{ "schemaVersion": 3, "reportDate": "2026-09-15", "generatedAt": "2026-09-15T21:01:41+00:00", "currentSnapshotAt": "2026-09-15T21:01:00+00:00", "previousSnapshotAt": "2026-09-14T21:01:00+00:00", "sourceSnapshots": { "current": { "id": 378447, "timestamp": "2026-09-15T21:01:00+00:00" }, "previous": { "id": 368426, "timestamp": "2026-09-14T21:01:00+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 24h is incomplete: expected 1440 one-minute returns, found 1402 (97.3611% coverage); returns spanning missing minutes are excluded", "fitQuality": { "currentObjective": 0.08542205, "previousObjective": 0.05308987, "currentLiveError": 56.20337241, "previousLiveError": 44.02538216 }, "coverage": { "currentListedExpiries": 6, "previousListedExpiries": 6, "comparedListedExpiries": 5, "addedExpiries": [ "17SEP26" ], "removedExpiries": [ "15SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M" ], "suppressedFixedTenors": [ "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Solana options turn more defensive as front-end volatility eases", "executiveSummary": "Solana\u2019s near-expiry smile rotated lower as front-end options repriced toward relative put-side volatility. Solana one-week RR25 fell 4.81 volatility points to -0.20%, while Solana one-week ATM IV declined 1.94 volatility points to 57.41%.", "evidenceIds": [ "rr25", "front-atm", "largest-standard-tenor" ], "newsSummary": "Single-source media reporting said a Solana mainnet upgrade more than tripled the transaction-size limit. Separate media reporting said US government bond yields reached a 19-year peak as oil prices rose. Neither item includes a measured options reaction.", "marketContextSummary": "The protocol and macro developments are retained as context, but no evidence establishes either as the cause of Solana\u2019s options repricing.", "marketContext": [ { "title": "Solana mainnet upgrade", "explanation": "Single-source media reporting described a mainnet transaction-size upgrade during the window in which Solana\u2019s near-expiry smile rotated lower. No measured reaction links the upgrade to the options move.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "rr25" ], "newsEvidenceIds": [ "bd4c3cbf-b5aa-4864-b7ff-a4e5570e3cf1" ] }, { "title": "Rates and oil backdrop", "explanation": "Solana front-end ATM IV fell during reporting of higher US government bond yields and oil prices, but timing alone does not establish causation.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "front-atm" ], "newsEvidenceIds": [ "ee29212d-deb8-447a-be5a-0d064022c65b" ] } ], "newsEvidenceIds": [ "bd4c3cbf-b5aa-4864-b7ff-a4e5570e3cf1", "ee29212d-deb8-447a-be5a-0d064022c65b" ], "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -1.27 volatility points to 56.03% 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 -3.10 volatility points to 0.49% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging -0.08 volatility points to 4.85% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -1.94 volatility points at 1W, to 57.41%.", "tenor": "1W", "value": -1.94 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "collection": { "schemaVersion": 1, "basis": "monitored-source-search", "status": "complete", "requiredScopes": [ "GLOBAL", "MACRO", "SOL" ], "completedScopes": [ "GLOBAL", "MACRO", "SOL" ], "missingScopes": [], "queries": [ { "arguments": { "assets": null, "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-15T21:01:00Z", "limit": 50, "min_confidence": 0, "min_importance": 0, "start": "2026-09-14T21:01:00Z", 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"publishersQueried": 6, "feedEntriesScanned": 9, "articlesPassingTimeFilter": 9, "articlesPassingSourceRelevanceRules": 4, "articlesPassingSelectionThreshold": 2, "storiesSelected": 2, "selectedPublishers": 2, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 0, "lockedEventSet": true, "qualityThresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "candidateAudit": [ { "eventId": "531c70fe-990c-470d-b549-c51d295e1f57", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" }, { "eventId": "f32f78a4-7546-4a77-90c9-c86fc0f2d526", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" }, { 