Solana options reprice as 18sep26 smile rotation leads surface moves

06 · ATM volatility

Standard-tenor ATM implied volatility.

07 · Risk reversals

RR25 skew moved most at 2W.

RR25 moved towards calls, averaging +1.02 volatility points to 2.93% across the four available headline tenors. Negative RR25 denotes a richer 25-delta put wing under the call-minus-put convention.

08 · Butterflies

BF25 convexity changed most at 1W.

BF25 was broadly unchanged, averaging +0.04 volatility points to 4.00% across the four available headline tenors. BF25 measures the average 25-delta wing premium over ATM IV.

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.

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.

Suppressed outside the observable listed-expiry range: 6M, 9M, 1Y.

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.

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.

12 · Technical appendix

Model parameters and normalized Greeks.

These diagnostics preserve the fitted-surface audit trail without competing with the main market story.

Completed-session cross-asset context

Crypto volatility against US equity risk.

SOL 30-day implied volatility was 3.5 times VIX, while its 30-session return correlation with SPX was low at 0.25.

As of 04 Sept 2026, 20:00 UTC. DerivaSys market-context-v1. Crypto RV: 20 calendar-day close-to-close log returns, sqrt(365); SPX RV: 20 US trading-session close-to-close log returns, sqrt(252). Sources: DerivaSys 30-day fixed-tenor surface; DerivaSys canonical crypto index; ^VIX and ^GSPC via Yahoo Finance.

13 · Methodology and provenance

Generated from measured Derivasys surface data.

Current snapshot

05 Sept 2026, 18:43 UTC

Comparison snapshot

04 Sept 2026, 18:43 UTC

Source

Derivasys proprietary historical SVI surface database

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 published only when listed expiries bracket the target at both comparison snapshots. Targets outside either observable range are suppressed, not extrapolated; headline rankings use only supported tenors.

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.