{ "schemaVersion": 3, "reportDate": "2026-09-22", "generatedAt": "2026-09-22T18:19:31+00:00", "currentSnapshotAt": "2026-09-22T18:18:00+00:00", "previousSnapshotAt": "2026-09-21T18:37:00+00:00", "sourceSnapshots": { "current": { "id": 446141, "timestamp": "2026-09-22T18:18:00+00:00" }, "previous": { "id": 436220, "timestamp": "2026-09-21T18:37:00+00:00" } }, "windowHours": 23.68, "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 1420 (98.6111% coverage); returns spanning missing minutes are excluded", "fitQuality": { "currentObjective": 0.02937788, "previousObjective": 0.0208901, "currentLiveError": 19.2332067, "previousLiveError": 306.74612119 }, "coverage": { "currentListedExpiries": 6, "previousListedExpiries": 6, "comparedListedExpiries": 5, "addedExpiries": [ "24SEP26" ], "removedExpiries": [ "22SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M" ], "suppressedFixedTenors": [ "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Solana’s front end rises as one-week convexity contracts", "executiveSummary": "Solana one-week BF25 fell 0.79 volatility points to 4.31%, while front-end ATM IV averaged 60.86%, up 1.09 points. Long-dated ATM IV was unavailable because comparable observations were not present at both snapshots.", "evidenceIds": [ "bf25", "front-atm", "rr25" ], "newsSummary": "Coinbase reported delayed Solana sends and receives during the observation window.", "marketContextSummary": "The Coinbase operational incident is directly relevant Solana context, but available evidence contains no measured options reaction linking it to the repricing.", "marketContext": [ { "title": "Coinbase incident and Solana options", "explanation": "Coinbase confirmed delayed Solana sends and receives, but the available evidence does not establish that the incident drove Solana’s higher front-end ATM IV or lower one-week BF25.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "front-atm", "bf25" ], "newsEvidenceIds": [ "f4f582fe-de9e-4ee2-99e1-95d2c642f4e6" ] } ], "newsEvidenceIds": [ "f4f582fe-de9e-4ee2-99e1-95d2c642f4e6" ], "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +1.09 volatility points to 60.86% 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 +0.10 volatility points to 4.05% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.55 volatility points to 4.38% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +1.38 volatility points at 2W, to 60.47%.", "tenor": "2W", "value": 1.38 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "collection": { "schemaVersion": 1, "basis": "monitored-source-search", "status": "complete", "requiredScopes": [ "GLOBAL", "MACRO", "SOL" ], "completedScopes": [ "GLOBAL", 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"provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 3, "macroQueries": 19, "canonicalEventsConsidered": 1, "publishersRepresented": 1, "discoveryEventsScanned": 923, "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": 1, "feedEntriesScanned": 5, "articlesPassingTimeFilter": 5, "articlesPassingSourceRelevanceRules": 1, "articlesPassingSelectionThreshold": 1, "storiesSelected": 1, "selectedPublishers": 1, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 0, "lockedEventSet": true, "qualityThresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "candidateAudit": [ { "eventId": "c0eb4714-7ae3-468f-bd1a-33319b2aed1b", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" }, { "eventId": "cde60d9b-a5cf-47b2-bc4b-1711adc660a6", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" }, { "eventId": "f4f582fe-de9e-4ee2-99e1-95d2c642f4e6", "selected": true, "eligible": true, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": true, "decision": "selected" }, { "eventId": "24d7ff29-14c1-4b79-bfa4-695bab54c156", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" }, { 