{ "schemaVersion": 3, "reportDate": "2026-09-05", "generatedAt": "2026-09-05T19:44:17+00:00", "currentSnapshotAt": "2026-09-05T18:43:00+00:00", "previousSnapshotAt": "2026-09-04T18:43:00+00:00", "sourceSnapshots": { "current": { "id": 276757, "timestamp": "2026-09-05T18:43:00+00:00" }, "previous": { "id": 266683, "timestamp": "2026-09-04T18:43:00+00:00" } }, "windowHours": 24.0, "currency": "SOL", "methodology": { "source": "Derivasys proprietary historical SVI surface database", "comparison": "Nearest successful surface snapshots approximately 24 hours apart", "rrConvention": "25-delta call IV minus 25-delta put IV", "bfConvention": "Average 25-delta wing IV minus ATM forward IV", "greeks": "Black forward Greeks for a normalized one-SOL ATM-forward call, zero rate, fitted SVI IV", "commentary": "Metrics and takeaways are deterministic. Daily headlines and introductions may be model-assisted, constrained to the same stored facts; weekly prose is deterministic.", "fixedTenors": "Fixed-tenor measures are published only when listed expiries bracket the target at both comparison snapshots. Targets outside either observable range are suppressed, not extrapolated; headline rankings use only supported tenors.", "smileReconstruction": "Listed-expiry smiles are reconstructed from stored SVI total-variance parameters on a fixed log-moneyness grid.", "ultraShortExpiry": "Expiries with fewer than 2 full days remaining stay in detailed tables but are excluded from headline rankings. Settlement proximity, time decay, changing liquidity and fewer quotes can exaggerate their changes.", "causalClaims": "The report describes observed surface changes only and does not infer unsupported market drivers, spot moves, flows or forecasts." }, "realisedVolatilityUnavailableReason": "Canonical SOL index coverage for 24h is incomplete: expected 1440 returns, found 1405", "fitQuality": { "currentObjective": 0.02535715, "previousObjective": 0.03705312, "currentLiveError": 11.00570448, "previousLiveError": 26.7186164 }, "coverage": { "currentListedExpiries": 7, "previousListedExpiries": 7, "comparedListedExpiries": 6, "addedExpiries": [ "7SEP26" ], "removedExpiries": [ "5SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M" ], "suppressedFixedTenors": [ "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Solana\u2019s near-expiry rotation leads a firmer front end", "executiveSummary": "Solana options showed their largest adjustment in the nearest expiry, while standard one-week implied volatility and two-week call-side volatility also increased.", "evidenceIds": [ "rr25", "largest-standard-tenor", "front-atm" ], "newsSummary": "No report-relevant news context qualified for inclusion.", "marketContextSummary": "No retained news item supports an assessment of the options repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +1.35 volatility points to 51.17% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV is unavailable because comparable observations were not present at both snapshots." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +1.02 volatility points to 2.92% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.04 volatility points to 4.00% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +1.90 volatility points at 1W, to 50.62%.", "tenor": "1W", "value": 1.9 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-05T18:43:00+00:00", "window": { "startAt": "2026-09-04T18:43:00+00:00", "endAt": "2026-09-05T18:43:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-09-04T18:43:00+00:00", "endAt": "2026-09-05T18:43:00+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, "discoveryEventsScanned": 63, "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": 0, "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": "1W ATM IV rose 1.90 volatility points to 50.62%. Front-end ATM IV averaged 51.17%, +1.35 points from the prior snapshot. Long-dated fixed tenors were suppressed because listed expiries did not bracket them. 2W RR25 moved 1.58 volatility points toward calls to 2.60%, leaving calls richer than puts. 1W BF25 rose 0.23 volatility points to 3.49%. The nearest eligible forward, 11SEP26, rose $2.11 (+2.08%) to $103.79. Realised-volatility comparisons were unavailable because the canonical minute series did not meet the completeness requirement. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.", "wordCount": 93, "source": "deterministic structured report facts", "evidenceFields": [ "summaryMetrics.largestAtmMove", "summaryMetrics.frontEndAverageAtm", "summaryMetrics.largestRr25Move", "summaryMetrics.largestBf25Move", "summaryMetrics.nearestEligibleForwardMove", "newsContext.outcome", "newsContext.highest_causal_confidence" ] }, "facts": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +1.35 volatility points to 51.17% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV is unavailable because comparable observations were not present at both snapshots." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +1.02 volatility points to 2.92% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.04 volatility points to 4.00% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +1.90 volatility points at 1W, to 50.62%.", "tenor": "1W", "value": 1.9 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 1.16, "rr25Change": 1.02, "bf25Change": 0.04, "largestAtmMove": { "tenor": "1W", "current": 50.62, "previous": 48.72, "change": 1.9, "historicalSignificance": { "absoluteMove": 1.9, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 8, "observationsFullHistory": 8, "levelObservationsFullHistory": 9 } }, "frontEndAverageAtm": { "current": 51.17, "previous": 49.81, "change": 1.35 }, "longEndAverageAtm": { "current": null, "previous": null, "change": null }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "2W", "current": 2.6, "previous": 1.02, "change": 1.58, "historicalSignificance": { "absoluteMove": 1.58, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 8, "observationsFullHistory": 8, "levelObservationsFullHistory": 9 }, "direction": "toward calls", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "1W", "current": 3.49, "previous": 3.26, "change": 0.23, "historicalSignificance": { "absoluteMove": 0.23, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 8, "observationsFullHistory": 8, "levelObservationsFullHistory": 9 } }, "nearestEligibleForwardMove": { "label": "11SEP26", "daysToExpiry": 5.553, "current": 103.79, "previous": 101.68, "change": 2.11, "percentChange": 2.08 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789238580195, "availability": "available", "unavailableReason": null, "atmIv": { "current": 50.62, "previous": 48.72, "change": 1.9, "percentChange": 3.9 }, "rr25": { "current": 2.25, "previous": 2.44, "change": -0.19, "percentChange": -7.79 }, "bf25": { "current": 3.49, "previous": 3.26, "change": 0.23, "percentChange": 7.06 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.9, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 8, "observationsFullHistory": 8, "levelObservationsFullHistory": 9 }, "rr25": { "absoluteMove": 0.19, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 8, "observationsFullHistory": 8, "levelObservationsFullHistory": 9 }, "bf25": { "absoluteMove": 0.23, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 8, "observationsFullHistory": 8, "levelObservationsFullHistory": 9 } } }, { "tenor": "2W", "targetExpiry": 1789843380195, "availability": "available", "unavailableReason": null, "atmIv": { "current": 51.26, "previous": 49.98, "change": 1.28, "percentChange": 2.56 }, "rr25": { "current": 2.6, "previous": 1.02, "change": 1.58, "percentChange": 154.9 }, "bf25": { "current": 3.56, "previous": 3.5, "change": 0.06, "percentChange": 1.71 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.28, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 8, "observationsFullHistory": 8, "levelObservationsFullHistory": 9 }, "rr25": { "absoluteMove": 1.58, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 8, "observationsFullHistory": 8, "levelObservationsFullHistory": 9 }, "bf25": { "absoluteMove": 0.06, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 8, "observationsFullHistory": 8, "levelObservationsFullHistory": 9 } } }, { "tenor": "1M", "targetExpiry": 1791225780195, "availability": "available", "unavailableReason": null, "atmIv": { "current": 51.62, "previous": 50.74, "change": 0.88, "percentChange": 1.73 }, "rr25": { "current": 3.2, "previous": 1.72, "change": 1.48, "percentChange": 