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"da46dc91-9e07-47e5-9280-6d9f40af55f7", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" }, { "eventId": "a770c2ff-5876-4335-a4a1-425e91708662", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" }, { "eventId": "42348cbc-f78a-462f-841f-c422c34a606c", "selected": false, "eligible": true, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": true, "decision": "editorial-selection" } ], "planRationale": "Editorial review: source-checked rates and oil reporting is useful shared market context, without any claim that it caused the measured options moves. Retain the reported mainnet transaction-size upgrade as an attributed, single-source protocol development; missing reaction evidence does not veto context.", "eventsSelected": 2 }, "items": [ { "id": "ee29212d-deb8-447a-be5a-0d064022c65b", "sourceId": "al_jazeera_english", "publisher": "Al Jazeera", "title": "Benchmark US government bond yield hits 19-year peak as oil prices surge", "url": "https://www.aljazeera.com/economy/2026/9/15/benchmark-us-government-bond-yield-hits-19-year-peak-as-oil-prices-surge?traffic_source=rss", "publishedAt": "2026-09-15T11:36:51+00:00", "summary": "Benchmark US government bond yields reached a 19-year peak as oil prices rose.", "matchedTerms": [ "US Treasury", "oil prices" ], "topics": [ "market", "market_move" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 50, "quality": { "eligible": true, "score": 49.6, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 3, "sourceQuality": 0.6025, "signals": { "confidence": 0.6467, "importance": 0.8895, "novelty": 1.0, "corroboration": null, "sourceQuality": 0.6025, "effectiveSourceQuality": 0.6025, "catalystScore": 0.1774, "effectiveCatalystScore": 0.1774, "contentKind": "reporting", "status": "developing" }, "thresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "policy": "source-backed-context-v1", "role": "context", "attributionRequired": true }, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "ee29212d-deb8-447a-be5a-0d064022c65b", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD", "ATM IV 1W: down 1.94 points to 57.41%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-875bc504fd7a" }, { "id": "bd4c3cbf-b5aa-4864-b7ff-a4e5570e3cf1", "sourceId": "cointelegraph", "publisher": "Cointelegraph", "title": "Solana more than triples transaction size limit with mainnet upgrade", "url": "https://cointelegraph.com/news/solana-transaction-size-limit-4096-bytes-upgrade", "publishedAt": "2026-09-15T08:18:53+00:00", "summary": "A Solana mainnet upgrade more than tripled the transaction-size limit.", "matchedTerms": [ "SOL", "Solana" ], "topics": [ "protocol", "protocol_upgrade" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 35, "quality": { "eligible": true, "score": 34.8, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.6125, "signals": { "confidence": 0.53, "importance": 0.39, "novelty": 1.0, "corroboration": null, "sourceQuality": 0.6125, "effectiveSourceQuality": 0.6125, "catalystScore": 0.076, "effectiveCatalystScore": 0.076, "contentKind": "reporting", "status": "developing" }, "thresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "policy": "source-backed-context-v1", "role": "context", "attributionRequired": true }, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "bd4c3cbf-b5aa-4864-b7ff-a4e5570e3cf1", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD", "ATM IV 1W: down 1.94 points to 57.41%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-46dd9c0d52ca" } ], "events": [ { "event_cluster_id": "market-event-875bc504fd7a", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD", "ATM IV 1W: down 1.94 points to 57.41%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "ee29212d-deb8-447a-be5a-0d064022c65b", "sourceId": "al_jazeera_english", "publisher": "Al Jazeera", "title": "Benchmark US government bond yield hits 19-year peak as oil prices surge", "url": "https://www.aljazeera.com/economy/2026/9/15/benchmark-us-government-bond-yield-hits-19-year-peak-as-oil-prices-surge?traffic_source=rss", "publishedAt": "2026-09-15T11:36:51+00:00", "summary": "Benchmark US government bond yields reached a 19-year peak as oil prices rose.", "matchedTerms": [ "US Treasury", "oil prices" ], "topics": [ "market", "market_move" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 50, "quality": { "eligible": true, "score": 49.6, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 3, "sourceQuality": 0.6025, "signals": { "confidence": 0.6467, "importance": 0.8895, "novelty": 1.0, "corroboration": null, "sourceQuality": 0.6025, "effectiveSourceQuality": 0.6025, "catalystScore": 0.1774, "effectiveCatalystScore": 0.1774, "contentKind": "reporting", "status": "developing" }, "thresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "policy": "source-backed-context-v1", "role": "context", "attributionRequired": true }, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "ee29212d-deb8-447a-be5a-0d064022c65b", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD", "ATM IV 1W: down 1.94 points to 57.41%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-875bc504fd7a" }, "additional_coverage": [] }, { "event_cluster_id": "market-event-46dd9c0d52ca", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD", "ATM IV 1W: down 1.94 points to 57.41%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "bd4c3cbf-b5aa-4864-b7ff-a4e5570e3cf1", "sourceId": "cointelegraph", "publisher": "Cointelegraph", "title": "Solana more than triples transaction size limit with mainnet upgrade", "url": "https://cointelegraph.com/news/solana-transaction-size-limit-4096-bytes-upgrade", "publishedAt": "2026-09-15T08:18:53+00:00", "summary": "A Solana mainnet upgrade more than tripled the transaction-size limit.", "matchedTerms": [ "SOL", "Solana" ], "topics": [ "protocol", "protocol_upgrade" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 35, "quality": { "eligible": true, "score": 34.8, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.6125, "signals": { "confidence": 0.53, "importance": 0.39, "novelty": 1.0, "corroboration": null, "sourceQuality": 0.6125, "effectiveSourceQuality": 0.6125, "catalystScore": 0.076, "effectiveCatalystScore": 0.076, "contentKind": "reporting", "status": "developing" }, "thresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "policy": "source-backed-context-v1", "role": "context", "attributionRequired": true }, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "bd4c3cbf-b5aa-4864-b7ff-a4e5570e3cf1", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD", "ATM IV 1W: down 1.94 points to 57.41%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-46dd9c0d52ca" }, "additional_coverage": [] } ] }, "newsContext": { "outcome": "Relevant context found; no confirmed catalyst", "highest_causal_confidence": "low", "section_heading": "Relevant market events", "events": [ { "event_cluster_id": "market-event-875bc504fd7a", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD", "ATM IV 1W: down 1.94 points to 57.41%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "ee29212d-deb8-447a-be5a-0d064022c65b", "sourceId": "al_jazeera_english", "publisher": "Al Jazeera", "title": "Benchmark US government bond yield hits 19-year peak as oil prices surge", "url": "https://www.aljazeera.com/economy/2026/9/15/benchmark-us-government-bond-yield-hits-19-year-peak-as-oil-prices-surge?traffic_source=rss", "publishedAt": "2026-09-15T11:36:51+00:00", "summary": "Benchmark US government bond yields reached a 19-year peak as oil prices rose.", "matchedTerms": [ "US Treasury", "oil prices" ], "topics": [ "market", "market_move" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 50, "quality": { "eligible": true, "score": 49.6, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 3, "sourceQuality": 0.6025, "signals": { "confidence": 0.6467, "importance": 0.8895, "novelty": 1.0, "corroboration": null, "sourceQuality": 0.6025, "effectiveSourceQuality": 0.6025, "catalystScore": 0.1774, "effectiveCatalystScore": 0.1774, "contentKind": "reporting", "status": "developing" }, "thresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "policy": "source-backed-context-v1", "role": "context", "attributionRequired": true }, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "ee29212d-deb8-447a-be5a-0d064022c65b", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD", "ATM IV 1W: down 1.94 points to 