{ "schemaVersion": 3, "reportDate": "2026-09-21", "generatedAt": "2026-09-21T18:43:38+00:00", "currentSnapshotAt": "2026-09-21T18:42:00+00:00", "previousSnapshotAt": "2026-09-20T18:42:00+00:00", "sourceSnapshots": { "current": { "id": 436257, "timestamp": "2026-09-21T18:42:00+00:00" }, "previous": { "id": 427786, "timestamp": "2026-09-20T18:42:00+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 1211 (84.0972% coverage); returns spanning missing minutes are excluded", "fitQuality": { "currentObjective": 0.02785923, "previousObjective": 0.01590487, "currentLiveError": 19.57056366, "previousLiveError": 8.83098749 }, "coverage": { "currentListedExpiries": 6, "previousListedExpiries": 6, "comparedListedExpiries": 5, "addedExpiries": [ "23SEP26" ], "removedExpiries": [ "21SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M" ], "suppressedFixedTenors": [ "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Solana one-week volatility rises sharply with call-rich skew", "executiveSummary": "Solana one-week ATM IV rose 5.85 volatility points to 63.31%, a notable move at the 75th percentile of 24 comparable observations. The front-end ATM IV average rose 4.15 volatility points to 60.19%, while one-week RR25 increased 3.16 volatility points to 3.29%, leaving call-side volatility relatively richer.", "evidenceIds": [ "largest-standard-tenor", "rr25", "back-atm" ], "newsSummary": "News check: no qualifying in-window context was retained for the Solana options repricing.", "marketContextSummary": "No retained news item supports an assessment of a driver for the Solana options move.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +4.15 volatility points to 60.19% 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 +1.92 volatility points to 3.83% across the six headline tenors." }, { "id": "bf25", 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"candidateAudit": [ { "eventId": "8239be5f-867d-4c94-94a3-c038ff264ca9", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" }, { "eventId": "c7007b2d-2313-45ec-9539-92a1b94ef328", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" }, { "eventId": "298cf57d-cb84-4f9b-ae2d-9f29d9a11f12", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" }, { "eventId": "8bdcd0ef-1c5a-4405-90e3-b01be61b547c", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" }, { "eventId": "5e829829-7e61-4e10-96e6-5b9a3e19186c", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" }, { "eventId": "39d8d1b3-70a8-4672-aa62-6d5a3e7a57f3", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" }, { "eventId": "c1dd7af1-d958-4408-b067-7916b6cd3722", "selected": false, "eligible": true, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": true, "decision": "editorial-selection" } ], "planRationale": "ZetaChain’s proposed migration concerns ZETA’s network transition, not a demonstrated SOL options catalyst; it is excluded for insufficient direct relevance. No eligible context selected.", "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 5.85 volatility points to 63.31%, a notable move at the 75th percentile among 24 comparable historical observations. Front-end ATM IV averaged 60.19%, +4.15 points from the prior snapshot. Long-dated fixed tenors were suppressed because listed expiries did not bracket them. 1W RR25 moved 3.16 volatility points toward calls to 3.29%, leaving calls richer than puts. 1W BF25 rose 0.60 volatility points to 5.13%. The nearest eligible forward, 25SEP26, rose $7.39 (+6.72%) to $117.38. 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 +4.15 volatility points to 60.19% 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 +1.92 volatility points to 3.83% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.28 volatility points to 4.96% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +5.85 volatility points at 1W, to 63.31%.", "tenor": "1W", "value": 5.85 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 3.51, "rr25Change": 1.92, "bf25Change": 0.29, "largestAtmMove": { "tenor": "1W", "current": 63.31, "previous": 57.46, "change": 5.85, "historicalSignificance": { "absoluteMove": 5.85, "movePercentile30d": 75.0, "movePercentileFullHistory": 75.0, "currentLevelPercentileFullHistory": 84.0, "classificationPercentile": 75.0, "label": "notable", "observations30d": 24, "observationsFullHistory": 24, "levelObservationsFullHistory": 25 } }, "frontEndAverageAtm": { "current": 