{ "schemaVersion": 3, "reportDate": "2026-09-20", "generatedAt": "2026-09-20T16:31:45+00:00", "currentSnapshotAt": "2026-09-20T16:30:00+00:00", "previousSnapshotAt": "2026-09-19T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 426868, "timestamp": "2026-09-20T16:30:00+00:00" }, "previous": { "id": 416836, "timestamp": "2026-09-19T16:30:00+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": 0.0227697, "previousObjective": 0.0248143, "currentLiveError": 16.14788082, "previousLiveError": 14.12158999 }, "coverage": { "currentListedExpiries": 6, "previousListedExpiries": 6, "comparedListedExpiries": 5, "addedExpiries": [ "22SEP26" ], "removedExpiries": [ "20SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M" ], "suppressedFixedTenors": [ "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Solana options add three-month convexity premium", "executiveSummary": "Solana three-month BF25 rose 0.88 volatility points to 5.36%, the most notable surface adjustment at the cutoff. Front-end ATM IV also increased, led by a 2.00-point rise in one-week ATM IV to 55.38%.", "evidenceIds": [ "bf25", "front-atm" ], "newsSummary": "No qualifying Solana-specific news context was retained.", "marketContextSummary": "No retained news item provides a market-context assessment for Solana\u2019s options repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +1.26 volatility points to 54.21% 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 -0.45 volatility points to 1.82% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.41 volatility points to 4.54% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +2.00 volatility points at 1W, to 55.38%.", "tenor": "1W", "value": 2.0 } ] }, "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": [ "SOL" ], "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-20T16:30:00Z", "limit": 50, "min_confidence": 0, "min_importance": 0, "start": "2026-09-19T16:30:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 0, "hasMore": false, "nextCursor": null, "resultSha256": "e88f3a0a4478e2efd693ede0f6bdfc94bd69378c3e7a3cdc2473dfc26ed1a327" } ] }, { "arguments": { "content_kinds": 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] } ], "upstreamIngestionHealth": "not-exposed" }, "generatedAt": "2026-09-20T16:30:00+00:00", "window": { "startAt": "2026-09-19T16:30:00+00:00", "endAt": "2026-09-20T16:30:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 2, "macroQueries": 6, "canonicalEventsConsidered": 0, "publishersRepresented": 0, "discoveryEventsScanned": 238, "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": 0, "feedEntriesScanned": 1, "articlesPassingTimeFilter": 1, "articlesPassingSourceRelevanceRules": 0, "articlesPassingSelectionThreshold": 0, "storiesSelected": 0, "selectedPublishers": 0, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 0, "lockedEventSet": true, "qualityThresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "candidateAudit": [ { "eventId": "778fac37-92fe-4da0-b881-d566c653f62a", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" }, { "eventId": "21a1a35c-eb98-4f71-b60f-1d9ee333cff3", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": false, "reportRelevant": true, "decision": "ineligible" } ], "planRationale": "No in-window item met both explicit SOL relevance and context suitability. The Solana Foundation source was reviewed but is a routine promotional/interview-format crypto-security item tagged crypto_general, not a sufficiently relevant SOL-specific context item.", "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 2.00 volatility points to 55.38%, a routine move at the 48th percentile among 23 comparable historical observations. Front-end ATM IV averaged 54.21%, +1.26 points from the prior snapshot. Long-dated fixed tenors were suppressed because listed expiries did not bracket them. 1W RR25 moved 0.75 volatility points toward puts to 1.04%, leaving calls richer than puts. 3M BF25 rose 0.88 volatility points to 5.36%. The nearest eligible forward, 25SEP26, fell $2.26 (-2.02%) to $109.41. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.", "wordCount": 90, "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 +1.26 volatility points to 54.21% 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 -0.45 volatility points to 1.82% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.41 volatility points to 4.54% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +2.00 volatility points at 1W, to 55.38%.", "tenor": "1W", "value": 2.0 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 1.02, "rr25Change": -0.45, "bf25Change": 0.41, "largestAtmMove": { "tenor": "1W", "current": 55.38, "previous": 53.38, "change": 2.0, "historicalSignificance": { "absoluteMove": 2.0, "movePercentile30d": 47.8, "movePercentileFullHistory": 47.8, "currentLevelPercentileFullHistory": 75.0, "classificationPercentile": 47.8, "label": "routine", "observations30d": 23, "observationsFullHistory": 23, "levelObservationsFullHistory": 24 } }, "frontEndAverageAtm": { "current": 54.21, "previous": 52.95, "change": 1.26 }, "longEndAverageAtm": { "current": null, "previous": null, "change": null }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": 1.04, "previous": 1.79, "change": -0.75, "historicalSignificance": { "absoluteMove": 0.75, "movePercentile30d": 26.1, "movePercentileFullHistory": 26.1, "currentLevelPercentileFullHistory": 37.5, "classificationPercentile": 26.1, "label": "routine", "observations30d": 23, "observationsFullHistory": 23, "levelObservationsFullHistory": 24 }, "direction": "toward puts", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "3M", "current": 5.36, "previous": 4.48, "change": 0.88, "historicalSignificance": { "absoluteMove": 0.88, "movePercentile30d": 87.0, "movePercentileFullHistory": 87.0, "currentLevelPercentileFullHistory": 70.8, "classificationPercentile": 87.0, "label": "notable", "observations30d": 23, "observationsFullHistory": 23, "levelObservationsFullHistory": 24 } }, "nearestEligibleForwardMove": { "label": "25SEP26", "daysToExpiry": 4.646, "current": 109.41, "previous": 111.67, "change": -2.26, "percentChange": -2.02 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1790526601191, "availability": "available", "unavailableReason": null, "atmIv": { "current": 55.38, "previous": 53.38, "change": 2.0, "percentChange": 3.75 }, "rr25": { "current": 1.04, "previous": 1.79, "change": -0.75, "percentChange": -41.9 }, "bf25": { "current": 4.36, "previous": 3.97, "change": 0.39, "percentChange": 9.82 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.0, "movePercentile30d": 47.8, "movePercentileFullHistory": 47.8, "currentLevelPercentileFullHistory": 75.0, "classificationPercentile": 47.8, "label": "routine", "observations30d": 23, "observationsFullHistory": 23, "levelObservationsFullHistory": 24 }, "rr25": { "absoluteMove": 0.75, "movePercentile30d": 26.1, "movePercentileFullHistory": 26.1, "currentLevelPercentileFullHistory": 37.5, "classificationPercentile": 26.1, "label": "routine", "observations30d": 23, "observationsFullHistory": 23, "levelObservationsFullHistory": 24 }, "bf25": { "absoluteMove": 0.39, "movePercentile30d": 47.8, "movePercentileFullHistory": 47.8, "currentLevelPercentileFullHistory": 58.3, "classificationPercentile": 47.8, "label": "routine", "observations30d": 23, "observationsFullHistory": 23, "levelObservationsFullHistory": 24 } } }, { "tenor": "2W", "targetExpiry": 1791131401191, "availability": "available", "unavailableReason": null, "atmIv": { "current": 53.86, "previous": 52.55, "change": 1.31, "percentChange": 2.49 }, "rr25": { "current": 1.33, "previous": 1.9, "change": -0.57, "percentChange": -30.0 }, "bf25": { "current": 4.07, "previous": 4.06, "change": 0.01, "percentChange": 0.25 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.31, "movePercentile30d": 