57.41%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-875bc504fd7a" }, "additional_coverage": [] }, { "event_cluster_id": "market-event-46dd9c0d52ca", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD", "ATM IV 1W: down 1.94 points to 57.41%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "bd4c3cbf-b5aa-4864-b7ff-a4e5570e3cf1", "sourceId": "cointelegraph", "publisher": "Cointelegraph", "title": "Solana more than triples transaction size limit with mainnet upgrade", "url": "https://cointelegraph.com/news/solana-transaction-size-limit-4096-bytes-upgrade", "publishedAt": "2026-09-15T08:18:53+00:00", "summary": "A Solana mainnet upgrade more than tripled the transaction-size limit.", "matchedTerms": [ "SOL", "Solana" ], "topics": [ "protocol", "protocol_upgrade" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 35, "quality": { "eligible": true, "score": 34.8, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.6125, "signals": { "confidence": 0.53, "importance": 0.39, "novelty": 1.0, "corroboration": null, "sourceQuality": 0.6125, "effectiveSourceQuality": 0.6125, "catalystScore": 0.076, "effectiveCatalystScore": 0.076, "contentKind": "reporting", "status": "developing" }, "thresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "policy": "source-backed-context-v1", "role": "context", "attributionRequired": true }, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "bd4c3cbf-b5aa-4864-b7ff-a4e5570e3cf1", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD", "ATM IV 1W: down 1.94 points to 57.41%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-46dd9c0d52ca" }, "additional_coverage": [] } ], "coverage_status": "healthy", "coverage_basis": "monitored-source-search" }, "marketRead": { "text": "1W RR25 moved 4.81 volatility points toward puts to -0.20%, leaving puts richer than calls. Front-end ATM IV averaged 56.03%, -1.27 points from the prior snapshot. Long-dated fixed tenors were suppressed because listed expiries did not bracket them. 1W ATM IV fell 1.94 volatility points to 57.41%. 3M BF25 rose 0.44 volatility points to 5.71%. The nearest eligible forward, 18SEP26, fell $6.61 (-6.36%) to $97.34. Realised-volatility comparisons were unavailable because the canonical minute series did not meet the completeness requirement. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.", "wordCount": 94, "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 -1.27 volatility points to 56.03% 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 -3.10 volatility points to 0.49% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging -0.08 volatility points to 4.85% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -1.94 volatility points at 1W, to 57.41%.", "tenor": "1W", "value": -1.94 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -1.18, "rr25Change": -3.11, "bf25Change": -0.09, "largestAtmMove": { "tenor": "1W", "current": 57.41, "previous": 59.35, "change": -1.94, "historicalSignificance": { "absoluteMove": 1.94, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 18, "observationsFullHistory": 18, "levelObservationsFullHistory": 19 } }, "frontEndAverageAtm": { "current": 56.03, "previous": 57.31, "change": -1.27 }, "longEndAverageAtm": { "current": null, "previous": null, "change": null }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": -0.2, "previous": 4.61, "change": -4.81, "historicalSignificance": { "absoluteMove": 4.81, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 18, "observationsFullHistory": 18, "levelObservationsFullHistory": 19 }, "direction": "toward puts", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "3M", "current": 5.71, "previous": 5.27, "change": 0.44, "historicalSignificance": { "absoluteMove": 0.44, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 18, "observationsFullHistory": 18, "levelObservationsFullHistory": 19 } }, "nearestEligibleForwardMove": { "label": "18SEP26", "daysToExpiry": 2.458, "current": 97.34, "previous": 103.95, "change": -6.61, "percentChange": -6.36 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1790110860677, "availability": "available", "unavailableReason": null, "atmIv": { "current": 57.41, "previous": 59.35, "change": -1.94, "percentChange": -3.27 }, "rr25": { "current": -0.2, "previous": 4.61, "change": -4.81, "percentChange": -104.34 }, "bf25": { "current": 