile

76.19 percentile

Source type: calculation

Observed: 2026-11-07T17:31:00+00:00

[11] SOL 2M BF25 difference

-0.36 vol pts

Source type: calculation

Observed: 2026-11-07T17:31:00+00:00

[12] SOL 2W BF25 difference

-0.19 vol pts

Source type: calculation

Observed: 2026-11-07T17:31:00+00:00

[13] SOL 2W BF25

1.48 vol pts

Source type: calculation

Observed: 2026-11-07T17:31:00+00:00

[14] SOL 1M BF25 difference

-0.21 vol pts

Source type: calculation

Observed: 2026-11-07T17:31:00+00:00

[15] SOL 3M BF25 difference

-0.32 vol pts

Source type: calculation

Observed: 2026-11-07T17:31:00+00:00

[16] SOL 1W ATM IV difference

-1.06 vol pts

Source type: calculation

Observed: 2026-11-07T17:31:00+00:00

[17] SOL 1W ATM IV

56.18 %

Source type: calculation

Observed: 2026-11-07T17:31:00+00:00

[18] SOL 1M ATM IV difference

-1.11 vol pts

Source type: calculation

Observed: 2026-11-07T17:31:00+00:00

[19] SOL 1M ATM IV

54.39 %

Source type: calculation

Observed: 2026-11-07T17:31:00+00:00

[20] SOL 2W ATM IV difference

-1.93 vol pts

Source type: calculation

Observed: 2026-11-07T17:31:00+00:00

[21] SOL spotPrice percentage change

-0.61 %

Source type: calculation

Observed: 2026-11-07T17:31:00+00:00

[22] SOL rv7d.recomputed

58.66 %

Source type: calculation

Observed: 2026-11-07T17:31:00+00:00

[23] SOL 1W atmIv-rv7d spread

-2.48 vol pts

Source type: calculation

Observed: 2026-11-07T17:31:00+00:00

[24] SOL 1W BF25 difference

-0.18 vol pts

Source type: calculation

Observed: 2026-11-07T17:31:00+00:00

[25] SOL 2W ATM IV

54.77 %

Source type: calculation

Observed: 2026-11-07T17:31:00+00:00

[26] SOL 1M RR25

-1.35 vol pts

Source type: calculation

Observed: 2026-11-07T17:31:00+00:00

[27] SOL 2M ATM IV

54.53 %

Source type: calculation

Observed: 2026-11-07T17:31:00+00:00

[28] SOL 2M ATM IV difference

-0.81 vol pts

Source type: calculation

Observed: 2026-11-07T17:31:00+00:00

[29] SOL 3M ATM IV

54.45 %

Source type: calculation

Observed: 2026-11-07T17:31:00+00:00

[30] SOL 3M ATM IV difference

-0.94 vol pts

Source type: calculation

Observed: 2026-11-07T17:31:00+00:00

[31] SOL 1W ATM IV

57.24 %

Source type: calculation

Observed: 2026-11-07T17:31:00+00:00

[32] SOL 1M ATM IV

55.50 %

Source type: calculation

Observed: 2026-11-07T17:31:00+00:00

[33] SOL 1M atmIv-1W.atmIv spread

-1.79 vol pts

Source type: calculation

Observed: 2026-11-07T18:11:49.388450+00:00

[34] SOL 1M atmIv-1W.atmIv spread

-1.74 vol pts

Source type: calculation

Observed: 2026-11-07T18:11:49.388450+00:00

[35] SOL 1M atmIv-1W.atmIv spread

-7.77 vol pts

Source type: calculation

Observed: 2026-11-07T18:11:49.388450+00:00

[36] SOL 1M atmIv-1W.atmIv spread

2.75 vol pts

Source type: calculation

Observed: 2026-11-07T18:11:49.388450+00:00

[37] Source

Source type: options-observations

Observed: 2026-11-07T17:31:00+00:00

Open cited source

[38] Source

Source type: options-observations

Observed: 2026-11-07T17:31:00+00:00

Open cited source

[39] Source

Source type: options-observations

Observed: 2026-11-07T17:31:00+00:00

Open cited source

[40] Source

Source type: options-observations

Observed: 2026-11-07T17:31:00+00:00

Open cited source

[41] Source

Source type: options-observations

Observed: 2026-11-07T17:31:00+00:00

Open cited source

[47] SOL 1W RR25

-4.22 vol pts

Source type: calculation

Observed: 2026-11-07T17:31:00+00:00

[51] SOL 2W RR25

-2.76 vol pts

Source type: calculation

Observed: 2026-11-07T17:31:00+00:00

[57] SOL 2M RR25

0.37 vol pts

Source type: calculation

Observed: 2026-11-07T17:31:00+00:00

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