{ "schemaVersion": 3, "reportDate": "2026-09-11", "generatedAt": "2026-09-11T16:45:49+00:00", "currentSnapshotAt": "2026-09-11T16:29:00+00:00", "previousSnapshotAt": "2026-09-10T16:29:00+00:00", "sourceSnapshots": { "current": { "id": 336263, "timestamp": "2026-09-11T16:29:00+00:00" }, "previous": { "id": 326181, "timestamp": "2026-09-10T16:29:00+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": 0.05786273, "previousObjective": 0.02185573, "currentLiveError": 25.08470804, "previousLiveError": 13.17405207 }, "coverage": { "currentListedExpiries": 6, "previousListedExpiries": 6, "comparedListedExpiries": 5, "addedExpiries": [ "13SEP26" ], "removedExpiries": [ "11SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M" ], "suppressedFixedTenors": [ "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Solana skew reprices toward calls despite softer ATM volatility", "executiveSummary": "Solana’s two-week RR25 rose 5.52 volatility points to 5.41%, while front-end ATM IV moved lower.", "evidenceIds": [ "rr25", "front-atm", "largest-standard-tenor" ], "newsSummary": "No qualifying Solana news item was retained for this window.", "marketContextSummary": "No retained news evidence 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 -1.46 volatility points to 51.15% 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 +3.34 volatility points to 3.87% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.03 volatility points to 4.01% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -2.80 volatility points at 1W, to 50.46%.", "tenor": "1W", "value": -2.8 } ] }, "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": { "assets": [ "SOL" ], "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-11T16:29:00Z", "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-10T16:29:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 0, "hasMore": false, "nextCursor": null, "resultSha256": "e88f3a0a4478e2efd693ede0f6bdfc94bd69378c3e7a3cdc2473dfc26ed1a327" } ] }, { "arguments": { "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-11T16:29:00Z", "event_types": [ "macro_release", "central_bank_decision", "regulatory_action", "legislation" ], "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-10T16:29:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 6, "hasMore": false, "nextCursor": null, "resultSha256": "f25fd3cfc58a4009d380278dec3bd4b995e93b05073f2bd1b4d29cd498f6bcff" } ] } ], "upstreamIngestionHealth": "not-exposed" }, "generatedAt": "2026-09-11T16:29:00+00:00", "window": { "startAt": "2026-09-10T16:29:00+00:00", "endAt": "2026-09-11T16:29:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 1, "macroQueries": 1, "canonicalEventsConsidered": 5, "publishersRepresented": 4, "discoveryEventsScanned": 12, "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": 4, "feedEntriesScanned": 6, "articlesPassingTimeFilter": 6, "articlesPassingSourceRelevanceRules": 5, "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 5.52 volatility points toward calls to 5.41%, leaving calls richer than puts. Front-end ATM IV averaged 51.15%, -1.46 points from the prior snapshot. Long-dated fixed tenors were suppressed because listed expiries did not bracket them. 1W ATM IV fell 2.80 volatility points to 50.46%. 3M BF25 rose 0.43 volatility points to 4.54%. The nearest eligible forward, 18SEP26, rose $2.63 (+2.65%) to $101.87. 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 -1.46 volatility points to 51.15% 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 +3.34 volatility points to 3.87% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.03 volatility points to 4.01% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -2.80 volatility points at 1W, to 50.46%.", "tenor": "1W", "value": -2.8 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -1.02, "rr25Change": 3.34, "bf25Change": 0.03, "largestAtmMove": { "tenor": "1W", "current": 50.46, "previous": 53.26, "change": -2.8, "historicalSignificance": { "absoluteMove": 2.8, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 14, "levelObservationsFullHistory": 15 } }, "frontEndAverageAtm": { "current": 51.15, "previous": 52.62, "change": -1.46 }, "longEndAverageAtm": { "current": null, "previous": null, "change": null }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "2W", "current": 5.41, "previous": -0.11, "change": 5.52, "historicalSignificance": { "absoluteMove": 5.52, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 14, "levelObservationsFullHistory": 15 }, "direction": "toward calls", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "3M", "current": 4.54, "previous": 4.11, "change": 0.43, "historicalSignificance": { "absoluteMove": 0.43, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 14, "levelObservationsFullHistory": 15 } }, "nearestEligibleForwardMove": { "label": "18SEP26", "daysToExpiry": 6.647, "current": 101.87, "previous": 99.24, "change": 