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Its primary-market status notice is directly operationally relevant and high quality; unavailable SOL reaction metrics mean it is retained as context, not a possible driver.", "eventsSelected": 1 }, "items": [ { "id": "f4f582fe-de9e-4ee2-99e1-95d2c642f4e6", "sourceId": "coinbase_status", "publisher": "Coinbase", "title": "Delayed Sends/Receives - Solana", "url": "https://status.coinbase.com/incidents/p2b1prp7xcbx", "publishedAt": "2026-09-22T01:28:22+00:00", "summary": "Coinbase published a status incident reporting delayed Solana sends and receives.", "matchedTerms": [ "Coinbase", "SOL", "Solana" ], "topics": [ "market", "other" ], "sourceKind": "primary_market", "rightsStatus": "link-and-summary", "selectionScore": 62, "quality": { "eligible": true, "score": 62.1, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.8988, "signals": { "confidence": 0.87, "importance": 0.59, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.8988, "effectiveSourceQuality": 0.8988, "catalystScore": 0.2768, "effectiveCatalystScore": 0.2768, "contentKind": "reporting", "status": "confirmed" }, "thresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "policy": "source-backed-context-v1", "role": "context", "attributionRequired": false }, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 25SEP26: +0.87 USD (+0.74%) to 118.22 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 25SEP26: +0.87 USD (+0.74%) to 118.22 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "f4f582fe-de9e-4ee2-99e1-95d2c642f4e6", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 25SEP26: +0.87 USD (+0.74%) to 118.22 USD", "ATM IV 2W: up 1.38 points to 60.47%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 25SEP26: +0.87 USD (+0.74%) to 118.22 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-02c0c3161599" } ], "events": [ { "event_cluster_id": "market-event-02c0c3161599", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 25SEP26: +0.87 USD (+0.74%) to 118.22 USD", "ATM IV 2W: up 1.38 points to 60.47%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 25SEP26: +0.87 USD (+0.74%) to 118.22 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "f4f582fe-de9e-4ee2-99e1-95d2c642f4e6", "sourceId": "coinbase_status", "publisher": "Coinbase", "title": "Delayed Sends/Receives - Solana", "url": "https://status.coinbase.com/incidents/p2b1prp7xcbx", "publishedAt": "2026-09-22T01:28:22+00:00", "summary": "Coinbase published a status incident reporting delayed Solana sends and receives.", "matchedTerms": [ "Coinbase", "SOL", "Solana" ], "topics": [ "market", "other" ], "sourceKind": "primary_market", "rightsStatus": "link-and-summary", "selectionScore": 62, "quality": { "eligible": true, "score": 62.1, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.8988, "signals": { "confidence": 0.87, "importance": 0.59, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.8988, "effectiveSourceQuality": 0.8988, "catalystScore": 0.2768, "effectiveCatalystScore": 0.2768, "contentKind": "reporting", "status": "confirmed" }, "thresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "policy": "source-backed-context-v1", "role": "context", "attributionRequired": false }, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 25SEP26: +0.87 USD (+0.74%) to 118.22 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 25SEP26: +0.87 USD (+0.74%) to 118.22 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "f4f582fe-de9e-4ee2-99e1-95d2c642f4e6", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 25SEP26: +0.87 USD (+0.74%) to 118.22 USD", "ATM IV 2W: up 1.38 points to 60.47%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 