{ "schemaVersion": 3, "reportDate": "2026-09-23", "generatedAt": "2026-09-23T19:21:44+00:00", "currentSnapshotAt": "2026-09-23T19:20:00+00:00", "previousSnapshotAt": "2026-09-22T19:20:00+00:00", "sourceSnapshots": { "current": { "id": 456528, "timestamp": "2026-09-23T19:20:00+00:00" }, "previous": { "id": 446577, "timestamp": "2026-09-22T19:20:00+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 1415 (98.2639% coverage); returns spanning missing minutes are excluded", "fitQuality": { "currentObjective": 0.00638223, "previousObjective": 0.05148308, "currentLiveError": 6.05670547, "previousLiveError": 58.25886292 }, "coverage": { "currentListedExpiries": 5, "previousListedExpiries": 6, "comparedListedExpiries": 5, "addedExpiries": [], "removedExpiries": [ "23SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M" ], "suppressedFixedTenors": [ "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Solana options compress as one-week volatility falls while calls remain richer", "executiveSummary": "Solana one-week ATM IV fell 4.33 volatility points to 56.08%, while one-week RR25 remained positive at 3.55%, keeping call-side volatility richer than put-side volatility.", "evidenceIds": [ "largest-standard-tenor", "front-atm", "rr25" ], "newsSummary": "Solana one-week options volatility declined over the observation window, according to Derivasys data. CoinDesk reported that Solana began testing a protocol upgrade.", "marketContextSummary": "The protocol-testing report is relevant Solana context, but available evidence does not establish it as the cause of the one-week volatility compression.", "marketContext": [ { "title": "Solana finality-upgrade testing", "explanation": "The development was reported during the observation window, but no measured event reaction connects it directly to the options move.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "largest-standard-tenor" ], "newsEvidenceIds": [ "83b4bff8-c48b-4fbb-b4e2-8eb33d27b6d7" ] } ], "newsEvidenceIds": [ "83b4bff8-c48b-4fbb-b4e2-8eb33d27b6d7" ], "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -2.51 volatility points to 56.16% 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 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causal relationship.", "event_cluster_id": "crypto-regulation-2026-09" } ], "events": [ { "event_cluster_id": "crypto-regulation-2026-09", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 2OCT26: -4.16 USD (-3.51%) to 114.36 USD", "ATM IV 1W: down 4.33 points to 56.08%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 2OCT26: -4.16 USD (-3.51%) to 114.36 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "83b4bff8-c48b-4fbb-b4e2-8eb33d27b6d7", "sourceId": "coindesk", "publisher": "CoinDesk", "title": "Solana starts testing upgrade that could cut finality from 12.8 seconds to 150 milliseconds", "url": "https://www.coindesk.com/tech/2026/09/23/solana-starts-testing-upgrade-that-could-cut-finality-from-12-8-seconds-to-150-milliseconds", "publishedAt": "2026-09-23T05:16:22+00:00", "summary": "CoinDesk reported that Solana began testing an upgrade that could reduce finality from 12.8 seconds to 150 milliseconds.", "matchedTerms": [ "SOL", "Solana" ], "topics": [ "protocol", "protocol_upgrade" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 35, "quality": { "eligible": true, "score": 34.8, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.6125, "signals": { "confidence": 0.53, "importance": 0.39, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.6125, "effectiveSourceQuality": 0.6125, "catalystScore": 0.076, "effectiveCatalystScore": 0.076, "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 price context alongside Forward 2OCT26: -4.16 USD (-3.51%) to 114.36 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 2OCT26: -4.16 USD (-3.51%) to 114.36 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "83b4bff8-c48b-4fbb-b4e2-8eb33d27b6d7", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 2OCT26: -4.16 USD (-3.51%) to 114.36 USD", "ATM IV 1W: down 4.33 points to 56.08%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 2OCT26: -4.16 USD (-3.51%) to 114.36 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "crypto-regulation-2026-09" }, "additional_coverage": [] } ] }, "newsContext": { "outcome": "Relevant context found; no confirmed catalyst", "highest_causal_confidence": "low", "section_heading": "Relevant market event", "events": [ { "event_cluster_id": "crypto-regulation-2026-09", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 2OCT26: -4.16 USD (-3.51%) to 114.36 USD", "ATM IV 1W: down 4.33 