52.2, "movePercentileFullHistory": 52.2, "currentLevelPercentileFullHistory": 70.8, "classificationPercentile": 52.2, "label": "routine", "observations30d": 23, "observationsFullHistory": 23, "levelObservationsFullHistory": 24 }, "rr25": { "absoluteMove": 0.57, "movePercentile30d": 13.0, "movePercentileFullHistory": 13.0, "currentLevelPercentileFullHistory": 37.5, "classificationPercentile": 13.0, "label": "routine", "observations30d": 23, "observationsFullHistory": 23, "levelObservationsFullHistory": 24 }, "bf25": { "absoluteMove": 0.01, "movePercentile30d": 0.0, "movePercentileFullHistory": 0.0, "currentLevelPercentileFullHistory": 54.2, "classificationPercentile": 0.0, "label": "routine", "observations30d": 23, "observationsFullHistory": 23, "levelObservationsFullHistory": 24 } } }, { "tenor": "1M", "targetExpiry": 1792513801191, "availability": "available", "unavailableReason": null, "atmIv": { "current": 53.39, "previous": 52.92, "change": 0.47, "percentChange": 0.89 }, "rr25": { "current": 2.01, "previous": 2.53, "change": -0.52, "percentChange": -20.55 }, "bf25": { "current": 4.37, "previous": 4.03, "change": 0.34, "percentChange": 8.44 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.47, "movePercentile30d": 26.1, "movePercentileFullHistory": 26.1, "currentLevelPercentileFullHistory": 66.7, "classificationPercentile": 26.1, "label": "routine", "observations30d": 23, "observationsFullHistory": 23, "levelObservationsFullHistory": 24 }, "rr25": { "absoluteMove": 0.52, "movePercentile30d": 21.7, "movePercentileFullHistory": 21.7, "currentLevelPercentileFullHistory": 45.8, "classificationPercentile": 21.7, "label": "routine", "observations30d": 23, "observationsFullHistory": 23, "levelObservationsFullHistory": 24 }, "bf25": { "absoluteMove": 0.34, "movePercentile30d": 69.6, "movePercentileFullHistory": 69.6, "currentLevelPercentileFullHistory": 50.0, "classificationPercentile": 69.6, "label": "routine", "observations30d": 23, "observationsFullHistory": 23, "levelObservationsFullHistory": 24 } } }, { "tenor": "3M", "targetExpiry": 1797784201191, "availability": "available", "unavailableReason": null, "atmIv": { "current": 54.41, "previous": 54.1, "change": 0.31, "percentChange": 0.57 }, "rr25": { "current": 2.9, "previous": 2.86, "change": 0.04, "percentChange": 1.4 }, "bf25": { "current": 5.36, "previous": 4.48, "change": 0.88, "percentChange": 19.64 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.31, "movePercentile30d": 26.1, "movePercentileFullHistory": 26.1, "currentLevelPercentileFullHistory": 66.7, "classificationPercentile": 26.1, "label": "routine", "observations30d": 23, "observationsFullHistory": 23, "levelObservationsFullHistory": 24 }, "rr25": { "absoluteMove": 0.04, "movePercentile30d": 4.3, "movePercentileFullHistory": 4.3, "currentLevelPercentileFullHistory": 50.0, "classificationPercentile": 4.3, "label": "routine", "observations30d": 23, "observationsFullHistory": 23, "levelObservationsFullHistory": 24 }, "bf25": { "absoluteMove": 0.88, "movePercentile30d": 87.0, "movePercentileFullHistory": 87.0, "currentLevelPercentileFullHistory": 70.8, "classificationPercentile": 87.0, "label": "notable", "observations30d": 23, "observationsFullHistory": 23, "levelObservationsFullHistory": 24 } } }, { "tenor": "6M", "targetExpiry": 1805646601191, "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": 1813509001191, "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, 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3.6633, 4.0095, 4.4101, 4.8483, 5.3091, 5.7806, 6.2533, 6.7197, 7.1744, 7.6134, 8.0338, 8.4337, 8.8121, 9.1683, 9.5021, 9.8137, 10.1036 ] }, { "label": "2OCT26", "values": [ 3.7191, 3.5751, 3.4338, 3.2954, 3.1603, 3.0286, 2.9007, 2.7769, 2.6573, 2.5422, 2.4318, 2.3261, 2.2251, 2.1288, 2.0373, 1.9503, 1.8677, 1.7892, 1.7145, 1.6434, 1.5756, 1.5107, 1.4485, 