{ "schemaVersion": 3, "reportDate": "2026-09-10", "generatedAt": "2026-09-10T16:30:42+00:00", "currentSnapshotAt": "2026-09-10T16:30:00+00:00", "previousSnapshotAt": "2026-09-09T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 326186, "timestamp": "2026-09-10T16:30:00+00:00" }, "previous": { "id": 316110, "timestamp": "2026-09-09T16:30:00+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": 0.03019215, "previousObjective": 0.01413423, "currentLiveError": 11.19680912, "previousLiveError": 9.34084434 }, "coverage": { "currentListedExpiries": 6, "previousListedExpiries": 6, "comparedListedExpiries": 5, "addedExpiries": [ "12SEP26" ], "removedExpiries": [ "10SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M" ], "suppressedFixedTenors": [ "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Solana’s lower volatility level arrived with stronger downside skew", "executiveSummary": "The selected surface rotation paired a 1.70-point decline in one-week ATM IV with a 1.98-point two-week RR25 move toward puts. The latter ended at minus 0.12%, meaning put-side volatility exceeded call-side volatility at that tenor.", "evidenceIds": [ "rr25", "front-atm" ], "newsSummary": "No report-relevant news event qualified within the observation window.", "marketContextSummary": "No retained news context is available to assess against the options repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -0.96 volatility points to 52.41% 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 -1.51 volatility points to 0.52% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.50 volatility points to 3.97% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -1.70 volatility points at 1W, to 52.96%.", "tenor": "1W", "value": -1.7 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "collection": { "schemaVersion": 1, "basis": "monitored-source-search", "status": "complete", "requiredScopes": [ "MACRO", "SOL" ], "completedScopes": [ "MACRO", "SOL" ], "missingScopes": [], "queries": [ { "arguments": { "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-10T16:30:00Z", "event_types": [ "macro_release", "central_bank_decision", "regulatory_action", "legislation" ], "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-09T16:30:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 3, "hasMore": false, "nextCursor": null, "resultSha256": "fe4789aa22d2580dfc67714c209c325e2f92b878891dc3e951f74bdce3377b8a" } ] }, { "arguments": { "assets": [ "SOL" ], "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-10T16:30:00Z", "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-09T16:30:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 0, "hasMore": false, "nextCursor": null, "resultSha256": "e88f3a0a4478e2efd693ede0f6bdfc94bd69378c3e7a3cdc2473dfc26ed1a327" } ] } ], "upstreamIngestionHealth": "not-exposed" }, "generatedAt": "2026-09-10T16:30:00+00:00", "window": { "startAt": "2026-09-09T16:30:00+00:00", "endAt": "2026-09-10T16:30:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 1, "macroQueries": 1, "canonicalEventsConsidered": 3, "publishersRepresented": 2, "discoveryEventsScanned": 4, "upstreamFeedCount": null, "coverageNote": "The local news MCP exposes canonical events, not its upstream feed inventory; legacy feed-count fields below describe the single MCP endpoint and are not comparable with the former RSS collector." }, "selection": { "feedsQueried": 1, "publishersQueried": 2, "feedEntriesScanned": 