{ "schemaVersion": 3, "reportDate": "2026-09-07", "generatedAt": "2026-09-07T17:03:03+00:00", "currentSnapshotAt": "2026-09-07T16:54:00+00:00", "previousSnapshotAt": "2026-09-06T16:54:00+00:00", "sourceSnapshots": { "current": { "id": 296120, "timestamp": "2026-09-07T16:54:00+00:00" }, "previous": { "id": 286066, "timestamp": "2026-09-06T16:54:00+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 7d is incomplete: expected 10080 returns, found 10045", "fitQuality": { "currentObjective": 0.03029925, "previousObjective": 0.02484214, "currentLiveError": 22.71290261, "previousLiveError": 20.63573594 }, "coverage": { "currentListedExpiries": 7, "previousListedExpiries": 7, "comparedListedExpiries": 6, "addedExpiries": [ "9SEP26" ], "removedExpiries": [ "7SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M" ], "suppressedFixedTenors": [ "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Solana options rotate lower with put-side volatility richer", "executiveSummary": "Solana\u2019s key surface development was the one-week RR25 decline, which left put-side volatility slightly richer than call-side volatility as front-end ATM IV softened.", "evidenceIds": [ "rr25", "front-atm" ], "newsSummary": "No qualifying news context was retained for Solana options.", "marketContextSummary": "No retained news item supports a link to Solana options repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -0.62 volatility points to 53.18% 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 -2.32 volatility points to 1.27% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.06 volatility points to 4.23% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -1.14 volatility points at 1W, to 53.53%.", "tenor": "1W", "value": -1.14 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-07T16:54:00+00:00", "window": { "startAt": "2026-09-06T16:54:00+00:00", "endAt": "2026-09-07T16:54:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-09-06T16:54:00+00:00", "endAt": "2026-09-07T16:54:00+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": 7, "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": 1, "articlesPassingTimeFilter": 1, "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 RR25 moved 3.33 volatility points toward puts to -0.14%, leaving puts richer than calls. Front-end ATM IV averaged 53.18%, -0.62 points from the prior snapshot. Long-dated fixed tenors were suppressed because listed expiries did not bracket them. 1W ATM IV fell 1.14 volatility points to 53.53%. 3M BF25 rose 0.32 volatility points to 4.93%. The nearest eligible forward, 11SEP26, fell $2.31 (-2.18%) to $103.83. 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 decreased, averaging -0.62 volatility points to 53.18% 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 -2.32 volatility points to 1.27% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.06 volatility points to 4.23% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -1.14 volatility points at 1W, to 53.53%.", "tenor": "1W", "value": -1.14 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -0.52, "rr25Change": -2.32, "bf25Change": 0.06, "largestAtmMove": { "tenor": "1W", "current": 53.53, "previous": 54.67, "change": -1.14, "historicalSignificance": { "absoluteMove": 1.14, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 10, "observationsFullHistory": 10, "levelObservationsFullHistory": 11 } }, "frontEndAverageAtm": { "current": 53.18, "previous": 53.8, "change": -0.62 }, "longEndAverageAtm": { "current": null, "previous": null, "change": null }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": -0.14, "previous": 3.19, "change": -3.33, "historicalSignificance": { "absoluteMove": 3.33, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 10, "observationsFullHistory": 10, "levelObservationsFullHistory": 11 }, "direction": "toward puts", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "3M", "current": 4.93, "previous": 4.61, "change": 0.32, "historicalSignificance": { "absoluteMove": 0.32, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 10, "observationsFullHistory": 10, "levelObservationsFullHistory": 11 } }, "nearestEligibleForwardMove": { "label": "11SEP26", "daysToExpiry": 3.629, "current": 103.83, "previous": 106.14, "change": -2.31, "percentChange": -2.18 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789404840265, "availability": "available", "unavailableReason": null, "atmIv": { "current": 53.53, "previous": 54.67, "change": -1.14, "percentChange": -2.09 }, "rr25": { "current": -0.14, "previous": 