{ "schemaVersion": 3, "reportDate": "2026-09-09", "generatedAt": "2026-09-09T16:32:47+00:00", "currentSnapshotAt": "2026-09-09T16:30:00+00:00", "previousSnapshotAt": "2026-09-08T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 316110, "timestamp": "2026-09-09T16:30:00+00:00" }, "previous": { "id": 306026, "timestamp": "2026-09-08T16:30:00+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": 0.01413423, "previousObjective": 0.036068, "currentLiveError": 9.34084434, "previousLiveError": 28.07846762 }, "coverage": { "currentListedExpiries": 6, "previousListedExpiries": 7, "comparedListedExpiries": 6, "addedExpiries": [], "removedExpiries": [ "9SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M" ], "suppressedFixedTenors": [ "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Solana’s option smile rotates lower as front-end volatility declines", "executiveSummary": "Solana’s largest measured surface movement was a 1.19-volatility-point lower rotation in the 18SEP26 smile. Front-end ATM IV declined by 0.59 points on average, while the two-week ATM IV fell to 52.93%.", "evidenceIds": [ "rr25", "front-atm" ], "newsSummary": "No qualifying news event was retained for this report window.", "marketContextSummary": "No retained news context supports a direct explanation for Solana’s options repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -0.59 volatility points to 53.37% 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 was broadly unchanged, averaging +0.07 volatility points to 2.04% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.16 volatility points to 4.47% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -0.79 volatility points at 2W, to 52.93%.", "tenor": "2W", "value": -0.79 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-09T16:30:00+00:00", "window": { "startAt": "2026-09-08T16:30:00+00:00", "endAt": "2026-09-09T16:30:00+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": 3, "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": 3, "articlesPassingTimeFilter": 3, "articlesPassingSourceRelevanceRules": 1, "articlesPassingSelectionThreshold": 0, "storiesSelected": 0, "selectedPublishers": 0, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 0, "lockedEventSet": true, "qualityThresholds": { "minimumConfidence": 0.65, "minimumImportance": 0.5, "minimumSourceQuality": 0.58, "minimumCatalystScore": 0.25 }, "eventsSelected": 0 }, "items": [], "events": [] }, "newsContext": { "outcome": "News context unavailable", "highest_causal_confidence": "low", "section_heading": "News context unavailable", "events": [], "coverage_status": "incomplete", "summary": "News context unavailable because source coverage was incomplete." }, "marketRead": { "text": "2W ATM IV fell 0.79 volatility points to 52.93%. Front-end ATM IV averaged 53.37%, -0.59 points from the prior snapshot. Long-dated fixed tenors were suppressed because listed expiries did not bracket them. 1W RR25 moved 0.38 volatility points toward puts to 0.90%, leaving calls richer than puts. 3M BF25 rose 0.38 volatility points to 5.14%. The nearest eligible forward, 18SEP26, fell $0.77 (-0.74%) to $103.02. Realised-volatility comparisons were unavailable because the canonical minute series did not meet the completeness requirement. News context unavailable; the strongest assessed relationship has low causal confidence.", "wordCount": 91, "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 -0.59 volatility points to 53.37% 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 was broadly unchanged, averaging +0.07 volatility points to 2.04% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.16 volatility points to 4.47% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -0.79 volatility points at 2W, to 52.93%.", "tenor": "2W", "value": -0.79 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -0.46, "rr25Change": 0.07, "bf25Change": 0.16, "largestAtmMove": { "tenor": "2W", "current": 52.93, "previous": 53.72, "change": -0.79, "historicalSignificance": { "absoluteMove": 0.79, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 12, "observationsFullHistory": 12, "levelObservationsFullHistory": 13 } }, "frontEndAverageAtm": { "current": 53.37, "previous": 53.96, "change": -0.59 }, "longEndAverageAtm": { "current": null, "previous": null, "change": null }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": 0.9, "previous": 1.28, "change": -0.38, "historicalSignificance": { "absoluteMove": 0.38, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 12, "observationsFullHistory": 12, "levelObservationsFullHistory": 13 }, "direction": "toward puts", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "3M", "current": 5.14, "previous": 4.76, "change": 0.38, "historicalSignificance": { "absoluteMove": 0.38, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 12, "observationsFullHistory": 12, "levelObservationsFullHistory": 13 } }, "nearestEligibleForwardMove": { "label": "18SEP26", "daysToExpiry": 