{ "schemaVersion": 3, "reportDate": "2026-09-02", "generatedAt": "2026-09-02T16:56:38+00:00", "currentSnapshotAt": "2026-09-02T16:30:00+00:00", "previousSnapshotAt": "2026-09-01T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 245666, "timestamp": "2026-09-02T16:30:00+00:00" }, "previous": { "id": 235596, "timestamp": "2026-09-01T16:30:00+00:00" } }, "windowHours": 24.0, "currency": "SOL", "methodology": { "source": "Derivasys proprietary historical SVI surface and canonical SOL 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-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 interpolated independently at 1W, 2W, 1M, 3M, 6M, 9M and 1Y; headline rankings prioritise 1W, 2W, 1M, 3M, 6M and 1Y.", "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 SOL-USD index log returns using a 365-day basis; all windows end at the current snapshot." }, "realisedVolatility": { "source": "canonical/SOL-USDC-INDEX (DERIBIT and OKX indexes)", "fallbackObservations": 0, "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": "2026-09-02T16:30:00+00:00", "spotMove24hPercent": -1.63, "rv24hPercent": 60.73, "rv7dPercent": 66.53, "rv30dPercent": 63.66, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 53.34, "oneWeekIvMinus7dRvPoints": -13.19, "oneWeekIvMinus24hRvPoints": -7.39, "oneWeekIvMinus30dRvPoints": -10.32 }, "fitQuality": { "currentObjective": 0.02069839, "previousObjective": 0.0222923, "currentLiveError": 8.49121665, "previousLiveError": 15.02079837 }, "coverage": { "currentListedExpiries": 5, "previousListedExpiries": 6, "comparedListedExpiries": 5, "addedExpiries": [], "removedExpiries": [ "2SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Solana options reprice sharply lower as front-end volatility falls", "executiveSummary": "Solana\u2019s options surface reset lower across the curve, with the largest change concentrated in one-week implied volatility and a markedly lower implied-versus-realised spread.", "evidenceIds": [ "realised-vol", "front-atm", "back-atm", "rr25", "bf25", "largest-standard-tenor" ], "newsSummary": "Coinbase reported and resolved a delay affecting Solana sends and receives. The available reaction window was partial and does not identify a cause of the full-day options repricing.", "marketContextSummary": "The retained operational incident has no clear direct link to Solana\u2019s daily options repricing; the observed reaction is insufficient to establish causation.", "marketContext": [ { "title": "Coinbase Solana incident and market reaction", "explanation": "SOL ATM IV declined 0.14 volatility points after five minutes and 0.87 volatility points after four hours, while the full one-week ATM IV move was a 7.61-point decline. Timed association alone does not establish causation.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "largest-standard-tenor", "front-atm" ], "newsEvidenceIds": [ "c47f5acb-263b-4107-9593-b5aca8e9e40a" ] } ], "newsEvidenceIds": [ "c47f5acb-263b-4107-9593-b5aca8e9e40a" ], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:30 UTC cutoff, 1W ATM IV was 53.34%, 13.19 volatility points below seven-day realised volatility of 66.53%; 24-hour realised volatility was 60.73% and 30-day realised volatility was 63.66%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -7.09 volatility points to 53.52% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -3.99 volatility points to 53.38% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.92 volatility points to 1.30% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.29 volatility points to 4.42% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -7.61 volatility points at 1W, to 53.34%.", "tenor": "1W", "value": -7.61 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-02T16:30:00+00:00", "window": { "startAt": "2026-09-01T16:30:00+00:00", "endAt": "2026-09-02T16:30:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-09-01T16:30:00+00:00", "endAt": "2026-09-02T16:30:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "selection": { "feedsQueried": 1, "publishersQueried": 4, "feedEntriesScanned": 72, "articlesPassingTimeFilter": 7, "articlesPassingSourceRelevanceRules": 6, "articlesPassingSelectionThreshold": 1, "storiesSelected": 