{ "schemaVersion": 3, "reportDate": "2026-09-04", "generatedAt": "2026-09-04T16:55:38+00:00", "currentSnapshotAt": "2026-09-04T16:48:00+00:00", "previousSnapshotAt": "2026-09-03T16:48:00+00:00", "sourceSnapshots": { "current": { "id": 265880, "timestamp": "2026-09-04T16:48:00+00:00" }, "previous": { "id": 255813, "timestamp": "2026-09-03T16:48:00+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 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 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": "2026-09-04T16:48:00+00:00", "spotMove24hPercent": -2.45, "rv24hPercent": 73.62, "rv7dPercent": 58.51, "rv30dPercent": 65.34, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 48.96, "oneWeekIvMinus7dRvPoints": -9.55, "oneWeekIvMinus24hRvPoints": -24.66, "oneWeekIvMinus30dRvPoints": -16.38 }, "fitQuality": { "currentObjective": 0.05149668, "previousObjective": 0.00643415, "currentLiveError": 26.98555264, "previousLiveError": 4.95293597 }, "coverage": { "currentListedExpiries": 7, "previousListedExpiries": 7, "comparedListedExpiries": 6, "addedExpiries": [ "6SEP26" ], "removedExpiries": [ "4SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M" ], "suppressedFixedTenors": [ "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Solana options remain below realised volatility", "executiveSummary": "Solana one-week implied volatility remained below seven-day realised volatility as the nearest eligible forward declined.", "evidenceIds": [ "realised-vol", "rr25" ], "newsSummary": "No qualifying news context was retained for the observed Solana options move.", "marketContextSummary": "No retained news item provides a supported direct explanation for Solana\u2019s options repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:48 UTC cutoff, 1W ATM IV was 48.96%, 9.55 volatility points below seven-day realised volatility of 58.51%; 24-hour realised volatility was 73.62% and 30-day realised volatility was 65.34%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -2.13 volatility points to 50.25% 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 puts, averaging -2.22 volatility points to 1.88% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.27 volatility points to 3.95% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -2.50 volatility points at 1W, to 48.96%.", "tenor": "1W", "value": -2.5 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-04T16:48:00+00:00", "window": { "startAt": "2026-09-03T16:48:00+00:00", "endAt": "2026-09-04T16:48:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-09-03T16:48:00+00:00", "endAt": "2026-09-04T16:48:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 1, "macroQueries": 1, "canonicalEventsConsidered": 2, "publishersRepresented": 2, "discoveryEventsScanned": 14, "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": 2, "feedEntriesScanned": 2, "articlesPassingTimeFilter": 2, "articlesPassingSourceRelevanceRules": 2, "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 2.69 volatility points toward puts to 1.36%, leaving calls richer than puts. At the cutoff, realised volatility measured 73.62% over 24 hours, 58.51% over seven days and 65.34% over 30 days. Front-end ATM IV averaged 50.25%, -2.13 points from the prior snapshot. Long-dated fixed tenors were suppressed because listed expiries did not bracket them. 1W ATM IV fell 2.50 volatility points to 48.96%. 1W BF25 fell 0.54 volatility points to 3.27%. The nearest eligible forward, 11SEP26, fell $2.58 (-2.47%) to $101.98. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.", "wordCount": 97, "source": "deterministic structured report facts", "evidenceFields": [ "summaryMetrics.largestAtmMove", "realisedVolatility.rv24hPercent", "realisedVolatility.rv7dPercent", "realisedVolatility.rv30dPercent", "summaryMetrics.frontEndAverageAtm", "summaryMetrics.largestRr25Move", "summaryMetrics.largestBf25Move", "summaryMetrics.nearestEligibleForwardMove", "newsContext.outcome", "newsContext.highest_causal_confidence" ] }, "facts": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:48 UTC cutoff, 1W ATM IV was 48.96%, 9.55 volatility points below seven-day realised volatility of 58.51%; 24-hour realised volatility was 73.62% and 30-day realised volatility was 