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Daily major-coins market report · BTC, ETH and SOL

Major-coin options show one-week skew dispersion between Solana and Ether

Major-coin one-week RR25 dispersion narrowed 0.71 volatility points to 7.64 volatility points between SOL and ETH, yet remained elevated at the 96.3 percentile of the available history. SOL one-week RR25 was 6.39%, call-rich, while ETH one-week RR25 was -1.25%, put-rich. Ether’s 6.11-volatility-point decline in one-week ATM IV made it the clear volatility-reset outlier.

Published · By Sean Gordon / Derivasys Research · Latest component snapshot

Snapshot · 25 Sept 2026, 17:28 UTC

  • BTCSpot-index 24h -0.56%1W ATM IV 29.94%1W RR25 -0.91 vol pts1W BF25 +1.65 vol pts1W IV − 7D RV Unavailable
  • ETHSpot-index 24h +0.19%1W ATM IV 38.75%1W RR25 -1.25 vol pts1W BF25 +2.21 vol pts1W IV − 7D RV Unavailable
  • SOLSpot-index 24h +3.00%1W ATM IV 55.40%1W RR25 +6.39 vol pts1W BF25 +3.53 vol pts1W IV − 7D RV Unavailable

Lead comparison: Unavailable.

01 · Market read

The day across the three live Derivasys markets.

SOL one-week RR25 was 6.39% and ETH one-week RR25 was -1.25%, producing a 7.64-volatility-point spread despite a 0.71-volatility-point compression. One-week ATM IV changes were also dispersed: ETH one-week ATM IV fell 6.11 volatility points, BTC one-week ATM IV fell 2.56 volatility points and SOL one-week ATM IV fell 0.34 volatility points.

What is unusual today?

One-week ATM IV level dispersion: Widening: 25.46 vol points; signed spread change +2.22 vol points. Historical percentile rank 82%. Stored one-week tenor comparison at this cutoff across 3 assets. 27 historical observations; minimum 20.

Daily one-week ATM IV-change dispersion: The cross-asset spread is 5.77 vol points. Historical percentile rank 85%. Stored daily changes across 3 assets. 27 historical observations; minimum 20.

ETH stands apart: 1W ATM IV change is 3.55 vol points below the group median. Stored cross-section of 3 assets at this report cutoff.

This is a comparison, not a pooled surface: each asset keeps its own forwards, expiries, SVI fit and realised-volatility history.

Cross-sectional thesis

Where the complex is diverging.

One-week ATM IV level dispersion is widening, at 25.46 vol pts; daily one-week ATM IV changes span 5.77 vol pts across the complex.

Comparable implied-versus-realised values are not available for every constituent.

Aligned 24-hour spot correlations: BTC/ETH 0.88 (24 observations).

Historical cross-sectional readings: 1W ATM IV level dispersion percentile rank 81.5%; Daily 1W ATM IV-change dispersion percentile rank 85.2%; 1W RR25 dispersion percentile rank 96.3%.

ETH

1W ATM IV change

-3.55 points from the group median

SOL

1W ATM IV level

+16.65 points from the group median

SOL

1W RR25 level

+7.30 points from the group median

Relative-value rankings

Leaders and laggards across the same cutoff.

Metric1st2nd3rd
1W ATM IV levelSOL · 55.40ETH · 38.75BTC · 29.94
Daily 1W ATM IV changeSOL · -0.34BTC · -2.56ETH · -6.11
1W IV minus 7d realisedBTC · unavailableETH · unavailableSOL · unavailable
Highest 1W RR25SOL · 6.39BTC · -0.91 · up 1ETH · -1.25 · down 1
Lowest 1W RR25ETH · -1.25 · up 1BTC · -0.91 · down 1SOL · 6.39
1Y minus 1W curve slopeBTC · unavailableETH · unavailableSOL · unavailable
Largest 1Y minus 1W curve changeBTC · unavailableETH · unavailableSOL · unavailable
24h spot performanceSOL · 3.00ETH · 0.19BTC · -0.56

02 · Macro and crypto diary

Macro and crypto context

Completed-session cross-asset context

Crypto volatility against VIX and SPX.

The benchmark comparison is separately timestamped to the latest completed US session; it does not replace the intraday crypto surface cutoffs above.