0, "selectedPublishers": 0, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 0, "eventsSelected": 0 }, "items": [], "events": [] }, "newsContext": { "outcome": "No sufficiently relevant context identified", "highest_causal_confidence": "low", "section_heading": "No sufficiently relevant context identified", "events": [] }, "marketRead": { "text": "1W ATM IV fell 7.61 volatility points to 53.34%, a routine move at the 60th percentile. At the cutoff, realised volatility measured 60.73% over 24 hours, 66.53% over seven days and 63.66% over 30 days. Front-end ATM IV averaged 53.52%, -7.09 points from the prior snapshot, while the long end averaged 53.38%, -3.99 points. The 1Y-minus-1W ATM slope turned positive, rising 3.74 points to 0.02 points. 2W RR25 moved 1.48 volatility points toward puts to -0.26%, leaving puts richer than calls. 1W BF25 fell 1.47 volatility points to 3.42%. The nearest eligible forward, 11SEP26, fell $1.76 (-1.74%) to $99.51. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.", "wordCount": 112, "source": "deterministic structured report facts", "evidenceFields": [ "summaryMetrics.largestAtmMove", "realisedVolatility.rv24hPercent", "realisedVolatility.rv7dPercent", "realisedVolatility.rv30dPercent", "summaryMetrics.frontEndAverageAtm", "summaryMetrics.longEndAverageAtm", "summaryMetrics.oneYearMinusOneWeekAtmSlope", "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 53.34%, 13.19 volatility points below seven-day realised volatility of 66.53%; 24-hour realised volatility was 60.73% and 30-day realised volatility was 63.66%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -7.09 volatility points to 53.52% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -3.99 volatility points to 53.38% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.92 volatility points to 1.30% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.29 volatility points to 4.42% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -7.61 volatility points at 1W, to 53.34%.", "tenor": "1W", "value": -7.61 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -5.64, "rr25Change": -0.92, "bf25Change": -0.29, "largestAtmMove": { "tenor": "1W", "current": 53.34, "previous": 60.95, "change": -7.61, "historicalSignificance": { "absoluteMove": 7.61, "movePercentile30d": 60.0, "movePercentileFullHistory": 60.0, "currentLevelPercentileFullHistory": 16.7, "classificationPercentile": 60.0, "label": "routine", "observations30d": 5, "observationsFullHistory": 5, "levelObservationsFullHistory": 6 } }, "frontEndAverageAtm": { "current": 53.52, "previous": 60.61, "change": -7.09 }, "longEndAverageAtm": { "current": 53.38, "previous": 57.36, "change": -3.99 }, "oneYearMinusOneWeekAtmSlope": { "current": 0.02, "previous": -3.72, "change": 3.74 }, "largestRr25Move": { "tenor": "2W", "current": -0.26, "previous": 1.22, "change": -1.48, "historicalSignificance": { "absoluteMove": 1.48, "movePercentile30d": 60.0, "movePercentileFullHistory": 60.0, "currentLevelPercentileFullHistory": 16.7, "classificationPercentile": 60.0, "label": "routine", "observations30d": 5, "observationsFullHistory": 5, "levelObservationsFullHistory": 6 }, "direction": "toward puts", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "1W", "current": 3.42, "previous": 4.89, "change": -1.47, "historicalSignificance": { "absoluteMove": 1.47, "movePercentile30d": 80.0, "movePercentileFullHistory": 80.0, "currentLevelPercentileFullHistory": 33.3, "classificationPercentile": 80.0, "label": "notable", "observations30d": 5, "observationsFullHistory": 5, "levelObservationsFullHistory": 6 } }, "nearestEligibleForwardMove": { "label": "11SEP26", "daysToExpiry": 8.646, "current": 99.51, "previous": 101.27, "change": -1.76, "percentChange": -1.74 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1788971400282, "availability": "available", "unavailableReason": null, "atmIv": { "current": 53.34, "previous": 60.95, "change": -7.61, "percentChange": -12.49 }, "rr25": { "current": -0.62, "previous": 0.79, "change": -1.41, "percentChange": -178.48 }, "bf25": { "current": 3.42, "previous": 4.89, "change": -1.47, "percentChange": -30.06 }, "historicalSignificance": { "atmIv": { "absoluteMove": 