{ "schemaVersion": 3, "reportDate": "2026-09-14", "generatedAt": "2026-09-14T16:30:59+00:00", "currentSnapshotAt": "2026-09-14T16:30:00+00:00", "previousSnapshotAt": "2026-09-13T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 366532, "timestamp": "2026-09-14T16:30:00+00:00" }, "previous": { "id": 356454, "timestamp": "2026-09-13T16:30:00+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": 0.02459563, "previousObjective": 0.02744816, "currentLiveError": 15.77818589, "previousLiveError": 16.94340378 }, "coverage": { "currentListedExpiries": 6, "previousListedExpiries": 6, "comparedListedExpiries": 5, "addedExpiries": [ "16SEP26" ], "removedExpiries": [ "14SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M" ], "suppressedFixedTenors": [ "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Solana’s front-end volatility rises alongside call-rich skew", "executiveSummary": "Solana one-week ATM IV climbed to 57.12% and one-week RR25 reached 3.10%, combining a higher volatility level with relatively richer call-side volatility. Realised-volatility comparisons are unavailable for this snapshot.", "evidenceIds": [ "largest-standard-tenor", "front-atm", "rr25" ], "newsSummary": "News check: no qualifying Solana-related or broader crypto event was retained.", "marketContextSummary": "No retained event provides a supported explanation for the simultaneous volatility and skew repricing.", "marketContext": [ { "title": "No qualifying contextual catalyst", "explanation": "No qualifying news was retained, so the observed surface move is not attributed to a specific event.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "largest-standard-tenor", "rr25" ], "newsEvidenceIds": [] } ], "newsEvidenceIds": [], "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +2.10 volatility points to 55.61% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV is unavailable because comparable observations were not present at both snapshots." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.73 volatility points to 2.95% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.67 volatility points to 4.79% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +3.20 volatility points at 1W, to 57.12%.", "tenor": "1W", "value": 3.2 } ] }, "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": "2026-09-14T16:30:00Z", "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-13T16:30:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 1, "hasMore": false, "nextCursor": null, "resultSha256": "2d3a48d2174961fd0558015cd49ee2c148b28d434739486709111267cff16a9d" } ] }, { "arguments": { "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-14T16:30:00Z", "event_types": [ "macro_release", "central_bank_decision", "regulatory_action", "legislation" ], "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-13T16:30:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 2, "hasMore": false, "nextCursor": null, "resultSha256": "2ffd1411bb94dfd1137998518d6d212966f1b7a0b54474581183036395675bf5" } ] } ], "upstreamIngestionHealth": "not-exposed" }, "generatedAt": "2026-09-14T16:30:00+00:00", "window": { "startAt": "2026-09-13T16:30:00+00:00", "endAt": "2026-09-14T16:30:00+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": 3, "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": 3, "feedEntriesScanned": 3, "articlesPassingTimeFilter": 3, "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": "1W ATM IV rose 3.20 volatility points to 57.12%. Front-end ATM IV averaged 55.61%, +2.10 points from the prior snapshot. Long-dated fixed tenors were suppressed because listed expiries did not bracket them. 1W RR25 moved 1.21 volatility points toward calls to 3.10%, leaving calls richer than puts. 1M BF25 rose 1.18 volatility points to 4.92%. The nearest eligible forward, 18SEP26, rose $1.77 (+1.76%) to $102.46. 