25SEP26: +0.87 USD (+0.74%) to 118.22 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-02c0c3161599" }, "additional_coverage": [] } ] }, "newsContext": { "outcome": "Relevant context found; no confirmed catalyst", "highest_causal_confidence": "low", "section_heading": "Relevant market event", "events": [ { "event_cluster_id": "market-event-02c0c3161599", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 25SEP26: +0.87 USD (+0.74%) to 118.22 USD", "ATM IV 2W: up 1.38 points to 60.47%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 25SEP26: +0.87 USD (+0.74%) to 118.22 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "f4f582fe-de9e-4ee2-99e1-95d2c642f4e6", "sourceId": "coinbase_status", "publisher": "Coinbase", "title": "Delayed Sends/Receives - Solana", "url": "https://status.coinbase.com/incidents/p2b1prp7xcbx", "publishedAt": "2026-09-22T01:28:22+00:00", "summary": "Coinbase published a status incident reporting delayed Solana sends and receives.", "matchedTerms": [ "Coinbase", "SOL", "Solana" ], "topics": [ "market", "other" ], "sourceKind": "primary_market", "rightsStatus": "link-and-summary", "selectionScore": 62, "quality": { "eligible": true, "score": 62.1, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.8988, "signals": { "confidence": 0.87, "importance": 0.59, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.8988, "effectiveSourceQuality": 0.8988, "catalystScore": 0.2768, "effectiveCatalystScore": 0.2768, "contentKind": "reporting", "status": "confirmed" }, "thresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "policy": "source-backed-context-v1", "role": "context", "attributionRequired": false }, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 25SEP26: +0.87 USD (+0.74%) to 118.22 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 25SEP26: +0.87 USD (+0.74%) to 118.22 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "f4f582fe-de9e-4ee2-99e1-95d2c642f4e6", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 25SEP26: +0.87 USD (+0.74%) to 118.22 USD", "ATM IV 2W: up 1.38 points to 60.47%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 25SEP26: +0.87 USD (+0.74%) to 118.22 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-02c0c3161599" }, "additional_coverage": [] } ], "coverage_status": "healthy", "coverage_basis": "monitored-source-search" }, "marketRead": { "text": "2W ATM IV rose 1.38 volatility points to 60.47%, a routine move at the 48th percentile among 25 comparable historical observations. Front-end ATM IV averaged 60.86%, +1.09 points from the prior snapshot. Long-dated fixed tenors were suppressed because listed expiries did not bracket them. 3M RR25 moved 0.62 volatility points toward puts to 4.19%, leaving calls richer than puts. 1W BF25 fell 0.79 volatility points to 4.31%. The nearest eligible forward, 25SEP26, rose $0.87 (+0.74%) to $118.22. 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 increased, averaging +1.09 volatility points to 60.86% 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 +0.10 volatility points to 4.05% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.55 volatility points to 4.38% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +1.38 volatility points at 2W, to 60.47%.", "tenor": "2W", "value": 1.38 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 0.7, "rr25Change": 0.1, "bf25Change": -0.55, "largestAtmMove": { "tenor": "2W", "current": 60.47, "previous": 59.09, "change": 1.38, "historicalSignificance": { "absoluteMove": 1.38, "movePercentile30d": 48.0, "movePercentileFullHistory": 48.0, "currentLevelPercentileFullHistory": 84.6, "classificationPercentile": 48.0, "label": "routine", "observations30d": 25, "observationsFullHistory": 