65.34%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -2.13 volatility points to 50.25% 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 puts, averaging -2.22 volatility points to 1.88% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.27 volatility points to 3.95% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -2.50 volatility points at 1W, to 48.96%.", "tenor": "1W", "value": -2.5 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -2.12, "rr25Change": -2.22, "bf25Change": -0.27, "largestAtmMove": { "tenor": "1W", "current": 48.96, "previous": 51.46, "change": -2.5, "historicalSignificance": { "absoluteMove": 2.5, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 7, "observationsFullHistory": 7, "levelObservationsFullHistory": 8 } }, "frontEndAverageAtm": { "current": 50.25, "previous": 52.38, "change": -2.13 }, "longEndAverageAtm": { "current": null, "previous": null, "change": null }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "2W", "current": 1.36, "previous": 4.05, "change": -2.69, "historicalSignificance": { "absoluteMove": 2.69, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 7, "observationsFullHistory": 7, "levelObservationsFullHistory": 8 }, "direction": "toward puts", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "1W", "current": 3.27, "previous": 3.81, "change": -0.54, "historicalSignificance": { "absoluteMove": 0.54, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 7, "observationsFullHistory": 7, "levelObservationsFullHistory": 8 } }, "nearestEligibleForwardMove": { "label": "11SEP26", "daysToExpiry": 6.633, "current": 101.98, "previous": 104.56, "change": -2.58, "percentChange": -2.47 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789145280698, "availability": "available", "unavailableReason": null, "atmIv": { "current": 48.96, "previous": 51.46, "change": -2.5, "percentChange": -4.86 }, "rr25": { "current": 2.09, "previous": 3.33, "change": -1.24, "percentChange": -37.24 }, "bf25": { "current": 3.27, "previous": 3.81, "change": -0.54, "percentChange": -14.17 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.5, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 7, "observationsFullHistory": 7, "levelObservationsFullHistory": 8 }, "rr25": { "absoluteMove": 1.24, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 7, "observationsFullHistory": 7, "levelObservationsFullHistory": 8 }, "bf25": { "absoluteMove": 0.54, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 7, "observationsFullHistory": 7, "levelObservationsFullHistory": 8 } } }, { "tenor": "2W", "targetExpiry": 1789750080698, "availability": "available", "unavailableReason": null, "atmIv": { "current": 50.84, "previous": 52.85, "change": -2.01, "percentChange": -3.8 }, "rr25": { "current": 1.36, "previous": 4.05, "change": -2.69, "percentChange": -66.42 }, "bf25": { "current": 3.52, "previous": 3.79, "change": -0.27, "percentChange": -7.12 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.01, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 7, "observationsFullHistory": 7, "levelObservationsFullHistory": 8 }, "rr25": { "absoluteMove": 2.69, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 7, "observationsFullHistory": 7, "levelObservationsFullHistory": 8 }, "bf25": { "absoluteMove": 0.27, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 7, "observationsFullHistory": 7, "levelObservationsFullHistory": 8 } } }, { "tenor": "1M", "targetExpiry": 1791132480698, "availability": "available", "unavailableReason": null, "atmIv": { "current": 50.94, "previous": 52.82, "change": -1.88, "percentChange": -3.56 }, "rr25": { "current": 1.51, "previous": 3.81, "change": -2.3, "percentChange": -60.37 }, "bf25": { "current": 4.09, "previous": 4.25, "change": -0.16, "percentChange": -3.76 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.88, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 7, "observationsFullHistory": 7, "levelObservationsFullHistory": 8 }, "rr25": { "absoluteMove": 2.3, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 7, "observationsFullHistory": 7, "levelObservationsFullHistory": 8 }, "bf25": { "absoluteMove": 0.16, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 7, "observationsFullHistory": 7, "levelObservationsFullHistory": 