Daily SOL options market report · 24-hour comparison
Solana options reprice sharply lower as front-end volatility falls
Solana’s options surface reset lower across the curve, with the largest change concentrated in one-week implied volatility and a markedly lower implied-versus-realised spread.
Solana’s front-end options repriced sharply lower: one-week ATM IV fell 7.61 volatility points to 53.34%, 13.19 volatility points below seven-day realised volatility. The front-end average declined 7.09 volatility points, more than the 3.99-point decline at the long end. One-week BF25 fell 1.47 volatility points to 3.42%, while short-dated relative put-side volatility increased.
Solana front-end volatility drops
Solana implied volatility declined across tenors, led by a sharp one-week fall.
Macro
No qualifying macro event was retained for Solana.
Crypto
Coinbase resolved a temporary delay affecting Solana sends and receives.
Links identify the underlying reporting. Events are presented as context, not assigned causes.
02 · Options market read
What the volatility surface did.
6 of 6 headline tenors were comparable at both endpoints. The largest ATM IV move was 1W at -7.61 volatility points, to 53.34%.
Derived directly from structured Derivasys surface data
03 · Catalyst check
01 Sept 2026, 16:30 UTC to 02 Sept 2026, 16:30 UTC
News context unavailable.
News context unavailable because source coverage was incomplete.
04 · Detailed analysis
What changed across the SOL volatility surface.
Implied versus realised
At the 16:30 UTC cutoff, 1W ATM IV was 53.34%, 13.19 volatility points below seven-day realised volatility of 66.53%; 24-hour realised volatility was 60.73% and 30-day realised volatility was 63.66%.
Front end
Front-end ATM IV decreased, averaging -7.09 volatility points to 53.52% across 1W, 2W and 1M.
Long end
Long-dated ATM IV decreased, averaging -3.99 volatility points to 53.38% across 6M and 1Y.
Skew
RR25 moved towards puts, averaging -0.92 volatility points to 1.30% across the six available headline tenors.
Convexity
BF25 decreased, averaging -0.30 volatility points to 4.42% across the six available headline tenors.
Largest standard-tenor move
The largest standard-tenor ATM IV move was -7.61 volatility points at 1W, to 53.34%.
Universe roll: no additions; removed 2SEP26. Comparisons use common expiries only.
05 · Standard-tenor ranking
Largest surface events
01
Largest standard-tenor ATM IV move
1W, -7.61 vol pts02
Largest eligible smile rotation
11SEP26, -2.79 vol pts03
Largest standard-tenor RR25 move
2W, -1.48 vol pts04
Largest standard-tenor BF25 move
1W, -1.47 vol pts05
Largest eligible SVI sigma move
25DEC26, -0.3351 param06
Largest eligible SVI rho move
11SEP26, -0.1167 param
06 · ATM volatility
Standard-tenor ATM implied volatility.
Tenor
Current (vol %)
Previous (vol %)
Change (vol pts)
Relative change
1W
53.34
60.95
-7.61 vol pts
-12.49%
2W
53.55
60.70
-7.15 vol pts
-11.78%
1M
53.68
60.18
-6.50 vol pts
-10.80%
3M
53.44
58.04
-4.60 vol pts
-7.93%
6M
53.39
57.50
-4.11 vol pts
-7.15%
9M
53.37
57.32
-3.95 vol pts
-6.89%
1Y
53.36
57.23
-3.87 vol pts
-6.76%
07 · Risk reversals
RR25 skew moved most at 2W.
RR25 moved towards puts, averaging -0.92 volatility points to 1.30% across the six available headline tenors. Negative RR25 denotes a richer 25-delta put wing under the call-minus-put convention.
CurrentPrevious day
Tenor
Current (vol %)
Previous (vol %)
Change (vol pts)
1W
-0.62
0.79
-1.41 vol pts
2W
-0.26
1.22
-1.48 vol pts
1M
0.67
1.82
-1.15 vol pts
3M
2.33
2.93
-0.60 vol pts
6M
2.75
3.22
-0.47 vol pts
9M
2.89
3.32
-0.43 vol pts
1Y
2.95
3.37
-0.42 vol pts
08 · Butterflies
BF25 convexity changed most at 1W.
BF25 decreased, averaging -0.30 volatility points to 4.42% across the six available headline tenors. BF25 measures the average 25-delta wing premium over ATM IV.