4.52, "previous": 4.83, "change": -0.31, "percentChange": -6.42 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.94, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 18, "observationsFullHistory": 18, "levelObservationsFullHistory": 19 }, "rr25": { "absoluteMove": 4.81, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 18, "observationsFullHistory": 18, "levelObservationsFullHistory": 19 }, "bf25": { "absoluteMove": 0.31, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 18, "observationsFullHistory": 18, "levelObservationsFullHistory": 19 } } }, { "tenor": "2W", "targetExpiry": 1790715660677, "availability": "available", "unavailableReason": null, "atmIv": { "current": 55.83, "previous": 56.88, "change": -1.05, "percentChange": -1.85 }, "rr25": { "current": 0.37, "previous": 3.67, "change": -3.3, "percentChange": -89.92 }, "bf25": { "current": 4.53, "previous": 4.65, "change": -0.12, "percentChange": -2.58 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.05, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 18, "observationsFullHistory": 18, "levelObservationsFullHistory": 19 }, "rr25": { "absoluteMove": 3.3, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 18, "observationsFullHistory": 18, "levelObservationsFullHistory": 19 }, "bf25": { "absoluteMove": 0.12, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 18, "observationsFullHistory": 18, "levelObservationsFullHistory": 19 } } }, { "tenor": "1M", "targetExpiry": 1792098060677, "availability": "available", "unavailableReason": null, "atmIv": { "current": 54.86, "previous": 55.69, "change": -0.83, "percentChange": -1.49 }, "rr25": { "current": 0.82, "previous": 3.17, "change": -2.35, "percentChange": -74.13 }, "bf25": { "current": 4.64, "previous": 4.99, "change": -0.35, "percentChange": -7.01 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.83, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 18, "observationsFullHistory": 18, "levelObservationsFullHistory": 19 }, "rr25": { "absoluteMove": 2.35, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 18, "observationsFullHistory": 18, "levelObservationsFullHistory": 19 }, "bf25": { "absoluteMove": 0.35, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 18, "observationsFullHistory": 18, "levelObservationsFullHistory": 19 } } }, { "tenor": "3M", "targetExpiry": 1797368460677, "availability": "available", "unavailableReason": null, "atmIv": { "current": 53.99, "previous": 54.88, "change": -0.89, "percentChange": -1.62 }, "rr25": { "current": 0.97, "previous": 2.93, "change": -1.96, "percentChange": -66.89 }, "bf25": { "current": 5.71, "previous": 5.27, "change": 0.44, "percentChange": 8.35 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.89, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 18, "observationsFullHistory": 18, "levelObservationsFullHistory": 19 }, "rr25": { "absoluteMove": 1.96, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 18, "observationsFullHistory": 18, "levelObservationsFullHistory": 19 }, "bf25": { "absoluteMove": 0.44, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 18, "observationsFullHistory": 18, "levelObservationsFullHistory": 19 } } }, { "tenor": "6M", "targetExpiry": 1805230860677, "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": { 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"highestVanna": { "label": "25DEC26", "expiry": 1798185600000, "value": 0.00103604, "metric": "vanna", "availability": "available" }, "highestVolga": { "label": "25DEC26", "expiry": 1798185600000, "value": -0.0075266, "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": "16SEP26", "values": [ -1.8904, -1.9856, -2.0519, -2.0894, -2.0988, -2.0814, -2.0395, -1.9765, -1.8974, -1.8087, -1.7197, -1.6426, -1.5938, -1.5942, -1.6705, -1.8548, -2.1827, -2.6883, -3.3932, -4.2938, -5.3523, -6.503, -7.6735, -8.8079, -9.8762, -10.8703, -11.7948, -12.6587, -13.4706, -14.2378, -14.9653, -15.6567, -16.3142, -16.9389, -17.5317, -18.0934, -18.6242, -19.1244, -19.5945, -20.0351, 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-0.7255, -0.832, -0.9385, -1.0445, -1.149, -1.2512, -1.3503, -1.4455, -1.5362, -1.6217, -1.7015, -1.7751, -1.8424, -1.9028, -1.9563, -2.0028, -2.0422, -2.0746, -2.1001, -2.1188 ] }, { "label": "25DEC26", "values": [ 1.2631, 1.1742, 1.0832, 0.9901, 0.895, 0.798, 0.6994, 0.5994, 0.4983, 0.3965, 0.294, 0.1916, 0.0893, -0.0123, -0.1128, -0.2118, -0.3086, -0.403, -0.4945, -0.5827, -0.667, -0.7472, -0.823, -0.894, -0.96, -1.0207, -1.0761, -1.126, -1.1704, -1.2093, -1.2426, -1.2707, -1.2935, -1.3113, -1.3242, -1.3324, -1.3362, -1.3358, -1.3314, -1.3234, -1.3119 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-15T21:01:00+00:00", "window": { "startAt": "2026-09-14T21:01:00+00:00", "endAt": "2026-09-15T21:01:00+00:00", "endExclusive": true }, "headline": "Solana options turn more defensive as front-end volatility eases", "standfirst": "Solana\u2019s near-expiry options smile rotated lower over the observation window, alongside a 4.81-volatility-point fall in Solana one-week RR25 to -0.20%. Solana one-week ATM IV fell 1.94 volatility points to 57.41%, and front-end ATM IV averaged 56.03%, down 1.27 volatility points. The combination indicates lower overall front-end implied volatility with a marked move toward relative put-side volatility. Realised-volatility comparisons were unavailable because the required minute-series completeness threshold was not met.", "days": [ { "reportDate": "2026-09-15", "headline": "Solana options skew turns defensive", "summary": "Solana front-end implied volatility declined as one-week relative put-side volatility increased across the window.", "macro": { "summary": "US government bond yields reached a 19-year peak as oil prices rose.", "events": [] }, "crypto": { "summary": "Single-source media reporting described a Solana mainnet transaction-size limit upgrade.", "events": [ { "eventId": "bd4c3cbf-b5aa-4864-b7ff-a4e5570e3cf1", "title": "Solana more than triples transaction size limit with mainnet upgrade", "publisher": "Cointelegraph", "url": "https://cointelegraph.com/news/solana-transaction-size-limit-4096-bytes-upgrade", "publishedAt": "2026-09-15T08:18:53+00:00" }, { "eventId": "ee29212d-deb8-447a-be5a-0d064022c65b", "title": "Benchmark US government bond yield hits 19-year peak as oil prices surge", "publisher": "Al Jazeera", "url": "https://www.aljazeera.com/economy/2026/9/15/benchmark-us-government-bond-yield-hits-19-year-peak-as-oil-prices-surge?traffic_source=rss", "publishedAt": "2026-09-15T11:36:51+00:00" } ] } } ] }, "newsStatus": "context", "headline": "Solana options turn more defensive as front-end volatility eases", "standfirst": "Solana\u2019s near-expiry options smile rotated lower over the observation window, alongside a 4.81-volatility-point fall in Solana one-week RR25 to -0.20%. Solana one-week ATM IV fell 1.94 volatility points to 57.41%, and front-end ATM IV averaged 56.03%, down 1.27 volatility points. The combination indicates lower overall front-end implied volatility with a marked move toward relative put-side volatility. 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": "2026-09-15", "asOfTimestamp": "2026-09-15T20:00:00+00:00", "summary": "Completed common SPX/VIX session. All listed cross-asset metrics are observed at 2026-09-15T20:00:00Z. The crypto-to-SPX realised-volatility ratio was 8.15, at the 82.9 percentile across 228 prior observations. The 60-session crypto-SPX return correlation was 0.32 from 60 aligned observations.", "regimeInsights": [ "The crypto-to-SPX realised-volatility ratio was 8.15, at the 82.9 percentile across 228 prior observations.", "The 60-session crypto-SPX return correlation was 0.32 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 54.86, "vix": 17.200000762939453, "vix9d": null, "vix3m": null, "ivSpread": 37.659999237060546, "ivRatio": 3.1895347422429134, "cryptoRealisedVol20d": 73.80755634422552, "spxRealisedVol20": 9.055854653060562, "rvSpread": 64.75170169116495, "rvRatio": 8.150258498161865, "rvSpreadPercentile": 51.31578947368421, "rvSpreadPercentileSampleCount": 228, "rvRatioPercentile": 82.89473684210526, "rvRatioPercentileSampleCount": 228, "returnCorrelation30": 0.32547520368859334, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.31609679307574584, "returnCorrelation60SampleCount": 60 }, "methodology": "Derivasys market-context-v1. Crypto RV uses sqrt(365); SPX RV uses sqrt(252). VIX9D and VIX3M were unavailable." } }