{ "schemaVersion": 3, "reportDate": "2026-09-03", "generatedAt": "2026-09-03T16:58:56+00:00", "currentSnapshotAt": "2026-09-03T16:38:00+00:00", "previousSnapshotAt": "2026-09-02T16:38:00+00:00", "sourceSnapshots": { "current": { "id": 255743, "timestamp": "2026-09-03T16:38:00+00:00" }, "previous": { "id": 245724, "timestamp": "2026-09-02T16:38:00+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": "2026-09-03T16:38:00+00:00", "spotMove24hPercent": 5.16, "rv24hPercent": 61.15, "rv7dPercent": 61.78, "rv30dPercent": 64.3, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 51.89, "oneWeekIvMinus7dRvPoints": -9.89, "oneWeekIvMinus24hRvPoints": -9.26, "oneWeekIvMinus30dRvPoints": -12.41 }, "fitQuality": { "currentObjective": 0.00754341, "previousObjective": 0.00802516, "currentLiveError": 5.78124565, "previousLiveError": 7.55894936 }, "coverage": { "currentListedExpiries": 7, "previousListedExpiries": 5, "comparedListedExpiries": 4, "addedExpiries": [ "18SEP26", "30OCT26", "5SEP26" ], "removedExpiries": [ "3SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Solana\u2019s call-side skew breaks away from lower ATM volatility", "executiveSummary": "SOL\u2019s defining move was a 3.88-point rise in two-week RR25 toward call-side volatility, contrasting with lower short-dated ATM IV.", "evidenceIds": [ "rr25", "front-atm", "realised-vol" ], "newsSummary": "News Check: no qualifying SOL-related event was retained.", "marketContextSummary": "No collected news establishes a direct explanation for this options repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:38 UTC cutoff, 1W ATM IV was 51.89%, 9.89 volatility points below seven-day realised volatility of 61.78%; 24-hour realised volatility was 61.15% and 30-day realised volatility was 64.30%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -1.19 volatility points to 52.37% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.49 volatility points to 52.84% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +3.27 volatility points to 4.58% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.20 volatility points to 4.58% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -1.67 volatility points at 1W, to 51.89%.", "tenor": "1W", "value": -1.67 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-03T16:38:00+00:00", "window": { "startAt": "2026-09-02T16:38:00+00:00", "endAt": "2026-09-03T16:38:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-09-02T16:38:00+00:00", "endAt": "2026-09-03T16:38:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 1, "macroQueries": 1, "canonicalEventsConsidered": 0, "publishersRepresented": 0, "upstreamFeedCount": null, "coverageNote": "The local news MCP exposes canonical events, not its upstream feed inventory; legacy feed-count fields below describe the single MCP endpoint and are not comparable with the former RSS collector." }, "selection": { "feedsQueried": 1, "publishersQueried": 0, "feedEntriesScanned": 8, "articlesPassingTimeFilter": 0, "articlesPassingSourceRelevanceRules": 0, "articlesPassingSelectionThreshold": 0, "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": "2W RR25 moved 3.88 volatility points toward calls to 3.97%, leaving calls richer than puts; this was an exceptional move at the 100th percentile. At the cutoff, realised volatility measured 61.15% over 24 hours, 61.78% over seven days and 64.30% over 30 days. Front-end ATM IV averaged 52.37%, -1.19 points from the prior snapshot, while the long end averaged 52.84%, -0.50 points. The 1Y-minus-1W ATM slope turned positive, rising 1.17 points to 0.94 points. 1W ATM IV fell 1.67 volatility points to 51.89%. 1W BF25 rose 0.38 volatility points to 3.83%. The nearest eligible forward, 11SEP26, rose $4.98 (+5.02%) to $104.26. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.", "wordCount": 114, "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 16:38 UTC cutoff, 1W ATM IV was 51.89%, 9.89 volatility points below seven-day realised volatility of 61.78%; 24-hour realised volatility was 61.15% and 30-day realised volatility was 64.30%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -1.19 volatility points to 52.37% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.49 volatility points to 52.84% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +3.27 volatility points to 4.58% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.20 volatility points to 4.58% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -1.67 volatility points at 1W, to 51.89%.", "tenor": "1W", "value": -1.67 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -0.84, "rr25Change": 3.27, "bf25Change": 0.2, "largestAtmMove": { "tenor": "1W", "current": 51.89, "previous": 53.56, "change": -1.67, "historicalSignificance": { "absoluteMove": 1.67, "movePercentile30d": 16.7, "movePercentileFullHistory": 16.7, "currentLevelPercentileFullHistory": 28.6, "classificationPercentile": 16.7, "label": "routine", "observations30d": 6, "observationsFullHistory": 6, "levelObservationsFullHistory": 7 } }, "frontEndAverageAtm": { "current": 52.37, "previous": 53.55, "change": -1.19 }, "longEndAverageAtm": { "current": 52.84, "previous": 53.34, "change": -0.5 }, "oneYearMinusOneWeekAtmSlope": { "current": 0.94, "previous": -0.23, "change": 1.17 }, "largestRr25Move": { "tenor": "2W", "current": 3.97, "previous": 0.09, "change": 3.88, "historicalSignificance": { "absoluteMove": 3.88, "movePercentile30d": 100.0, "movePercentileFullHistory": 100.0, "currentLevelPercentileFullHistory": 100.0, "classificationPercentile": 100.0, "label": "exceptional", "observations30d": 6, "observationsFullHistory": 6, "levelObservationsFullHistory": 7 }, "direction": "toward calls", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "1W", "current": 3.83, "previous": 3.45, "change": 0.38, "historicalSignificance": { "absoluteMove": 0.38, "movePercentile30d": 33.3, "movePercentileFullHistory": 33.3, "currentLevelPercentileFullHistory": 42.9, "classificationPercentile": 33.3, "label": "routine", "observations30d": 6, "observationsFullHistory": 6, "levelObservationsFullHistory": 7 } }, "nearestEligibleForwardMove": { "label": "11SEP26", "daysToExpiry": 7.64, "current": 104.26, "previous": 99.28, "change": 4.98, "percentChange": 5.02 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789058280738, "availability": "available", "unavailableReason": null, "atmIv": { "current": 51.89, "previous": 53.56, "change": -1.67, "percentChange": -3.12 }, "rr25": { "current": 3.49, "previous": -0.27, "change": 3.76, "percentChange": 1392.59 }, "bf25": { "current": 3.83, "previous": 3.45, "change": 0.38, "percentChange": 11.01 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.67, "movePercentile30d": 16.7, "movePercentileFullHistory": 16.7, "currentLevelPercentileFullHistory": 28.6, "classificationPercentile": 16.7, "label": "routine", "observations30d": 6, "observationsFullHistory": 6, "levelObservationsFullHistory": 7 }, "rr25": { "absoluteMove": 3.76, "movePercentile30d": 83.3, "movePercentileFullHistory": 83.3, "currentLevelPercentileFullHistory": 71.4, "classificationPercentile": 83.3, "label": "notable", "observations30d": 6, "observationsFullHistory": 6, "levelObservationsFullHistory": 7 }, "bf25": { "absoluteMove": 0.38, "movePercentile30d": 33.3, "movePercentileFullHistory": 33.3, "currentLevelPercentileFullHistory": 42.9, "classificationPercentile": 33.3, "label": "routine", "observations30d": 6, "observationsFullHistory": 6, "levelObservationsFullHistory": 7 } } }, { "tenor": "2W", "targetExpiry": 1789663080738, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.5, "previous": 53.53, "change": -1.03, "percentChange": -1.92 }, "rr25": { "current": 3.97, "previous": 0.09, "change": 3.88, "percentChange": 4311.11 }, "bf25": { "current": 3.77, "previous": 3.63, "change": 0.14, "percentChange": 3.86 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.03, "movePercentile30d": 33.3, "movePercentileFullHistory": 33.3, "currentLevelPercentileFullHistory": 28.6, "classificationPercentile": 33.3, "label": "routine", "observations30d": 6, "observationsFullHistory": 6, "levelObservationsFullHistory": 7 }, "rr25": { "absoluteMove": 3.88, "movePercentile30d": 100.0, "movePercentileFullHistory": 100.0, "currentLevelPercentileFullHistory": 100.0, "classificationPercentile": 100.0, "label": "exceptional", "observations30d": 6, "observationsFullHistory": 6, "levelObservationsFullHistory": 7 }, "bf25": { "absoluteMove": 0.14, "movePercentile30d": 16.7, "movePercentileFullHistory": 16.7, "currentLevelPercentileFullHistory": 14.3, "classificationPercentile": 16.7, "label": "routine", "observations30d": 6, "observationsFullHistory": 6, "levelObservationsFullHistory": 7 } } }, { "tenor": "1M", "targetExpiry": 1791045480738, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.71, "previous": 53.57, "change": -0.86, "percentChange": -1.61 }, "rr25": { "current": 3.81, "previous": 0.83, "change": 2.98, "percentChange": 359.04 }, "bf25": { "current": 4.21, "previous": 4.13, "change": 0.08, "percentChange": 1.94 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.86, "movePercentile30d": 16.7, "movePercentileFullHistory": 16.7, "currentLevelPercentileFullHistory": 28.6, "classificationPercentile": 16.7, "label": "routine", "observations30d": 6, "observationsFullHistory": 6, "levelObservationsFullHistory": 7 }, "rr25": { "absoluteMove": 2.98, "movePercentile30d": 100.0, "movePercentileFullHistory": 100.0, "currentLevelPercentileFullHistory": 85.7, "classificationPercentile": 100.0, "label": "exceptional", "observations30d": 6, "observationsFullHistory": 6, "levelObservationsFullHistory": 7 }, "bf25": { "absoluteMove": 0.08, "movePercentile30d": 0.0, "movePercentileFullHistory": 0.0, "currentLevelPercentileFullHistory": 14.3, "classificationPercentile": 0.0, "label": "routine", "observations30d": 6, "observationsFullHistory": 6, "levelObservationsFullHistory": 7 } } }, { "tenor": "3M", "targetExpiry": 1796315880738, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.91, "previous": 53.4, "change": -0.49, "percentChange": -0.92 }, "rr25": { "current": 5.1, "previous": 2.13, "change": 2.97, "percentChange": 139.44 }, "bf25": { "current": 4.94, "previous": 4.87, "change": 0.07, "percentChange": 1.44 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.49, "movePercentile30d": 16.7, "movePercentileFullHistory": 16.7, "currentLevelPercentileFullHistory": 28.6, "classificationPercentile": 16.7, "label": "routine", "observations30d": 6, "observationsFullHistory": 6, "levelObservationsFullHistory": 7 }, "rr25": { "absoluteMove": 2.97, "movePercentile30d": 83.3, "movePercentileFullHistory": 83.3, "currentLevelPercentileFullHistory": 100.0, "classificationPercentile": 83.3, "label": "notable", "observations30d": 6, "observationsFullHistory": 6, "levelObservationsFullHistory": 7 }, "bf25": { "absoluteMove": 0.07, "movePercentile30d": 0.0, "movePercentileFullHistory": 0.0, "currentLevelPercentileFullHistory": 14.3, "classificationPercentile": 0.0, "label": "routine", "observations30d": 6, "observationsFullHistory": 6, "levelObservationsFullHistory": 7 } } }, { "tenor": "6M", "targetExpiry": 1804178280738, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.86, "previous": 