25, "levelObservationsFullHistory": 26 } }, "frontEndAverageAtm": { "current": 60.86, "previous": 59.78, "change": 1.09 }, "longEndAverageAtm": { "current": null, "previous": null, "change": null }, "oneYearMinusOneWeekAtmSlope": { 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-0.7517, -0.7547, -0.754, -0.7492, -0.7405 ], "classification": [ "parallel shift lower" ], "parallelShift": -0.436, "rotation": -0.379, "wingChange": -0.103, "rmsChange": 0.516 } } ], "events": [ { "type": "rotation", "title": "Largest eligible smile rotation", "label": "25SEP26", "value": 4.071, "score": 4.071, "unit": "volatility points" }, { "type": "atmIv", "title": "Largest standard-tenor ATM IV move", "label": "2W", "value": 1.38, "score": 1.38, "unit": "volatility points" }, { "type": "bf25", "title": "Largest standard-tenor BF25 move", "label": "1W", "value": -0.79, "score": 0.79, "unit": "volatility points" }, { "type": "rr25", "title": "Largest standard-tenor RR25 move", "label": "3M", "value": -0.62, "score": 0.62, "unit": "volatility points" }, { "type": "sigma", "title": "Largest eligible SVI sigma move", "label": "25DEC26", "value": 0.1773, "score": 0.1773, "unit": "parameter units" }, { "type": "rho", "title": "Largest eligible SVI rho move", "label": "25SEP26", "value": 0.0482, "score": 0.0482, "unit": "parameter units" } ], "expiryEffects": [ { "label": "23SEP26", "daysToExpiry": 0.571, "metric": "Smile rotation", "value": 22.15, "unit": "volatility points", "context": "Excluded from headline rankings because the contract has fewer than the configured full days to expiry." } ], "ultraShortThresholdDays": 2.0, "greekCharacteristics": { "highestVega": { "label": "25DEC26", "expiry": 1798185600000, "value": 0.23839826, "metric": "vega", "availability": "available" }, "highestGamma": { "label": "23SEP26", "expiry": 1790150400000, "value": 0.113091852752, "metric": "gamma", "availability": "available" }, "highestThetaDecay": { "label": "23SEP26", "expiry": 1790150400000, "value": -1.2323873, "metric": "theta", "availability": "available" }, "highestVanna": { "label": "25DEC26", "expiry": 1798185600000, "value": 0.00099982, "metric": "vanna", "availability": "available" }, "highestVolga": { "label": "25DEC26", "expiry": 1798185600000, "value": -0.00857144, "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": "23SEP26", "values": [ -11.6266, -11.8476, -12.0236, -12.1513, -12.2263, -12.2435, -12.1965, -12.0772, -11.8758, -11.5799, -11.1751, -10.6438, -9.9669, -9.1246, -8.1007, -6.8869, -5.4898, -3.9365, -2.2765, -0.5761, 1.0935, 2.6703, 4.1112, 5.3958, 6.5233, 7.5059, 8.3634, 9.118, 9.7918, 10.4047, 10.9745, 11.5162, 12.0422, 12.5632, 13.0879, 13.6233, 14.1753, 14.7486, 15.347, 15.9735, 16.6306 ] }, { "label": "25SEP26", "values": [ 10.1611, 9.5902, 9.0231, 8.4606, 7.9042, 7.3555, 6.8167, 6.2903, 5.7798, 5.2894, 4.8243, 4.3907, 3.9962, 3.6494, 3.3597, 3.1371, 2.991, 2.9299, 2.9599, 3.0835, 3.3001, 3.6052, 3.9913, 4.4494, 4.9691, 5.5405, 6.1546, 6.8032, 7.4797, 8.1786, 8.8955, 9.627, 10.3705, 11.1239, 11.8854, 12.6538, 13.428, 14.2071, 14.9904, 15.7774, 16.5674 ] }, { "label": "2OCT26", "values": [ -2.6728, -2.4224, -2.1584, -1.8815, -1.5929, -1.2941, -0.987, -0.6739, -0.3574, -0.0405, 0.2731, 0.5794, 0.8743, 1.1531, 1.4113, 1.6444, 1.8482, 2.0194, 2.1552, 2.2542, 2.3156, 2.3404, 2.3303, 2.288, 2.217, 2.1213, 2.005, 1.8725, 1.7277, 1.5747, 1.4168, 1.2573, 1.0988, 0.9437, 0.7937, 0.6507, 0.5158, 0.39, 0.2739, 0.1683, 0.0734 ] }, { "label": "30OCT26", "values": [ -0.368, -0.3315, -0.2917, -0.249, -0.2038, -0.1564, -0.1074, -0.057, -0.006, 0.0454, 0.0967, 0.1473, 0.1968, 0.245, 0.2911, 0.3352, 0.3767, 0.4155, 0.4514, 0.4842, 0.5139, 0.5405, 0.564, 0.5844, 0.6019, 0.6167, 0.629, 0.639, 