4, "articlesPassingTimeFilter": 4, "articlesPassingSourceRelevanceRules": 3, "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": "No sufficiently relevant context identified", "highest_causal_confidence": "low", "section_heading": "No sufficiently relevant context identified", "events": [], "coverage_status": "healthy", "coverage_basis": "monitored-source-search", "summary": "No qualifying context was found in the monitored news sources for this reporting window." }, "marketRead": { "text": "2W RR25 moved 1.98 volatility points toward puts to -0.12%, leaving puts richer than calls. Front-end ATM IV averaged 52.41%, -0.96 points from the prior snapshot. Long-dated fixed tenors were suppressed because listed expiries did not bracket them. 1W ATM IV fell 1.70 volatility points to 52.96%. 3M BF25 fell 1.03 volatility points to 4.11%. The nearest eligible forward, 18SEP26, fell $3.79 (-3.68%) to $99.23. 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 -0.96 volatility points to 52.41% 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 -1.51 volatility points to 0.52% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.50 volatility points to 3.97% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -1.70 volatility points at 1W, to 52.96%.", "tenor": "1W", "value": -1.7 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -0.77, "rr25Change": -1.51, "bf25Change": -0.5, "largestAtmMove": { "tenor": "1W", "current": 52.96, "previous": 54.66, "change": -1.7, "historicalSignificance": { "absoluteMove": 1.7, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 13, "levelObservationsFullHistory": 14 } }, "frontEndAverageAtm": { "current": 52.41, "previous": 53.37, "change": -0.96 }, "longEndAverageAtm": { "current": null, "previous": null, "change": null }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "2W", "current": -0.12, "previous": 1.86, "change": -1.98, "historicalSignificance": { "absoluteMove": 1.98, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 13, "levelObservationsFullHistory": 14 }, "direction": "toward puts", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "3M", "current": 4.11, "previous": 5.14, "change": -1.03, "historicalSignificance": { "absoluteMove": 1.03, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 13, "levelObservationsFullHistory": 14 } }, "nearestEligibleForwardMove": { "label": "18SEP26", "daysToExpiry": 7.646, "current": 99.23, "previous": 103.02, "change": -3.79, "percentChange": -3.68 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789662600172, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.96, "previous": 54.66, "change": -1.7, "percentChange": -3.11 }, "rr25": { "current": -0.49, "previous": 0.9, "change": -1.39, "percentChange": -154.44 }, "bf25": { "current": 4.13, "previous": 4.48, "change": -0.35, "percentChange": -7.81 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.7, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 13, "levelObservationsFullHistory": 14 }, "rr25": { "absoluteMove": 1.39, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 13, "levelObservationsFullHistory": 14 }, "bf25": { "absoluteMove": 0.35, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 13, "levelObservationsFullHistory": 14 } } }, { "tenor": "2W", "targetExpiry": 1790267400172, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.33, "previous": 52.93, "change": -0.6, "percentChange": -1.13 }, "rr25": { "current": -0.12, "previous": 