01 · Daily briefing
Macro · Crypto · OptionsThe day in markets.
SOL saw the session’s most pronounced surface move among the major coins: 1W ATM IV fell 5.10 points and front-end IV declined 4.51 points on average. RR25 moved toward relative put-side volatility, while remaining call-rich, and near-term convexity fell. A report on cancelled SOL supply was available in the window, but reaction data are partial and do not establish causation for the broad compression.
SOL volatility compresses sharply across front
One-week implied volatility and skew fell materially while calls remained relatively richer.
Macro
No qualifying macro event was retained for SOL.
Crypto
A digest reported validator agreement to cancel 18.9 million SOL.
Editorial summaries are grounded in canonical events returned by the local news MCP. Links identify the underlying reporting; events are context, not assigned causes.
Completed-session cross-asset context
Crypto volatility against US equity risk.
Latest completed common context available before the report cutoff. Crypto and SPX realised volatility use different annualisation clocks: sqrt(365) and sqrt(252), respectively.
SOL 30-day ATM IV was 67.60%, against VIX at 14.43: a 53.17-point spread and 4.68× ratio.
SOL 20-calendar-day realised volatility was 69.20%, versus SPX 20-session realised volatility of 10.58%. The spread ranked at the 45.6th percentile of 217 prior observations.
Return correlation with SPX was 0.183 over 30 aligned sessions and 0.433 over 60 sessions. VIX9D, VIX and VIX3M closed at 11.22, 14.43 and 17.48.
As of 28 Aug 2026, 20:00 UTC. Persisted common US session. SOL realised volatility is annualised on sqrt(365); SPX realised volatility is annualised on sqrt(252). Null IV percentiles are preserved because no eligible prior observations were available.
02 · Options Market Read
What the volatility surface did.
1W ATM IV fell 5.10 volatility points to 66.67%, a routine move at the 67th percentile. At the cutoff, realised volatility measured 67.99% over 24 hours, 72.93% over seven days and 62.68% over 30 days. Front-end ATM IV averaged 65.12%, -4.51 points from the prior snapshot, while the long end averaged 57.86%, -0.41 points. The 1Y-minus-1W ATM slope steepened 4.87 points to -9.09 points. 1W RR25 moved 3.77 volatility points toward puts to 1.11%, leaving calls richer than puts. 2W BF25 fell 1.34 volatility points to 4.51%. The nearest eligible forward, 4SEP26, fell $1.29 (-1.23%) to $103.67. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.
Derived directly from structured Derivasys surface data03 · Catalyst check
30 Aug 2026, 20:58 UTC to 31 Aug 2026, 20:58 UTCRelevant context found; no confirmed catalyst
Relevant market event
1 event was retained after relevance scoring and event-level deduplication.
News is presented as contextual association unless the structured evidence supports a stronger relationship.
41 canonical events scanned through the news MCP across 3 publishers. 4 fell inside the report window; 3 were SOL-tagged; 1 passed the final threshold; 1 event displayed.
03 · Detailed summary
What changed across the SOL volatility surface.
At the 20:58 UTC cutoff, 1W ATM IV was 66.67%, 6.26 volatility points below seven-day realised volatility of 72.93%; 24-hour realised volatility was 67.99% and 30-day realised volatility was 62.68%.
Front-end ATM IV decreased, averaging -4.51 volatility points to 65.12% across 1W, 2W and 1M.
Long-dated ATM IV decreased, averaging -0.41 volatility points to 57.86% across 6M and 1Y.
RR25 moved towards puts, averaging -1.86 volatility points to 3.12% across the six headline tenors.
BF25 decreased, averaging -0.46 volatility points to 5.03% across the six headline tenors.
The largest standard-tenor ATM IV move was -5.10 volatility points at 1W, to 66.67%.
Universe roll: added 2SEP26; removed 31AUG26. Comparisons use common expiries only.