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 +2.10 volatility points to 55.61% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV is unavailable because comparable observations were not present at both snapshots." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.73 volatility points to 2.95% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.67 volatility points to 4.79% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +3.20 volatility points at 1W, to 57.12%.", "tenor": "1W", "value": 3.2 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 1.76, "rr25Change": 0.73, "bf25Change": 0.67, "largestAtmMove": { "tenor": "1W", "current": 57.12, "previous": 53.92, "change": 3.2, "historicalSignificance": { "absoluteMove": 3.2, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 17, "observationsFullHistory": 17, "levelObservationsFullHistory": 18 } }, "frontEndAverageAtm": { "current": 55.61, "previous": 53.51, "change": 2.1 }, "longEndAverageAtm": { "current": null, "previous": null, "change": null }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": 3.1, "previous": 1.89, "change": 1.21, "historicalSignificance": { "absoluteMove": 1.21, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 17, "observationsFullHistory": 17, "levelObservationsFullHistory": 18 }, "direction": "toward calls", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "1M", "current": 4.92, "previous": 3.74, "change": 1.18, "historicalSignificance": { "absoluteMove": 1.18, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 17, "observationsFullHistory": 17, "levelObservationsFullHistory": 18 } }, "nearestEligibleForwardMove": { "label": "18SEP26", "daysToExpiry": 3.646, "current": 102.46, "previous": 100.69, "change": 1.77, "percentChange": 1.76 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1790008200421, "availability": "available", "unavailableReason": null, "atmIv": { "current": 57.12, "previous": 53.92, "change": 3.2, "percentChange": 5.93 }, "rr25": { "current": 3.1, "previous": 1.89, "change": 1.21, "percentChange": 64.02 }, "bf25": { "current": 4.3, "previous": 4.31, "change": -0.01, "percentChange": -0.23 }, "historicalSignificance": { "atmIv": { "absoluteMove": 3.2, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 17, "observationsFullHistory": 17, "levelObservationsFullHistory": 18 }, "rr25": { "absoluteMove": 1.21, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 17, "observationsFullHistory": 17, "levelObservationsFullHistory": 18 }, "bf25": { "absoluteMove": 0.01, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 17, "observationsFullHistory": 17, "levelObservationsFullHistory": 18 } } }, { "tenor": "2W", "targetExpiry": 1790613000421, "availability": "available", "unavailableReason": null, "atmIv": { "current": 55.35, "previous": 52.96, "change": 2.39, "percentChange": 4.51 }, "rr25": { "current": 2.96, "previous": 2.03, "change": 0.93, "percentChange": 45.81 }, "bf25": { "current": 4.42, "previous": 3.89, "change": 0.53, "percentChange": 13.62 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.39, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 17, "observationsFullHistory": 17, "levelObservationsFullHistory": 18 }, "rr25": { "absoluteMove": 0.93, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 17, "observationsFullHistory": 17, "levelObservationsFullHistory": 18 }, "bf25": { "absoluteMove": 0.53, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 17, "observationsFullHistory": 17, "levelObservationsFullHistory": 18 } } }, { "tenor": "1M", "targetExpiry": 1791995400421, "availability": "available", "unavailableReason": null, "atmIv": { "current": 54.35, "previous": 53.64, "change": 0.71, "percentChange": 1.32 }, "rr25": { "current": 2.82, "previous": 2.1, "change": 0.72, "percentChange": 34.29 }, "bf25": { "current": 4.92, "previous": 3.74, "change": 1.18, "percentChange": 31.55 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.71, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 17, "observationsFullHistory": 17, "levelObservationsFullHistory": 18 }, "rr25": { "absoluteMove": 0.72, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 17, "observationsFullHistory": 17, "levelObservationsFullHistory": 18 }, "bf25": { "absoluteMove": 1.18, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 17, "observationsFullHistory": 17, "levelObservationsFullHistory": 18 } } }, { "tenor": "3M", "targetExpiry": 1797265800421, "availability": "available", "unavailableReason": null, "atmIv": { "current": 53.46, "previous": 52.73, "change": 0.73, "percentChange": 1.38 }, "rr25": { "current": 2.92, "previous": 2.86, "change": 0.06, "percentChange": 2.1 }, "bf25": { "current": 5.52, "previous": 4.54, "change": 0.98, "percentChange": 21.59 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.73, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 17, "observationsFullHistory": 17, "levelObservationsFullHistory": 18 }, "rr25": { "absoluteMove": 0.06, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 17, "observationsFullHistory": 17, "levelObservationsFullHistory": 18 }, "bf25": { "absoluteMove": 0.98, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 17, "observationsFullHistory": 17, "levelObservationsFullHistory": 18 } } }, { "tenor": "6M", "targetExpiry": 1805128200421, "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": 1812990600421, "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": 1820939400421, "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": "15SEP26", "expiry": 1789459200000, "tauYears": 0.00176942, "daysToExpiry": 0.646, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 102.42, "previous": 100.7, "change": 1.72, "percentChange": 1.71 }, "atmIv": { "current": 53.51, "previous": 52.87, "change": 0.64, "percentChange": 1.21 }, "rr25": { "current": 1.6, "previous": -1.56, "change": 3.16, "percentChange": 202.56 }, "bf25": { "current": 1.58, "previous": 5.4, "change": -3.82, "percentChange": -70.74 }, "svi": { "a": { "current": -0.0221, "previous": -0.0377, "change": 0.0156, "percentChange": 41.3 }, "b": { "current": 0.0534, "previous": 0.1275, "change": -0.0742, "percentChange": -58.15 }, "rho": { "current": 0.0264, "previous": -0.0371, "change": 0.0636, "percentChange": 171.16 }, "m": { "current": 0.0038, "previous": -0.0073, "change": 0.0111, "percentChange": 151.41 }, "sigma": { "current": 0.4238, "previous": 0.3054, "change": 0.1184, "percentChange": 38.78 } }, "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": [ 172.9491, 165.6467, 158.2929, 150.8952, 143.4632, 136.0085, 128.5459, 121.0941, 113.6766, 106.3232, 99.072, 91.9724, 85.0883, 78.5031, 72.3253, 66.6948, 61.7867, 57.8083, 54.9816, 53.5045, 53.4987, 54.9687, 57.8008, 61.802, 66.7524, 72.4448, 78.703, 85.3857, 92.3828, 99.6096, 107.0006, 114.5052, 122.0839, 129.7057, 137.3461, 144.9853, 152.6077, 160.2005, 167.7534, 175.2583, 182.7085 ], "previous": [ 197.9652, 190.0975, 182.1217, 174.0415, 165.8622, 157.5912, 149.2389, 140.8194, 132.3512, 123.859, 115.3754, 106.9434, 98.6201, 90.4821, 82.6325, 75.2103, 68.4026, 62.4546, 57.6703, 54.3849, 52.8928, 53.3449, 55.6807, 59.6549, 64.9348, 71.1923, 78.1517, 85.5992, 93.3757, 101.364, 109.4782, 117.6551, 125.8477, 