BTC and ETH and SOL 30-day implied volatility remained 2.2–3.6 times VIX, while short-window equity correlations remained mixed.

Asset30d ATM IVVIX spreadIV / VIX20d crypto RV20-session SPX RVRV spread percentile30-session correlation
BTC34.73%+19.06 vol pts2.22×43.82%10.94%percentile rank 67.5%+0.417
ETH49.01%+33.34 vol pts3.13×48.43%10.94%percentile rank 33.8%+0.313
SOL56.03%+40.36 vol pts3.58×71.42%10.94%percentile rank 45.7%+0.425

As of 24 Sept 2026, 20:00 UTC. Crypto RV uses calendar days and sqrt(365); SPX RV uses US sessions and sqrt(252).

03 · Cross-asset scorecard

Implied volatility, realised volatility and skew.

AssetSpot 24h1W ATM1W ATM Δ7d RV1W IV − 7d RV1W RR251W BF25
BTC-0.56%29.94%-2.56 vol ptsUnavailableUnavailable-0.91 vol pts+1.65 vol pts
ETH+0.19%38.75%-6.11 vol ptsUnavailableUnavailable-1.25 vol pts+2.21 vol pts
SOL+3.00%55.40%-0.34 vol ptsUnavailableUnavailable+6.39 vol pts+3.53 vol pts

04 · Term structures

ATM implied volatility across common standard tenors.

Asset1W ATM / Δ1M ATM / Δ3M ATM / Δ6M ATM / Δ
BTC29.94% / -2.5633.76% / -0.9637.23% / -0.4038.13% / -0.45
ETH38.75% / -6.1147.10% / -1.9451.81% / -0.6853.88% / -0.37
SOL55.40% / -0.3454.59% / -1.81UnavailableUnavailable

05 · Constituent evidence

Audit the independently published source artifacts.

Evidence, source data and methodology

Major Coins report data

Download the report’s stored cross-asset comparisons, rankings, declared lead evidence and per-asset quality information. Missing analysis remains unavailable.

Download report JSON · Download report CSV

Original report summary

Major-coin one-week RR25 dispersion narrowed 0.71 volatility points to 7.64 volatility points between SOL and ETH, yet remained elevated at the 96.3 percentile of the available history. SOL one-week RR25 was 6.39%, call-rich, while ETH one-week RR25 was -1.25%, put-rich. Ether’s 6.11-volatility-point decline in one-week ATM IV made it the clear volatility-reset outlier.

At report cutoff · Levels and stored endpoint changes

What matters now

Vol: BTC 1W ATM IV 29.94% · Δ -2.56 vol pts; ETH 1W ATM IV 38.75% · Δ -6.11 vol pts; SOL 1W ATM IV 55.40% · Δ -0.34 vol pts

Skew: BTC 1W RR25 -0.91 vol pts · Δ +1.24 vol pts; ETH 1W RR25 -1.25 vol pts · Δ -0.08 vol pts; SOL 1W RR25 6.39 vol pts · Δ +0.19 vol pts

IV level gap: 1W ATM IV level gap 25.46 vol pts (SOL 55.40% versus BTC 29.94%) · SOL minus BTC spread Δ +2.22 vol pts

Vol

BTC 1W ATM IV 29.94% · Δ -2.56 vol ptspercentile rank 68.2% by absolute move · full history (n=154)

ETH 1W ATM IV 38.75% · Δ -6.11 vol ptspercentile rank 90.0% by absolute move · 30-day window (n=30)

SOL 1W ATM IV 55.40% · Δ -0.34 vol ptspercentile rank 3.6% by absolute move · 30-day window (n=28)

Skew

BTC 1W RR25 -0.91 vol pts · Δ +1.24 vol ptspercentile rank 70.8% by absolute move · full history (n=154)

ETH 1W RR25 -1.25 vol pts · Δ -0.08 vol ptspercentile rank 5.3% by absolute move · full history (n=38)

SOL 1W RR25 6.39 vol pts · Δ +0.19 vol ptspercentile rank 0.0% by absolute move · 30-day window (n=28)

Wings

BTC 1W BF25 1.65 vol pts · Δ -0.34 vol ptspercentile rank 83.3% by absolute move · 30-day window (n=30)

ETH 1W BF25 2.21 vol pts · Δ -0.66 vol ptspercentile rank 90.0% by absolute move · 30-day window (n=30)

SOL 1W BF25 3.53 vol pts · Δ -0.37 vol ptspercentile rank 39.3% by absolute move · 30-day window (n=28)

IV versus RV

BTC Unavailable

ETH Unavailable

SOL Unavailable

Unavailable readings: BTC IV versus RV; ETH IV versus RV; SOL IV versus RV. See the report’s data availability notes.

