{ "schemaVersion": 3, "reportDate": "2026-09-08", "generatedAt": "2026-09-08T17:01:35+00:00", "currentSnapshotAt": "2026-09-08T16:30:00+00:00", "previousSnapshotAt": "2026-09-07T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 306026, "timestamp": "2026-09-08T16:30:00+00:00" }, "previous": { "id": 295956, "timestamp": "2026-09-07T16:30:00+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 one-minute returns, found 10044 (99.6429% coverage); returns spanning missing minutes are excluded", "fitQuality": { "currentObjective": 0.036068, "previousObjective": 0.01475596, "currentLiveError": 28.07846762, "previousLiveError": 10.89993467 }, "coverage": { "currentListedExpiries": 7, "previousListedExpiries": 7, "comparedListedExpiries": 6, "addedExpiries": [ "10SEP26" ], "removedExpiries": [ "8SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M" ], "suppressedFixedTenors": [ "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Solana\u2019s call-side skew rotation leads a limited-data session", "executiveSummary": "Solana\u2019s clearest options signal was a short-dated shift toward call-rich skew alongside a 2.45-point increase in one-week ATM IV. The available record is too limited for historical significance, and realised-volatility comparisons are unavailable.", "evidenceIds": [ "rr25", "largest-standard-tenor" ], "newsSummary": "News Check: no qualifying event was retained for Solana\u2019s options repricing.", "marketContextSummary": "No retained news item supports an assessment of the Solana options move.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +1.22 volatility points to 53.96% 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 +0.51 volatility points to 1.97% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.09 volatility points to 4.31% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +2.45 volatility points at 1W, to 55.35%.", "tenor": "1W", "value": 2.45 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-08T16:30:00+00:00", "window": { "startAt": "2026-09-07T16:30:00+00:00", "endAt": "2026-09-08T16:30:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-09-07T16:30:00+00:00", "endAt": "2026-09-08T16:30:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 1, "macroQueries": 1, "canonicalEventsConsidered": 1, "publishersRepresented": 1, "discoveryEventsScanned": 9, "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": 1, "feedEntriesScanned": 1, "articlesPassingTimeFilter": 1, "articlesPassingSourceRelevanceRules": 1, "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 2.45 volatility points to 55.35%. Front-end ATM IV averaged 53.96%, +1.22 points from the prior snapshot. Long-dated fixed tenors were suppressed because listed expiries did not bracket them. 1W RR25 moved 1.16 volatility points toward calls to 1.28%, leaving calls richer than puts. 1W BF25 rose 0.30 volatility points to 4.26%. The nearest eligible forward, 11SEP26, rose $0.28 (+0.27%) 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 +1.22 volatility points to 53.96% 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 +0.51 volatility points to 1.97% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.09 volatility points to 4.31% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +2.45 volatility points at 1W, to 55.35%.", "tenor": "1W", "value": 2.45 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 0.91, "rr25Change": 0.51, "bf25Change": 0.09, "largestAtmMove": { "tenor": "1W", "current": 55.35, "previous": 52.9, "change": 2.45, "historicalSignificance": { "absoluteMove": 2.45, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 11, "observationsFullHistory": 11, "levelObservationsFullHistory": 12 } }, "frontEndAverageAtm": { "current": 53.96, "previous": 52.74, "change": 1.22 }, "longEndAverageAtm": { "current": null, "previous": null, "change": null }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": 1.28, "previous": 0.12, "change": 1.16, "historicalSignificance": { "absoluteMove": 1.16, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 11, "observationsFullHistory": 11, "levelObservationsFullHistory": 12 }, "direction": "toward calls", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "1W", "current": 4.26, "previous": 3.96, "change": 0.3, "historicalSignificance": { "absoluteMove": 0.3, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 11, "observationsFullHistory": 11, "levelObservationsFullHistory": 12 } }, "nearestEligibleForwardMove": { "label": "11SEP26", "daysToExpiry": 2.646, "current": 103.79, "previous": 103.51, "change": 0.28, "percentChange": 0.27 