53.35, "change": -0.49, "percentChange": -0.92 }, "rr25": { "current": 5.45, "previous": 2.44, "change": 3.01, "percentChange": 123.36 }, "bf25": { "current": 5.29, "previous": 5.06, "change": 0.23, "percentChange": 4.55 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.49, "movePercentile30d": 33.3, "movePercentileFullHistory": 33.3, "currentLevelPercentileFullHistory": 28.6, "classificationPercentile": 33.3, "label": "routine", "observations30d": 6, "observationsFullHistory": 6, "levelObservationsFullHistory": 7 }, "rr25": { "absoluteMove": 3.01, "movePercentile30d": 83.3, "movePercentileFullHistory": 83.3, "currentLevelPercentileFullHistory": 100.0, "classificationPercentile": 83.3, "label": "notable", "observations30d": 6, "observationsFullHistory": 6, "levelObservationsFullHistory": 7 }, "bf25": { "absoluteMove": 0.23, "movePercentile30d": 66.7, "movePercentileFullHistory": 66.7, "currentLevelPercentileFullHistory": 28.6, "classificationPercentile": 66.7, "label": "routine", "observations30d": 6, "observationsFullHistory": 6, "levelObservationsFullHistory": 7 } } }, { "tenor": "9M", "targetExpiry": 1812040680738, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.84, "previous": 53.34, "change": -0.5, "percentChange": -0.94 }, "rr25": { "current": 5.57, "previous": 2.54, "change": 3.03, "percentChange": 119.29 }, "bf25": { "current": 5.41, "previous": 5.12, "change": 0.29, "percentChange": 5.66 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.5, "movePercentile30d": 33.3, "movePercentileFullHistory": 33.3, "currentLevelPercentileFullHistory": 28.6, "classificationPercentile": 33.3, "label": "routine", "observations30d": 6, "observationsFullHistory": 6, "levelObservationsFullHistory": 7 }, "rr25": { "absoluteMove": 3.03, "movePercentile30d": 83.3, "movePercentileFullHistory": 83.3, "currentLevelPercentileFullHistory": 100.0, "classificationPercentile": 83.3, "label": "notable", "observations30d": 6, "observationsFullHistory": 6, "levelObservationsFullHistory": 7 }, "bf25": { "absoluteMove": 0.29, "movePercentile30d": 66.7, "movePercentileFullHistory": 66.7, "currentLevelPercentileFullHistory": 42.9, "classificationPercentile": 66.7, "label": "routine", "observations30d": 6, "observationsFullHistory": 6, "levelObservationsFullHistory": 7 } } }, { "tenor": "1Y", "targetExpiry": 1819989480738, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.83, "previous": 53.33, "change": -0.5, "percentChange": -0.94 }, "rr25": { "current": 5.63, "previous": 2.6, "change": 3.03, "percentChange": 116.54 }, "bf25": { "current": 5.47, "previous": 5.16, "change": 0.31, "percentChange": 6.01 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.5, "movePercentile30d": 33.3, "movePercentileFullHistory": 33.3, "currentLevelPercentileFullHistory": 28.6, "classificationPercentile": 33.3, "label": "routine", "observations30d": 6, "observationsFullHistory": 6, "levelObservationsFullHistory": 7 }, "rr25": { "absoluteMove": 3.03, "movePercentile30d": 83.3, "movePercentileFullHistory": 83.3, "currentLevelPercentileFullHistory": 100.0, "classificationPercentile": 83.3, "label": "notable", "observations30d": 6, "observationsFullHistory": 6, "levelObservationsFullHistory": 7 }, "bf25": { "absoluteMove": 0.31, "movePercentile30d": 66.7, "movePercentileFullHistory": 66.7, "currentLevelPercentileFullHistory": 42.9, "classificationPercentile": 66.7, "label": "routine", "observations30d": 6, "observationsFullHistory": 6, "levelObservationsFullHistory": 7 } } } ], "listedExpiries": [ { "label": "4SEP26", "expiry": 1788508800000, "tauYears": 0.00175423, "daysToExpiry": 0.64, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 104.26, "previous": 99.28, "change": 4.98, "percentChange": 5.02 }, "atmIv": { "current": 63.08, "previous": 