134.0211, 142.1493, 150.2131, 158.1979, 166.0935, 173.8922, 181.589, 189.1804 ], "change": [ -25.0161, -24.4508, -23.8288, -23.1463, -22.399, -21.5827, -20.693, -19.7253, -18.6746, -17.5358, -16.3034, -14.971, -13.5318, -11.979, -10.3072, -8.5155, -6.6159, -4.6463, -2.6887, -0.8804, 0.6059, 1.6238, 2.1201, 2.1471, 1.8176, 1.2525, 0.5513, -0.2135, -0.9929, -1.7544, -2.4776, -3.1499, -3.7638, -4.3154, -4.8032, -5.2278, -5.5902, -5.893, -6.1388, -6.3307, -6.4719 ], "classification": [ "rotation towards calls", "wing flattening" ], "parallelShift": -6.058, "rotation": 13.826, "wingChange": -9.996, "rmsChange": 12.241 } }, { "label": "18SEP26", "expiry": 1789718400000, "tauYears": 0.0099886, "daysToExpiry": 3.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 102.46, "previous": 100.69, "change": 1.77, "percentChange": 1.76 }, "atmIv": { "current": 60.16, "previous": 55.42, "change": 4.74, "percentChange": 8.55 }, "rr25": { "current": 3.26, "previous": 1.75, "change": 1.51, "percentChange": 86.29 }, "bf25": { "current": 4.76, "previous": 4.77, "change": -0.01, "percentChange": -0.21 }, "svi": { "a": { "current": -0.071, "previous": -0.0549, "change": -0.0161, "percentChange": -29.31 }, "b": { "current": 0.1583, "previous": 0.1453, "change": 0.013, "percentChange": 8.94 }, "rho": { "current": -0.1188, "previous": -0.0654, "change": -0.0534, "percentChange": -81.6 }, "m": { "current": -0.0688, "previous": -0.0322, "change": -0.0366, "percentChange": -113.71 }, "sigma": { "current": 0.4741, "previous": 0.4052, "change": 0.0689, "percentChange": 17.0 } }, "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": [ 130.1309, 125.0486, 119.9872, 114.958, 109.9746, 105.0527, 100.2105, 95.4696, 90.8548, 86.3952, 82.1247, 78.0821, 74.3115, 70.8625, 67.7889, 65.1471, 62.9931, 61.3781, 60.3435, 59.9153, 60.101, 60.8876, 62.2437, 64.1235, 66.4719, 69.23, 72.3393, 75.7449, 79.3969, 83.2511, 87.2694, 91.4192, 95.6727, 100.0064, 104.4006, 108.8388, 113.3071, 117.7937, 122.289, 126.7846, 131.2739 ], "previous": [ 119.8079, 115.3964, 110.984, 106.5797, 102.1943, 97.8407, 93.5338, 89.2919, 85.1361, 81.0914, 77.1872, 73.4577, 69.9423, 66.6857, 63.7375, 61.1509, 58.9808, 57.2797, 56.0934, 55.4558, 55.3843, 55.8774, 56.9144, 58.4587, 60.4621, 62.8703, 65.6274, 68.6794, 71.9766, 75.4746, 79.1345, 82.923, 86.8117, 90.7766, 94.7977, 98.858, 102.9435, 107.0425, 111.1453, 115.2437, 119.3311 ], "change": [ 10.323, 9.6522, 9.0032, 8.3783, 7.7803, 7.212, 6.6767, 6.1777, 5.7187, 5.3038, 4.9375, 4.6244, 4.3692, 4.1768, 4.0514, 3.9962, 4.0123, 4.0984, 4.2501, 4.4595, 4.7167, 5.0102, 5.3293, 5.6648, 6.0098, 6.3597, 6.7119, 7.0655, 7.4203, 7.7765, 8.1349, 8.4962, 8.861, 9.2298, 9.6029, 9.9808, 10.3636, 10.7512, 11.1437, 11.5409, 11.9428 ], "classification": [ "parallel shift higher", "rotation towards calls", "wing steepening" ], "parallelShift": 5.93, "rotation": 3.197, "wingChange": 1.82, "rmsChange": 7.497 } }, { "label": "25SEP26", "expiry": 1790323200000, "tauYears": 0.02916668, "daysToExpiry": 10.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 102.51, "previous": 100.75, "change": 1.76, "percentChange": 1.75 }, "atmIv": { "current": 55.94, "previous": 52.7, "change": 3.24, "percentChange": 6.15 }, "rr25": { "current": 3.04, "previous": 2.0, "change": 1.04, "percentChange": 52.0 }, "bf25": { "current": 4.12, "previous": 3.94, "change": 0.18, "percentChange": 4.57 }, "svi": { "a": { "current": -0.0739, "previous": -0.0815, "change": 0.0076, "percentChange": 9.32 }, "b": { "current": 0.1612, "previous": 0.1683, "change": -0.0071, "percentChange": -4.23 }, "rho": { "current": -0.099, "previous": -0.0616, "change": -0.0374, "percentChange": -60.78 }, "m": { "current": -0.0707, "previous": -0.0446, "change": -0.0261, "percentChange": -58.55 }, "sigma": { "current": 0.5174, "previous": 0.538, "change": -0.0206, "percentChange": -3.82 } }, "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": [ 84.7144, 82.2673, 79.8639, 77.5119, 75.22, 72.9974, 70.8543, 68.8018, 66.8515, 65.0159, 63.3078, 61.7406, 60.3274, 59.0813, 58.0144, 57.1377, 56.4604, 55.9898, 55.7303, 55.6837, 55.849, 56.2219, 56.7958, 57.5617, 58.5087, 59.6245, 60.896, 62.3096, 63.8518, 65.5093, 67.2693, 69.1199, 71.0497, 73.0484, 75.1066, 77.2156, 79.3677, 81.5558, 83.7736, 86.0157, 88.277 ], "previous": [ 81.7556, 79.3987, 77.0786, 74.8022, 72.5772, 70.412, 68.3158, 66.2987, 64.3715, 62.5457, 60.8338, 59.2484, 57.8027, 56.5098, 55.3824, 54.4324, 53.6703, 53.1052, 52.7434, 52.5891, 52.6432, 52.904, 53.3669, 54.0245, 54.8674, 55.8846, 57.0636, 58.3915, 59.8549, 61.4404, 63.1354, 64.9274, 66.805, 68.7574, 70.7747, 72.8481, 74.9692, 77.1308, 79.3262, 81.5496, 83.7955 ], "change": [ 2.9588, 2.8686, 2.7853, 2.7097, 2.6428, 2.5854, 2.5385, 2.5031, 2.48, 2.4702, 2.474, 2.4922, 2.5247, 2.5715, 2.632, 2.7053, 2.7901, 2.8846, 2.9869, 3.0946, 3.2058, 3.3179, 3.4289, 3.5372, 3.6413, 3.7399, 3.8324, 3.9181, 3.9969, 4.0689, 4.1339, 4.1925, 4.2447, 4.291, 4.3319, 4.3675, 4.3985, 4.425, 4.4474, 4.4661, 4.4815 ], "classification": [ "parallel shift higher", "rotation towards calls" ], "parallelShift": 3.271, "rotation": 1.66, "wingChange": 0.098, "rmsChange": 3.45 } }, { "label": "30OCT26", "expiry": 1793347200000, "tauYears": 0.12505709, "daysToExpiry": 45.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 102.75, "previous": 101.01, "change": 1.74, "percentChange": 1.72 }, "atmIv": { "current": 54.04, "previous": 53.85, "change": 0.19, "percentChange": 0.35 }, "rr25": { "current": 2.78, "previous": 2.12, "change": 0.66, "percentChange": 31.13 }, "bf25": { "current": 5.08, "previous": 3.7, "change": 1.38, "percentChange": 37.3 }, "svi": { "a": { "current": -0.0272, "previous": -0.0664, "change": 0.0391, "percentChange": 58.98 }, "b": { "current": 0.1612, "previous": 0.1752, "change": -0.014, "percentChange": -7.97 }, "rho": { "current": -0.0989, "previous": -0.0984, "change": -0.0005, "percentChange": -0.53 }, "m": { "current": -0.0569, "previous": -0.0774, "change": 0.0205, "percentChange": 26.53 }, "sigma": { "current": 0.3958, "previous": 0.5922, "change": -0.1964, "percentChange": -33.17 } }, "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": [ 64.1891, 63.2631, 62.3616, 61.4876, 60.6442, 59.8346, 59.0624, 58.3309, 57.6436, 57.004, 56.4154, 55.8812, 55.4042, 54.9873, 54.6328, 54.3428, 54.1187, 53.9616, 53.872, 53.8498, 53.8945, 54.005, 54.1796, 54.4165, 54.7132, 55.067, 55.475, 55.9339, 56.4407, 56.9918, 57.5841, 58.2141, 58.8788, 59.5748, 60.2994, 61.0495, 61.8226, 62.6161, 63.4277, 64.2551, 65.0965 ], "previous": [ 61.467, 60.7272, 60.0147, 59.3314, 58.6791, 58.0598, 57.4751, 56.927, 56.4171, 55.9471, 55.5185, 55.1328, 54.7912, 54.495, 54.2449, 54.0419, 53.8864, 53.7789, 53.7194, 53.7078, 53.744, 53.8273, 53.957, 54.1322, 54.3519, 54.6148, 54.9195, 55.2645, 55.6482, 56.069, 56.525, 57.0146, 57.5359, 58.087, 58.6663, 59.2719, 59.9021, 60.5552, 61.2295, 61.9235, 62.6356 ], "change": [ 2.7221, 2.5359, 2.3469, 2.1562, 1.9651, 1.7748, 1.5873, 1.4039, 1.2265, 1.0569, 0.8969, 0.7484, 0.613, 0.4923, 0.3879, 0.3009, 0.2323, 0.1827, 0.1526, 0.142, 0.1505, 0.1777, 0.2226, 0.2843, 0.3613, 0.4522, 0.5555, 0.6694, 0.7925, 0.9228, 1.0591, 1.1995, 1.3429, 1.4878, 1.6331, 1.7776, 1.9205, 2.0609, 2.1982, 2.3316, 2.4609 ], "classification": [ "wing steepening" ], "parallelShift": 0.702, "rotation": 0.162, "wingChange": 0.827, "rmsChange": 1.396 } }, { "label": "25DEC26", "expiry": 1798185600000, "tauYears": 0.27848175, "daysToExpiry": 101.