8.646, "current": 103.02, "previous": 103.79, "change": -0.77, "percentChange": -0.74 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789576200811, "availability": "available", "unavailableReason": null, "atmIv": { "current": 54.66, "previous": 55.35, "change": -0.69, "percentChange": -1.25 }, "rr25": { "current": 0.9, "previous": 1.28, "change": -0.38, "percentChange": -29.69 }, "bf25": { "current": 4.48, "previous": 4.26, "change": 0.22, "percentChange": 5.16 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.69, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 12, "observationsFullHistory": 12, "levelObservationsFullHistory": 13 }, "rr25": { "absoluteMove": 0.38, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 12, "observationsFullHistory": 12, "levelObservationsFullHistory": 13 }, "bf25": { "absoluteMove": 0.22, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 12, "observationsFullHistory": 12, "levelObservationsFullHistory": 13 } } }, { "tenor": "2W", "targetExpiry": 1790181000811, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.93, "previous": 53.72, "change": -0.79, "percentChange": -1.47 }, "rr25": { "current": 1.86, "previous": 1.64, "change": 0.22, "percentChange": 13.41 }, "bf25": { "current": 4.1, "previous": 4.04, "change": 0.06, "percentChange": 1.49 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.79, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 12, "observationsFullHistory": 12, "levelObservationsFullHistory": 13 }, "rr25": { "absoluteMove": 0.22, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 12, "observationsFullHistory": 12, "levelObservationsFullHistory": 13 }, "bf25": { "absoluteMove": 0.06, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 12, "observationsFullHistory": 12, "levelObservationsFullHistory": 13 } } }, { "tenor": "1M", "targetExpiry": 1791563400811, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.53, "previous": 52.81, "change": -0.28, "percentChange": -0.53 }, "rr25": { "current": 2.16, "previous": 2.11, "change": 0.05, "percentChange": 2.37 }, "bf25": { "current": 4.16, "previous": 4.19, "change": -0.03, "percentChange": -0.72 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.28, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 12, "observationsFullHistory": 12, "levelObservationsFullHistory": 13 }, "rr25": { "absoluteMove": 0.05, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 12, "observationsFullHistory": 12, "levelObservationsFullHistory": 13 }, "bf25": { "absoluteMove": 0.03, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 12, "observationsFullHistory": 12, "levelObservationsFullHistory": 13 } } }, { "tenor": "3M", "targetExpiry": 1796833800811, "availability": "available", "unavailableReason": null, "atmIv": { "current": 51.7, "previous": 51.79, "change": -0.09, "percentChange": -0.17 }, "rr25": { "current": 3.22, "previous": 2.84, "change": 0.38, "percentChange": 13.38 }, "bf25": { "current": 5.14, "previous": 4.76, "change": 0.38, "percentChange": 7.98 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.09, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 12, "observationsFullHistory": 12, "levelObservationsFullHistory": 13 }, "rr25": { "absoluteMove": 0.38, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 12, "observationsFullHistory": 12, "levelObservationsFullHistory": 13 }, "bf25": { "absoluteMove": 0.38, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 12, "observationsFullHistory": 12, "levelObservationsFullHistory": 13 } } }, { "tenor": "6M", "targetExpiry": 1804696200811, "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": 1812558600811, "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": 1820507400811, "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": "10SEP26", "expiry": 1789027200000, "tauYears": 0.00176942, "daysToExpiry": 0.646, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 103.0, "previous": 103.79, "change": -0.79, "percentChange": -0.76 }, "atmIv": { "current": 57.89, "previous": 58.05, "change": -0.16, "percentChange": -0.28 }, "rr25": { "current": 1.15, "previous": 0.47, "change": 0.68, "percentChange": 144.68 }, "bf25": { "current": 3.87, "previous": 4.45, "change": -0.58, "percentChange": -13.03 }, "svi": { "a": { "current": -0.0305, "previous": -0.0699, "change": 0.0394, "percentChange": 56.37 }, "b": { "current": 0.0933, "previous": 0.1511, "change": -0.0577, "percentChange": -38.22 }, "rho": { "current": 0.0054, "previous": 0.0052, "change": 0.0002, "percentChange": 3.13 }, "m": { "current": -0.0003, "previous": 0.002, "change": -0.0022, "percentChange": -114.42 }, "sigma": { "current": 0.3332, "previous": 0.4729, "change": -0.1397, "percentChange": -29.54 } }, "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": [ 251.2467, 240.7326, 230.0782, 219.2875, 208.3667, 197.3243, 186.1721, 174.9261, 163.6076, 152.245, 140.8766, 129.5535, 118.3459, 107.3506, 96.7042, 86.6011, 77.3211, 69.2593, 62.942, 58.9771, 