1.86, "change": -1.98, "percentChange": -106.45 }, "bf25": { "current": 3.88, "previous": 4.1, "change": -0.22, "percentChange": -5.37 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.6, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 13, "levelObservationsFullHistory": 14 }, "rr25": { "absoluteMove": 1.98, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 13, "levelObservationsFullHistory": 14 }, "bf25": { "absoluteMove": 0.22, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 13, "levelObservationsFullHistory": 14 } } }, { "tenor": "1M", "targetExpiry": 1791649800172, "availability": "available", "unavailableReason": null, "atmIv": { "current": 51.94, "previous": 52.53, "change": -0.59, "percentChange": -1.12 }, "rr25": { "current": 0.55, "previous": 2.16, "change": -1.61, "percentChange": -74.54 }, "bf25": { "current": 3.77, "previous": 4.16, "change": -0.39, "percentChange": -9.38 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.59, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 13, "levelObservationsFullHistory": 14 }, "rr25": { "absoluteMove": 1.61, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 13, "levelObservationsFullHistory": 14 }, "bf25": { "absoluteMove": 0.39, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 13, "levelObservationsFullHistory": 14 } } }, { "tenor": "3M", "targetExpiry": 1796920200172, "availability": "available", "unavailableReason": null, "atmIv": { "current": 51.49, "previous": 51.7, "change": -0.21, "percentChange": -0.41 }, "rr25": { "current": 2.15, "previous": 3.22, "change": -1.07, "percentChange": -33.23 }, "bf25": { "current": 4.11, "previous": 5.14, "change": -1.03, "percentChange": -20.04 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.21, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 13, "levelObservationsFullHistory": 14 }, "rr25": { "absoluteMove": 1.07, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 13, "levelObservationsFullHistory": 14 }, "bf25": { "absoluteMove": 1.03, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 13, "levelObservationsFullHistory": 14 } } }, { "tenor": "6M", "targetExpiry": 1804782600172, "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": 1812645000172, "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": 1820593800172, "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": "11SEP26", "expiry": 1789113600000, "tauYears": 0.00176945, "daysToExpiry": 0.646, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 99.16, "previous": 103.02, "change": -3.86, "percentChange": -3.75 }, "atmIv": { "current": 55.58, "previous": 57.33, "change": -1.75, "percentChange": -3.05 }, "rr25": { "current": 0.54, "previous": 1.32, "change": -0.78, "percentChange": -59.09 }, "bf25": { "current": 5.02, "previous": 5.98, "change": -0.96, "percentChange": -16.05 }, "svi": { "a": { "current": -0.0225, "previous": -0.0446, "change": 0.0221, "percentChange": 49.51 }, "b": { "current": 0.0927, "previous": 0.1399, "change": -0.0472, "percentChange": -33.73 }, "rho": { "current": 0.0028, "previous": 0.0147, "change": -0.0119, "percentChange": -81.21 }, "m": { "current": 0.0002, "previous": 0.0029, "change": -0.0027, "percentChange": -94.39 }, "sigma": { "current": 0.2487, "previous": 0.3293, "change": -0.0806, "percentChange": -24.47 } }, "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": [ 276.7269, 265.7285, 254.5196, 243.097, 231.4593, 219.6069, 207.5433, 195.2757, 182.8165, 170.1852, 