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 103.14, "previous": 101.36, "change": 1.78, "percentChange": 1.76 }, "atmIv": { "current": 53.4, "previous": 52.6, "change": 0.8, "percentChange": 1.52 }, "rr25": { "current": 2.93, "previous": 2.95, "change": -0.02, "percentChange": -0.68 }, "bf25": { "current": 5.57, "previous": 4.63, "change": 0.94, "percentChange": 20.3 }, "svi": { "a": { "current": -0.0053, "previous": -0.0308, "change": 0.0255, "percentChange": 82.72 }, "b": { "current": 0.1933, "previous": 0.2012, "change": -0.0079, "percentChange": -3.92 }, "rho": { "current": -0.034, "previous": -0.0503, "change": 0.0163, "percentChange": 32.44 }, "m": { "current": -0.0242, "previous": -0.0474, "change": 0.0232, "percentChange": 48.92 }, "sigma": { "current": 0.4359, "previous": 0.5372, "change": -0.1013, "percentChange": -18.86 } }, "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": [ 58.773, 58.2765, 57.7953, 57.3308, 56.8842, 56.457, 56.0504, 55.6659, 55.3049, 54.9688, 54.6588, 54.3763, 54.1224, 53.8984, 53.7051, 53.5435, 53.4142, 53.318, 53.255, 53.2257, 53.23, 53.2677, 53.3386, 53.4422, 53.5778, 53.7447, 53.9417, 54.1681, 54.4225, 54.7037, 55.0105, 55.3415, 55.6954, 56.0708, 56.4663, 56.8806, 57.3124, 57.7603, 58.2232, 58.6998, 59.189 ], "previous": [ 56.9434, 56.5032, 56.08, 55.6748, 55.2887, 54.9226, 54.5775, 54.2545, 53.9544, 53.6782, 53.4267, 53.2007, 53.0009, 52.828, 52.6825, 52.5648, 52.4753, 52.4142, 52.3816, 52.3776, 52.402, 52.4546, 52.5352, 52.6432, 52.7781, 52.9395, 53.1264, 53.3383, 53.5742, 53.8333, 54.1147, 54.4174, 54.7404, 55.0828, 55.4435, 55.8216, 56.216, 56.6259, 57.0501, 57.4879, 57.9383 ], "change": [ 1.8296, 1.7733, 1.7153, 1.656, 1.5955, 1.5344, 1.4729, 1.4114, 1.3505, 1.2906, 1.2321, 1.1756, 1.1215, 1.0704, 1.0226, 0.9787, 0.9389, 0.9038, 0.8734, 0.8481, 0.828, 0.8131, 0.8034, 0.799, 0.7997, 0.8052, 0.8153, 0.8298, 0.8483, 0.8704, 0.8958, 0.9241, 0.955, 0.988, 1.0228, 1.059, 1.0964, 1.1344, 1.1731, 1.2119, 1.2507 ], "classification": [ "parallel shift higher" ], "parallelShift": 0.985, "rotation": -0.336, "wingChange": 0.236, "rmsChange": 1.154 } } ], "events": [ { "type": "atmIv", "title": "Largest standard-tenor ATM IV move", "label": "1W", "value": 3.2, "score": 3.2, "unit": "volatility points" }, { "type": "rotation", "title": "Largest eligible smile rotation", "label": "18SEP26", "value": 3.197, "score": 3.197, "unit": "volatility points" }, { "type": "rr25", "title": "Largest standard-tenor RR25 move", "label": "1W", "value": 1.21, "score": 1.21, "unit": "volatility points" }, { "type": "bf25", "title": "Largest standard-tenor BF25 move", "label": "1M", "value": 1.18, "score": 1.18, "unit": "volatility points" }, { "type": "sigma", "title": "Largest eligible SVI sigma move", "label": "30OCT26", "value": -0.1964, "score": 0.1964, "unit": "parameter units" }, { "type": "rho", "title": "Largest eligible SVI rho move", "label": "18SEP26", "value": -0.0534, "score": 0.0534, "unit": "parameter units" } ], "expiryEffects": [ { "label": "15SEP26", "daysToExpiry": 0.646, "metric": "Smile rotation", "value": 13.826, "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": 0.21499314, "metric": "vega", "availability": "available" }, "highestGamma": { "label": "15SEP26", "expiry": 1789459200000, "value": 0.173040361154, "metric": "gamma", "availability": "available" }, "highestThetaDecay": { "label": "15SEP26", "expiry": 1789459200000, "value": -0.71197378, "metric": "theta", "availability": "available" }, "highestVanna": { "label": "25DEC26", "expiry": 