Δ compares the report’s stored surface endpoints. IV versus RV is a level comparison, not a daily change.

Component cutoffs: BTC 25 Sept 2026, 17:28 UTC; ETH 25 Sept 2026, 17:28 UTC; SOL 25 Sept 2026, 17:28 UTC. Each asset is shown separately.

Historical move evidence

BTC 1W ATM IV: percentile rank 68.2% by absolute move · full history (n=154)

BTC 1W RR25: percentile rank 70.8% by absolute move · full history (n=154)

BTC 1W BF25: percentile rank 83.3% by absolute move · 30-day window (n=30)

ETH 1W ATM IV: percentile rank 90.0% by absolute move · 30-day window (n=30)

ETH 1W RR25: percentile rank 5.3% by absolute move · full history (n=38)

ETH 1W BF25: percentile rank 90.0% by absolute move · 30-day window (n=30)

SOL 1W ATM IV: percentile rank 3.6% by absolute move · 30-day window (n=28)

SOL 1W RR25: percentile rank 0.0% by absolute move · 30-day window (n=28)

SOL 1W BF25: percentile rank 39.3% by absolute move · 30-day window (n=28)

7D realised volatility · data quality

AssetRecorded RVStatusCoverage / requiredLongest gap / maximum
BTCUnavailableUnavailable99.3056% / 97% required67 min / 60 min maximum
ETHUnavailableUnavailable99.3056% / 99.5% required67 min / 60 min maximum
SOLUnavailableUnavailable99.3056% / 99.5% required67 min / 60 min maximum

Thresholds are asset-specific policies recorded in this edition. Each window is assessed independently; returns spanning gaps are excluded. Partial estimates may miss volatility during gaps.

Full RV evidence and methodology

BTC · Surface cutoff 25 Sept 2026, 17:28:00 UTC. 7d RV requires at least 97% valid one-minute returns and no price gap over 60 minutes; coverage is 99.3056% with 68 missing price minutes across 2 intervals and a largest gap of 67 minutes.

{
  "source": "canonical/BTC-USD-INDEX (DERIBIT and OKX indexes)",
  "fallbackObservations": 72,
  "fallbackPolicy": "Missing canonical minutes use the stored Deribit index first, then the stored OKX index; canonical bars always take precedence.",
  "samplingInterval": "1 minute",
  "annualizationBasis": "365 days",
  "windowEnd": "2026-09-25T17:28:00+00:00",
  "spotWindowStart": "2026-09-24T17:28:00+00:00",
  "spotMetric": "spot-index return",
  "spotUnit": "percent",
  "spotMove24hPercent": -0.56,
  "rv24hPercent": null,
  "rv7dPercent": null,
  "rv30dPercent": null,
  "observations": {
    "24h": 1370,
    "7d": 10010,
    "30d": 43130
  },
  "coverage": {
    "24h": {
      "status": "unavailable",
      "observedReturns": 1370,
      "expectedReturns": 1440,
      "coveragePercent": 95.1389,
      "missingPriceMinutes": 68,
      "missingIntervals": 2,
      "largestMissingRunMinutes": 67,
      "unavailableReason": "24h RV requires at least 98% valid one-minute returns and no price gap over 60 minutes; coverage is 95.1389% with 68 missing price minutes across 2 intervals and a largest gap of 67 minutes."
    },
    "7d": {
      "status": "unavailable",
      "observedReturns": 10010,
      "expectedReturns": 10080,
      "coveragePercent": 99.3056,
      "missingPriceMinutes": 68,
      "missingIntervals": 2,
      "largestMissingRunMinutes": 67,
      "unavailableReason": "7d RV requires at least 97% valid one-minute returns and no price gap over 60 minutes; coverage is 99.3056% with 68 missing price minutes across 2 intervals and a largest gap of 67 minutes."
    },
    "30d": {
      "status": "unavailable",
      "observedReturns": 43130,
      "expectedReturns": 43200,
      "coveragePercent": 99.838,
      "missingPriceMinutes": 68,
      "missingIntervals": 2,
      "largestMissingRunMinutes": 67,
      "unavailableReason": "30d RV requires at least 99.5% valid one-minute returns and no price gap over 60 minutes; coverage is 99.8380% with 68 missing price minutes across 2 intervals and a largest gap of 67 minutes."
    }
  },
  "coveragePolicy": {
    "version": "observed-minute-returns-v1",
    "minimumCoveragePercent": null,
    "minimumCoveragePercentByWindow": {
      "24h": 98,
      "7d": 97,
      "30d": 99.5
    },
    "maximumMissingRunMinutes": 60,
    "methodology": "Each RV window qualifies independently. RV annualises the mean squared observed one-minute log return; returns spanning gaps are excluded, not interpolated or zero-filled. Partial estimates assume observed minutes are representative and may miss volatility during gaps."
  },
  "spotUnavailableReason": null,
  "oneWeekAtmIvPercent": 29.94,
  "oneWeekIvMinus7dRvPoints": null,
  "oneWeekIvMinus24hRvPoints": null,
  "oneWeekIvMinus30dRvPoints": null
}