CurrentPrevious day
Tenor
Current (vol %)
Previous (vol %)
Change (vol pts)
1W
3.42
4.89
-1.47 vol pts
2W
3.62
4.84
-1.22 vol pts
1M
4.15
4.84
-0.69 vol pts
3M
4.95
4.61
+0.34 vol pts
6M
5.13
4.56
+0.57 vol pts
9M
5.19
4.54
+0.65 vol pts
1Y
5.23
4.53
+0.70 vol pts
09 · 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.
0.6d
ATM IV change
3SEP26, -9.96 vol pts1.6d
ATM IV change
4SEP26, -8.17 vol pts
10 · Volatility term structure
Today against the previous 24-hour snapshot.
Only fixed tenors bracketed by listed expiries at both snapshots are charted. The listed-expiry table preserves the observable exchange maturities underneath those interpolated points.
CurrentPrevious day
Expiry
Time left
Forward now (USD)
Forward change (USD)
ATM IV now
ATM IV change
RR25 change
BF25 change
3SEP26Expiry effect
0.6 days
99.52
-1.75 USD
57.30%
-9.96 vol pts
-1.69 vol pts
-2.07 vol pts
4SEP26Expiry effect
1.6 days
99.51
-1.76 USD
56.29%
-8.17 vol pts
-2.74 vol pts
-1.56 vol pts
11SEP26
8.6 days
99.51
-1.76 USD
53.16%
-7.19 vol pts
-1.47 vol pts
-1.37 vol pts
25SEP26
22.6 days
99.6
-1.78 USD
53.79%
-7.23 vol pts
-1.54 vol pts
-1.16 vol pts
25DEC26
113.6 days
99.99
-1.76 USD
53.42%
-4.40 vol pts
-0.55 vol pts
+0.43 vol pts
11 · 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.
3SEP26rotation towards puts · wing steepening4SEP26rotation towards puts · wing steepening11SEP26parallel shift lower · rotation towards puts25SEP26parallel shift lower · rotation towards puts25DEC26parallel shift lower
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.
IV lowerIV higher
3SEP26
4SEP26
11SEP26
25SEP26
25DEC26
-0.30kATM+0.30k
12 · Technical appendix
Model parameters and normalized Greeks.
These diagnostics preserve the fitted-surface audit trail without competing with the main market story.
Show SVI parameter changes and normalized Greeks
SVI diagnostics
Daily movement in a, b, rho, m and sigma.
Among ranking-eligible expiries, the largest absolute rho change occurred at 11SEP26; the largest sigma change occurred at 25DEC26.
Expiry
Δ a
Δ b
Δ rho
Δ m
Δ sigma
Smile classification
3SEP26
+0.03510
-0.06120
-0.03840
-0.00790
-0.07900
rotation towards puts, wing steepening
4SEP26
+0.00660
-0.02360
+0.01850
+0.01510
+0.01620
rotation towards puts, wing steepening
11SEP26
-0.01030
-0.00530
-0.11670
-0.06420
+0.07030
parallel shift lower, rotation towards puts
25SEP26
-0.03680
+0.01510
+0.02430
+0.02070
+0.12650
parallel shift lower, rotation towards puts
25DEC26
+0.11930
-0.07850
+0.02500
+0.06170
-0.33510
parallel shift lower
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.
SOL 30-day implied volatility was 3.4 times VIX, while its 30-session return correlation with SPX was low at 0.24.
Implied-volatility premium
SOL 30-day ATM IV was 56.03%, against VIX at 16.34: a 39.69-point spread and 3.43× ratio.
Realised-volatility regime
SOL 20-calendar-day realised volatility was 72.65%, versus SPX 20-session realised volatility of 7.37%. The spread ranked at 52.5 percentile of 219 prior observations.
Equity co-movement
Return correlation with SPX was 0.245 over 30 aligned sessions and 0.388 over 60 sessions. VIX9D, VIX and VIX3M closed at 14.33, 16.34 and 18.33.
As of 01 Sept 2026, 20:00 UTC. Latest completed common SPX/VIX/crypto session. Crypto 20-day realised volatility uses sqrt(365); SPX 20-session realised volatility uses sqrt(252).
13 · Methodology and provenance
Generated from measured Derivasys surface data.
Current snapshot
02 Sept 2026, 16:30 UTC
Comparison snapshot
01 Sept 2026, 16:30 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
Catalyst policy
Only sufficiently relevant, reliably sourced events are shown; otherwise no catalyst is assigned.