points to 56.08%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 2OCT26: -4.16 USD (-3.51%) to 114.36 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "83b4bff8-c48b-4fbb-b4e2-8eb33d27b6d7", "sourceId": "coindesk", "publisher": "CoinDesk", "title": "Solana starts testing upgrade that could cut finality from 12.8 seconds to 150 milliseconds", "url": "https://www.coindesk.com/tech/2026/09/23/solana-starts-testing-upgrade-that-could-cut-finality-from-12-8-seconds-to-150-milliseconds", "publishedAt": "2026-09-23T05:16:22+00:00", "summary": "CoinDesk reported that Solana began testing an upgrade that could reduce finality from 12.8 seconds to 150 milliseconds.", "matchedTerms": [ "SOL", "Solana" ], "topics": [ "protocol", "protocol_upgrade" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 35, "quality": { "eligible": true, "score": 34.8, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.6125, "signals": { "confidence": 0.53, "importance": 0.39, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.6125, "effectiveSourceQuality": 0.6125, "catalystScore": 0.076, "effectiveCatalystScore": 0.076, "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 price context alongside Forward 2OCT26: -4.16 USD (-3.51%) to 114.36 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 2OCT26: -4.16 USD (-3.51%) to 114.36 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "83b4bff8-c48b-4fbb-b4e2-8eb33d27b6d7", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 2OCT26: -4.16 USD (-3.51%) to 114.36 USD", "ATM IV 1W: down 4.33 points to 56.08%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 2OCT26: -4.16 USD (-3.51%) to 114.36 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "crypto-regulation-2026-09" }, "additional_coverage": [] } ], "coverage_status": "healthy", "coverage_basis": "monitored-source-search" }, "marketRead": { "text": "1W ATM IV fell 4.33 volatility points to 56.08%, a routine move at the 62nd percentile among 26 comparable historical observations. Front-end ATM IV averaged 56.16%, -2.51 points from the prior snapshot. Long-dated fixed tenors were suppressed because listed expiries did not bracket them. 1W RR25 moved 1.66 volatility points toward puts to 3.55%, leaving calls richer than puts. 3M BF25 fell 0.30 volatility points to 4.90%. The nearest eligible forward, 2OCT26, fell $4.16 (-3.51%) to $114.36. 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 -2.51 volatility points to 56.16% 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 -0.98 volatility points to 3.57% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.10 volatility points to 4.36% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -4.33 volatility points at 1W, to 56.08%.", "tenor": "1W", "value": -4.33 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -1.96, "rr25Change": -0.98, "bf25Change": -0.1, "largestAtmMove": { "tenor": "1W", "current": 56.08, "previous": 60.41, "change": -4.33, "historicalSignificance": { "absoluteMove": 4.33, "movePercentile30d": 61.5, "movePercentileFullHistory": 61.5, "currentLevelPercentileFullHistory": 66.7, "classificationPercentile": 61.5, "label": "routine", "observations30d": 26, "observationsFullHistory": 26, "levelObservationsFullHistory": 27 } }, "frontEndAverageAtm": { "current": 56.16, "previous": 58.67, "change": -2.51 }, "longEndAverageAtm": { "current": null, "previous": null, "change": null }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": 3.55, "previous": 5.21, "change": -1.66, "historicalSignificance": { "absoluteMove": 1.66, "movePercentile30d": 46.2, "movePercentileFullHistory": 46.2, "currentLevelPercentileFullHistory": 70.4, "classificationPercentile": 46.2, "label": "routine", "observations30d": 26, "observationsFullHistory": 26, "levelObservationsFullHistory": 27 }, "direction": "toward puts", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "3M", "current": 4.9, "previous": 5.2, "change": -0.3, "historicalSignificance": { "absoluteMove": 0.3, "movePercentile30d": 69.2, "movePercentileFullHistory": 69.2, "currentLevelPercentileFullHistory": 25.9, "classificationPercentile": 69.2, "label": "routine", "observations30d": 26, "observationsFullHistory": 26, "levelObservationsFullHistory": 27 } }, "nearestEligibleForwardMove": { "label": "2OCT26", "daysToExpiry": 8.528, "current": 114.36, "previous": 118.52, "change": -4.16, "percentChange": -3.51 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1790796000527, "availability": "available", "unavailableReason": null, "atmIv": { "current": 56.08, "previous": 60.41, "change": -4.33, "percentChange": -7.17 }, "rr25": { "current": 3.55, "previous": 5.21, "change": -1.66, "percentChange": -31.86 }, "bf25": { "current": 3.89, "previous": 4.01, "change": -0.12, "percentChange": -2.99 }, "historicalSignificance": { "atmIv": { "absoluteMove": 4.33, "movePercentile30d": 61.5, "movePercentileFullHistory": 61.5, "currentLevelPercentileFullHistory": 66.7, "classificationPercentile": 61.5, "label": "routine", "observations30d": 26, "observationsFullHistory": 26, "levelObservationsFullHistory": 27 }, "rr25": { "absoluteMove": 1.66, "movePercentile30d": 46.2, "movePercentileFullHistory": 46.2, "currentLevelPercentileFullHistory": 70.4, "classificationPercentile": 46.2, "label": "routine", "observations30d": 26, "observationsFullHistory": 26, "levelObservationsFullHistory": 27 }, "bf25": { "absoluteMove": 0.12, "movePercentile30d": 15.4, "movePercentileFullHistory": 15.4, "currentLevelPercentileFullHistory": 29.6, "classificationPercentile": 15.4, "label": "routine", "observations30d": 26, "observationsFullHistory": 26, "levelObservationsFullHistory": 27 } } }, { "tenor": "2W", "targetExpiry": 1791400800527, "availability": "available", "unavailableReason": null, "atmIv": { "current": 56.09, "previous": 58.47, "change": -2.38, "percentChange": -4.07 }, "rr25": { "current": 3.26, "previous": 4.75, "change": -1.49, "percentChange": -31.37 }, "bf25": { "current": 4.2, "previous": 4.23, "change": -0.03, "percentChange": -0.71 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.38, "movePercentile30d": 61.5, "movePercentileFullHistory": 61.5, "currentLevelPercentileFullHistory": 74.1, "classificationPercentile": 61.5, "label": "routine", "observations30d": 26, "observationsFullHistory": 26, "levelObservationsFullHistory": 27 }, "rr25": { "absoluteMove": 1.49, "movePercentile30d": 46.2, "movePercentileFullHistory": 46.2, "currentLevelPercentileFullHistory": 66.7, "classificationPercentile": 46.2, "label": "routine", "observations30d": 26, "observationsFullHistory": 26, "levelObservationsFullHistory": 27 }, "bf25": { "absoluteMove": 0.03, "movePercentile30d": 0.0, "movePercentileFullHistory": 0.0, "currentLevelPercentileFullHistory": 55.6, "classificationPercentile": 0.0, "label": "routine", "observations30d": 26, "observationsFullHistory": 26, "levelObservationsFullHistory": 27 } } }, { "tenor": "1M", "targetExpiry": 1792783200527, "availability": "available", "unavailableReason": null, "atmIv": { "current": 56.31, "previous": 57.13, "change": -0.82, "percentChange": -1.44 }, "rr25": { "current": 3.1, "previous": 4.16, "change": -1.06, "percentChange": -25.48 }, "bf25": { "current": 4.46, "previous": 4.42, "change": 0.04, "percentChange": 0.9 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.82, "movePercentile30d": 50.0, "movePercentileFullHistory": 50.0, "currentLevelPercentileFullHistory": 74.1, "classificationPercentile": 50.0, "label": "routine", "observations30d": 26, "observationsFullHistory": 26, "levelObservationsFullHistory": 27 }, "rr25": { "absoluteMove": 1.06, "movePercentile30d": 34.6, "movePercentileFullHistory": 34.6, "currentLevelPercentileFullHistory": 63.0, "classificationPercentile": 34.6, "label": "routine", "observations30d": 26, "observationsFullHistory": 26, "levelObservationsFullHistory": 27 }, "bf25": { "absoluteMove": 0.04, "movePercentile30d": 0.0, "movePercentileFullHistory": 0.0, "currentLevelPercentileFullHistory": 55.6, "classificationPercentile": 0.0, "label": "routine", "observations30d": 26, "observationsFullHistory": 26, "levelObservationsFullHistory": 27 } } }, { "tenor": "3M", "targetExpiry": 1798053600527, "availability": "available", "unavailableReason": null, "atmIv": { "current": 54.66, "previous": 54.95, "change": -0.29, "percentChange": -0.53 }, "rr25": { "current": 4.36, "previous": 4.08, "change": 0.28, "percentChange": 6.86 }, "bf25": { "current": 4.9, "previous": 5.2, "change": -0.3, "percentChange": -5.77 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.29, "movePercentile30d": 26.9, "movePercentileFullHistory": 26.9, "currentLevelPercentileFullHistory": 66.7, "classificationPercentile": 26.9, "label": "routine", "observations30d": 26, "observationsFullHistory": 26, "levelObservationsFullHistory": 27 }, "rr25": { "absoluteMove": 0.28, "movePercentile30d": 15.4, "movePercentileFullHistory": 15.4, "currentLevelPercentileFullHistory": 92.6, "classificationPercentile": 15.4, "label": "routine", "observations30d": 26, "observationsFullHistory": 26, "levelObservationsFullHistory": 27 }, "bf25": { "absoluteMove": 0.3, "movePercentile30d": 69.2, "movePercentileFullHistory": 69.2, "currentLevelPercentileFullHistory": 