3.19, "change": -3.33, "percentChange": -104.39 }, "bf25": { "current": 4.02, "previous": 3.81, "change": 0.21, "percentChange": 5.51 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.14, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 10, "observationsFullHistory": 10, "levelObservationsFullHistory": 11 }, "rr25": { "absoluteMove": 3.33, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 10, "observationsFullHistory": 10, "levelObservationsFullHistory": 11 }, "bf25": { "absoluteMove": 0.21, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 10, "observationsFullHistory": 10, "levelObservationsFullHistory": 11 } } }, { "tenor": "2W", "targetExpiry": 1790009640265, "availability": "available", "unavailableReason": null, "atmIv": { "current": 53.43, "previous": 53.84, "change": -0.41, "percentChange": -0.76 }, "rr25": { "current": 0.95, "previous": 3.65, "change": -2.7, "percentChange": -73.97 }, "bf25": { "current": 3.95, "previous": 3.97, "change": -0.02, "percentChange": -0.5 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.41, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 10, "observationsFullHistory": 10, "levelObservationsFullHistory": 11 }, "rr25": { "absoluteMove": 2.7, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 10, "observationsFullHistory": 10, "levelObservationsFullHistory": 11 }, "bf25": { "absoluteMove": 0.02, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 10, "observationsFullHistory": 10, "levelObservationsFullHistory": 11 } } }, { "tenor": "1M", "targetExpiry": 1791392040265, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.58, "previous": 52.9, "change": -0.32, "percentChange": -0.6 }, "rr25": { "current": 1.68, "previous": 3.84, "change": -2.16, "percentChange": -56.25 }, "bf25": { "current": 4.02, "previous": 4.28, "change": -0.26, "percentChange": -6.07 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.32, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 10, "observationsFullHistory": 10, "levelObservationsFullHistory": 11 }, "rr25": { "absoluteMove": 2.16, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 10, "observationsFullHistory": 10, "levelObservationsFullHistory": 11 }, "bf25": { "absoluteMove": 0.26, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 10, "observationsFullHistory": 10, "levelObservationsFullHistory": 11 } } }, { "tenor": "3M", "targetExpiry": 1796662440265, "availability": "available", "unavailableReason": null, "atmIv": { "current": 51.68, "previous": 51.91, "change": -0.23, "percentChange": -0.44 }, "rr25": { "current": 2.59, "previous": 3.69, "change": -1.1, "percentChange": -29.81 }, "bf25": { "current": 4.93, "previous": 4.61, "change": 0.32, "percentChange": 6.94 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.23, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 10, "observationsFullHistory": 10, "levelObservationsFullHistory": 11 }, "rr25": { "absoluteMove": 1.1, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 10, "observationsFullHistory": 10, "levelObservationsFullHistory": 11 }, "bf25": { "absoluteMove": 0.32, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 10, "observationsFullHistory": 10, "levelObservationsFullHistory": 11 } } }, { "tenor": "6M", "targetExpiry": 1804524840265, "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": 1812387240265, "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": 1820336040265, "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": "8SEP26", "expiry": 1788854400000, "tauYears": 0.00172379, "daysToExpiry": 0.629, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 103.82, "previous": 106.14, "change": -2.32, "percentChange": -2.19 }, "atmIv": { "current": 54.42, "previous": 52.55, "change": 1.87, "percentChange": 3.56 }, "rr25": { "current": -0.23, "previous": 2.62, "change": -2.85, "percentChange": -108.78 }, "bf25": { "current": 1.97, "previous": 4.0, "change": -2.03, "percentChange": -50.75 }, "svi": { "a": { "current": -0.0619, "previous": -0.052, "change": -0.0098, "percentChange": -18.85 }, "b": { "current": 0.0986, "previous": 0.1297, "change": -0.0311, "percentChange": -23.97 }, "rho": { "current": 0.0322, "previous": 0.0718, "change": -0.0396, "percentChange": -55.14 }, "m": { "current": 0.0216, "previous": 0.0227, "change": -0.0011, "percentChange": -4.87 }, "sigma": { "current": 0.6328, "previous": 0.4118, "change": 0.221, "percentChange": 53.67 } }, "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": [ 203.1722, 194.2699, 185.3398, 176.3897, 167.4285, 158.4671, 149.5188, 140.6002, 