157.411, 144.5367, 131.6246, 118.7652, 106.0924, 93.8067, 82.2151, 71.7906, 63.242, 57.5196, 55.573, 57.8077, 63.7661, 72.4845, 83.026, 94.6992, 107.0445, 119.7635, 132.6607, 145.6054, 158.5088, 171.3099, 183.9667, 196.4503, 208.7415, 220.8281, 232.703, 244.363, 255.8074, 267.0379, 278.0576 ], "previous": [ 196.3532, 188.4568, 180.4655, 172.3846, 164.2212, 155.9847, 147.6881, 139.3481, 130.9866, 122.6326, 114.3236, 106.1094, 98.0553, 90.2485, 82.8045, 75.8769, 69.6657, 64.4213, 60.4337, 57.9922, 57.3139, 58.4679, 61.3478, 65.714, 71.2733, 77.7438, 84.8872, 92.515, 100.4831, 108.6828, 117.032, 125.4685, 133.9451, 142.4255, 150.882, 159.2932, 167.6428, 175.9181, 184.1098, 192.2107, 200.2159 ], "change": [ 80.3737, 77.2717, 74.0541, 70.7124, 67.2381, 63.6222, 59.8552, 55.9276, 51.8299, 47.5526, 43.0874, 38.4273, 33.5693, 28.5167, 23.2879, 17.9298, 12.5494, 7.3693, 2.8083, -0.4726, -1.7409, -0.6602, 2.4183, 6.7705, 11.7527, 16.9554, 22.1573, 27.2485, 32.1776, 36.9226, 41.4768, 45.8414, 50.0216, 54.0248, 57.8595, 61.5349, 65.0602, 68.4449, 71.6976, 74.8272, 77.8417 ], "classification": [ "rotation towards puts", "wing steepening" ], "parallelShift": 27.608, "rotation": -1.611, "wingChange": 44.023, "rmsChange": 48.314 } }, { "label": "18SEP26", "expiry": 1789718400000, "tauYears": 0.02094754, "daysToExpiry": 7.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 99.23, "previous": 103.02, "change": -3.79, "percentChange": -3.68 }, "atmIv": { "current": 52.76, "previous": 54.5, "change": -1.74, "percentChange": -3.19 }, "rr25": { "current": -0.51, "previous": 0.87, "change": -1.38, "percentChange": -158.62 }, "bf25": { "current": 4.11, "previous": 4.39, "change": -0.28, "percentChange": -6.38 }, "svi": { "a": { "current": -0.0707, "previous": -0.0768, "change": 0.0061, "percentChange": 7.96 }, "b": { "current": 0.1581, "previous": 0.1722, "change": -0.014, "percentChange": -8.15 }, "rho": { "current": 0.0431, "previous": -0.1619, "change": 0.2051, "percentChange": 126.64 }, "m": { "current": 0.0274, "previous": -0.0833, "change": 0.1107, "percentChange": 132.83 }, "sigma": { "current": 0.4845, "previous": 0.4936, "change": -0.0091, "percentChange": -1.85 } }, "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": [ 96.5232, 93.4971, 90.4848, 87.4928, 84.5287, 81.6011, 78.72, 75.8968, 73.1446, 70.4783, 67.9145, 65.4722, 63.1721, 61.0371, 59.0915, 57.3608, 55.8709, 54.6467, 53.7111, 53.0832, 52.7771, 52.8007, 53.1547, 53.8329, 54.8226, 56.1059, 57.6609, 59.4633, 61.4876, 63.7086, 66.1019, 68.6445, 71.3154, 74.0953, 76.967, 79.9153, 82.9266, 85.989, 89.092, 92.2265, 95.3845 ], "previous": [ 96.4182, 93.2446, 90.1052, 87.0082, 83.9633, 80.981, 78.0732, 75.253, 72.5352, 69.9357, 67.4719, 65.1624, 63.0271, 61.0864, 59.3608, 57.8703, 56.6334, 55.6662, 54.9813, 54.5868, 54.4856, 54.6754, 55.1485, 55.8927, 56.8917, 58.1263, 59.5758, 61.2185, 63.033, 64.9985, 67.0954, 69.3055, 71.6124, 74.0012, 76.4586, 78.9728, 81.5335, 84.1315, 86.7589, 89.4087, 92.0749 ], "change": [ 0.105, 0.2525, 0.3796, 0.4846, 0.5654, 0.6201, 0.6468, 0.6438, 0.6094, 0.5426, 0.4426, 0.3098, 0.145, -0.0493, -0.2693, -0.5095, -0.7625, -1.0195, -1.2702, -1.5036, -1.7085, -1.8747, -1.9938, -2.0598, -2.0691, -2.0204, -1.9149, -1.7552, -1.5454, -1.2899, -0.9935, -0.661, -0.297, 0.0941, 0.5084, 0.9425, 1.3931, 1.8575, 2.3331, 2.8178, 3.3096 ], "classification": [ "rotation towards puts", "wing steepening" ], "parallelShift": -0.753, "rotation": -1.436, "wingChange": 1.433, "rmsChange": 1.353 } }, { "label": "25SEP26", "expiry": 1790323200000, "tauYears": 0.04012562, "daysToExpiry": 14.