57.23, "change": 5.85, "percentChange": 10.22 }, "rr25": { "current": 3.92, "previous": -2.64, "change": 6.56, "percentChange": 248.48 }, "bf25": { "current": 4.48, "previous": 4.1, "change": 0.38, "percentChange": 9.27 }, "svi": { "a": { "current": -0.0337, "previous": -0.0659, "change": 0.0323, "percentChange": 48.94 }, "b": { "current": 0.1004, "previous": 0.1421, "change": -0.0417, "percentChange": -29.33 }, "rho": { "current": 0.066, "previous": -0.0595, "change": 0.1255, "percentChange": 210.96 }, "m": { "current": 0.0153, "previous": -0.0193, "change": 0.0346, "percentChange": 179.25 }, "sigma": { "current": 0.3428, "previous": 0.475, "change": -0.1322, "percentChange": -27.83 } }, "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": [ 250.669, 240.1348, 229.4657, 218.6663, 207.7436, 196.7074, 185.5708, 174.3519, 163.0749, 151.7721, 140.4872, 129.2792, 118.2296, 107.451, 97.1022, 87.4076, 78.6831, 71.358, 65.9676, 63.0671, 63.043, 65.923, 71.3642, 78.8315, 87.7916, 97.8088, 108.5583, 119.8066, 131.3868, 143.1782, 155.0925, 167.0637, 179.0421, 190.9898, 202.8773, 214.682, 226.3866, 237.9775, 249.4445, 260.7801, 271.9787 ], "previous": [ 181.8388, 174.4084, 166.9456, 159.4585, 151.9568, 144.4523, 136.9593, 129.4948, 122.0802, 114.7412, 107.5101, 100.4267, 93.5415, 86.9179, 80.6361, 74.7968, 69.5246, 64.9686, 61.2965, 58.6793, 57.2626, 57.1326, 58.2912, 60.6545, 64.0766, 68.384, 73.4048, 78.9859, 84.9993, 91.3419, 97.9319, 104.7051, 111.611, 118.61, 125.6706, 132.7677, 139.8814, 146.9953, 154.0965, 161.1743, 168.2202 ], "change": [ 68.8302, 65.7264, 62.5201, 59.2078, 55.7868, 52.2551, 48.6115, 44.8571, 40.9947, 37.0309, 32.9771, 28.8525, 24.6881, 20.5331, 16.4661, 12.6108, 9.1585, 6.3894, 4.6711, 4.3878, 5.7804, 8.7904, 13.073, 18.177, 23.715, 29.4248, 35.1535, 40.8207, 46.3875, 51.8363, 57.1606, 62.3586, 67.4311, 72.3798, 77.2067, 81.9143, 86.5052, 90.9822, 95.348, 99.6058, 103.7585 ], "classification": [ "rotation towards calls", "wing steepening" ], "parallelShift": 31.973, "rotation": 24.183, "wingChange": 39.288, "rmsChange": 53.698 } }, { "label": "11SEP26", "expiry": 1789113600000, "tauYears": 0.02093232, "daysToExpiry": 7.64, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 104.26, "previous": 99.28, "change": 4.98, "percentChange": 5.02 }, "atmIv": { "current": 51.75, "previous": 53.34, "change": -1.59, "percentChange": -2.98 }, "rr25": { "current": 3.52, "previous": -0.12, "change": 3.64, "percentChange": 3033.33 }, "bf25": { "current": 3.78, "previous": 3.4, "change": 0.38, "percentChange": 11.18 }, "svi": { "a": { "current": -0.0845, "previous": -0.0864, "change": 0.0019, "percentChange": 2.22 }, "b": { "current": 0.1701, "previous": 0.163, "change": 0.0071, "percentChange": 4.36 }, "rho": { "current": -0.159, "previous": -0.18, "change": 0.021, "percentChange": 11.68 }, "m": { "current": -0.107, "previous": -0.1023, "change": -0.0047, "percentChange": -4.62 }, "sigma": { "current": 0.5361, "previous": 0.581, "change": -0.0449, "percentChange": -7.73 } }, "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": [ 91.779, 88.4928, 85.2508, 82.0628, 78.9395, 75.8931, 72.9374, 70.0874, 67.3603, 64.7746, 62.3506, 60.11, 58.0759, 56.2714, 54.7195, 53.4419, 52.4574, 51.7805, 51.4208, 51.3815, 51.6591, 52.244, 53.1208, 54.2699, 55.6687, 57.2928, 59.1175, 61.1188, 63.2737, 65.5611, 67.9615, 70.4578, 73.0343, 75.6776, 78.3758, 81.1182, 83.896, 86.7012, 89.5269, 92.3672, 95.2171 ], "previous": [ 90.5732, 87.7279, 84.9236, 82.1675, 79.4676, 76.8327, 74.2725, 71.7975, 69.4194, 67.1503, 65.0038, 62.9938, 61.1349, 59.4421, 57.9302, 56.6135, 55.5055, 54.6176, 53.959, 53.5362, 53.3523, 53.4067, 53.6955, 54.2112, 54.9434, 55.8796, 57.0055, 58.3055, 59.7638, 61.3647, 63.0927, 64.9334, 