131.7316, 122.9388, 114.255, 105.7229, 97.3987, 89.3572, 81.6988, 74.5583, 68.1153, 62.6008, 58.2932, 55.4861, 54.4215, 55.2063, 57.7679, 61.8858, 67.2722, 73.6445, 80.7634, 88.4409, 96.5354, 104.9409, 113.5784, 122.3886, 131.3262, 140.356, 149.4508, 158.5885, 167.7515, 176.9255, 186.0986, 195.2608, 204.4038 ], "previous": [ 169.3299, 162.2861, 155.1857, 148.0352, 140.8429, 133.6196, 126.3788, 119.1377, 111.9183, 104.7488, 97.6654, 90.7153, 83.9602, 77.4809, 71.3836, 65.8057, 60.9213, 56.9387, 54.0846, 52.5661, 52.5167, 53.952, 56.7651, 60.7651, 65.7308, 71.4526, 77.752, 84.4858, 91.5423, 98.8355, 106.2989, 113.8809, 121.5414, 129.2485, 136.9769, 144.7062, 152.4201, 160.1053, 167.7511, 175.3488, 182.8912 ], "change": [ 33.8423, 31.9838, 30.1541, 28.3545, 26.5856, 24.8475, 23.14, 21.4625, 19.8133, 18.19, 16.5896, 15.0076, 13.4385, 11.8763, 10.3152, 8.7526, 7.194, 5.6621, 4.2086, 2.92, 1.9048, 1.2543, 1.0028, 1.1207, 1.5414, 2.1919, 3.0114, 3.9551, 4.9931, 6.1054, 7.2795, 8.5077, 9.7848, 11.1075, 12.4739, 13.8823, 15.3314, 16.8202, 18.3475, 19.912, 21.5126 ], "classification": [ "rotation towards puts", "wing steepening" ], "parallelShift": 8.591, "rotation": -9.31, "wingChange": 10.03, "rmsChange": 16.04 } }, { "label": "11SEP26", "expiry": 1789113600000, "tauYears": 0.00994294, "daysToExpiry": 3.629, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 103.83, "previous": 106.14, "change": -2.31, "percentChange": -2.18 }, "atmIv": { "current": 52.86, "previous": 55.44, "change": -2.58, "percentChange": -4.65 }, "rr25": { "current": -1.71, "previous": 2.84, "change": -4.55, "percentChange": -160.21 }, "bf25": { "current": 4.11, "previous": 3.56, "change": 0.55, "percentChange": 15.45 }, "svi": { "a": { "current": -0.0924, "previous": -0.0832, "change": -0.0093, "percentChange": -11.15 }, "b": { "current": 0.1767, "previous": 0.1542, "change": 0.0225, "percentChange": 14.62 }, "rho": { "current": -0.092, "previous": -0.0984, "change": 0.0064, "percentChange": 6.48 }, "m": { "current": -0.0413, "previous": -0.0709, "change": 0.0296, "percentChange": 41.7 }, "sigma": { "current": 0.541, "previous": 0.5671, "change": -0.0261, "percentChange": -4.6 } }, "smile": { 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-1.7541, -1.8122 ] }, { "label": "25DEC26", "values": [ 0.9929, 0.9435, 0.8932, 0.8419, 0.7896, 0.7364, 0.6822, 0.627, 0.5711, 0.5145, 0.4573, 0.3996, 0.3418, 0.2839, 0.2264, 0.1693, 0.1133, 0.0584, 0.005, -0.0465, -0.0956, -0.1421, -0.1858, -0.2261, -0.2629, -0.2957, -0.3245, -0.3489, -0.3688, -0.384, -0.3943, -0.3999, -0.4005, -0.3961, -0.3869, -0.3729, -0.354, -0.3303, -0.3023, -0.2696, -0.2328 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-07T16:54:00+00:00", "window": { "startAt": "2026-09-06T16:54:00+00:00", "endAt": "2026-09-07T16:54:00+00:00", "endExclusive": true }, "headline": "Solana options soften as short-dated skew turns put-rich", "standfirst": "Solana options shifted toward puts: Solana\u2019s one-week RR25 fell 3.33 volatility points to -0.14%, leaving one-week put volatility richer than call volatility. Solana\u2019s front-end ATM IV across the one-week, two-week and one-month tenors averaged 53.18%. Solana\u2019s front-end ATM IV fell 0.62 volatility points. Solana\u2019s one-week ATM IV fell 1.14 volatility points to 53.53%. Long-dated comparable tenors were unavailable.", "days": [ { "reportDate": "2026-09-07", "headline": "Solana\u2019s front end softens as skew rotates", "summary": "Short-dated put-side volatility became richer while one-week implied volatility and the front end declined.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto context was retained.", "events": [] } } ] }, "headline": "Solana options soften as short-dated skew turns put-rich", "standfirst": "Solana options shifted toward puts: Solana\u2019s one-week RR25 fell 3.33 volatility points to -0.14%, leaving one-week put volatility richer than call volatility. Solana\u2019s front-end ATM IV across the one-week, two-week and one-month tenors averaged 53.18%. Solana\u2019s front-end ATM IV fell 0.62 volatility points. Solana\u2019s one-week ATM IV fell 1.14 volatility points to 53.53%. Long-dated comparable tenors were unavailable.", "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 SPX/VIX-family session; crypto snapshot aligned at 2026-09-04T20:00:00Z. 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": "market-context-v1; crypto RV=sqrt(365), SPX RV=sqrt(252); sources: DerivaSys fixed-tenor surface, DerivaSys canonical crypto index, ^VIX, ^GSPC." } }