57.8775, 59.8102, 64.4945, 71.3682, 79.835, 89.4036, 99.7135, 110.511, 121.6193, 132.9139, 144.3059, 155.7306, 167.1403, 178.4994, 189.7813, 200.9657, 212.0377, 222.9862, 233.8031, 244.4827, 255.0212 ], "previous": [ 179.9477, 172.4866, 164.9899, 157.4659, 149.925, 142.3796, 134.8451, 127.3404, 119.8888, 112.5195, 105.2691, 98.1838, 91.3223, 84.7595, 78.5904, 72.9347, 67.9391, 63.7755, 60.6295, 58.6756, 58.0412, 58.7714, 60.8157, 64.0432, 68.2783, 73.3358, 79.0454, 85.2621, 91.868, 98.7694, 105.8925, 113.1793, 120.5843, 128.0711, 135.611, 143.1806, 150.7613, 158.3377, 165.8974, 173.4302, 180.9276 ], "change": [ 71.299, 68.246, 65.0883, 61.8216, 58.4417, 54.9447, 51.327, 47.5857, 43.7188, 39.7255, 35.6075, 31.3697, 27.0236, 22.5911, 18.1138, 13.6664, 9.382, 5.4838, 2.3125, 0.3015, -0.1637, 1.0388, 3.6788, 7.325, 11.5567, 16.0678, 20.6681, 25.2489, 29.7513, 34.1445, 38.4134, 42.5513, 46.556, 50.4283, 54.1703, 57.7851, 61.2764, 64.6485, 67.9057, 71.0525, 74.0936 ], "classification": [ "rotation towards calls", "wing steepening" ], "parallelShift": 24.619, "rotation": 2.806, "wingChange": 37.174, "rmsChange": 43.528 } }, { "label": "11SEP26", "expiry": 1789113600000, "tauYears": 0.00450915, "daysToExpiry": 1.646, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 103.02, "previous": 103.79, "change": -0.77, "percentChange": -0.74 }, "atmIv": { "current": 57.33, "previous": 56.53, "change": 0.8, "percentChange": 1.42 }, "rr25": { "current": 1.32, "previous": 0.25, "change": 1.07, "percentChange": 428.0 }, "bf25": { "current": 5.98, "previous": 5.03, "change": 0.95, "percentChange": 18.89 }, "svi": { "a": { "current": -0.0446, "previous": -0.0657, "change": 0.0212, "percentChange": 32.18 }, "b": { "current": 0.1399, "previous": 0.1583, "change": -0.0184, "percentChange": -11.61 }, "rho": { "current": 0.0147, "previous": -0.038, "change": 0.0527, "percentChange": 138.67 }, "m": { "current": 0.0029, "previous": -0.016, "change": 0.0188, "percentChange": 118.09 }, "sigma": { "current": 0.3293, "previous": 0.4303, "change": -0.101, "percentChange": -23.47 } }, "smile": { "logMoneyness": [ -0.3, -0.285, 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rotated lower by 1.19 volatility points, the largest surface movement, while front-end ATM IV averaged 53.37%, down 0.59 points. The two-week ATM IV fell 0.79 points to 52.93%. DerivaSys data showed one-week RR25 moving 0.38 points toward puts to 0.90%, although calls remained relatively richer than puts. Realised-volatility comparisons were unavailable because the canonical minute series did not meet completeness requirements.", "days": [ { "reportDate": "2026-09-09", "headline": "Solana short-dated volatility eases", "summary": "Front-end Solana implied volatility declined as the option smile rotated toward lower relative skew.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto-specific context was retained.", "events": [] } } ] }, "newsStatus": "incomplete", "headline": "Solana options rotate as short-dated volatility eases", "standfirst": "Solana’s 18SEP26 option smile rotated lower by 1.19 volatility points, the largest surface movement, while front-end ATM IV averaged 53.37%, down 0.59 points. The two-week ATM IV fell 0.79 points to 52.93%. DerivaSys data showed one-week RR25 moving 0.38 points toward puts to 0.90%, although calls remained relatively richer than puts. Realised-volatility comparisons were unavailable because the canonical minute series did not meet completeness requirements.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "SOL", "sessionDate": "2026-09-08", "asOfTimestamp": "2026-09-08T20:00:00+00:00", "summary": "Latest completed common benchmark session; persisted DerivaSys cross-asset context. The crypto-to-SPX realised-volatility ratio was 8.68, at the 90.6 percentile across 223 prior observations. The 60-session crypto-SPX return correlation was 0.36 from 60 aligned observations.", "regimeInsights": [ "The crypto-to-SPX realised-volatility ratio was 8.68, at the 90.6 percentile across 223 prior observations.", "The 60-session crypto-SPX return correlation was 0.36 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 52.36, "vix": 15.720000267028809, "vix9d": 14.8100004196167, "vix3m": 18.389999389648438, "ivSpread": 36.63999973297119, "ivRatio": 3.3307887474925857, "cryptoRealisedVol20d": 74.09769299723365, "spxRealisedVol20": 8.535776328313373, "rvSpread": 65.56191666892028, "rvRatio": 8.680838174197447, "rvSpreadPercentile": 52.91479820627803, "rvSpreadPercentileSampleCount": 223, "rvRatioPercentile": 90.5829596412556, "rvRatioPercentileSampleCount": 223, "returnCorrelation30": 0.24846472953864404, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.35534169185244474, "returnCorrelation60SampleCount": 60 }, "methodology": "market-context-v1; crypto RV annualized sqrt(365), SPX RV annualized sqrt(252); source provenance: DerivaSys canonical crypto index and Yahoo Finance ^GSPC/^VIX/^VIX9D/^VIX3M." } }