01 · Daily briefing
Macro · Crypto · OptionsThe day in markets.
Solana rose 0.87 per cent over the 24-hour window even as one-week implied volatility fell 1.58 points and call-relative skew strengthened. The broader backdrop remained cautious after renewed inflation warnings, while a contained exploit involving an outdated Solana contract affected 1,685 Rain card users; neither event provides a sufficiently direct explanation for the options repricing.
Solana gained while its options surface softened
SOL advanced over the session, but implied volatility declined across the standard-tenor curve and the one-week risk reversal moved further towards calls.
Macro
Renewed warnings that inflation remained too hot kept tighter Federal Reserve policy in the market conversation.
Crypto
A Rain card contract exploit affected 1,685 users before the companies said customers would be made whole.
Editorial summaries are grounded in canonical events returned by the local news MCP. Links identify the underlying reporting; events are context, not assigned causes.
02 · Options Market Read
What the volatility surface did.
1M ATM IV fell 2.13 volatility points to 66.24%, a routine move at the 0th percentile. At the cutoff, realised volatility measured 45.34% over 24 hours, 80.73% over seven days and 61.55% over 30 days. Front-end ATM IV averaged 69.21%, -1.85 points from the prior snapshot, while the long end averaged 59.36%, -0.84 points. The 1Y-minus-1W ATM slope steepened 0.80 points to -12.19 points. 1W RR25 moved 1.79 volatility points toward calls to 3.38%, leaving calls richer than puts. 1M BF25 fell 1.15 volatility points to 5.20%. The nearest eligible forward, 4SEP26, rose $0.90 (+0.87%) to $104.86. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.
Derived directly from structured Derivasys surface data03 · Catalyst check
No sufficiently relevant context identified
No sufficiently relevant context identified
No article met the threshold for inclusion, so the report does not assign a news catalyst.
News is presented as contextual association unless the structured evidence supports a stronger relationship.
03 · Detailed summary
What changed across the SOL volatility surface.
At the 18:14 UTC cutoff, 1W ATM IV was 71.20%, 9.53 volatility points below seven-day realised volatility of 80.73%; 24-hour realised volatility was 45.34% and 30-day realised volatility was 61.55%.
Front-end ATM IV decreased, averaging -1.85 volatility points to 69.21% across 1W, 2W and 1M.
Long-dated ATM IV decreased, averaging -0.84 volatility points to 59.36% across 6M and 1Y.
RR25 moved towards calls, averaging +0.93 volatility points to 3.49% across the six headline tenors.
BF25 decreased, averaging -0.27 volatility points to 5.21% across the six headline tenors.
The largest standard-tenor ATM IV move was -2.13 volatility points at 1M, to 66.24%.
Universe roll: added 31AUG26; removed 29AUG26. Comparisons use common expiries only.
04 · Standard-tenor ranking
Largest surface events
Largest eligible smile rotation
4SEP26, +5.05 vol ptsLargest standard-tenor ATM IV move
1M, -2.13 vol ptsLargest standard-tenor RR25 move
1W, +1.79 vol ptsLargest standard-tenor BF25 move
1M, -1.15 vol ptsLargest eligible SVI sigma move
25DEC26, +0.2713 paramLargest eligible SVI rho move
25DEC26, +0.1828 param05 · ATM volatility
Standard-tenor ATM implied volatility.
| Tenor | Current (vol %) | Previous (vol %) | Change (vol pts) | Relative change |
|---|---|---|---|---|
| 1W | 71.20 | 72.78 | -1.58 vol pts | -2.17% |
| 2W | 70.20 | 72.05 | -1.85 vol pts | -2.57% |
| 1M | 66.24 | 68.37 | -2.13 vol pts | -3.12% |
| 3M | 61.04 | 62.22 | -1.18 vol pts | -1.90% |
| 6M | 59.70 | 60.61 | -0.91 vol pts | -1.50% |
| 9M | 59.24 | 60.07 | -0.83 vol pts | -1.38% |
| 1Y | 59.01 | 59.79 | -0.78 vol pts | -1.30% |
06 · Risk reversals
RR25 skew moved most at 1W.
RR25 moved towards calls, averaging +0.93 volatility points to 3.49% across the six headline tenors. Negative RR25 denotes a richer 25-delta put wing under the call-minus-put convention.
| Tenor | Current (vol %) | Previous (vol %) | Change (vol pts) |
|---|---|---|---|
| 1W | 3.38 | 1.59 | +1.79 vol pts |
| 2W | 2.82 | 1.46 | +1.36 vol pts |
| 1M | 1.92 | 0.65 | +1.27 vol pts |
| 3M | 3.83 | 3.26 | +0.57 vol pts |
| 6M | 4.35 | 3.98 | +0.37 vol pts |
| 9M | 4.53 | 4.25 | +0.28 vol pts |
| 1Y | 4.62 | 4.38 | +0.24 vol pts |
07 · Butterflies
BF25 convexity changed most at 1M.
