01 · Daily briefing
Macro · Crypto · OptionsThe day in markets.
Solana delivered the strongest spot move of the three major-coin reports, rising 3.02 per cent over the 24-hour window. One-week implied volatility climbed 2.56 points to 72.36 per cent and two-week risk reversal swung 4.02 points towards calls. The surface stayed inverted and seven-day realised volatility remained higher than one-week implied volatility. No sufficiently relevant Solana headline was found, so the report leaves the repricing unattributed.
Solana leads as call skew steepens
Solana outpaced Bitcoin and Ether in spot terms, while its short-dated surface became both dearer and more call-rich; the limited SOL history means percentile labels should still be read cautiously.
Macro
The weekend produced no fresh scheduled macro release that met the report’s relevance threshold; the latest completed US-session context therefore remains Friday’s close.
Crypto
No Solana-specific event cleared the relevance test during the surface window, and the available news tags were too noisy to use as market evidence.
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.
2W RR25 moved 4.02 volatility points toward calls to 5.44%, leaving calls richer than puts; this was an exceptional move at the 100th percentile. At the cutoff, realised volatility measured 41.65% over 24 hours, 76.46% over seven days and 61.57% over 30 days. Front-end ATM IV averaged 69.79%, +0.86 points from the prior snapshot, while the long end averaged 59.52%, +0.43 points. The 1Y-minus-1W ATM slope flattened 2.13 points to -13.22 points. 1W ATM IV rose 2.56 volatility points to 72.36%. 3M BF25 fell 0.84 volatility points to 4.85%. The nearest eligible forward, 4SEP26, rose $3.15 (+3.03%) to $107.05. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.
Derived directly from structured Derivasys surface data03 · Catalyst check
29 Aug 2026, 14:11 UTC to 30 Aug 2026, 14:11 UTCNo 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.
1 canonical events scanned through the news MCP across 1 publishers. 1 fell inside the report window; 0 were BTC-tagged; 0 passed the final threshold; 0 events displayed.
03 · Detailed summary
What changed across the SOL volatility surface.
At the 14:11 UTC cutoff, 1W ATM IV was 72.36%, 4.10 volatility points below seven-day realised volatility of 76.46%; 24-hour realised volatility was 41.65% and 30-day realised volatility was 61.57%.
Front-end ATM IV increased, averaging +0.86 volatility points to 69.79% across 1W, 2W and 1M.
Long-dated ATM IV increased, averaging +0.43 volatility points to 59.52% across 6M and 1Y.
RR25 moved towards calls, averaging +1.44 volatility points to 4.07% across the six headline tenors.
BF25 decreased, averaging -0.71 volatility points to 4.99% across the six headline tenors.
The largest standard-tenor ATM IV move was +2.56 volatility points at 1W, to 72.36%.
Universe roll: added 1SEP26; removed 30AUG26. Comparisons use common expiries only.
04 · Standard-tenor ranking
Largest surface events
Largest eligible smile rotation
11SEP26, +5.60 vol ptsLargest standard-tenor RR25 move
2W, +4.02 vol ptsLargest standard-tenor ATM IV move
1W, +2.56 vol ptsLargest standard-tenor BF25 move
3M, -0.84 vol ptsLargest eligible SVI rho move
25SEP26, -0.2236 paramLargest eligible SVI sigma move
4SEP26, +0.1692 param05 · ATM volatility
Standard-tenor ATM implied volatility.
| Tenor | Current (vol %) | Previous (vol %) | Change (vol pts) | Relative change |
|---|---|---|---|---|
| 1W | 72.36 | 69.80 | +2.56 vol pts | +3.67% |
| 2W | 69.95 | 70.28 | -0.33 vol pts | -0.47% |
| 1M | 67.05 | 66.70 | +0.35 vol pts | +0.52% |
| 3M | 61.38 | 60.96 | +0.42 vol pts | +0.69% |
| 6M | 59.90 | 59.47 | +0.43 vol pts | +0.72% |
| 9M | 59.40 | 58.96 | +0.44 vol pts | +0.75% |
| 1Y | 59.14 | 58.71 | +0.43 vol pts | +0.73% |
06 · Risk reversals
RR25 skew moved most at 2W.
RR25 moved towards calls, averaging +1.44 volatility points to 4.07% 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 | 4.66 | 1.93 | +2.73 vol pts |
| 2W | 5.44 | 1.42 | +4.02 vol pts |
| 1M | 5.00 | 0.98 | +4.02 vol pts |
| 3M | 3.45 | 3.27 | +0.18 vol pts |
| 6M | 3.03 | 3.90 | -0.87 vol pts |
| 9M | 2.89 | 4.12 | -1.23 vol pts |
| 1Y | 2.81 | 4.23 | -1.42 vol pts |
07 · Butterflies
BF25 convexity changed most at 3M.
BF25 decreased, averaging -0.71 volatility points to 4.99% 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 | 4.98 | 5.27 | -0.29 vol pts |
| 2W | 5.44 | 6.18 | -0.74 vol pts |
| 1M | 5.12 | 5.88 | -0.76 vol pts |
| 3M | 4.85 | 5.69 | -0.84 vol pts |
| 6M | 4.79 | 5.62 | -0.83 vol pts |
| 9M | 4.77 | 5.60 | -0.83 vol pts |
| 1Y | 4.77 | 5.57 | -0.80 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
31AUG26, +19.31 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 |
|---|---|---|---|---|---|---|---|
| 31AUG26Expiry effect | 0.7 days | 107.05 | +3.15 USD | 69.09% | +9.36 vol pts | +4.99 vol pts | -0.21 vol pts |
| 4SEP26 | 4.7 days | 107.05 | +3.15 USD | 74.38% | +5.07 vol pts | +1.65 vol pts | -0.45 vol pts |
| 11SEP26 | 11.7 days | 107.05 | +3.15 USD | 70.60% | -0.20 vol pts | +3.89 vol pts | -0.69 vol pts |
| 25SEP26 | 25.7 days | 107.21 | +3.19 USD | 68.38% | +0.69 vol pts | +4.74 vol pts | -0.74 vol pts |
| 25DEC26 | 116.7 days | 107.7 | +3.61 USD | 60.73% | +0.44 vol pts | -0.28 vol pts | -0.82 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 25SEP26; the largest sigma change occurred at 4SEP26.
| Expiry | Δ a | Δ b | Δ rho | Δ m | Δ sigma | Smile classification |
|---|---|---|---|---|---|---|
| 31AUG26 | -0.00040 | -0.01330 | +0.12910 | +0.04500 | +0.04380 | rotation towards calls, wing steepening |
| 4SEP26 | -0.03760 | +0.02260 | -0.04740 | -0.05240 | +0.16920 | rotation towards calls |
| 11SEP26 | -0.01600 | +0.01040 | -0.11280 | -0.08640 | +0.06540 | rotation towards calls |
| 25SEP26 | -0.04390 | +0.04330 | -0.22360 | -0.18380 | +0.13900 | rotation towards calls |
| 25DEC26 | -0.05580 | +0.02550 | -0.11630 | -0.10260 | +0.15000 | parallel shift higher |
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
- 30 Aug 2026, 14:11 UTC
- Comparison snapshot
- 29 Aug 2026, 14:11 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
- News window
- 29 Aug 2026, 14:11 UTC to 30 Aug 2026, 14:11 UTC
- Feeds queried
- 1
- Publishers queried
- 1
- Feed articles scanned
- 1
- Inside report window
- 1
- Passed source rules
- 0
- Passed final threshold
- 0
- Event clusters displayed
- 0
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