{ "schemaVersion": 3, "reportDate": "2026-09-13", "generatedAt": "2026-09-13T16:30:59+00:00", "currentSnapshotAt": "2026-09-13T16:30:00+00:00", "previousSnapshotAt": "2026-09-12T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 356454, "timestamp": "2026-09-13T16:30:00+00:00" }, "previous": { "id": 346344, "timestamp": "2026-09-12T16:30:00+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 30d is incomplete: expected 43200 one-minute returns, found 43164 (99.9167% coverage); returns spanning missing minutes are excluded", "fitQuality": { "currentObjective": 0.02744816, "previousObjective": 0.01498456, "currentLiveError": 16.94340378, "previousLiveError": 6.91029582 }, "coverage": { "currentListedExpiries": 6, "previousListedExpiries": 6, "comparedListedExpiries": 5, "addedExpiries": [ "15SEP26" ], "removedExpiries": [ "13SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M" ], "suppressedFixedTenors": [ "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Solana one-week volatility rises as skew shifts toward puts", "executiveSummary": "Solana one-week ATM IV reached 53.92% after climbing 4.05 points. The surface also saw RR25 move 2.59 points toward puts, although its positive level still left call volatility richer than put volatility.", "evidenceIds": [ "largest-standard-tenor", "front-atm", "rr25", "bf25" ], "newsSummary": "No qualifying Solana or broader-market news context was retained.", "marketContextSummary": "No retained news event offers a supported direct explanation for the Solana options repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +2.21 volatility points to 53.51% 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 -1.59 volatility points to 2.22% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.25 volatility points to 4.12% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +4.05 volatility points at 1W, to 53.92%.", "tenor": "1W", "value": 4.05 } ] }, "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": "2026-09-13T16:30:00Z", "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-12T16:30:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 1, "hasMore": false, "nextCursor": null, "resultSha256": "50ee5552cd3faf3eeceb06023bb574c19f7b4e30538862e1ef3ffff531fb7572" } ] }, { "arguments": { "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-13T16:30:00Z", "event_types": [ "macro_release", "central_bank_decision", "regulatory_action", "legislation" ], "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-12T16:30:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 0, "hasMore": false, "nextCursor": null, "resultSha256": "e88f3a0a4478e2efd693ede0f6bdfc94bd69378c3e7a3cdc2473dfc26ed1a327" } ] } ], "upstreamIngestionHealth": "not-exposed" }, "generatedAt": "2026-09-13T16:30:00+00:00", "window": { "startAt": "2026-09-12T16:30:00+00:00", "endAt": "2026-09-13T16:30:00+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": 1, "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, "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": "1W ATM IV rose 4.05 volatility points to 53.92%. Front-end ATM IV averaged 53.51%, +2.21 points from the prior snapshot. Long-dated fixed tenors were suppressed because listed expiries did not bracket them. 1W RR25 moved 2.59 volatility points toward puts to 1.89%, leaving calls richer than puts. 1W BF25 rose 0.65 volatility points to 4.31%. The nearest eligible forward, 18SEP26, fell $1.34 (-1.31%) to $100.69. 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 +2.21 volatility points to 53.51% 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 -1.59 volatility points to 2.22% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.25 volatility points to 4.12% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +4.05 volatility points at 1W, to 53.92%.", "tenor": "1W", "value": 4.05 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 1.86, "rr25Change": -1.59, "bf25Change": 0.25, "largestAtmMove": { "tenor": "1W", "current": 53.92, "previous": 49.87, "change": 4.05, "historicalSignificance": { "absoluteMove": 4.05, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 16, "observationsFullHistory": 16, "levelObservationsFullHistory": 17 } }, "frontEndAverageAtm": { "current": 53.51, "previous": 51.29, "change": 2.21 }, "longEndAverageAtm": { "current": null, "previous": null, "change": null }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": 1.89, "previous": 4.48, "change": -2.59, "historicalSignificance": { "absoluteMove": 2.59, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 16, "observationsFullHistory": 16, "levelObservationsFullHistory": 17 }, "direction": "toward puts", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "1W", "current": 4.31, "previous": 3.66, "change": 0.65, "historicalSignificance": { "absoluteMove": 0.65, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 16, "observationsFullHistory": 16, "levelObservationsFullHistory": 17 } }, "nearestEligibleForwardMove": { "label": "18SEP26", "daysToExpiry": 4.646, "current": 100.69, "previous": 102.03, "change": -1.34, "percentChange": -1.31 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789921800721, "availability": "available", "unavailableReason": null, "atmIv": { "current": 53.92, "previous": 49.87, "change": 4.05, "percentChange": 8.12 }, "rr25": { "current": 1.89, "previous": 4.48, "change": -2.59, "percentChange": -57.81 }, "bf25": { "current": 4.31, "previous": 3.66, "change": 0.65, "percentChange": 17.76 }, "historicalSignificance": { "atmIv": { "absoluteMove": 4.05, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 16, "observationsFullHistory": 16, "levelObservationsFullHistory": 17 }, "rr25": { "absoluteMove": 2.59, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 