66.873, 68.8988, 70.9994, 73.1643, 75.384, 77.6501, 79.9551, 82.2923, 84.6557 ], "change": [ 1.2058, 0.7649, 0.3272, -0.1047, -0.5281, -0.9396, -1.3351, -1.7101, -2.0591, -2.3757, -2.6532, -2.8838, -3.059, -3.1707, -3.2107, -3.1716, -3.0481, -2.8371, -2.5382, -2.1547, -1.6932, -1.1627, -0.5747, 0.0587, 0.7253, 1.4132, 2.112, 2.8133, 3.5099, 4.1964, 4.8688, 5.5244, 6.1613, 6.7788, 7.3764, 7.9539, 8.512, 9.0511, 9.5718, 10.0749, 10.5614 ], "classification": [ "rotation towards calls", "wing steepening" ], "parallelShift": 0.174, "rotation": 7.522, "wingChange": 2.801, "rmsChange": 4.595 } }, { "label": "25SEP26", "expiry": 1790323200000, "tauYears": 0.05928845, "daysToExpiry": 21.64, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 104.34, "previous": 99.43, "change": 4.91, "percentChange": 4.94 }, "atmIv": { "current": 52.48, "previous": 53.65, "change": -1.17, "percentChange": -2.18 }, "rr25": { "current": 3.1, "previous": 0.21, "change": 2.89, "percentChange": 1376.19 }, "bf25": { "current": 3.98, "previous": 3.77, "change": 0.21, "percentChange": 5.57 }, "svi": { "a": { "current": -0.0793, "previous": -0.0965, "change": 0.0172, "percentChange": 17.8 }, "b": { "current": 0.1856, "previous": 0.184, "change": 0.0016, "percentChange": 0.85 }, "rho": { "current": -0.2287, "previous": -0.0454, "change": -0.1833, "percentChange": -404.01 }, "m": { "current": -0.1501, "previous": -0.0214, "change": -0.1287, "percentChange": -600.49 }, "sigma": { "current": 0.5284, "previous": 0.622, "change": -0.0936, "percentChange": -15.05 } }, "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": [ 69.906, 68.2446, 66.6328, 65.076, 63.5801, 62.1509, 60.7946, 59.5172, 58.3249, 57.2237, 56.2195, 55.3175, 54.5228, 53.8396, 53.2715, 52.8211, 52.4903, 52.2795, 52.1885, 52.2158, 52.359, 52.6146, 52.9784, 53.4456, 54.0107, 54.6679, 55.411, 56.2337, 57.1298, 58.0931, 59.1176, 60.1975, 61.3272, 62.5016, 63.7157, 64.965, 66.2453, 67.5527, 68.8837, 70.235, 71.6036 ], "previous": [ 70.9789, 69.5705, 68.1944, 66.8543, 65.554, 64.2974, 63.0888, 61.9326, 60.8333, 59.7954, 58.8236, 57.9225, 57.0967, 56.3506, 55.6883, 55.1137, 54.6303, 54.2409, 53.9481, 53.7535, 53.6583, 53.6628, 53.7667, 53.9688, 54.2675, 54.6602, 55.1442, 55.7158, 56.3712, 57.1063, 57.9166, 58.7975, 59.7444, 60.7526, 61.8175, 62.9346, 64.0995, 65.308, 66.5561, 67.8399, 69.156 ], "change": [ -1.0729, -1.3259, -1.5616, -1.7783, -1.9739, -2.1465, -2.2942, -2.4154, -2.5084, -2.5717, -2.6041, -2.605, -2.5739, -2.511, -2.4168, -2.2926, -2.14, -1.9614, -1.7596, -1.5377, -1.2993, -1.0482, -0.7883, -0.5232, -0.2568, 0.0077, 0.2668, 0.5179, 0.7586, 0.9868, 1.201, 1.4, 1.5828, 1.749, 1.8982, 2.0304, 2.1458, 2.2447, 2.3276, 2.3951, 2.4476 ], "classification": [ "rotation towards calls", "wing steepening" ], "parallelShift": -0.901, "rotation": 3.805, "wingChange": 0.598, "rmsChange": 1.859 } }, { "label": "25DEC26", "expiry": 1798185600000, "tauYears": 0.30860355, "daysToExpiry": 112.64, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 104.65, "previous": 99.8, "change": 4.85, "percentChange": 4.86 }, "atmIv": { "current": 52.89, "previous": 53.38, "change": -0.49, "percentChange": -0.92 }, "rr25": { "current": 5.24, "previous": 2.25, "change": 2.99, "percentChange": 132.89 }, "bf25": { "current": 5.08, "previous": 4.95, "change": 0.13, "percentChange": 2.63 }, "svi": { "a": { "current": -0.0816, "previous": -0.0182, "change": -0.0635, "percentChange": -349.22 }, "b": { "current": 0.2617, "previous": 0.2065, "change": 0.0553, "percentChange": 26.76 }, "rho": { "current": -0.1, "previous": -0.0747, "change": -0.0254, "percentChange": -33.94 }, "m": { "current": -0.124, "previous": -0.0398, "change": -0.0842, "percentChange": -211.6 }, "sigma": { "current": 