7.61, "movePercentile30d": 60.0, "movePercentileFullHistory": 60.0, "currentLevelPercentileFullHistory": 16.7, "classificationPercentile": 60.0, "label": "routine", "observations30d": 5, "observationsFullHistory": 5, "levelObservationsFullHistory": 6 }, "rr25": { "absoluteMove": 1.41, "movePercentile30d": 40.0, "movePercentileFullHistory": 40.0, "currentLevelPercentileFullHistory": 16.7, "classificationPercentile": 40.0, "label": "routine", "observations30d": 5, "observationsFullHistory": 5, "levelObservationsFullHistory": 6 }, "bf25": { "absoluteMove": 1.47, "movePercentile30d": 80.0, "movePercentileFullHistory": 80.0, "currentLevelPercentileFullHistory": 33.3, "classificationPercentile": 80.0, "label": "notable", "observations30d": 5, "observationsFullHistory": 5, "levelObservationsFullHistory": 6 } } }, { "tenor": "2W", "targetExpiry": 1789576200282, "availability": "available", "unavailableReason": null, "atmIv": { "current": 53.55, "previous": 60.7, "change": -7.15, "percentChange": -11.78 }, "rr25": { "current": -0.26, "previous": 1.22, "change": -1.48, "percentChange": -121.31 }, "bf25": { "current": 3.62, "previous": 4.84, "change": -1.22, "percentChange": -25.21 }, "historicalSignificance": { "atmIv": { "absoluteMove": 7.15, "movePercentile30d": 80.0, "movePercentileFullHistory": 80.0, "currentLevelPercentileFullHistory": 16.7, "classificationPercentile": 80.0, "label": "notable", "observations30d": 5, "observationsFullHistory": 5, "levelObservationsFullHistory": 6 }, "rr25": { "absoluteMove": 1.48, "movePercentile30d": 60.0, "movePercentileFullHistory": 60.0, "currentLevelPercentileFullHistory": 16.7, "classificationPercentile": 60.0, "label": "routine", "observations30d": 5, "observationsFullHistory": 5, "levelObservationsFullHistory": 6 }, "bf25": { "absoluteMove": 1.22, "movePercentile30d": 100.0, "movePercentileFullHistory": 100.0, "currentLevelPercentileFullHistory": 16.7, "classificationPercentile": 100.0, "label": "exceptional", "observations30d": 5, "observationsFullHistory": 5, "levelObservationsFullHistory": 6 } } }, { "tenor": "1M", "targetExpiry": 1790958600282, "availability": "available", "unavailableReason": null, "atmIv": { "current": 53.68, "previous": 60.18, "change": -6.5, "percentChange": -10.8 }, "rr25": { "current": 0.67, "previous": 1.82, "change": -1.15, "percentChange": -63.19 }, "bf25": { "current": 4.15, "previous": 4.84, "change": -0.69, "percentChange": -14.26 }, "historicalSignificance": { "atmIv": { "absoluteMove": 6.5, "movePercentile30d": 80.0, "movePercentileFullHistory": 80.0, "currentLevelPercentileFullHistory": 16.7, "classificationPercentile": 80.0, "label": "notable", "observations30d": 5, "observationsFullHistory": 5, "levelObservationsFullHistory": 6 }, "rr25": { "absoluteMove": 1.15, "movePercentile30d": 40.0, "movePercentileFullHistory": 40.0, "currentLevelPercentileFullHistory": 33.3, "classificationPercentile": 40.0, "label": "routine", "observations30d": 5, "observationsFullHistory": 5, "levelObservationsFullHistory": 6 }, "bf25": { "absoluteMove": 0.69, "movePercentile30d": 100.0, "movePercentileFullHistory": 100.0, "currentLevelPercentileFullHistory": 16.7, "classificationPercentile": 100.0, "label": "exceptional", "observations30d": 5, "observationsFullHistory": 5, "levelObservationsFullHistory": 6 } } }, { "tenor": "3M", "targetExpiry": 1796229000282, "availability": "available", "unavailableReason": null, "atmIv": { "current": 53.44, "previous": 58.04, "change": -4.6, "percentChange": -7.93 }, "rr25": { "current": 2.33, "previous": 2.93, "change": -0.6, "percentChange": -20.48 }, "bf25": { "current": 4.95, "previous": 4.61, "change": 0.34, "percentChange": 7.38 }, "historicalSignificance": { "atmIv": { "absoluteMove": 4.6, "movePercentile30d": 100.0, "movePercentileFullHistory": 100.0, "currentLevelPercentileFullHistory": 16.7, "classificationPercentile": 100.0, "label": "exceptional", "observations30d": 5, "observationsFullHistory": 5, "levelObservationsFullHistory": 6 }, "rr25": { "absoluteMove": 0.6, "movePercentile30d": 20.0, "movePercentileFullHistory": 20.0, "currentLevelPercentileFullHistory": 33.3, "classificationPercentile": 20.0, "label": "routine", "observations30d": 