16, "observationsFullHistory": 16, "levelObservationsFullHistory": 17 }, "bf25": { "absoluteMove": 0.65, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 16, "observationsFullHistory": 16, "levelObservationsFullHistory": 17 } } }, { "tenor": "2W", "targetExpiry": 1790526600721, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.96, "previous": 51.45, "change": 1.51, "percentChange": 2.93 }, "rr25": { "current": 2.03, "previous": 4.47, "change": -2.44, "percentChange": -54.59 }, "bf25": { "current": 3.89, "previous": 3.25, "change": 0.64, "percentChange": 19.69 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.51, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 16, "observationsFullHistory": 16, "levelObservationsFullHistory": 17 }, "rr25": { "absoluteMove": 2.44, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 16, "observationsFullHistory": 16, "levelObservationsFullHistory": 17 }, "bf25": { "absoluteMove": 0.64, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 16, "observationsFullHistory": 16, "levelObservationsFullHistory": 17 } } }, { "tenor": "1M", "targetExpiry": 1791909000721, "availability": "available", "unavailableReason": null, "atmIv": { "current": 53.64, "previous": 52.56, "change": 1.08, "percentChange": 2.05 }, "rr25": { "current": 2.1, "previous": 3.32, "change": -1.22, "percentChange": -36.75 }, "bf25": { "current": 3.74, "previous": 3.82, "change": -0.08, "percentChange": -2.09 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.08, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 16, "observationsFullHistory": 16, "levelObservationsFullHistory": 17 }, "rr25": { "absoluteMove": 1.22, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 16, "observationsFullHistory": 16, "levelObservationsFullHistory": 17 }, "bf25": { "absoluteMove": 0.08, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 16, "observationsFullHistory": 16, "levelObservationsFullHistory": 17 } } }, { "tenor": "3M", "targetExpiry": 1797179400721, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.73, "previous": 51.93, "change": 0.8, "percentChange": 1.54 }, "rr25": { "current": 2.86, "previous": 2.96, "change": -0.1, "percentChange": -3.38 }, "bf25": { "current": 4.54, "previous": 4.76, "change": -0.22, "percentChange": -4.62 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.8, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 16, "observationsFullHistory": 16, "levelObservationsFullHistory": 17 }, "rr25": { "absoluteMove": 0.1, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 16, "observationsFullHistory": 16, "levelObservationsFullHistory": 17 }, "bf25": { "absoluteMove": 0.22, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 16, "observationsFullHistory": 16, "levelObservationsFullHistory": 17 } } }, { "tenor": "6M", "targetExpiry": 1805041800721, "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": 1812904200721, "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": 1820853000721, "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, 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One-week RR25 fell 2.59 volatility points to 1.89%, a substantial shift toward puts in relative volatility while calls remained richer than puts at the cutoff. Front-end ATM IV averaged 53.51%, up 2.21 points. Realised-volatility comparisons were unavailable because the minute series did not meet the completeness requirement.", "days": [ { "reportDate": "2026-09-13", "headline": "Solana volatility and skew reprice", "summary": "One-week implied volatility rose sharply as relative call-side richness narrowed toward puts.", "macro": { "summary": "No qualifying macroeconomic events were retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto events were retained.", "events": [] } } ] }, "newsStatus": "no-relevant-catalyst", "headline": "Solana options reprice higher as call-side skew fades", "standfirst": "Solana one-week ATM IV rose 4.05 volatility points to 53.92% over the observation window, the largest standard-tenor rise on the surface. One-week RR25 fell 2.59 volatility points to 1.89%, a substantial shift toward puts in relative volatility while calls remained richer than puts at the cutoff. Front-end ATM IV averaged 53.51%, up 2.21 points. Realised-volatility comparisons were unavailable because the minute series did not meet the completeness requirement.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "SOL", "sessionDate": "2026-09-11", "asOfTimestamp": "2026-09-11T20:00:00+00:00", "summary": "Latest completed common SPX/VIX-family session. The crypto-to-SPX realised-volatility ratio was 7.77, at the 78.3 percentile across 226 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 7.77, at the 78.3 percentile across 226 prior observations.", "The 60-session crypto-SPX return correlation was 0.30 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 52.38, "vix": 15.84000015258789, "vix9d": 14.470000267028809, "vix3m": 18.600000381469727, "ivSpread": 36.53999984741211, "ivRatio": 3.3068181499633584, "cryptoRealisedVol20d": 69.88084875417255, "spxRealisedVol20": 8.992020679301438, "rvSpread": 60.88882807487111, "rvRatio": 7.771428830788829, "rvSpreadPercentile": 46.46017699115044, "rvSpreadPercentileSampleCount": 226, "rvRatioPercentile": 78.31858407079646, "rvRatioPercentileSampleCount": 226, "returnCorrelation30": 0.24051425359297446, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.2954398922716925, "returnCorrelation60SampleCount": 60 }, "methodology": "DerivaSys 30-day fixed-tenor surface and canonical crypto index; VIX from ^VIX and SPX RV from ^GSPC. Crypto RV annualisation sqrt(365); SPX RV annualisation sqrt(252). Providers: derivasys+yahoo_finance." } }