{ "schemaVersion": 3, "reportDate": "2026-09-16", "generatedAt": "2026-09-16T16:31:08+00:00", "currentSnapshotAt": "2026-09-16T16:30:00+00:00", "previousSnapshotAt": "2026-09-15T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 386628, "timestamp": "2026-09-16T16:30:00+00:00" }, "previous": { "id": 376584, "timestamp": "2026-09-15T16:30:00+00:00" } }, "windowHours": 24.0, "currency": "SOL", "methodology": { "source": "Derivasys proprietary historical SVI surface database", "comparison": "Nearest successful surface snapshots approximately 24 hours apart", "rrConvention": "25-delta call IV minus 25-delta put IV", "bfConvention": "Average 25-delta wing IV minus ATM forward IV", "greeks": "Black forward Greeks for a normalized one-SOL ATM-forward call, zero rate, fitted SVI IV", "commentary": "Metrics and takeaways are deterministic. Daily headlines and introductions may be model-assisted, constrained to the same stored facts; weekly prose is deterministic.", "fixedTenors": "Fixed-tenor measures are published only when listed expiries bracket the target at both comparison snapshots. Targets outside either observable range are suppressed, not extrapolated; headline rankings use only supported tenors.", "smileReconstruction": "Listed-expiry smiles are reconstructed from stored SVI total-variance parameters on a fixed log-moneyness grid.", "ultraShortExpiry": "Expiries with fewer than 2 full days remaining stay in detailed tables but are excluded from headline rankings. Settlement proximity, time decay, changing liquidity and fewer quotes can exaggerate their changes.", "causalClaims": "The report describes observed surface changes only and does not infer unsupported market drivers, spot moves, flows or forecasts." }, "realisedVolatilityUnavailableReason": "Canonical SOL index coverage for 7d is incomplete: expected 10080 one-minute returns, found 10042 (99.6230% coverage); returns spanning missing minutes are excluded", "fitQuality": { "currentObjective": 0.01178824, "previousObjective": 0.06164078, "currentLiveError": 11.83757459, "previousLiveError": 31.6874357 }, "coverage": { "currentListedExpiries": 5, "previousListedExpiries": 6, "comparedListedExpiries": 5, "addedExpiries": [], "removedExpiries": [ "16SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M" ], "suppressedFixedTenors": [ "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Solana front-end volatility eases with call-rich skew intact", "executiveSummary": "Solana one-week ATM IV fell 2.14 volatility points to 54.33% at the cutoff, while one-week RR25 stood at 1.11%, indicating relatively richer call-side volatility.", "evidenceIds": [ "largest-standard-tenor", "front-atm" ], "newsSummary": "NPR reported that the Federal Reserve was widely expected to raise its benchmark interest rate to address persistent inflation.", "marketContextSummary": "The Federal Reserve report is broad macro context only; no measured Solana-options reaction supports a causal link to the one-week volatility decline.", "marketContext": [ { "title": "News Check", "explanation": "The retained macro report is not Solana-specific and contains no measured SOL options response. Its relationship to the one-week ATM IV move is therefore unclear.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "largest-standard-tenor", "front-atm" ], "newsEvidenceIds": [ "b9d2b91a-3d25-4cf4-8b7f-665faaac2df5" ] } ], "newsEvidenceIds": [ "b9d2b91a-3d25-4cf4-8b7f-665faaac2df5" ], "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -1.55 volatility points to 54.22% 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 was broadly unchanged, averaging +0.02 volatility points to 1.45% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.32 volatility points to 4.82% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor 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the surface data does not establish a causal relationship.", "primary_article": { "id": "b9d2b91a-3d25-4cf4-8b7f-665faaac2df5", "sourceId": "npr_news", "publisher": "NPR", "title": "The Fed is expected to raise interest rates for the first time in 3 years", "url": "https://www.npr.org/2026/09/16/nx-s1-5968724/federal-reserve-interest-rates-inflation-economy", "publishedAt": "2026-09-16T09:00:00+00:00", "summary": "The Fed is widely