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 99.25, "previous": 103.08, "change": -3.83, "percentChange": -3.72 }, "atmIv": { "current": 52.31, "previous": 52.66, "change": -0.35, "percentChange": -0.66 }, "rr25": { "current": -0.1, "previous": 2.04, "change": -2.14, "percentChange": -104.9 }, "bf25": { "current": 3.86, "previous": 4.04, "change": -0.18, "percentChange": -4.46 }, "svi": { "a": { "current": -0.0755, "previous": -0.0755, "change": 0.0, "percentChange": 0.02 }, "b": { "current": 0.1635, "previous": 0.1722, "change": -0.0087, "percentChange": -5.05 }, "rho": { "current": 0.009, "previous": -0.162, "change": 0.171, "percentChange": 105.53 }, "m": { "current": 0.0115, "previous": -0.0972, "change": 0.1088, "percentChange": 111.87 }, "sigma": { "current": 0.5292, "previous": 0.5143, "change": 0.0149, "percentChange": 2.89 } }, "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": [ 77.9914, 76.0504, 74.1361, 72.2536, 70.4085, 68.6067, 66.855, 65.1606, 63.5312, 61.9752, 60.5015, 59.1192, 57.8381, 56.6679, 55.6181, 54.6984, 53.9176, 53.2837, 52.8037, 52.483, 52.3255, 52.3332, 52.5061, 52.8423, 53.338, 53.9878, 54.7848, 55.7211, 56.7877, 57.9753, 59.2742, 60.6746, 62.1669, 63.7419, 65.3908, 67.1051, 68.8772, 70.6996, 72.5657, 74.4695, 76.4054 ], "previous": [ 76.8129, 74.7581, 72.7453, 70.781, 68.8722, 67.0264, 65.2514, 63.5558, 61.9483, 60.438, 59.0341, 57.746, 56.5828, 55.553, 54.6647, 53.9247, 53.339, 52.9118, 52.6457, 52.5415, 52.5981, 52.8128, 53.1808, 53.6962, 54.3516, 55.1387, 56.0486, 57.0718, 58.1988, 59.42, 60.7263, 62.1087, 63.5589, 65.0688, 66.6313, 68.2394, 69.8871, 71.5686, 73.2789, 75.0133, 76.7678 ], "change": [ 1.1785, 1.2923, 1.3908, 1.4726, 1.5363, 1.5803, 1.6036, 1.6048, 1.5829, 1.5372, 1.4674, 1.3732, 1.2553, 1.1149, 0.9534, 0.7737, 0.5786, 0.3719, 0.158, -0.0585, -0.2726, -0.4796, -0.6747, -0.8539, -1.0136, -1.1509, -1.2638, -1.3507, -1.4111, -1.4447, -1.4521, -1.4341, -1.392, -1.3269, -1.2405, -1.1343, -1.0099, -0.869, -0.7132, -0.5438, -0.3624 ], "classification": [ "rotation towards puts" ], "parallelShift": -0.086, "rotation": -2.919, "wingChange": 0.28, "rmsChange": 1.165 } }, { "label": "30OCT26", "expiry": 1793347200000, "tauYears": 0.13601603, "daysToExpiry": 49.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 99.49, "previous": 103.18, "change": -3.69, "percentChange": -3.58 }, "atmIv": { "current": 51.8, "previous": 52.47, "change": -0.67, "percentChange": -1.28 }, "rr25": { "current": 0.79, "previous": 2.22, "change": -1.43, "percentChange": -64.41 }, "bf25": { "current": 3.73, "previous": 4.22, "change": -0.49, "percentChange": -11.61 }, "svi": { "a": { "current": -0.0634, "previous": -0.078, "change": 0.0146, "percentChange": 18.76 }, "b": { "current": 0.1744, "previous": 0.2026, "change": -0.0281, "percentChange": -13.88 }, "rho": { "current": -0.0539, "previous": -0.1404, "change": 0.0865, "percentChange": 61.61 }, "m": { "current": -0.0258, "previous": -0.0981, "change": 0.0724, "percentChange": 73.74 }, "sigma": { "current": 0.5734, "previous": 0.5786, "change": -0.0052, "percentChange": -0.9 } }, "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": [ 60.6598, 59.9008, 59.1643, 58.452, 57.7659, 57.1076, 56.4793, 55.8828, 55.32, 54.7927, 54.3029, 53.8522, 53.4424, 53.0749, 52.7513, 52.4727, 