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789489800150, "availability": "available", "unavailableReason": null, "atmIv": { "current": 55.35, "previous": 52.9, "change": 2.45, "percentChange": 4.63 }, "rr25": { "current": 1.28, "previous": 0.12, "change": 1.16, "percentChange": 966.67 }, "bf25": { "current": 4.26, "previous": 3.96, "change": 0.3, "percentChange": 7.58 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.45, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 11, "observationsFullHistory": 11, "levelObservationsFullHistory": 12 }, "rr25": { "absoluteMove": 1.16, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 11, "observationsFullHistory": 11, "levelObservationsFullHistory": 12 }, "bf25": { "absoluteMove": 0.3, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 11, "observationsFullHistory": 11, "levelObservationsFullHistory": 12 } } }, { "tenor": "2W", "targetExpiry": 1790094600150, "availability": "available", "unavailableReason": null, "atmIv": { "current": 53.72, "previous": 52.93, "change": 0.79, "percentChange": 1.49 }, "rr25": { "current": 1.64, "previous": 1.18, "change": 0.46, "percentChange": 38.98 }, "bf25": { "current": 4.04, "previous": 3.92, "change": 0.12, "percentChange": 3.06 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.79, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 11, "observationsFullHistory": 11, "levelObservationsFullHistory": 12 }, "rr25": { "absoluteMove": 0.46, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 11, "observationsFullHistory": 11, "levelObservationsFullHistory": 12 }, "bf25": { "absoluteMove": 0.12, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 11, "observationsFullHistory": 11, "levelObservationsFullHistory": 12 } } }, { "tenor": "1M", "targetExpiry": 1791477000150, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.81, "previous": 52.38, "change": 0.43, "percentChange": 0.82 }, "rr25": { "current": 2.11, "previous": 1.78, "change": 0.33, "percentChange": 18.54 }, "bf25": { "current": 4.19, "previous": 4.1, "change": 0.09, "percentChange": 2.2 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.43, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 11, "observationsFullHistory": 11, "levelObservationsFullHistory": 12 }, "rr25": { "absoluteMove": 0.33, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 11, "observationsFullHistory": 11, "levelObservationsFullHistory": 12 }, "bf25": { "absoluteMove": 0.09, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 11, "observationsFullHistory": 11, "levelObservationsFullHistory": 12 } } }, { "tenor": "3M", "targetExpiry": 1796747400150, "availability": "available", "unavailableReason": null, "atmIv": { "current": 51.79, "previous": 51.83, "change": -0.04, "percentChange": -0.08 }, "rr25": { "current": 2.84, "previous": 2.74, "change": 0.1, "percentChange": 3.65 }, "bf25": { "current": 4.76, "previous": 4.92, "change": -0.16, "percentChange": -3.25 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.04, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 11, "observationsFullHistory": 11, "levelObservationsFullHistory": 12 }, "rr25": { "absoluteMove": 0.1, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 11, "observationsFullHistory": 11, "levelObservationsFullHistory": 12 }, "bf25": { "absoluteMove": 0.16, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 11, "observationsFullHistory": 11, "levelObservationsFullHistory": 12 } } }, { "tenor": "6M", "targetExpiry": 1804609800150, "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": 1812472200150, "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": 1820421000150, "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": "9SEP26", "expiry": 1788940800000, "tauYears": 0.00176942, "daysToExpiry": 0.646, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 103.79, "previous": 103.51, "change": 0.28, "percentChange": 0.27 }, "atmIv": { "current": 58.86, "previous": 56.64, "change": 2.22, "percentChange": 3.92 }, "rr25": { "current": -3.09, "previous": 0.45, "change": -3.54, "percentChange": -786.67 }, "bf25": { "current": 3.33, "previous": 3.37, "change": -0.04, "percentChange": -1.19 }, "svi": { "a": { "current": -0.0452, "previous": -0.0958, "change": 0.0506, "percentChange": 52.83 }, "b": { "current": 0.1046, "previous": 0.156, "change": -0.0514, "percentChange": -32.96 }, "rho": { "current": -0.0741, "previous": 0.0069, "change": -0.081, "percentChange": -1172.39 }, "m": { "current": -0.0246, "previous": 0.0034, "change": -0.028, "percentChange": -828.34 }, "sigma": { "current": 0.4389, "previous": 0.6232, "change": -0.1843, "percentChange": -29.57 } }, "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": [ 251.0736, 240.3376, 229.5194, 218.6267, 207.6691, 196.6584, 185.6089, 174.5385, 163.4691, 152.4284, 141.4514, 130.5828, 119.8816, 109.4258, 99.3213, 89.7139, 80.8052, 72.8723, 66.2814, 61.4731, 58.8844, 58.7989, 61.2088, 65.8161, 72.1725, 79.8297, 88.4176, 97.6574, 107.3477, 117.3442, 127.5432, 137.8693, 148.2667, 158.6937, 169.1185, 179.5169, 189.87, 200.163, 210.3844, 220.5255, 230.579 ], "previous": [ 163.3337, 156.4868, 149.6386, 142.7979, 135.975, 129.1825, 122.4354, 115.7519, 109.1543, 102.6697, 96.3319, 90.183, 84.2751, 78.6735, 73.4587, 68.7287, 64.5994, 61.2005, 58.666, 57.1162, 56.6351, 57.2512, 58.9296, 61.5812, 65.0834, 69.3023, 74.1096, 79.3915, 85.0522, 91.0128, 97.21, 103.5926, 110.1197, 116.7583, 123.4817, 130.2681, 137.0995, 143.9612, 150.8409, 157.7282, 164.6145 ], "change": [ 87.7399, 83.8508, 79.8808, 75.8288, 71.6941, 67.4759, 63.1735, 58.7866, 54.3148, 49.7587, 45.1195, 40.3998, 35.6065, 30.7523, 25.8626, 20.9852, 16.2058, 11.6718, 7.6154, 4.3569, 2.2493, 1.5477, 2.2792, 4.2349, 7.0891, 10.5274, 14.308, 18.2659, 22.2955, 26.3314, 30.3332, 34.2767, 38.147, 41.9354, 45.6368, 49.2488, 52.7705, 56.2018, 59.5435, 62.7973, 65.9645 ], "classification": [ "rotation towards puts", "wing steepening" ], "parallelShift": 25.901, "rotation": -14.786, "wingChange": 35.477, "rmsChange": 45.909 } }, { "label": "11SEP26", "expiry": 1789113600000, "tauYears": 0.00724887, "daysToExpiry": 2.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 103.79, "previous": 103.51, "change": 0.28, "percentChange": 0.27 }, "atmIv": { "current": 56.53, "previous": 52.95, "change": 3.58, "percentChange": 6.76 }, "rr25": { "current": 0.25, "previous": -1.03, "change": 1.28, "percentChange": 124.27 }, "bf25": { "current": 5.03, "previous": 4.17, "change": 0.86, "percentChange": 20.62 }, "svi": { "a": { "current": -0.0657, "previous": -0.0887, "change": 0.023, "percentChange": 25.88 }, "b": { "current": 0.1583, "previous": 0.1741, "change": -0.0158, "percentChange": -9.09 }, "rho": { "current": -0.038, "previous": -0.0854, "change": 0.0474, "percentChange": 55.46 }, "m": { "current": -0.016, "previous": -0.0395, "change": 0.0235, "percentChange": 59.61 }, "sigma": { "current": 0.4303, "previous": 0.5274, "change": -0.0971, "percentChange": -18.41 } }, "smile": { "logMoneyness": [ -0.3, 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-0.2724, -0.2736, -0.2733, -0.2715, -0.2684, -0.2639, -0.2583, -0.2517, -0.2441, -0.2357, -0.2268, -0.2174, -0.2078, -0.1981, -0.1885, -0.1791, -0.1702, -0.1619, -0.1543, -0.1476, -0.1419, -0.1373, -0.1339, -0.1318, -0.1309, -0.1315, -0.1335, -0.1369, -0.1416, -0.1478, -0.1553, -0.1642, -0.1743, -0.1856, -0.1982, -0.2119, -0.2266 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-08T16:30:00+00:00", "window": { "startAt": "2026-09-07T16:30:00+00:00", "endAt": "2026-09-08T16:30:00+00:00", "endExclusive": true }, "headline": "Solana options tilt toward calls as short-dated volatility rises", "standfirst": "Solana one-week ATM IV increased 2.45 volatility points to 55.35% during the observation window, while one-week RR25 rose 1.16 points to 1.28%, making call-side volatility richer than put-side volatility. The nearest eligible forward gained 0.27%. Limited surface history and unavailable realised-volatility comparisons constrain broader interpretation.", "days": [ { "reportDate": "2026-09-08", "headline": "Solana short-dated skew shifts toward calls", "summary": "One-week implied volatility and call-side skew increased, though realised-volatility comparison was unavailable.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto context was retained.", "events": [] } } ] }, "headline": "Solana options tilt toward calls as short-dated volatility rises", "standfirst": "Solana one-week ATM IV increased 2.45 volatility points to 55.35% during the observation window, while one-week RR25 rose 1.16 points to 1.28%, making call-side volatility richer than put-side volatility. The nearest eligible forward gained 0.27%. Limited surface history and unavailable realised-volatility comparisons constrain broader interpretation.", "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): Persisted common SPX/VIX session; crypto RV annualised on sqrt(365), SPX RV on sqrt(252). 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": 11.97, "vix3m": 17.61, "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 30-day fixed-tenor surface and canonical crypto index; ^VIX and ^GSPC via Yahoo Finance; valid persisted market-context-v1." } }