expected to raise its benchmark interest rate to combat stubborn inflation.", "matchedTerms": [ "Federal Reserve" ], "topics": [ "macro", "central_bank_decision" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 41, "quality": { "eligible": true, "score": 40.9, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.6125, "signals": { "confidence": 0.69, "importance": 0.454, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.6125, "effectiveSourceQuality": 0.6125, "catalystScore": 0.1151, "effectiveCatalystScore": 0.1151, "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 macro context alongside ATM IV 1W: down 2.14 points to 54.33%; 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the surface data does not establish a causal relationship.", "primary_article": { "id": "b9d2b91a-3d25-4cf4-8b7f-665faaac2df5", "sourceId": "npr_news", "publisher": "NPR", "title": "The Fed is expected to raise interest rates for the first time in 3 years", "url": "https://www.npr.org/2026/09/16/nx-s1-5968724/federal-reserve-interest-rates-inflation-economy", "publishedAt": "2026-09-16T09:00:00+00:00", "summary": "The Fed is widely expected to raise its benchmark interest rate to combat stubborn inflation.", "matchedTerms": [ "Federal Reserve" ], "topics": [ "macro", "central_bank_decision" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 41, "quality": { "eligible": true, "score": 40.9, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.6125, "signals": { "confidence": 0.69, "importance": 0.454, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.6125, "effectiveSourceQuality": 0.6125, "catalystScore": 0.1151, "effectiveCatalystScore": 0.1151, "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 macro context alongside ATM IV 1W: down 2.14 points to 54.33%; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 2.14 points to 54.33%; the surface data does not establish a causal relationship.", "canonicalEventId": "b9d2b91a-3d25-4cf4-8b7f-665faaac2df5", "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 1W: down 2.14 points to 54.33%" ], "selection_reason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 2.14 points to 54.33%; the surface data does not establish a causal relationship.", "event_cluster_id": "fed-policy-2026-09" }, "additional_coverage": [] } ], "coverage_status": "healthy", "coverage_basis": "monitored-source-search" }, "marketRead": { "text": "1W ATM IV fell 2.14 volatility points to 54.33%. Front-end ATM IV averaged 54.22%, -1.55 points from the prior snapshot. Long-dated fixed tenors were suppressed because listed expiries did not bracket them. 1W RR25 moved 0.29 volatility points toward calls to 1.11%, leaving calls richer than puts. 3M BF25 fell 0.79 volatility points to 5.10%. The nearest eligible forward, 25SEP26, fell $1.95 (-1.96%) to $97.37. 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 -1.55 volatility points to 54.22% 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 was broadly unchanged, averaging +0.02 volatility points to 1.45% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.32 volatility points to 4.82% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -2.14 volatility points at 1W, to 54.33%.", "tenor": "1W", "value": -2.14 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -1.12, "rr25Change": 0.02, "bf25Change": -0.32, "largestAtmMove": { "tenor": "1W", "current": 54.33, "previous": 56.47, "change": -2.14, "historicalSignificance": { "absoluteMove": 2.14, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 55.0, "classificationPercentile": null, "label": "unavailable", "observations30d": 19, "observationsFullHistory": 19, "levelObservationsFullHistory": 20 } }, "frontEndAverageAtm": { "current": 54.22, "previous": 55.77, "change": -1.55 }, "longEndAverageAtm": { "current": null, "previous": null, "change": null }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": 1.11, "previous": 0.82, "change": 0.29, "historicalSignificance": { "absoluteMove": 0.29, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 45.0, "classificationPercentile": null, "label": "unavailable", "observations30d": 19, "observationsFullHistory": 19, "levelObservationsFullHistory": 20 }, "direction": "toward calls", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "3M", "current": 5.1, "previous": 