ETH · Surface cutoff 25 Sept 2026, 17:28:00 UTC. 7d RV requires at least 99.5% valid one-minute returns and no price gap over 60 minutes; coverage is 99.3056% with 68 missing price minutes across 2 intervals and a largest gap of 67 minutes.

{
  "source": "canonical/ETH-USD-INDEX (DERIBIT and OKX indexes)",
  "fallbackObservations": 72,
  "fallbackPolicy": "Missing canonical minutes use the stored Deribit index first, then the stored OKX index; canonical bars always take precedence.",
  "samplingInterval": "1 minute",
  "annualizationBasis": "365 days",
  "windowEnd": "2026-09-25T17:28:00+00:00",
  "spotWindowStart": "2026-09-24T17:28:00+00:00",
  "spotMetric": "spot-index return",
  "spotUnit": "percent",
  "spotMove24hPercent": 0.19,
  "rv24hPercent": null,
  "rv7dPercent": null,
  "rv30dPercent": null,
  "observations": {
    "24h": 1370,
    "7d": 10010,
    "30d": 43130
  },
  "coverage": {
    "24h": {
      "status": "unavailable",
      "observedReturns": 1370,
      "expectedReturns": 1440,
      "coveragePercent": 95.1389,
      "missingPriceMinutes": 68,
      "missingIntervals": 2,
      "largestMissingRunMinutes": 67,
      "unavailableReason": "24h RV requires at least 99.5% valid one-minute returns and no price gap over 60 minutes; coverage is 95.1389% with 68 missing price minutes across 2 intervals and a largest gap of 67 minutes."
    },
    "7d": {
      "status": "unavailable",
      "observedReturns": 10010,
      "expectedReturns": 10080,
      "coveragePercent": 99.3056,
      "missingPriceMinutes": 68,
      "missingIntervals": 2,
      "largestMissingRunMinutes": 67,
      "unavailableReason": "7d RV requires at least 99.5% valid one-minute returns and no price gap over 60 minutes; coverage is 99.3056% with 68 missing price minutes across 2 intervals and a largest gap of 67 minutes."
    },
    "30d": {
      "status": "unavailable",
      "observedReturns": 43130,
      "expectedReturns": 43200,
      "coveragePercent": 99.838,
      "missingPriceMinutes": 68,
      "missingIntervals": 2,
      "largestMissingRunMinutes": 67,
      "unavailableReason": "30d RV requires at least 99.5% valid one-minute returns and no price gap over 60 minutes; coverage is 99.8380% with 68 missing price minutes across 2 intervals and a largest gap of 67 minutes."
    }
  },
  "coveragePolicy": {
    "version": "observed-minute-returns-v1",
    "minimumCoveragePercent": 99.5,
    "minimumCoveragePercentByWindow": {
      "24h": 99.5,
      "7d": 99.5,
      "30d": 99.5
    },
    "maximumMissingRunMinutes": 60,
    "methodology": "Each RV window qualifies independently. RV annualises the mean squared observed one-minute log return; returns spanning gaps are excluded, not interpolated or zero-filled. Partial estimates assume observed minutes are representative and may miss volatility during gaps."
  },
  "spotUnavailableReason": null,
  "oneWeekAtmIvPercent": 38.75,
  "oneWeekIvMinus7dRvPoints": null,
  "oneWeekIvMinus24hRvPoints": null,
  "oneWeekIvMinus30dRvPoints": null
}