5, "observationsFullHistory": 5, "levelObservationsFullHistory": 6 }, "bf25": { "absoluteMove": 0.34, "movePercentile30d": 40.0, "movePercentileFullHistory": 40.0, "currentLevelPercentileFullHistory": 16.7, "classificationPercentile": 40.0, "label": "routine", "observations30d": 5, "observationsFullHistory": 5, "levelObservationsFullHistory": 6 } } }, { "tenor": "6M", "targetExpiry": 1804091400282, "availability": "available", "unavailableReason": null, "atmIv": { "current": 53.39, "previous": 57.5, "change": -4.11, "percentChange": -7.15 }, "rr25": { "current": 2.75, "previous": 3.22, "change": -0.47, "percentChange": -14.6 }, "bf25": { "current": 5.13, "previous": 4.56, "change": 0.57, "percentChange": 12.5 }, "historicalSignificance": { "atmIv": { "absoluteMove": 4.11, "movePercentile30d": 100.0, "movePercentileFullHistory": 100.0, "currentLevelPercentileFullHistory": 16.7, "classificationPercentile": 100.0, "label": "exceptional", "observations30d": 5, "observationsFullHistory": 5, "levelObservationsFullHistory": 6 }, "rr25": { "absoluteMove": 0.47, "movePercentile30d": 40.0, "movePercentileFullHistory": 40.0, "currentLevelPercentileFullHistory": 33.3, "classificationPercentile": 40.0, "label": "routine", "observations30d": 5, "observationsFullHistory": 5, "levelObservationsFullHistory": 6 }, "bf25": { "absoluteMove": 0.57, "movePercentile30d": 80.0, "movePercentileFullHistory": 80.0, "currentLevelPercentileFullHistory": 33.3, "classificationPercentile": 80.0, "label": "notable", "observations30d": 5, "observationsFullHistory": 5, "levelObservationsFullHistory": 6 } } }, { "tenor": "9M", "targetExpiry": 1811953800282, "availability": "available", "unavailableReason": null, "atmIv": { "current": 53.37, "previous": 57.32, "change": -3.95, "percentChange": -6.89 }, "rr25": { "current": 2.89, "previous": 3.32, "change": -0.43, "percentChange": -12.95 }, "bf25": { "current": 5.19, "previous": 4.54, "change": 0.65, "percentChange": 14.32 }, "historicalSignificance": { "atmIv": { "absoluteMove": 3.95, "movePercentile30d": 100.0, "movePercentileFullHistory": 100.0, "currentLevelPercentileFullHistory": 16.7, "classificationPercentile": 100.0, "label": "exceptional", "observations30d": 5, "observationsFullHistory": 5, "levelObservationsFullHistory": 6 }, "rr25": { "absoluteMove": 0.43, "movePercentile30d": 40.0, "movePercentileFullHistory": 40.0, "currentLevelPercentileFullHistory": 33.3, "classificationPercentile": 40.0, "label": "routine", "observations30d": 5, "observationsFullHistory": 5, "levelObservationsFullHistory": 6 }, "bf25": { "absoluteMove": 0.65, "movePercentile30d": 80.0, "movePercentileFullHistory": 80.0, "currentLevelPercentileFullHistory": 33.3, "classificationPercentile": 80.0, "label": "notable", "observations30d": 5, "observationsFullHistory": 5, "levelObservationsFullHistory": 6 } } }, { "tenor": "1Y", "targetExpiry": 1819902600282, "availability": "available", "unavailableReason": null, "atmIv": { "current": 53.36, "previous": 57.23, "change": -3.87, "percentChange": -6.76 }, "rr25": { "current": 2.95, "previous": 3.37, "change": -0.42, "percentChange": -12.46 }, "bf25": { "current": 5.23, "previous": 4.53, "change": 0.7, "percentChange": 15.45 }, "historicalSignificance": { "atmIv": { "absoluteMove": 3.87, "movePercentile30d": 100.0, "movePercentileFullHistory": 100.0, "currentLevelPercentileFullHistory": 16.7, "classificationPercentile": 100.0, "label": "exceptional", "observations30d": 5, "observationsFullHistory": 5, "levelObservationsFullHistory": 6 }, "rr25": { "absoluteMove": 0.42, "movePercentile30d": 40.0, "movePercentileFullHistory": 40.0, "currentLevelPercentileFullHistory": 33.3, "classificationPercentile": 40.0, "label": "routine", "observations30d": 5, "observationsFullHistory": 5, "levelObservationsFullHistory": 6 }, "bf25": { "absoluteMove": 0.7, "movePercentile30d": 80.0, "movePercentileFullHistory": 80.0, "currentLevelPercentileFullHistory": 33.3, "classificationPercentile": 80.0, "label": "notable", "observations30d": 5, "observationsFullHistory": 5, "levelObservationsFullHistory": 6 } } } ], "listedExpiries": [ { "label": "3SEP26", "expiry": 1788422400000, "tauYears": 0.00176942, "daysToExpiry": 