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Market intelligence analysis

SOL Two-Month Upside Skew Retreats, Though Calls Remain Richer

Derivasys reports a sharp fall in SOL’s two-month risk reversal. Call implied volatility still exceeds put implied volatility, so the change narrows the relative call premium without reversing its direction. This single skew measure does not establish a broader shift across SOL options.

Published Observed
SOL

01

A sharp narrowing in relative call pricing

Derivasys reports that SOL’s two-month risk reversal fell sharply over its observation window, with the signed change ranking unusually low against prior changes for that window. Because this measure is call implied volatility minus put implied volatility, the move indicates a substantial narrowing in the relative call premium at this tenor.

EvidenceDerivasys: SOL 2M RR25 fell

02

The skew remains positive

The source says call implied volatility still exceeds put implied volatility after the move. The repricing therefore narrows the positive skew without establishing a switch to a relative put premium. Evidence from this measure alone cannot show whether the change extends to other maturities or describes the broader options surface.

EvidenceDerivasys: SOL 2M RR25 fell

Measurements

Original measurements.

  • SOL 2M RR25 changed -2.13 volatility points.

Evidence

Sources.

  1. SOL 2M RR25 fellDerivasys

    Evidence timestamp .

    Source URL unavailable