SOL · Surface cutoff 25 Sept 2026, 17:28:00 UTC. 7d RV requires at least 99.5% valid one-minute returns and no price gap over 60 minutes; coverage is 99.3056% with 68 missing price minutes across 2 intervals and a largest gap of 67 minutes.

{
  "source": "canonical/SOL-USDC-INDEX (DERIBIT and OKX indexes)",
  "fallbackObservations": 0,
  "fallbackPolicy": "Missing canonical minutes use the stored Deribit index first, then the stored OKX index; canonical bars always take precedence.",
  "samplingInterval": "1 minute",
  "annualizationBasis": "365 days",
  "windowEnd": "2026-09-25T17:28:00+00:00",
  "spotWindowStart": "2026-09-24T17:28:00+00:00",
  "spotMetric": "spot-index return",
  "spotUnit": "percent",
  "spotMove24hPercent": 3,
  "rv24hPercent": null,
  "rv7dPercent": null,
  "rv30dPercent": null,
  "observations": {
    "24h": 1370,
    "7d": 10010,
    "30d": 43056
  },
  "coverage": {
    "24h": {
      "status": "unavailable",
      "observedReturns": 1370,
      "expectedReturns": 1440,
      "coveragePercent": 95.1389,
      "missingPriceMinutes": 68,
      "missingIntervals": 2,
      "largestMissingRunMinutes": 67,
      "unavailableReason": "24h RV requires at least 99.5% valid one-minute returns and no price gap over 60 minutes; coverage is 95.1389% with 68 missing price minutes across 2 intervals and a largest gap of 67 minutes."
    },
    "7d": {
      "status": "unavailable",
      "observedReturns": 10010,
      "expectedReturns": 10080,
      "coveragePercent": 99.3056,
      "missingPriceMinutes": 68,
      "missingIntervals": 2,
      "largestMissingRunMinutes": 67,
      "unavailableReason": "7d RV requires at least 99.5% valid one-minute returns and no price gap over 60 minutes; coverage is 99.3056% with 68 missing price minutes across 2 intervals and a largest gap of 67 minutes."
    },
    "30d": {
      "status": "unavailable",
      "observedReturns": 43056,
      "expectedReturns": 43200,
      "coveragePercent": 99.6667,
      "missingPriceMinutes": 140,
      "missingIntervals": 4,
      "largestMissingRunMinutes": 67,
      "unavailableReason": "30d RV requires at least 99.5% valid one-minute returns and no price gap over 60 minutes; coverage is 99.6667% with 140 missing price minutes across 4 intervals and a largest gap of 67 minutes."
    }
  },
  "coveragePolicy": {
    "version": "observed-minute-returns-v1",
    "minimumCoveragePercent": 99.5,
    "minimumCoveragePercentByWindow": {
      "24h": 99.5,
      "7d": 99.5,
      "30d": 99.5
    },
    "maximumMissingRunMinutes": 60,
    "methodology": "Each RV window qualifies independently. RV annualises the mean squared observed one-minute log return; returns spanning gaps are excluded, not interpolated or zero-filled. Partial estimates assume observed minutes are representative and may miss volatility during gaps."
  },
  "spotUnavailableReason": null,
  "oneWeekAtmIvPercent": 55.4,
  "oneWeekIvMinus7dRvPoints": null,
  "oneWeekIvMinus24hRvPoints": null,
  "oneWeekIvMinus30dRvPoints": null
}

Source data JSON

06 · Methodology and provenance

A derived publication with no duplicated market data.

The report is assembled at request time from the immutable BTC, ETH and SOL daily-report artifacts for the same UTC report date. It is omitted unless all three exist. Cross-asset averages are descriptive and equal-weighted; no attempt is made to combine distinct volatility surfaces into a single fit.

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