8 } } }, { "tenor": "3M", "targetExpiry": 1796402880698, "availability": "available", "unavailableReason": null, "atmIv": { "current": 50.9, "previous": 53.0, "change": -2.1, "percentChange": -3.96 }, "rr25": { "current": 2.55, "previous": 5.2, "change": -2.65, "percentChange": -50.96 }, "bf25": { "current": 4.91, "previous": 5.02, "change": -0.11, "percentChange": -2.19 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.1, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 7, "observationsFullHistory": 7, "levelObservationsFullHistory": 8 }, "rr25": { "absoluteMove": 2.65, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 7, "observationsFullHistory": 7, "levelObservationsFullHistory": 8 }, "bf25": { "absoluteMove": 0.11, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 7, "observationsFullHistory": 7, "levelObservationsFullHistory": 8 } } }, { "tenor": "6M", "targetExpiry": 1804265280698, "availability": "unavailable", "unavailableReason": "The target tenor falls outside the listed-expiry range at one or both snapshots; extrapolated values are suppressed.", "atmIv": { "current": null, "previous": null, "change": null, "percentChange": null }, "rr25": { "current": null, "previous": null, "change": null, "percentChange": null }, "bf25": { "current": null, "previous": null, "change": null, "percentChange": null }, "historicalSignificance": { "atmIv": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 }, "rr25": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 }, "bf25": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 } } }, { "tenor": "9M", "targetExpiry": 1812127680698, "availability": "unavailable", "unavailableReason": "The target tenor falls outside the listed-expiry range at one or both snapshots; extrapolated values are suppressed.", "atmIv": { "current": null, "previous": null, "change": null, "percentChange": null }, "rr25": { "current": null, "previous": null, "change": null, "percentChange": null }, "bf25": { "current": null, "previous": null, "change": null, "percentChange": null }, "historicalSignificance": { "atmIv": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 }, "rr25": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 }, "bf25": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 } } }, { "tenor": "1Y", "targetExpiry": 1820076480698, "availability": "unavailable", "unavailableReason": "The target tenor falls outside the listed-expiry range at one or both snapshots; extrapolated values are suppressed.", "atmIv": { "current": null, "previous": null, "change": null, "percentChange": null }, "rr25": { "current": null, "previous": null, "change": null, "percentChange": null }, "bf25": { "current": null, "previous": null, "change": null, "percentChange": null }, "historicalSignificance": { "atmIv": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 }, "rr25": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 }, "bf25": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 } } } ], "listedExpiries": [ { "label": "5SEP26", "expiry": 1788595200000, "tauYears": 0.00173521, "daysToExpiry": 0.633, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 101.98, "previous": 104.56, "change": -2.58, "percentChange": -2.47 }, "atmIv": { "current": 53.99, "previous": 57.63, "change": -3.64, "percentChange": -6.32 }, "rr25": { "current": -3.3, "previous": 2.6, "change": -5.9, "percentChange": -226.92 }, "bf25": { "current": 2.42, "previous": 5.88, "change": -3.46, "percentChange": -58.84 }, "svi": { "a": { "current": -0.0498, "previous": -0.0448, "change": -0.005, "percentChange": -11.06 }, "b": { "current": 0.098, "previous": 0.1385, "change": -0.0406, "percentChange": -29.27 }, "rho": { "current": -0.1022, "previous": 0.0293, "change": -0.1315, "percentChange": -448.7 }, "m": { "current": -0.0424, "previous": 0.005, "change": -0.0474, "percentChange": -945.01 }, "sigma": { "current": 0.5161, "previous": 0.3346, "change": 0.1816, "percentChange": 54.27 } }, "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": [ 231.3641, 221.2938, 211.1752, 201.0162, 190.8261, 180.616, 170.399, 160.1914, 150.0124, 139.8863, 129.8432, 119.9216, 110.1715, 100.6594, 91.4746, 82.7396, 74.6237, 67.3586, 61.2515, 56.6759, 54.0149, 53.5413, 55.2931, 59.0505, 