86.05 }, "bf25": { "current": 4.02, "previous": 4.1, "change": -0.08, "percentChange": -1.95 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.88, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 8, "observationsFullHistory": 8, "levelObservationsFullHistory": 9 }, "rr25": { "absoluteMove": 1.48, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 8, "observationsFullHistory": 8, "levelObservationsFullHistory": 9 }, "bf25": { "absoluteMove": 0.08, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 8, "observationsFullHistory": 8, "levelObservationsFullHistory": 9 } } }, { "tenor": "3M", "targetExpiry": 1796496180195, "availability": "available", "unavailableReason": null, "atmIv": { "current": 51.44, 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null, "label": "unavailable", "observations30d": 8, "observationsFullHistory": 8, "levelObservationsFullHistory": 9 } } }, { "tenor": "6M", "targetExpiry": 1804358580195, "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": 1812220980195, "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": 1820169780195, "availability": "unavailable", "unavailableReason": "The target 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0.8746, 0.8965, 0.916, 0.9332, 0.9481, 0.9608, 0.9714, 0.98, 0.9866 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-05T18:43:00+00:00", "window": { "startAt": "2026-09-04T18:43:00+00:00", "endAt": "2026-09-05T18:43:00+00:00", "endExclusive": true }, "headline": "Solana options reprice as 18sep26 smile rotation leads surface moves", "standfirst": "Solana\u2019s nearest-expiry smile rotation led the daily options-surface changes. Solana one-week ATM IV rose 1.90 volatility points to 50.62%, while Solana one-week, two-week and one-month ATM IV averaged 51.17% after a 1.35-point increase. Solana two-week RR25 moved 1.58 volatility points toward call-side volatility to 2.60%.", "days": [ { "reportDate": "2026-09-05", "headline": "Solana near-expiry pricing makes the move", "summary": "Near-expiry rotation led alongside higher front-end implied volatility and call-rich skew. No additional qualifying evidence was identified for that session.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying Solana context was retained.", "events": [] } } ] }, "headline": "Solana options reprice as 18sep26 smile rotation leads surface moves", "standfirst": "Solana\u2019s nearest-expiry smile rotation led the daily options-surface changes. Solana one-week ATM IV rose 1.90 volatility points to 50.62%, while Solana one-week, two-week and one-month ATM IV averaged 51.17% after a 1.35-point increase. Solana two-week RR25 moved 1.58 volatility points toward call-side volatility to 2.60%.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "SOL", "sessionDate": "2026-09-04", "asOfTimestamp": "2026-09-04T20:00:00+00:00", "summary": "Previous session (latest completed): Completed common session: SOL 30D ATM IV 50.73 volatility points; VIX 14.53; IV spread 36.20. SOL 20D realised volatility 76.4828 versus SPX 8.3001. The crypto-to-SPX realised-volatility ratio was 9.21, at the 91.9 percentile across 222 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 9.21, at the 91.9 percentile across 222 prior observations.", "The 60-session crypto-SPX return correlation was 0.38 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 50.73, "vix": 14.529999732971191, "vix9d": 11.970000267028809, "vix3m": 17.610000610351562, "ivSpread": 36.200000267028805, "ivRatio": 3.4913971735928166, "cryptoRealisedVol20d": 76.4827989361067, "spxRealisedVol20": 8.300077397171014, "rvSpread": 68.1827215389357, "rvRatio": 9.214709125745621, "rvSpreadPercentile": 59.45945945945946, "rvSpreadPercentileSampleCount": 222, "rvRatioPercentile": 91.89189189189189, "rvRatioPercentileSampleCount": 222, "returnCorrelation30": 0.25240915363830735, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.3833016893008728, "returnCorrelation60SampleCount": 60 }, "methodology": "DerivaSys market-context-v1. Crypto RV: 20 calendar-day close-to-close log returns, sqrt(365); SPX RV: 20 US trading-session close-to-close log returns, sqrt(252). Sources: DerivaSys 30-day fixed-tenor surface; DerivaSys canonical crypto index; ^VIX and ^GSPC via Yahoo Finance." } }