0.6369, "previous": 0.5172, "change": 0.1197, "percentChange": 23.14 } }, "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": [ 55.7501, 55.3427, 54.9571, 54.5942, 54.2548, 53.9397, 53.6497, 53.3854, 53.1474, 52.9364, 52.7528, 52.5969, 52.4691, 52.3696, 52.2985, 52.2559, 52.2416, 52.2556, 52.2976, 52.3673, 52.4642, 52.5879, 52.7377, 52.9132, 53.1135, 53.338, 53.5859, 53.8563, 54.1485, 54.4615, 54.7944, 55.1463, 55.5164, 55.9038, 56.3075, 56.7267, 57.1605, 57.608, 58.0685, 58.5411, 59.025 ], "previous": [ 58.1774, 57.7366, 57.311, 56.9015, 56.5092, 56.135, 55.7798, 55.4446, 55.1305, 54.8381, 54.5685, 54.3223, 54.1005, 53.9035, 53.732, 53.5865, 53.4674, 53.375, 53.3095, 53.271, 53.2594, 53.2747, 53.3165, 53.3847, 53.4786, 53.5979, 53.7419, 53.9099, 54.1012, 54.315, 54.5505, 54.8067, 55.0828, 55.3778, 55.6908, 56.0208, 56.367, 56.7283, 57.104, 57.493, 57.8945 ], "change": [ -2.4273, -2.3939, -2.3539, -2.3073, -2.2544, -2.1953, -2.1301, -2.0592, -1.9831, -1.9017, -1.8157, -1.7254, -1.6314, -1.5339, -1.4335, -1.3306, -1.2258, -1.1194, -1.0119, -0.9037, -0.7952, -0.6868, -0.5788, -0.4715, -0.3651, -0.2599, -0.156, -0.0536, 0.0473, 0.1465, 0.2439, 0.3396, 0.4336, 0.526, 0.6167, 0.7059, 0.7935, 0.8797, 0.9645, 1.0481, 1.1305 ], "classification": [ "rotation towards calls" ], "parallelShift": -0.789, "rotation": 2.06, "wingChange": 0.009, "rmsChange": 1.367 } } ], "events": [ { "type": "rotation", "title": "Largest eligible smile rotation", "label": "11SEP26", "value": 7.522, "score": 7.522, "unit": "volatility points" }, { "type": "rr25", "title": "Largest standard-tenor RR25 move", "label": "2W", "value": 3.88, "score": 3.88, "unit": "volatility points" }, { "type": "atmIv", "title": "Largest standard-tenor ATM IV move", "label": "1W", "value": -1.67, "score": 1.67, "unit": "volatility points" }, { "type": "bf25", "title": "Largest standard-tenor BF25 move", "label": "1W", "value": 0.38, "score": 0.38, "unit": "volatility points" }, { "type": "rho", "title": "Largest eligible SVI rho move", "label": "25SEP26", "value": -0.1833, "score": 0.1833, "unit": "parameter units" }, { "type": "sigma", "title": "Largest eligible SVI sigma move", "label": "25DEC26", "value": 0.1197, "score": 0.1197, "unit": "parameter units" } ], "expiryEffects": [ { "label": "4SEP26", "daysToExpiry": 0.64, "metric": "Smile rotation", "value": 24.183, "unit": "volatility points", "context": "Excluded from headline rankings because the contract has fewer than the configured full days to expiry." } ], "ultraShortThresholdDays": 2.0, "greekCharacteristics": { "highestVega": { "label": "25DEC26", "expiry": 1798185600000, "value": 0.22943693, "metric": "vega", "availability": "available" }, "highestGamma": { "label": "4SEP26", "expiry": 1788508800000, "value": 0.144816859261, "metric": "gamma", "availability": "available" }, "highestThetaDecay": { "label": "4SEP26", "expiry": 1788508800000, "value": -0.8580549, "metric": "theta", "availability": "available" }, "highestVanna": { "label": "25DEC26", "expiry": 1798185600000, "value": 0.00109621, "metric": "vanna", "availability": "available" }, "highestVolga": { "label": "25DEC26", "expiry": 1798185600000, "value": -0.0093622, "metric": "volga", "availability": "available" } }, "heatmap": { "x": [ -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 ], "rows": [ { "label": "4SEP26", "values": [ 68.8302, 65.7264, 62.5201, 59.2078, 55.7868, 52.2551, 48.6115, 44.8571, 40.9947, 37.0309, 32.9771, 28.8525, 24.6881, 20.5331, 16.4661, 12.6108, 9.1585, 6.3894, 4.6711, 4.3878, 5.7804, 8.7904, 13.073, 18.177, 23.715, 29.4248, 35.1535, 40.8207, 46.3875, 51.8363, 57.1606, 62.3586, 67.4311, 72.3798, 77.2067, 81.9143, 86.5052, 90.9822, 95.348, 99.6058, 103.7585 ] }, { "label": "11SEP26", "values": [ 