5.89, "change": -0.79, "historicalSignificance": { "absoluteMove": 0.79, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 65.0, "classificationPercentile": null, "label": "unavailable", "observations30d": 19, "observationsFullHistory": 19, "levelObservationsFullHistory": 20 } }, "nearestEligibleForwardMove": { "label": "25SEP26", "daysToExpiry": 8.646, "current": 97.37, "previous": 99.32, "change": -1.95, "percentChange": -1.96 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1790181000543, "availability": "available", "unavailableReason": null, "atmIv": { "current": 54.33, "previous": 56.47, "change": -2.14, "percentChange": -3.79 }, "rr25": { "current": 1.11, "previous": 0.82, "change": 0.29, "percentChange": 35.37 }, "bf25": { "current": 4.57, "previous": 5.12, "change": -0.55, "percentChange": -10.74 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.14, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 55.0, "classificationPercentile": null, "label": "unavailable", "observations30d": 19, "observationsFullHistory": 19, "levelObservationsFullHistory": 20 }, "rr25": { "absoluteMove": 0.29, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 45.0, "classificationPercentile": null, "label": "unavailable", "observations30d": 19, "observationsFullHistory": 19, "levelObservationsFullHistory": 20 }, "bf25": { "absoluteMove": 0.55, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 70.0, "classificationPercentile": null, "label": "unavailable", "observations30d": 19, "observationsFullHistory": 19, "levelObservationsFullHistory": 20 } } }, { "tenor": "2W", "targetExpiry": 1790785800543, "availability": "available", "unavailableReason": null, "atmIv": { "current": 54.12, "previous": 55.36, "change": -1.24, "percentChange": -2.24 }, "rr25": { "current": 1.24, "previous": 1.23, "change": 0.01, "percentChange": 0.81 }, "bf25": { "current": 4.7, "previous": 4.89, "change": -0.19, "percentChange": -3.89 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.24, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 65.0, "classificationPercentile": null, "label": "unavailable", "observations30d": 19, 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"2026-09-16T16:30:00+00:00", "endExclusive": true }, "headline": "Solana options ease as short-dated volatility stays call-rich", "standfirst": "Solana one-week ATM IV fell 2.14 volatility points to 54.33% over the 24-hour observation window. Solana one-week RR25 rose 0.29 volatility points to 1.11%, leaving call volatility richer than put volatility at that tenor. Derivasys data show front-end ATM IV averaged 54.22%; realised-volatility comparisons were unavailable at the cutoff.", "days": [ { "reportDate": "2026-09-16", "headline": "Solana volatility eases while skew stays call-rich", "summary": "Solana one-week ATM IV fell modestly, while one-week RR25 kept call volatility relatively richer than puts.", "macro": { "summary": "NPR reported expectations that the Federal Reserve would raise its benchmark interest rate.", "events": [ { "eventId": "b9d2b91a-3d25-4cf4-8b7f-665faaac2df5", "title": "The Fed is expected to raise interest rates for the first time in 3 years", "publisher": "NPR", "url": "https://www.npr.org/2026/09/16/nx-s1-5968724/federal-reserve-interest-rates-inflation-economy", "publishedAt": "2026-09-16T09:00:00+00:00" } ] }, "crypto": { "summary": "No qualifying crypto-specific context was selected.", "events": [] } } ] }, "newsStatus": "context", "headline": "Solana options ease as short-dated volatility stays call-rich", "standfirst": "Solana one-week ATM IV fell 2.14 volatility points to 54.33% over the 24-hour observation window. Solana one-week RR25 rose 0.29 volatility points to 1.11%, leaving call volatility richer than put volatility at that tenor. Derivasys data show front-end ATM IV averaged 54.22%; realised-volatility comparisons were unavailable at the cutoff.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "SOL", "sessionDate": "2026-09-15", "asOfTimestamp": "2026-09-15T20:00:00+00:00", "summary": "Previous session (latest completed): Persisted common benchmark session 2026-09-15; cross-asset snapshot 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": 17.21, "vix3m": 19.36, "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)." } }