52.2404, 52.055, 51.9174, 51.828, 51.7871, 51.7945, 51.8501, 51.9534, 52.1038, 52.3002, 52.5417, 52.827, 53.1546, 53.523, 53.9305, 54.3755, 54.856, 55.3703, 55.9164, 56.4924, 57.0966, 57.727, 58.3818, 59.0593, 59.7577 ], "previous": [ 61.1166, 60.289, 59.4911, 58.7249, 57.9925, 57.2962, 56.638, 56.0201, 55.4444, 54.9129, 54.4273, 53.9892, 53.6003, 53.2617, 52.9745, 52.7395, 52.5574, 52.4285, 52.3528, 52.3302, 52.3601, 52.4419, 52.5746, 52.7571, 52.988, 53.2657, 53.5885, 53.9547, 54.3623, 54.8093, 55.2936, 55.8133, 56.3661, 56.9501, 57.5631, 58.2033, 58.8685, 59.557, 60.267, 60.9966, 61.7443 ], "change": [ -0.4568, -0.3882, -0.3268, -0.2729, -0.2266, -0.1886, -0.1587, -0.1373, -0.1244, -0.1202, -0.1244, -0.137, -0.1579, -0.1868, -0.2232, -0.2668, -0.317, -0.3735, -0.4354, -0.5022, -0.573, -0.6474, -0.7245, -0.8037, -0.8842, -0.9655, -1.0468, -1.1277, -1.2077, -1.2863, -1.3631, -1.4378, -1.5101, -1.5798, -1.6467, -1.7109, -1.7719, -1.83, -1.8852, -1.9373, -1.9866 ], "classification": [ "rotation towards puts" ], "parallelShift": -0.687, "rotation": -1.239, "wingChange": -0.171, "rmsChange": 1.022 } }, { "label": "25DEC26", "expiry": 1798185600000, "tauYears": 0.28944069, "daysToExpiry": 105.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 99.84, "previous": 103.48, "change": -3.64, "percentChange": -3.52 }, "atmIv": { "current": 51.44, "previous": 51.56, "change": -0.12, "percentChange": -0.23 }, "rr25": { "current": 2.38, "previous": 3.41, "change": -1.03, "percentChange": -30.21 }, "bf25": { "current": 4.16, "previous": 5.31, "change": -1.15, "percentChange": -21.66 }, "svi": { "a": { "current": -0.1082, "previous": -0.028, "change": -0.0802, "percentChange": -286.63 }, "b": { "current": 0.2568, "previous": 0.2151, "change": 0.0417, "percentChange": 19.36 }, "rho": { "current": -0.1463, "previous": -0.0737, "change": -0.0726, "percentChange": -98.45 }, "m": { "current": -0.1231, "previous": -0.0579, "change": -0.0652, "percentChange": -112.54 }, "sigma": { "current": 0.7257, "previous": 0.4889, "change": 0.2368, "percentChange": 48.45 } }, "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": [ 55.8293, 55.3821, 54.9546, 54.5475, 54.1615, 53.7973, 53.4556, 53.1371, 52.8423, 52.5718, 52.3261, 52.1055, 51.9105, 51.7413, 51.5982, 51.4814, 51.3909, 51.3267, 51.2888, 51.277, 51.2912, 51.3311, 51.3963, 51.4865, 51.6012, 51.7398, 51.9019, 52.0868, 52.2939, 52.5224, 52.7719, 53.0413, 53.3302, 53.6376, 53.9629, 54.3052, 54.6639, 55.038, 55.427, 55.83, 56.2463 ], "previous": [ 56.4793, 55.9821, 55.5031, 55.0438, 54.6053, 54.1891, 53.7963, 53.4282, 53.086, 52.771, 52.4842, 52.2266, 51.9991, 51.8026, 51.6377, 51.5049, 51.4047, 51.3373, 51.3029, 51.3013, 51.3323, 51.3955, 51.4906, 51.6168, 51.7733, 51.9593, 52.1739, 52.4159, 52.6843, 52.9779, 53.2954, 53.6357, 53.9974, 54.3795, 54.7805, 55.1993, 55.6348, 56.0856, 56.5508, 57.0292, 57.5198 ], "change": [ -0.65, -0.6, -0.5485, -0.4963, -0.4438, -0.3918, -0.3407, -0.2911, -0.2437, -0.1992, -0.1581, -0.1211, -0.0886, -0.0613, -0.0395, -0.0235, -0.0138, -0.0106, -0.0141, -0.0243, -0.0411, -0.0644, -0.0943, -0.1303, -0.1721, -0.2195, -0.272, -0.3291, -0.3904, -0.4555, -0.5235, -0.5944, -0.6672, -0.7419, -0.8176, -0.8941, -0.9709, -1.0476, -1.1238, -1.1992, -1.2735 ], "classification": [ "parallel shift lower" ], "parallelShift": -0.241, "rotation": -0.365, "wingChange": -0.3, "rmsChange": 0.544 } } ], "events": [ { "type": "rotation", "title": "Largest eligible