1.2058, 0.7649, 0.3272, -0.1047, -0.5281, -0.9396, -1.3351, -1.7101, -2.0591, -2.3757, -2.6532, -2.8838, -3.059, -3.1707, -3.2107, -3.1716, -3.0481, -2.8371, -2.5382, -2.1547, -1.6932, -1.1627, -0.5747, 0.0587, 0.7253, 1.4132, 2.112, 2.8133, 3.5099, 4.1964, 4.8688, 5.5244, 6.1613, 6.7788, 7.3764, 7.9539, 8.512, 9.0511, 9.5718, 10.0749, 10.5614 ] }, { "label": "25SEP26", "values": [ -1.0729, -1.3259, -1.5616, -1.7783, -1.9739, -2.1465, -2.2942, -2.4154, -2.5084, -2.5717, -2.6041, -2.605, -2.5739, -2.511, -2.4168, -2.2926, -2.14, -1.9614, -1.7596, -1.5377, -1.2993, -1.0482, -0.7883, -0.5232, -0.2568, 0.0077, 0.2668, 0.5179, 0.7586, 0.9868, 1.201, 1.4, 1.5828, 1.749, 1.8982, 2.0304, 2.1458, 2.2447, 2.3276, 2.3951, 2.4476 ] }, { "label": "25DEC26", "values": [ -2.4273, -2.3939, -2.3539, -2.3073, -2.2544, -2.1953, -2.1301, -2.0592, -1.9831, -1.9017, -1.8157, -1.7254, -1.6314, -1.5339, -1.4335, -1.3306, -1.2258, -1.1194, -1.0119, -0.9037, -0.7952, -0.6868, -0.5788, -0.4715, -0.3651, -0.2599, -0.156, -0.0536, 0.0473, 0.1465, 0.2439, 0.3396, 0.4336, 0.526, 0.6167, 0.7059, 0.7935, 0.8797, 0.9645, 1.0481, 1.1305 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-03T16:38:00+00:00", "window": { "startAt": "2026-09-02T16:38:00+00:00", "endAt": "2026-09-03T16:38:00+00:00", "endExclusive": true }, "headline": "Solana options turn strongly call-rich despite lower front-end volatility", "standfirst": "Solana two-week RR25 jumped 3.88 volatility points to 3.97%, an exceptional 100th percentile move that left call-side volatility richer than put-side volatility. Meanwhile, front-end ATM IV declined 1.19 points on average and one-week ATM IV fell 1.67 points to 51.89%.", "days": [ { "reportDate": "2026-09-03", "headline": "Solana skew outpaces volatility decline", "summary": "Two-week call-side richness surged even as one-week and front-end implied volatility eased.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto context was retained.", "events": [] } } ] }, "headline": "Solana options turn strongly call-rich despite lower front-end volatility", "standfirst": "Solana two-week RR25 jumped 3.88 volatility points to 3.97%, an exceptional 100th percentile move that left call-side volatility richer than put-side volatility. Meanwhile, front-end ATM IV declined 1.19 points on average and one-week ATM IV fell 1.67 points to 51.89%.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "SOL", "sessionDate": "2026-09-02", "asOfTimestamp": "2026-09-02T20:00:00+00:00", "summary": "Previous session (latest completed): Persisted common-session crypto and equity-volatility context. The crypto-to-SPX realised-volatility ratio was 9.63, at the 93.2 percentile across 220 prior observations. The 60-session crypto-SPX return correlation was 0.38 from 60 aligned observations.", "regimeInsights": [ "The crypto-to-SPX realised-volatility ratio was 9.63, at the 93.2 percentile across 220 prior observations.", "The 60-session crypto-SPX return correlation was 0.38 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 53.18, "vix": 15.199999809265137, "vix9d": 12.569999694824219, "vix3m": 17.729999542236328, "ivSpread": 37.98000019073486, "ivRatio": 3.4986842544290173, "cryptoRealisedVol20d": 73.1036490998457, "spxRealisedVol20": 7.588171409644216, "rvSpread": 65.51547769020148, "rvRatio": 9.63389532910845, "rvSpreadPercentile": 52.72727272727273, "rvSpreadPercentileSampleCount": 220, "rvRatioPercentile": 93.18181818181819, "rvRatioPercentileSampleCount": 220, "returnCorrelation30": 0.233231285366973, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.38287375102586013, "returnCorrelation60SampleCount": 60 }, "methodology": "Provider: yahoo_finance; quality: valid. Crypto RV annualised on sqrt(365); SPX RV on sqrt(252)." } }