2.63, "percentChange": 2.65 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789748940975, "availability": "available", "unavailableReason": null, "atmIv": { "current": 50.46, "previous": 53.26, "change": -2.8, "percentChange": -5.26 }, "rr25": { "current": 4.05, "previous": -0.46, "change": 4.51, "percentChange": 980.43 }, "bf25": { "current": 3.99, "previous": 4.16, "change": -0.17, "percentChange": -4.09 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.8, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 14, "levelObservationsFullHistory": 15 }, "rr25": { "absoluteMove": 4.51, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 14, "levelObservationsFullHistory": 15 }, "bf25": { "absoluteMove": 0.17, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 14, "levelObservationsFullHistory": 15 } } }, { "tenor": "2W", "targetExpiry": 1790353740975, "availability": "available", "unavailableReason": null, "atmIv": { "current": 50.74, "previous": 52.54, "change": -1.8, "percentChange": -3.43 }, "rr25": { "current": 5.41, "previous": -0.11, "change": 5.52, "percentChange": 5018.18 }, "bf25": { "current": 3.69, "previous": 3.89, "change": -0.2, "percentChange": -5.14 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.8, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 14, "levelObservationsFullHistory": 15 }, "rr25": { "absoluteMove": 5.52, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 14, "levelObservationsFullHistory": 15 }, "bf25": { "absoluteMove": 0.2, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 14, "levelObservationsFullHistory": 15 } } }, { "tenor": "1M", "targetExpiry": 1791736140975, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.26, "previous": 52.05, "change": 0.21, "percentChange": 0.4 }, "rr25": { "current": 3.07, "previous": 0.54, "change": 2.53, "percentChange": 468.52 }, "bf25": { "current": 3.83, "previous": 3.76, "change": 0.07, "percentChange": 1.86 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.21, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 14, "levelObservationsFullHistory": 15 }, "rr25": { "absoluteMove": 2.53, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 14, "levelObservationsFullHistory": 15 }, "bf25": { "absoluteMove": 0.07, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 14, "levelObservationsFullHistory": 15 } } }, { "tenor": "3M", "targetExpiry": 1797006540975, "availability": "available", 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"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, 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At the same cutoff, front-end ATM IV averaged 51.15%, down 1.46 points, and one-week ATM IV fell 2.80 points to 50.46%. Realised-volatility comparisons were unavailable because the minute series did not meet completeness requirements.", "days": [ { "reportDate": "2026-09-11", "headline": "Solana skew turns strongly call-rich", "summary": "Solana two-week skew moved sharply toward calls as front-end implied volatility declined.", "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 turn call-rich as two-week skew jumps despite lower volatility", "standfirst": "Solana two-week RR25 rose 5.52 volatility points to 5.41%, a sharp shift in relative volatility toward calls. At the same cutoff, front-end ATM IV averaged 51.15%, down 1.46 points, and one-week ATM IV fell 2.80 points to 50.46%. Realised-volatility comparisons were unavailable because the minute series did not meet completeness requirements.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "SOL", "sessionDate": "2026-09-10", "asOfTimestamp": "2026-09-10T20:00:00+00:00", "summary": "Previous session (latest completed): Persisted common SPX/VIX session and SOL context. The crypto-to-SPX realised-volatility ratio was 8.17, at the 83.6 percentile across 225 prior observations. The 60-session crypto-SPX return correlation was 0.30 from 60 aligned observations.", "regimeInsights": [ "The crypto-to-SPX realised-volatility ratio was 8.17, at the 83.6 percentile across 225 prior observations.", "The 60-session crypto-SPX return correlation was 0.30 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 51.82, "vix": 17.84000015258789, "vix9d": 17.700000762939453, "vix3m": 19.729999542236328, "ivSpread": 33.97999984741211, "ivRatio": 2.9047084953350146, "cryptoRealisedVol20d": 71.3338379905346, "spxRealisedVol20": 8.729045135983702, "rvSpread": 62.6047928545509, "rvRatio": 8.172009295320912, "rvSpreadPercentile": 47.55555555555556, "rvSpreadPercentileSampleCount": 225, "rvRatioPercentile": 83.55555555555556, "rvRatioPercentileSampleCount": 225, "returnCorrelation30": 0.24799188938605587, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.2960465515334656, "returnCorrelation60SampleCount": 60 }, "methodology": "DerivaSys market-context-v1; crypto RV annualised sqrt(365), SPX RV sqrt(252); aligned completed US session." } }