smile rotation", "label": "25SEP26", "value": -2.919, "score": 2.919, "unit": "volatility points" }, { "type": "rr25", "title": "Largest standard-tenor RR25 move", "label": "2W", "value": -1.98, "score": 1.98, "unit": "volatility points" }, { "type": "atmIv", "title": "Largest standard-tenor ATM IV move", "label": "1W", "value": -1.7, "score": 1.7, "unit": "volatility points" }, { "type": "bf25", "title": "Largest standard-tenor BF25 move", "label": "3M", "value": -1.03, "score": 1.03, "unit": "volatility points" }, { "type": "sigma", "title": "Largest eligible SVI sigma move", "label": "25DEC26", "value": 0.2368, "score": 0.2368, "unit": "parameter units" }, { "type": "rho", "title": "Largest eligible SVI rho move", "label": "18SEP26", "value": 0.2051, "score": 0.2051, "unit": "parameter units" } ], "expiryEffects": [ { "label": "11SEP26", "daysToExpiry": 0.646, "metric": "ATM IV change", "value": -1.75, "unit": "volatility points", "context": "Excluded from headline rankings because the contract has fewer than the configured full days to expiry." } ], "ultraShortThresholdDays": 2.0, "greekCharacteristics": { "highestVega": { "label": "25DEC26", "expiry": 1798185600000, "value": 0.21224463, "metric": "vega", "availability": "available" }, "highestGamma": { "label": "11SEP26", "expiry": 1789113600000, "value": 0.17207022464, "metric": "gamma", "availability": "available" }, "highestThetaDecay": { "label": "11SEP26", "expiry": 1789113600000, "value": -0.71596697, "metric": "theta", "availability": "available" }, "highestVanna": { "label": "25DEC26", "expiry": 1798185600000, "value": 0.00106292, "metric": "vanna", "availability": "available" }, "highestVolga": { "label": "25DEC26", "expiry": 1798185600000, "value": -0.00790018, "metric": "volga", "availability": "available" } }, "heatmap": { "x": [ -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 ], "rows": [ { "label": "11SEP26", "values": [ 80.3737, 77.2717, 74.0541, 70.7124, 67.2381, 63.6222, 59.8552, 55.9276, 51.8299, 47.5526, 43.0874, 38.4273, 33.5693, 28.5167, 23.2879, 17.9298, 12.5494, 7.3693, 2.8083, -0.4726, -1.7409, -0.6602, 2.4183, 6.7705, 11.7527, 16.9554, 22.1573, 27.2485, 32.1776, 36.9226, 41.4768, 45.8414, 50.0216, 54.0248, 57.8595, 61.5349, 65.0602, 68.4449, 71.6976, 74.8272, 77.8417 ] }, { "label": "18SEP26", "values": [ 0.105, 0.2525, 0.3796, 0.4846, 0.5654, 0.6201, 0.6468, 0.6438, 0.6094, 0.5426, 0.4426, 0.3098, 0.145, -0.0493, -0.2693, -0.5095, -0.7625, -1.0195, -1.2702, -1.5036, -1.7085, -1.8747, -1.9938, -2.0598, -2.0691, -2.0204, -1.9149, -1.7552, -1.5454, -1.2899, -0.9935, -0.661, -0.297, 0.0941, 0.5084, 0.9425, 1.3931, 1.8575, 2.3331, 2.8178, 3.3096 ] }, { "label": "25SEP26", "values": [ 1.1785, 1.2923, 1.3908, 1.4726, 1.5363, 1.5803, 1.6036, 1.6048, 1.5829, 1.5372, 1.4674, 1.3732, 1.2553, 1.1149, 0.9534, 0.7737, 0.5786, 0.3719, 0.158, -0.0585, -0.2726, -0.4796, -0.6747, -0.8539, -1.0136, -1.1509, -1.2638, -1.3507, -1.4111, -1.4447, -1.4521, -1.4341, -1.392, -1.3269, -1.2405, -1.1343, -1.0099, -0.869, -0.7132, -0.5438, -0.3624 ] }, { "label": "30OCT26", "values": [ -0.4568, -0.3882, -0.3268, -0.2729, -0.2266, -0.1886, -0.1587, -0.1373, -0.1244, -0.1202, -0.1244, -0.137, -0.1579, -0.1868, -0.2232, -0.2668, -0.317, -0.3735, -0.4354, -0.5022, -0.573, -0.6474, -0.7245, -0.8037, -0.8842, -0.9655, -1.0468, -1.1277, -1.2077, -1.2863, -1.3631, -1.4378, -1.5101, -1.5798, -1.6467, -1.7109, -1.7719, -1.83, -1.8852, -1.9373, -1.9866 ] }, { "label": "25DEC26", "values": [ -0.65, -0.6, -0.5485, -0.4963, -0.4438, -0.3918, -0.3407, -0.2911, -0.2437, -0.1992, -0.1581, -0.1211, -0.0886, -0.0613, -0.0395, -0.0235, -0.0138, -0.0106, -0.0141, -0.0243, -0.0411, -0.0644, -0.0943, -0.1303, -0.1721, -0.2195, -0.272, -0.3291, -0.3904, -0.4555, -0.5235, -0.5944, -0.6672, -0.7419, -0.8176, -0.8941, -0.9709, -1.0476, -1.1238, -1.1992, -1.2735 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-10T16:30:00+00:00", "window": { "startAt": "2026-09-09T16:30:00+00:00", "endAt": "2026-09-10T16:30:00+00:00", "endExclusive": true }, "headline": "Solana options tilt defensive as front-end volatility moves lower", "standfirst": "Solana’s options surface rotated lower during the observation window as downside skew strengthened alongside softer front-end implied volatility. One-week ATM IV fell 1.70 volatility points to 52.96%, while two-week RR25 declined 1.98 points to minus 0.12%, leaving put-side volatility relatively richer than call-side volatility. Three-month BF25 also dropped 1.03 points to 4.11%. Realised-volatility comparisons were unavailable because the required minute-series completeness threshold was not met.", "days": [ { "reportDate": "2026-09-10", "headline": "Solana downside skew strengthens", "summary": "Two-week put-side relative volatility rose as one-week implied volatility and three-month convexity fell.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto context was retained.", "events": [] } } ] }, "newsStatus": "no-relevant-catalyst", "headline": "Solana options tilt defensive as front-end volatility moves lower", "standfirst": "Solana’s options surface rotated lower during the observation window as downside skew strengthened alongside softer front-end implied volatility. One-week ATM IV fell 1.70 volatility points to 52.96%, while two-week RR25 declined 1.98 points to minus 0.12%, leaving put-side volatility relatively richer than call-side volatility. Three-month BF25 also dropped 1.03 points to 4.11%. Realised-volatility comparisons were unavailable because the required minute-series completeness threshold was not met.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "SOL", "sessionDate": "2026-09-09", "asOfTimestamp": "2026-09-09T20:00:00+00:00", "summary": "Previous session (latest completed): Persisted common benchmark and cross-asset volatility context. The crypto-to-SPX realised-volatility ratio was 8.28, at the 87.1 percentile across 224 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 8.28, at the 87.1 percentile across 224 prior observations.", "The 60-session crypto-SPX return correlation was 0.36 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 52.54, "vix": 16.459999084472656, "vix9d": 15.59000015258789, "vix3m": 18.8700008392334, "ivSpread": 36.08000091552734, "ivRatio": 3.191980736473004, "cryptoRealisedVol20d": 71.39387312235922, "spxRealisedVol20": 8.623791287785536, "rvSpread": 62.77008183457369, "rvRatio": 8.278710689981475, "rvSpreadPercentile": 47.767857142857146, "rvSpreadPercentileSampleCount": 224, "rvRatioPercentile": 87.05357142857143, "rvRatioPercentileSampleCount": 224, "returnCorrelation30": 0.2673414149219735, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.3616276163373304, "returnCorrelation60SampleCount": 60 }, "methodology": "DerivaSys market-context-v1; MCP response retains provenance, units, timestamps, quality, freshness, windows and annualisation bases." } }