0.6469, 0.6529, 0.6574, 0.6606, 0.6627, 0.6641, 0.6649, 0.6654, 0.6659, 0.6663, 0.6672, 0.6685, 0.6704 ] }, { "label": "25DEC26", "values": [ -0.5378, -0.5048, -0.4722, -0.4405, -0.4102, -0.3817, -0.3554, -0.3317, -0.3112, -0.2941, -0.2806, -0.2711, -0.2658, -0.2647, -0.2679, -0.2753, -0.2866, -0.3019, -0.3207, -0.3427, -0.3675, -0.3946, -0.4235, -0.4538, -0.4849, -0.5163, -0.5474, -0.5778, -0.607, -0.6346, -0.66, -0.6831, -0.7033, -0.7205, -0.7345, -0.7449, -0.7517, -0.7547, -0.754, -0.7492, -0.7405 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-22T18:18:00+00:00", "window": { "startAt": "2026-09-21T18:37:00+00:00", "endAt": "2026-09-22T18:18:00+00:00", "endExclusive": true }, "headline": "Solana options pair higher volatility with lower convexity premium", "standfirst": "Solana one-week BF25 fell 0.79 volatility points to 4.31% over the observation window, while Solana two-week ATM IV rose 1.38 points to 60.47%. The combination left front-end ATM IV averaging 60.86%, up 1.09 points, even as the premium for one-week options away from the centre of the distribution contracted. Derivasys data showed the nearest eligible forward proxy, 25SEP26, up 0.74% to $118.22.", "days": [ { "reportDate": "2026-09-22", "headline": "Solana options reprice amid coinbase incident", "summary": "Coinbase reported delayed Solana sends and receives during a session of higher implied volatility.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "Coinbase reported delayed Solana sends and receives during the observation window.", "events": [ { "eventId": "f4f582fe-de9e-4ee2-99e1-95d2c642f4e6", "title": "Delayed Sends/Receives - Solana", "publisher": "Coinbase", "url": "https://status.coinbase.com/incidents/p2b1prp7xcbx", "publishedAt": "2026-09-22T01:28:22+00:00" } ] } } ] }, "newsStatus": "context", "headline": "Solana options pair higher volatility with lower convexity premium", "standfirst": "Solana one-week BF25 fell 0.79 volatility points to 4.31% over the observation window, while Solana two-week ATM IV rose 1.38 points to 60.47%. The combination left front-end ATM IV averaging 60.86%, up 1.09 points, even as the premium for one-week options away from the centre of the distribution contracted. Derivasys data showed the nearest eligible forward proxy, 25SEP26, up 0.74% to $118.22.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "SOL", "sessionDate": "2026-09-21", "asOfTimestamp": "2026-09-21T20:00:00+00:00", "summary": "Previous session (latest completed): Persisted common-session SOL, SPX, and VIX-family context as of the requested evidence cutoff. The crypto-to-SPX realised-volatility ratio was 6.96, at the 65.5 percentile across 232 prior observations. The 60-session crypto-SPX return correlation was 0.30 from 60 aligned observations.", "regimeInsights": [ "The crypto-to-SPX realised-volatility ratio was 6.96, at the 65.5 percentile across 232 prior observations.", "The 60-session crypto-SPX return correlation was 0.30 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 57.77, "vix": 14.869999885559082, "vix9d": 13.140000343322754, "vix3m": 18.079999923706055, "ivSpread": 42.90000011444092, "ivRatio": 3.885003392374133, "cryptoRealisedVol20d": 74.1871794050276, "spxRealisedVol20": 10.66022461111303, "rvSpread": 63.52695479391458, "rvRatio": 6.959251058152118, "rvSpreadPercentile": 49.13793103448276, "rvSpreadPercentileSampleCount": 232, "rvRatioPercentile": 65.51724137931035, "rvRatioPercentileSampleCount": 232, "returnCorrelation30": 0.40143674065277485, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.29763373504649526, "returnCorrelation60SampleCount": 60 }, "methodology": "Returned persisted Derivasys context; crypto RV annualised with sqrt(365), SPX RV with sqrt(252)." } }