25.9, "classificationPercentile": 69.2, "label": "routine", "observations30d": 26, "observationsFullHistory": 26, "levelObservationsFullHistory": 27 } } }, { "tenor": "6M", "targetExpiry": 1805916000527, "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": 1813778400527, "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": { 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"movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 } } } ], "listedExpiries": [ { "label": "24SEP26", "expiry": 1790236800000, "tauYears": 0.001446, "daysToExpiry": 0.528, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 114.3, "previous": 118.48, "change": -4.18, "percentChange": -3.53 }, "atmIv": { "current": 59.33, "previous": 63.28, "change": -3.95, "percentChange": -6.24 }, "rr25": { "current": 3.28, "previous": 5.11, "change": -1.83, "percentChange": -35.81 }, "bf25": { "current": 2.1, "previous": 5.69, "change": -3.59, "percentChange": -63.09 }, "svi": { "a": { "current": -0.0663, "previous": -0.053, "change": -0.0133, "percentChange": -24.99 }, "b": { "current": 0.1004, "previous": 0.1417, "change": -0.0414, "percentChange": -29.18 }, "rho": { "current": 0.12, 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calls remain richer", "standfirst": "Solana one-week ATM IV fell 4.33 volatility points to 56.08%, the largest absolute one-week ATM IV move among the major coins in Derivasys data. Front-end ATM IV across one week to one month averaged 56.16%, down 2.51 points. Solana one-week RR25 fell 1.66 volatility points to 3.55%, but remained positive, meaning call-side volatility was still richer than put-side volatility. The nearest forward proxy, 2OCT26, fell 3.51% to $114.36. One-minute realised-volatility comparisons were unavailable, and long-dated fixed-tenor observations were unavailable.", "days": [ { "reportDate": "2026-09-23", "headline": "Solana front-end volatility compresses", "summary": "Solana one-week ATM IV posted the largest major-coin decline while one-week call-side skew remained positive.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "Derivasys data showed a lower Solana one-week options-volatility reading over the window. CoinDesk reported on testing of a Solana protocol upgrade.", "events": [ { "eventId": "83b4bff8-c48b-4fbb-b4e2-8eb33d27b6d7", "title": "Solana starts testing upgrade that could cut finality from 12.8 seconds to 150 milliseconds", "publisher": "CoinDesk", "url": "https://www.coindesk.com/tech/2026/09/23/solana-starts-testing-upgrade-that-could-cut-finality-from-12-8-seconds-to-150-milliseconds", "publishedAt": "2026-09-23T05:16:22+00:00" } ] } } ] }, "newsStatus": "context", "headline": "Solana options compress as one-week volatility falls while calls remain richer", "standfirst": "Solana one-week ATM IV fell 4.33 volatility points to 56.08%, the largest absolute one-week ATM IV move among the major coins in Derivasys data. Front-end ATM IV across one week to one month averaged 56.16%, down 2.51 points. Solana one-week RR25 fell 1.66 volatility points to 3.55%, but remained positive, meaning call-side volatility was still richer than put-side volatility. The nearest forward proxy, 2OCT26, fell 3.51% to $114.36. One-minute realised-volatility comparisons were unavailable, and long-dated fixed-tenor observations were unavailable.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "SOL", "sessionDate": "2026-09-22", "asOfTimestamp": "2026-09-22T20:00:00+00:00", "summary": "Previous session (latest completed): Persisted Derivasys common benchmark session context. The crypto-to-SPX realised-volatility ratio was 6.99, at the 65.7 percentile across 233 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 6.99, at the 65.7 percentile across 233 prior observations.", "The 60-session crypto-SPX return correlation was 0.32 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 57.26, "vix": 14.210000038146973, "vix9d": 12.130000114440918, "vix3m": 17.610000610351562, "ivSpread": 43.049999961853025, "ivRatio": 4.029556639428896, "cryptoRealisedVol20d": 74.01819598042113, "spxRealisedVol20": 10.588159948118781, "rvSpread": 63.43003603230235, "rvRatio": 6.990657143744045, "rvSpreadPercentile": 48.927038626609445, "rvSpreadPercentileSampleCount": 233, "rvRatioPercentile": 65.66523605150215, "rvRatioPercentileSampleCount": 233, "returnCorrelation30": 0.40237255965917634, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.32414633922878966, "returnCorrelation60SampleCount": 60 }, "methodology": "Preserved Derivasys market-context-v1 observations and common-session alignment." } }