64.4398, 71.0651, 78.5886, 86.7512, 95.3633, 104.2889, 113.4299, 122.7152, 132.092, 141.5212, 150.9727, 160.4235, 169.8557, 179.2552, 188.6107, 197.9133, 207.156 ], "previous": [ 192.777, 184.9697, 177.072, 169.0892, 161.029, 152.9015, 144.7201, 136.5025, 128.2715, 120.0573, 111.8992, 103.8489, 95.9747, 88.3674, 81.1472, 74.4727, 68.5488, 63.6281, 59.9952, 57.9225, 57.5982, 59.0601, 62.1806, 66.7165, 72.3841, 78.9161, 86.0883, 93.7235, 101.686, 109.8729, 118.2058, 126.6252, 135.0857, 143.5521, 151.9972, 160.4, 168.7443, 177.0176, 185.2103, 193.3152, 201.3272 ], "change": [ 38.5871, 36.3241, 34.1032, 31.927, 29.7971, 27.7145, 25.6789, 23.6889, 21.7409, 19.829, 17.944, 16.0727, 14.1968, 12.292, 10.3274, 8.2669, 6.0749, 3.7305, 1.2563, -1.2466, -3.5833, -5.5188, -6.8875, 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0.7251, 0.6256, 0.5183, 0.4035, 0.2817, 0.153, 0.0181, -0.1224, -0.2681, -0.4178, -0.5711, -0.7268, -0.8842, -1.0423, -1.2, -1.3565, -1.5108, -1.6621, -1.8095, -1.9524, -2.0898, -2.2216, -2.347, -2.4658, -2.5777, -2.6826, -2.7804, -2.8712, -2.955, -3.032, -3.1025, -3.1667, -3.225, -3.2778, -3.3251, -3.3676, -3.4056, -3.4394, -3.4693, -3.4958 ] }, { "label": "25DEC26", "values": [ 0.021, -0.0459, -0.1175, -0.1935, -0.2738, -0.358, -0.4457, -0.5369, -0.6308, -0.7271, -0.8254, -0.9253, -1.0263, -1.1277, -1.2291, -1.3301, -1.4301, -1.5287, -1.6254, -1.7198, -1.8116, -1.9003, -1.9858, -2.0677, -2.1458, -2.2201, -2.2902, -2.3564, -2.4184, -2.4762, -2.5301, -2.58, -2.6259, -2.6682, -2.7068, -2.742, -2.774, -2.8029, -2.829, -2.8523, -2.8732 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-04T16:48:00+00:00", "window": { "startAt": "2026-09-03T16:48:00+00:00", "endAt": "2026-09-04T16:48:00+00:00", "endExclusive": true }, "headline": "Solana options remain cheap to realised volatility", "standfirst": "Solana one-week implied volatility remained below seven-day realised volatility. The front end softened and two-week skew moved toward puts while remaining call-rich. The evidence is retained as context and does not establish causation for the measured options move.", "days": [ { "reportDate": "2026-09-04", "headline": "Solana implied volatility trails realised", "summary": "One-week implied volatility remained well below realised volatility despite continued weakness in the forward.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto context was retained.", "events": [] } } ] }, "headline": "Solana options remain cheap to realised volatility", "standfirst": "Solana one-week implied volatility remained below seven-day realised volatility. The front end softened and two-week skew moved toward puts while remaining call-rich.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "SOL", "sessionDate": "2026-09-03", "asOfTimestamp": "2026-09-03T20:00:00+00:00", "summary": "Previous session (latest completed): SOL 30-day ATM IV was 52.88 volatility points versus VIX at 14.32; crypto 20-calendar-day RV was 73.8519 versus SPX 20-session RV at 8.4890. The crypto-to-SPX realised-volatility ratio was 8.70, at the 91.4 percentile across 221 prior observations. The 60-session crypto-SPX return correlation was 0.40 from 60 aligned observations.", "regimeInsights": [ "The crypto-to-SPX realised-volatility ratio was 8.70, at the 91.4 percentile across 221 prior observations.", "The 60-session crypto-SPX return correlation was 0.40 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 52.88, "vix": 14.319999694824219, "vix9d": 11.680000305175781, "vix3m": 17.420000076293945, "ivSpread": 38.560000305175784, "ivRatio": 3.69273750886411, "cryptoRealisedVol20d": 73.85188101882811, "spxRealisedVol20": 8.489037652770298, "rvSpread": 65.36284336605782, "rvRatio": 8.69967645799373, "rvSpreadPercentile": 52.48868778280543, "rvSpreadPercentileSampleCount": 221, "rvRatioPercentile": 91.4027149321267, "rvRatioPercentileSampleCount": 221, "returnCorrelation30": 0.2324082287246102, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.3955413323873608, "returnCorrelation60SampleCount": 60 }, "methodology": "Persisted DerivaSys market-context v1. Crypto RV is annualised with sqrt(365); SPX RV with sqrt(252). Sources: DerivaSys fixed-tenor surface/canonical crypto index and Yahoo Finance ^VIX/^GSPC." } }