04 · Standard-tenor ranking
Largest surface events
Largest eligible smile rotation
4SEP26, -16.29 vol ptsLargest standard-tenor ATM IV move
1W, -5.10 vol ptsLargest standard-tenor RR25 move
1W, -3.77 vol ptsLargest standard-tenor BF25 move
2W, -1.34 vol ptsLargest eligible SVI rho move
25SEP26, -0.1625 paramLargest eligible SVI sigma move
25DEC26, +0.0859 param05 · ATM volatility
Standard-tenor ATM implied volatility.
| Tenor | Current (vol %) | Previous (vol %) | Change (vol pts) | Relative change |
|---|---|---|---|---|
| 1W | 66.67 | 71.77 | -5.10 vol pts | -7.11% |
| 2W | 65.11 | 69.67 | -4.56 vol pts | -6.55% |
| 1M | 63.58 | 67.44 | -3.86 vol pts | -5.72% |
| 3M | 59.26 | 60.56 | -1.30 vol pts | -2.15% |
| 6M | 58.15 | 58.74 | -0.59 vol pts | -1.00% |
| 9M | 57.77 | 58.12 | -0.35 vol pts | -0.60% |
| 1Y | 57.58 | 57.81 | -0.23 vol pts | -0.40% |
06 · Risk reversals
RR25 skew moved most at 1W.
RR25 moved towards puts, averaging -1.86 volatility points to 3.12% 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 | 1.11 | 4.88 | -3.77 vol pts |
| 2W | 2.31 | 4.23 | -1.92 vol pts |
| 1M | 3.36 | 6.09 | -2.73 vol pts |
| 3M | 3.88 | 5.13 | -1.25 vol pts |
| 6M | 4.01 | 4.87 | -0.86 vol pts |
| 9M | 4.06 | 4.78 | -0.72 vol pts |
| 1Y | 4.08 | 4.74 | -0.66 vol pts |
07 · Butterflies
BF25 convexity changed most at 2W.
BF25 decreased, averaging -0.46 volatility points to 5.03% 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 | 4.59 | 5.64 | -1.05 vol pts |
| 2W | 4.51 | 5.85 | -1.34 vol pts |
| 1M | 4.74 | 5.83 | -1.09 vol pts |
| 3M | 5.32 | 5.31 | +0.01 vol pts |
| 6M | 5.47 | 5.19 | +0.28 vol pts |
| 9M | 5.54 | 5.14 | +0.40 vol pts |
| 1Y | 5.56 | 5.12 | +0.44 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
1SEP26, -29.76 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 |
|---|---|---|---|---|---|---|---|
| 1SEP26Expiry effect | 0.5 days | 103.66 | -1.30 USD | 73.70% | +2.22 vol pts | -6.94 vol pts | -2.24 vol pts |
| 4SEP26 | 3.5 days | 103.67 | -1.29 USD | 70.98% | -3.42 vol pts | -7.50 vol pts | -0.42 vol pts |
| 11SEP26 | 10.5 days | 103.67 | -1.29 USD | 65.22% | -4.70 vol pts | -1.60 vol pts | -1.34 vol pts |
| 25SEP26 | 24.5 days | 103.85 | -1.17 USD | 64.97% | -4.19 vol pts | -3.13 vol pts | -1.37 vol pts |
| 25DEC26 | 115.5 days | 103.78 | -1.19 USD | 58.79% | -0.98 vol pts | -1.09 vol pts | +0.13 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 25DEC26.
| Expiry | Δ a | Δ b | Δ rho | Δ m | Δ sigma | Smile classification |
|---|---|---|---|---|---|---|
| 1SEP26 | +0.02210 | -0.05580 | -0.15020 | -0.05960 | +0.02810 | rotation towards puts, wing steepening |
| 4SEP26 | +0.00870 | -0.00350 | -0.12100 | -0.03200 | -0.03660 | rotation towards puts, wing steepening |
| 11SEP26 | -0.01180 | +0.00010 | -0.13270 | -0.08290 | +0.05980 | parallel shift lower, rotation towards puts |
| 25SEP26 | -0.01450 | +0.00500 | -0.16250 | -0.08170 | +0.05460 | parallel shift lower, rotation towards puts |
| 25DEC26 | -0.04820 | +0.02250 | +0.05770 | +0.05610 | +0.08590 | rotation towards puts |
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
- 31 Aug 2026, 20:58 UTC
- Comparison snapshot
- 30 Aug 2026, 20:58 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
- 30 Aug 2026, 20:58 UTC to 31 Aug 2026, 20:58 UTC
- Feeds queried
- 1
- Publishers queried
- 3
- Feed articles scanned
- 41
- Inside report window
- 4
- Passed source rules
- 3
- Passed final threshold
- 1
- Event clusters displayed
- 1
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