{ "schemaVersion": 3, "reportDate": "2026-09-17", "generatedAt": "2026-09-17T16:40:43+00:00", "currentSnapshotAt": "2026-09-17T16:39:00+00:00", "previousSnapshotAt": "2026-09-16T16:39:00+00:00", "sourceSnapshots": { "current": { "id": 396756, "timestamp": "2026-09-17T16:39:00+00:00" }, "previous": { "id": 386689, "timestamp": "2026-09-16T16:39:00+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": 0.00901022, "previousObjective": 0.01462484, "currentLiveError": 7.51328541, "previousLiveError": 9.30689119 }, "coverage": { "currentListedExpiries": 6, "previousListedExpiries": 5, "comparedListedExpiries": 4, "addedExpiries": [ "19SEP26", "2OCT26" ], "removedExpiries": [ "17SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M" ], "suppressedFixedTenors": [ "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Solana front-end volatility falls as call-side skew strengthens", "executiveSummary": "Solana one-week ATM IV fell 4.27 volatility points to 50.11%, while one-week RR25 rose 2.83 volatility points to 3.87%. 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"causal_confidence": "low", "matched_signals": [ "ATM IV 1W: down 4.27 points to 50.11%" ], "selection_reason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 4.27 points to 50.11%; 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 4.27 volatility points to 50.11%, a notable move at the 70th percentile among 20 comparable historical observations. Front-end ATM IV averaged 52.38%, -1.89 points from the prior snapshot. Long-dated fixed tenors were suppressed because listed expiries did not bracket them. 1W RR25 moved 2.83 volatility points toward calls to 3.87%, leaving calls richer than puts. 2W BF25 fell 0.29 volatility points to 4.38%. The nearest eligible forward, 25SEP26, rose $3.69 (+3.79%) to $101.01. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.", "wordCount": 91, "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 -1.89 volatility points to 52.38% 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 +1.89 volatility points to 3.32% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.14 volatility points to 4.66% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -4.27 volatility points at 1W, to 50.11%.", "tenor": "1W", "value": -4.27 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -1.11, "rr25Change": 1.89, "bf25Change": -0.14, "largestAtmMove": { "tenor": "1W", "current": 50.11, "previous": 54.38, "change": -4.27, "historicalSignificance": { "absoluteMove": 4.27, "movePercentile30d": 70.0, "movePercentileFullHistory": 70.0, "currentLevelPercentileFullHistory": 9.5, "classificationPercentile": 70.0, "label": "notable", "observations30d": 20, "observationsFullHistory": 20, "levelObservationsFullHistory": 21 } }, "frontEndAverageAtm": { "current": 52.38, "previous": 54.27, "change": -1.89 }, "longEndAverageAtm": { "current": null, "previous": null, "change": null }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": 3.87, "previous": 1.04, "change": 2.83, "historicalSignificance": { "absoluteMove": 2.83, "movePercentile30d": 65.0, "movePercentileFullHistory": 65.0, "currentLevelPercentileFullHistory": 76.2, "classificationPercentile": 65.0, "label": "routine", "observations30d": 20, "observationsFullHistory": 20, "levelObservationsFullHistory": 21 }, "direction": "toward calls", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "2W", "current": 4.38, "previous": 4.67, "change": -0.29, "historicalSignificance": { "absoluteMove": 0.29, "movePercentile30d": 45.0, "movePercentileFullHistory": 45.0, "currentLevelPercentileFullHistory": 66.7, "classificationPercentile": 45.0, "label": "routine", "observations30d": 20, "observationsFullHistory": 20, "levelObservationsFullHistory": 21 } }, "nearestEligibleForwardMove": { "label": "25SEP26", "daysToExpiry": 7.64, "current": 101.01, "previous": 97.32, "change": 3.69, "percentChange": 3.79 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1790267940948, "availability": "available", "unavailableReason": null, "atmIv": { "current": 50.11, "previous": 54.38, "change": -4.27, "percentChange": -7.85 }, "rr25": { "current": 3.87, "previous": 1.04, "change": 2.83, "percentChange": 272.12 }, "bf25": { "current": 4.43, "previous": 4.58, "change": -0.15, "percentChange": -3.28 }, "historicalSignificance": { "atmIv": { "absoluteMove": 4.27, "movePercentile30d": 70.0, "movePercentileFullHistory": 70.0, "currentLevelPercentileFullHistory": 9.5, "classificationPercentile": 70.0, "label": "notable", "observations30d": 20, "observationsFullHistory": 20, "levelObservationsFullHistory": 21 }, "rr25": { "absoluteMove": 2.83, "movePercentile30d": 65.0, "movePercentileFullHistory": 65.0, "currentLevelPercentileFullHistory": 76.2, "classificationPercentile": 65.0, "label": "routine", "observations30d": 20, "observationsFullHistory": 20, "levelObservationsFullHistory": 21 }, "bf25": { "absoluteMove": 0.15, "movePercentile30d": 20.0, "movePercentileFullHistory": 20.0, "currentLevelPercentileFullHistory": 61.9, "classificationPercentile": 20.0, "label": "routine", "observations30d": 20, "observationsFullHistory": 20, "levelObservationsFullHistory": 21 } } }, { "tenor": "2W", "targetExpiry": 1790872740948, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.12, "previous": 