1798185600000, "value": 0.00104224, "metric": "vanna", "availability": "available" }, "highestVolga": { "label": "25DEC26", "expiry": 1798185600000, "value": -0.00799287, "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": "15SEP26", "values": [ -25.0161, -24.4508, -23.8288, -23.1463, -22.399, -21.5827, -20.693, -19.7253, -18.6746, -17.5358, -16.3034, -14.971, -13.5318, -11.979, -10.3072, -8.5155, -6.6159, -4.6463, -2.6887, -0.8804, 0.6059, 1.6238, 2.1201, 2.1471, 1.8176, 1.2525, 0.5513, -0.2135, -0.9929, -1.7544, -2.4776, -3.1499, -3.7638, -4.3154, -4.8032, -5.2278, -5.5902, -5.893, -6.1388, -6.3307, -6.4719 ] }, { "label": "18SEP26", "values": [ 10.323, 9.6522, 9.0032, 8.3783, 7.7803, 7.212, 6.6767, 6.1777, 5.7187, 5.3038, 4.9375, 4.6244, 4.3692, 4.1768, 4.0514, 3.9962, 4.0123, 4.0984, 4.2501, 4.4595, 4.7167, 5.0102, 5.3293, 5.6648, 6.0098, 6.3597, 6.7119, 7.0655, 7.4203, 7.7765, 8.1349, 8.4962, 8.861, 9.2298, 9.6029, 9.9808, 10.3636, 10.7512, 11.1437, 11.5409, 11.9428 ] }, { "label": "25SEP26", "values": [ 2.9588, 2.8686, 2.7853, 2.7097, 2.6428, 2.5854, 2.5385, 2.5031, 2.48, 2.4702, 2.474, 2.4922, 2.5247, 2.5715, 2.632, 2.7053, 2.7901, 2.8846, 2.9869, 3.0946, 3.2058, 3.3179, 3.4289, 3.5372, 3.6413, 3.7399, 3.8324, 3.9181, 3.9969, 4.0689, 4.1339, 4.1925, 4.2447, 4.291, 4.3319, 4.3675, 4.3985, 4.425, 4.4474, 4.4661, 4.4815 ] }, { "label": "30OCT26", "values": [ 2.7221, 2.5359, 2.3469, 2.1562, 1.9651, 1.7748, 1.5873, 1.4039, 1.2265, 1.0569, 0.8969, 0.7484, 0.613, 0.4923, 0.3879, 0.3009, 0.2323, 0.1827, 0.1526, 0.142, 0.1505, 0.1777, 0.2226, 0.2843, 0.3613, 0.4522, 0.5555, 0.6694, 0.7925, 0.9228, 1.0591, 1.1995, 1.3429, 1.4878, 1.6331, 1.7776, 1.9205, 2.0609, 2.1982, 2.3316, 2.4609 ] }, { "label": "25DEC26", "values": [ 1.8296, 1.7733, 1.7153, 1.656, 1.5955, 1.5344, 1.4729, 1.4114, 1.3505, 1.2906, 1.2321, 1.1756, 1.1215, 1.0704, 1.0226, 0.9787, 0.9389, 0.9038, 0.8734, 0.8481, 0.828, 0.8131, 0.8034, 0.799, 0.7997, 0.8052, 0.8153, 0.8298, 0.8483, 0.8704, 0.8958, 0.9241, 0.955, 0.988, 1.0228, 1.059, 1.0964, 1.1344, 1.1731, 1.2119, 1.2507 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-14T16:30:00+00:00", "window": { "startAt": "2026-09-13T16:30:00+00:00", "endAt": "2026-09-14T16:30:00+00:00", "endExclusive": true }, "headline": "Solana options reprice higher as front-end call skew strengthens", "standfirst": "Solana one-week ATM IV rose 3.20 volatility points to 57.12%, the largest standard-tenor move on the surface. One-week RR25 also increased 1.21 points to 3.10%, indicating relatively richer call-side volatility. Front-end ATM IV averaged 55.61%, up 2.10 points from the prior snapshot.", "days": [ { "reportDate": "2026-09-14", "headline": "Solana front end reprices higher", "summary": "One-week Solana implied volatility and relative call-side volatility both rose at the front end.", "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 reprice higher as front-end call skew strengthens", "standfirst": "Solana one-week ATM IV rose 3.20 volatility points to 57.12%, the largest standard-tenor move on the surface. One-week RR25 also increased 1.21 points to 3.10%, indicating relatively richer call-side volatility. Front-end ATM IV averaged 55.61%, up 2.10 points from the prior snapshot.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "SOL", "sessionDate": "2026-09-11", "asOfTimestamp": "2026-09-11T20:00:00+00:00", "summary": "Previous session (latest completed): Persisted common SPX/VIX-family session; all metric provenance is DerivaSys and Yahoo Finance. 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": "Crypto RV uses sqrt(365); SPX RV uses sqrt(252). IV is the 30-calendar-day fixed tenor nearest the US close." } }