BF25 decreased, averaging -0.27 volatility points to 5.21% across the six headline tenors. BF25 measures the average 25-delta wing premium over ATM IV.
| Tenor | Current (vol %) | Previous (vol %) | Change (vol pts) |
|---|---|---|---|
| 1W | 4.88 | 5.67 | -0.79 vol pts |
| 2W | 6.12 | 7.18 | -1.06 vol pts |
| 1M | 5.20 | 6.35 | -1.15 vol pts |
| 3M | 5.07 | 4.90 | +0.17 vol pts |
| 6M | 5.01 | 4.50 | +0.51 vol pts |
| 9M | 5.01 | 4.35 | +0.66 vol pts |
| 1Y | 5.00 | 4.28 | +0.72 vol pts |
08 · Expiry effects
Near-settlement moves, shown with context.
Contracts with fewer than 2 full days to expiry remain in the tables but are excluded from headline rankings. Settlement proximity, time decay, changing liquidity and fewer quotes can exaggerate their changes.
Smile rotation
30AUG26, +37.61 vol pts09 · Volatility term structure
Today against the previous 24-hour snapshot.
The ATM chart above is the standard-tenor term structure. The listed-expiry table below preserves the exchange maturity detail underneath those interpolated tenors.
| Expiry | Time left | Forward now (USD) | Forward change (USD) | ATM IV now | ATM IV change | RR25 change | BF25 change |
|---|---|---|---|---|---|---|---|
| 30AUG26Expiry effect | 0.6 days | 104.86 | +0.90 USD | 55.01% | -12.75 vol pts | +7.51 vol pts | +0.79 vol pts |
| 4SEP26 | 5.6 days | 104.86 | +0.90 USD | 71.38% | -1.47 vol pts | +1.93 vol pts | -1.43 vol pts |
| 11SEP26 | 12.6 days | 104.86 | +0.90 USD | 70.90% | -1.33 vol pts | +1.57 vol pts | -0.91 vol pts |
| 25SEP26 | 26.6 days | 104.98 | +0.79 USD | 67.19% | -1.95 vol pts | +1.24 vol pts | -1.28 vol pts |
| 25DEC26 | 117.6 days | 105.01 | +0.92 USD | 60.44% | -1.04 vol pts | +0.47 vol pts | +0.33 vol pts |
10 · Smile movement
Reconstructed SVI smiles for every common expiry.
Each overlay uses the stored five-parameter SVI fit and the snapshot-specific time to expiry. Ultra-short expiries are displayed but do not determine the headline ranking.
Surface movement heatmap
Each cell is the fitted IV change in volatility points. Rows are listed expiries; columns run from the put wing through ATM to the call wing.
11 · SVI diagnostics
Daily movement in a, b, rho, m and sigma.
Among ranking-eligible expiries, the largest absolute rho change occurred at 25DEC26; the largest sigma change occurred at 25DEC26.
| Expiry | Δ a | Δ b | Δ rho | Δ m | Δ sigma | Smile classification |
|---|---|---|---|---|---|---|
| 30AUG26 | +0.04620 | +0.00950 | +0.07500 | -0.11500 | -1.90150 | rotation towards calls, wing steepening |
| 4SEP26 | -0.03700 | +0.01460 | +0.04250 | -0.00930 | +0.20170 | rotation towards calls, wing flattening |
| 11SEP26 | -0.02370 | +0.01980 | +0.07670 | +0.01060 | +0.10240 | rotation towards calls |
| 25SEP26 | -0.02890 | +0.01680 | -0.08340 | -0.05740 | +0.12350 | rotation towards calls |
| 25DEC26 | -0.11020 | +0.05980 | +0.18280 | +0.05800 | +0.27130 | parallel shift lower |
12 · Current surface characteristics
Where normalized model Greek intensity is highest.
These are comparable Black-forward Greeks for a one-SOL ATM-forward call at each listed expiry—not portfolio exposure, open interest or a prediction of dealer positioning.
13 · Methodology and provenance
Generated from measured Derivasys surface data.
- Current snapshot
- 29 Aug 2026, 18:14 UTC
- Comparison snapshot
- 28 Aug 2026, 18:14 UTC
- Source
- Derivasys proprietary historical SVI surface and canonical SOL index databases
- Realised volatility
- Annualised root-mean-square of one-minute canonical SOL-USD index log returns using a 365-day basis; all windows end at the current snapshot.
- Comparison window
- Nearest successful surface snapshots approximately 24 hours apart
- RR convention
- 25-delta call IV minus 25-delta put IV
- BF convention
- Average 25-delta wing IV minus ATM forward IV
- Fixed tenors
- Fixed-tenor measures are interpolated independently at 1W, 2W, 1M, 3M, 6M, 9M and 1Y; headline rankings prioritise 1W, 2W, 1M, 3M, 6M and 1Y.
- Smile reconstruction
- Listed-expiry smiles are reconstructed from stored SVI total-variance parameters on a fixed log-moneyness grid.
- Ultra-short expiries
- 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.
- Greek normalization
- Black forward Greeks for a normalized one-SOL ATM-forward call, zero rate, fitted SVI IV
Continue through Derivasys