0.646, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 99.52, "previous": 101.27, "change": -1.75, "percentChange": -1.73 }, "atmIv": { "current": 57.3, "previous": 67.26, "change": -9.96, "percentChange": -14.81 }, "rr25": { "current": -3.49, "previous": -1.8, "change": -1.69, "percentChange": -93.89 }, "bf25": { "current": 3.49, "previous": 5.56, "change": -2.07, "percentChange": -37.23 }, "svi": { "a": { "current": -0.038, "previous": -0.0731, "change": 0.0351, "percentChange": 48.06 }, "b": { "current": 0.0995, "previous": 0.1607, "change": -0.0612, "percentChange": -38.11 }, "rho": { "current": -0.0979, "previous": -0.0595, "change": -0.0384, "percentChange": -64.6 }, "m": { "current": -0.0299, "previous": -0.022, "change": -0.0079, "percentChange": -35.77 }, "sigma": { "current": 0.3894, "previous": 0.4684, "change": -0.079, "percentChange": -16.87 } }, "smile": { "logMoneyness": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "current": [ 258.1911, 247.2299, 236.1626, 224.9961, 213.7393, 202.4035, 191.0027, 179.5542, 168.0799, 156.6074, 145.1714, 133.817, 122.603, 111.6079, 100.9384, 90.7428, 81.2297, 72.6917, 65.5279, 60.2365, 57.3322, 57.1611, 59.7174, 64.6413, 71.4027, 79.4898, 88.4945, 98.1196, 108.1557, 118.4561, 128.9174, 139.4652, 150.0457, 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"generatedAt": "2026-09-02T16:30:00+00:00", "window": { "startAt": "2026-09-01T16:30:00+00:00", "endAt": "2026-09-02T16:30:00+00:00", "endExclusive": true }, "headline": "Solana options reprice sharply lower as front-end volatility falls", "standfirst": "Solana\u2019s front-end options repriced sharply lower: one-week ATM IV fell 7.61 volatility points to 53.34%, 13.19 volatility points below seven-day realised volatility. The front-end average declined 7.09 volatility points, more than the 3.99-point decline at the long end. One-week BF25 fell 1.47 volatility points to 3.42%, while short-dated relative put-side volatility increased.", "days": [ { "reportDate": "2026-09-02", "headline": "Solana front-end volatility drops", "summary": "Solana implied volatility declined across tenors, led by a sharp one-week fall.", "macro": { "summary": "No qualifying macro event was retained for Solana.", "events": [] }, "crypto": { "summary": "Coinbase resolved a temporary delay affecting Solana sends and receives.", "events": [ { "eventId": "c47f5acb-263b-4107-9593-b5aca8e9e40a", "title": "Delayed Sends/Receives - Solana Network", "publisher": "Coinbase", "url": "https://status.coinbase.com/incidents/mr0f1hz5knrv", "publishedAt": "2026-09-02T10:51:12+00:00" } ] } } ] }, "headline": "Solana options reprice sharply lower as front-end volatility falls", "standfirst": "Solana\u2019s front-end options repriced sharply lower: one-week ATM IV fell 7.61 volatility points to 53.34%, 13.19 volatility points below seven-day realised volatility. The front-end average declined 7.09 volatility points, more than the 3.99-point decline at the long end. One-week BF25 fell 1.47 volatility points to 3.42%, while short-dated relative put-side volatility increased.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "SOL", "sessionDate": "2026-09-01", "asOfTimestamp": "2026-09-01T20:00:00+00:00", "summary": "Previous session (latest completed): SOL 30-day ATM IV was 56.03 volatility points, versus VIX at 16.34. Crypto and SPX realised volatility use different annualisation clocks.", "metrics": { "cryptoAtmIv30d": 56.03, "vix": 16.34000015258789, "vix9d": 14.329999923706055, "vix3m": 18.329999923706055, "ivSpread": 39.68999984741211, "ivRatio": 3.4290085359103317, "cryptoRealisedVol20d": 72.65158911548956, "spxRealisedVol20": 7.367486433677291, "rvSpread": 65.28410268181227, "rvRatio": 9.861109317201333, "rvSpreadPercentile": 52.51141552511415, "rvSpreadPercentileSampleCount": 219, "rvRatioPercentile": 94.06392694063926, "rvRatioPercentileSampleCount": 219, "returnCorrelation30": 0.2447158331498908, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.38786248753071667, "returnCorrelation60SampleCount": 60 }, "methodology": "Latest completed common SPX/VIX/crypto session. Crypto 20-day realised volatility uses sqrt(365); SPX 20-session realised volatility uses sqrt(252)." } }