60.19, "previous": 56.04, "change": 4.15 }, "longEndAverageAtm": { "current": null, "previous": null, "change": null }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": 3.29, "previous": 0.13, "change": 3.16, "historicalSignificance": { "absoluteMove": 3.16, "movePercentile30d": 75.0, "movePercentileFullHistory": 75.0, "currentLevelPercentileFullHistory": 76.0, "classificationPercentile": 75.0, "label": "notable", "observations30d": 24, "observationsFullHistory": 24, "levelObservationsFullHistory": 25 }, "direction": "toward calls", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "1W", "current": 5.13, "previous": 4.53, "change": 0.6, "historicalSignificance": { "absoluteMove": 0.6, "movePercentile30d": 66.7, "movePercentileFullHistory": 66.7, "currentLevelPercentileFullHistory": 92.0, "classificationPercentile": 66.7, "label": "routine", "observations30d": 24, "observationsFullHistory": 24, "levelObservationsFullHistory": 25 } }, "nearestEligibleForwardMove": { "label": "25SEP26", "daysToExpiry": 3.554, "current": 117.38, "previous": 109.99, "change": 7.39, "percentChange": 6.72 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1790620920450, "availability": "available", "unavailableReason": null, "atmIv": { "current": 63.31, "previous": 57.46, "change": 5.85, "percentChange": 10.18 }, "rr25": { "current": 3.29, "previous": 0.13, "change": 3.16, "percentChange": 2430.77 }, "bf25": { "current": 5.13, "previous": 4.53, "change": 0.6, "percentChange": 13.25 }, "historicalSignificance": { "atmIv": { "absoluteMove": 5.85, "movePercentile30d": 75.0, "movePercentileFullHistory": 75.0, "currentLevelPercentileFullHistory": 84.0, "classificationPercentile": 75.0, "label": "notable", "observations30d": 24, "observationsFullHistory": 24, "levelObservationsFullHistory": 25 }, "rr25": { "absoluteMove": 3.16, "movePercentile30d": 75.0, "movePercentileFullHistory": 75.0, "currentLevelPercentileFullHistory": 76.0, "classificationPercentile": 75.0, "label": "notable", "observations30d": 24, "observationsFullHistory": 24, "levelObservationsFullHistory": 25 }, "bf25": { "absoluteMove": 0.6, "movePercentile30d": 66.7, "movePercentileFullHistory": 66.7, "currentLevelPercentileFullHistory": 92.0, "classificationPercentile": 66.7, "label": "routine", "observations30d": 24, "observationsFullHistory": 24, "levelObservationsFullHistory": 25 } } }, { "tenor": "2W", "targetExpiry": 1791225720450, "availability": "available", "unavailableReason": null, "atmIv": { "current": 59.47, "previous": 55.78, "change": 3.69, "percentChange": 6.62 }, "rr25": { "current": 3.36, "previous": 0.98, "change": 2.38, "percentChange": 242.86 }, "bf25": { "current": 4.9, "previous": 4.32, "change": 0.58, "percentChange": 13.43 }, "historicalSignificance": { "atmIv": { "absoluteMove": 3.69, "movePercentile30d": 70.8, "movePercentileFullHistory": 70.8, "currentLevelPercentileFullHistory": 84.0, "classificationPercentile": 70.8, "label": "notable", "observations30d": 24, "observationsFullHistory": 24, "levelObservationsFullHistory": 25 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The 25SEP26 Solana forward-proxy price rose 6.72% to $117.38. Derivasys data show one-week RR25 rose 3.16 volatility points to 3.29%, making call-side volatility relatively richer, but unavailable long-dated tenors prevent a full curve reading.", "days": [ { "reportDate": "2026-09-21", "headline": "Solana front-end volatility jumps", "summary": "Solana one-week ATM IV and call-rich skew both rose sharply at the cutoff.", "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 sharply as short-term volatility rises", "standfirst": "Solana one-week ATM IV rose 5.85 volatility points to 63.31% over the observation window, a notable repricing at the 75th percentile of comparable history. The 25SEP26 Solana forward-proxy price rose 6.72% to $117.38. Derivasys data show one-week RR25 rose 3.16 volatility points to 3.29%, making call-side volatility relatively richer, but unavailable long-dated tenors prevent a full curve reading.", "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 SOL context returned for the requested cutoff. 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": "Cross-asset metrics use the persisted 2026-09-18 common US session; crypto realised volatility is annualised using sqrt(365) and SPX realised volatility using sqrt(252)." } }