1.3885, 1.3306, 1.2744, 1.2195, 1.1657, 1.1129, 1.0606, 1.0087, 0.9569, 0.9053, 0.8534, 0.8014, 0.749, 0.6962, 0.643, 0.5892, 0.535, 0.4803 ] }, { "label": "30OCT26", "values": [ 1.3685, 1.3557, 1.3355, 1.3082, 1.274, 1.2332, 1.1863, 1.1339, 1.0766, 1.015, 0.9501, 0.8828, 0.8138, 0.7444, 0.6756, 0.6083, 0.5436, 0.4824, 0.4259, 0.3747, 0.3296, 0.2913, 0.2602, 0.2368, 0.2212, 0.2137, 0.214, 0.2224, 0.2383, 0.2615, 0.2918, 0.3287, 0.3717, 0.4201, 0.4738, 0.532, 0.5944, 0.6603, 0.7293, 0.801, 0.875 ] }, { "label": "25DEC26", "values": [ 1.3591, 1.2941, 1.227, 1.1584, 1.0889, 1.0188, 0.9489, 0.8798, 0.8121, 0.7464, 0.6833, 0.6235, 0.5676, 0.516, 0.4692, 0.4276, 0.3917, 0.3616, 0.3376, 0.3196, 0.3078, 0.302, 0.3019, 0.3077, 0.3185, 0.3344, 0.3547, 0.3789, 0.4066, 0.4372, 0.4702, 0.505, 0.5411, 0.578, 0.6151, 0.6519, 0.6882, 0.7233, 0.757, 0.7889, 0.8187 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-20T16:30:00+00:00", "window": { "startAt": "2026-09-19T16:30:00+00:00", "endAt": "2026-09-20T16:30:00+00:00", "endExclusive": true }, "headline": "Solana options price richer convexity as front-end volatility firms", "standfirst": "Solana three-month BF25 rose 0.88 volatility points to 5.36% at the 16:30 UTC cutoff, a notable 87th percentile move in comparable history that lifted the premium for wings relative to at-the-money volatility. Solana one-week ATM IV also rose 2.00 points to 55.38%, while front-end ATM IV averaged 54.21%, up 1.26 points. Solana\u2019s 24-hour spot return was unavailable in the realised-volatility comparison.", "days": [ { "reportDate": "2026-09-20", "headline": "Solana convexity premium rises", "summary": "Solana three-month BF25 increased notably while one-week ATM implied volatility moved higher.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying Solana-specific crypto news context was retained.", "events": [] } } ] }, "newsStatus": "no-relevant-catalyst", "headline": "Solana options price richer convexity as front-end volatility firms", "standfirst": "Solana three-month BF25 rose 0.88 volatility points to 5.36% at the 16:30 UTC cutoff, a notable 87th percentile move in comparable history that lifted the premium for wings relative to at-the-money volatility. Solana one-week ATM IV also rose 2.00 points to 55.38%, while front-end ATM IV averaged 54.21%, up 1.26 points. Solana\u2019s 24-hour spot return was unavailable in the realised-volatility comparison.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "SOL", "sessionDate": "2026-09-18", "asOfTimestamp": "2026-09-18T20:00:00+00:00", "summary": "Previous session (latest completed): Persisted common-session context returned for the 2026-09-18 US close; requested as_of was 2026-09-20T16:30:00+00:00. The crypto-to-SPX realised-volatility ratio was 7.56, at the 74.0 percentile across 231 prior observations. The 60-session crypto-SPX return correlation was 0.28 from 60 aligned observations.", "regimeInsights": [ "The crypto-to-SPX realised-volatility ratio was 7.56, at the 74.0 percentile across 231 prior observations.", "The 60-session crypto-SPX return correlation was 0.28 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 54.7, "vix": 14.8100004196167, "vix9d": 12.270000457763672, "vix3m": 18.239999771118164, "ivSpread": 39.889999580383304, "ivRatio": 3.69345026672293, "cryptoRealisedVol20d": 70.89198380461573, "spxRealisedVol20": 9.376313403524426, "rvSpread": 61.515670401091306, "rvRatio": 7.560752371819016, "rvSpreadPercentile": 47.18614718614719, "rvSpreadPercentileSampleCount": 231, "rvRatioPercentile": 74.02597402597402, "rvRatioPercentileSampleCount": 231, "returnCorrelation30": 0.39052830588581033, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.2819583453579083, "returnCorrelation60SampleCount": 60 }, "methodology": "Derivasys cross-asset metrics at 2026-09-18T20:00:00Z; crypto RV annualizes with sqrt(365), SPX RV with sqrt(252)." } }