54.17, "change": -2.05, "percentChange": -3.78 }, "rr25": { "current": 3.1, "previous": 1.25, "change": 1.85, "percentChange": 148.0 }, "bf25": { "current": 4.38, "previous": 4.67, "change": -0.29, "percentChange": -6.21 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.05, "movePercentile30d": 70.0, "movePercentileFullHistory": 70.0, "currentLevelPercentileFullHistory": 33.3, "classificationPercentile": 70.0, "label": "notable", "observations30d": 20, "observationsFullHistory": 20, "levelObservationsFullHistory": 21 }, "rr25": { "absoluteMove": 1.85, "movePercentile30d": 50.0, "movePercentileFullHistory": 50.0, "currentLevelPercentileFullHistory": 66.7, "classificationPercentile": 50.0, "label": "routine", "observations30d": 20, "observationsFullHistory": 20, "levelObservationsFullHistory": 21 }, "bf25": { "absoluteMove": 0.29, "movePercentile30d": 45.0, "movePercentileFullHistory": 45.0, "currentLevelPercentileFullHistory": 66.7, "classificationPercentile": 45.0, "label": "routine", "observations30d": 20, "observationsFullHistory": 20, "levelObservationsFullHistory": 21 } } }, { "tenor": "1M", "targetExpiry": 1792255140948, "availability": "available", "unavailableReason": null, "atmIv": { "current": 54.91, "previous": 54.27, "change": 0.64, "percentChange": 1.18 }, "rr25": { "current": 3.41, "previous": 1.39, "change": 2.02, "percentChange": 145.32 }, "bf25": { "current": 4.71, "previous": 4.83, "change": -0.12, "percentChange": -2.48 }, 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"label": "25DEC26", "values": [ 0.5116, 0.5404, 0.571, 0.6033, 0.6368, 0.6715, 0.7073, 0.7435, 0.7803, 0.8172, 0.8541, 0.8905, 0.9264, 0.9614, 0.9954, 1.028, 1.0593, 1.089, 1.1172, 1.1436, 1.1681, 1.1911, 1.2122, 1.2318, 1.2498, 1.2666, 1.2821, 1.2966, 1.3103, 1.3236, 1.3364, 1.3492, 1.3622, 1.3755, 1.3895, 1.4042, 1.4199, 1.437, 1.4554, 1.4754, 1.497 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-17T16:39:00+00:00", "window": { "startAt": "2026-09-16T16:39:00+00:00", "endAt": "2026-09-17T16:39:00+00:00", "endExclusive": true }, "headline": "Solana options turn more call-rich as one-week volatility falls", "standfirst": "Solana one-week ATM IV fell 4.27 volatility points to 50.11% over the 24-hour observation window, while Solana one-week RR25 rose 2.83 volatility points to 3.87%. The positive RR25 level means call volatility was richer than put volatility at that tenor. Front-end Solana ATM IV averaged 52.38%, down 1.89 volatility points; comparable long-dated fixed-tenor observations were unavailable.", "days": [ { "reportDate": "2026-09-17", "headline": "Solana volatility falls as calls strengthen", "summary": "Solana one-week ATM IV declined while one-week relative call-side volatility strengthened materially.", "macro": { "summary": "The Federal Reserve issued its FOMC statement during the observation window.", "events": [ { "eventId": "9ba43838-ddbf-447a-bc99-fd76706bb620", "title": "Federal Reserve issues FOMC statement", "publisher": "Federal Reserve", "url": "https://www.federalreserve.gov/newsevents/pressreleases/monetary20260916a.htm", "publishedAt": "2026-09-16T18:00:00+00:00" } ] }, "crypto": { "summary": "No qualifying Solana-specific news context was retained in the reporting window.", "events": [] } } ] }, "newsStatus": "context", "headline": "Solana options turn more call-rich as one-week volatility falls", "standfirst": "Solana one-week ATM IV fell 4.27 volatility points to 50.11% over the 24-hour observation window, while Solana one-week RR25 rose 2.83 volatility points to 3.87%. The positive RR25 level means call volatility was richer than put volatility at that tenor. Front-end Solana ATM IV averaged 52.38%, down 1.89 volatility points; comparable long-dated fixed-tenor observations were unavailable.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "SOL", "sessionDate": "2026-09-16", "asOfTimestamp": "2026-09-16T20:00:00+00:00", "summary": "Previous session (latest completed): Completed common session. Cross-asset metrics were observed at 2026-09-16T20:00:00Z; crypto RV uses sqrt(365) and SPX RV uses sqrt(252). The crypto-minus-SPX realised-volatility spread was 42.12 points, at the 28.4 percentile across 229 prior observations. The 60-session crypto-SPX return correlation was 0.33 from 60 aligned observations.", "regimeInsights": [ "The crypto-minus-SPX realised-volatility spread was 42.12 points, at the 28.4 percentile across 229 prior observations.", "The 60-session crypto-SPX return correlation was 0.33 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 54.38, "vix": 17.709999084472656, "vix9d": 17.4, "vix3m": 19.73, "ivSpread": 36.670000915527346, "ivRatio": 3.0705817510559887, "cryptoRealisedVol20d": 51.00303993774884, "spxRealisedVol20": 8.886887262377604, "rvSpread": 42.11615267537123, "rvRatio": 5.739134348386394, "rvSpreadPercentile": 28.38427947598253, "rvSpreadPercentileSampleCount": 229, "rvRatioPercentile": 49.78165938864629, "rvRatioPercentileSampleCount": 229, "returnCorrelation30": 0.41112253804509513, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.33160094852861227, "returnCorrelation60SampleCount": 60 }, "methodology": "Derivasys persisted market-context-v1; crypto ATM IV is a fixed 30-day tenor, benchmark IV is same-session VIX." } }