SOLSpot-index 24h Unavailable1W ATM IV 54.66%1W RR25 +0.90 vol pts1W BF25 +4.48 vol pts1W IV − 7D RV Unavailable
Front-end Solana implied volatility declined as the option smile rotated toward lower relative skew.
Previous report, watch levels and methodology
One-week surface context; the published headline retains its original evidence basis. Cutoffs 8 Sept, 16:30 UTC to 9 Sept, 16:30 UTC.
Previous publication · research context
2026-09-08: “Solana options tilt toward calls as short-dated volatility rises”
Previous publication cutoff 8 Sept, 16:30 UTC. Today’s market comparison starts at 8 Sept, 16:30 UTC. Snapshot clocks align for the measured comparison below.
SOL 1W ATM IV: prior change +2.45 → current change -0.69 volatility points; direction reversed.
SOL 1W RR25: prior change +1.16 → current change -0.38 volatility points; direction reversed.
SOL 1W BF25: prior change +0.30 → current change +0.22 volatility points; same direction.
A structured watchlist was not recorded or could not be verified in the prior edition; this compares measured changes only.
Next daily cutoff: measurable checks
These checks are reconstructed from this edition’s stored endpoints; they were not recorded in the original report.
Hold the observed level: SOL 1W ATM IV ≤ 54.66 percent at . Current level 54.66; threshold is the current observed endpoint.
Full retrace: SOL 1W ATM IV ≥ 55.35 percent at . Current level 54.66; threshold is the previous observed endpoint.
Measurement basis and receipt
These are observed-level conditions for the next aligned cutoff, with no forecast or trade action. Spot uses exact index endpoints where available; ATM IV is quoted in percent and its change, RR25 and BF25 in volatility points. Derived from verified legacy artifact endpoints.
RR25 was broadly unchanged, averaging +0.07 volatility points to 2.04 volatility points across the four available headline tenors. Negative RR25 denotes a richer 25-delta put wing under the call-minus-put convention.
BF25 increased, averaging +0.16 volatility points to 4.47 volatility points across the four available headline tenors. BF25 measures the average 25-delta wing premium over ATM IV.
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.
1.6d
Smile rotation
11SEP26, +3.78 vol pts0.6d
Smile rotation
10SEP26, +2.81 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.
CurrentComparison snapshot
Suppressed outside the observable listed-expiry range: 6M, 9M, 1Y.
Expiry
Time left
Forward now (USD)
Forward change (USD)
ATM IV now
ATM IV change
RR25 change
BF25 change
10SEP26Expiry effect
0.6 days
103
-0.79 USD
57.89%
-0.16 vol pts
+0.68 vol pts
-0.58 vol pts
11SEP26Expiry effect
1.6 days
103.02
-0.77 USD
57.33%
+0.80 vol pts
+1.07 vol pts
+0.95 vol pts
18SEP26
8.6 days
103.02
-0.77 USD
54.50%
-0.65 vol pts
-0.59 vol pts
+0.27 vol pts
25SEP26
15.6 days
103.08
-0.77 USD
52.66%
-0.55 vol pts
+0.33 vol pts
+0.03 vol pts
30OCT26
50.6 days
103.18
-0.72 USD
52.47%
-0.13 vol pts
-0.11 vol pts
-0.07 vol pts
25DEC26
106.6 days
103.48
-0.70 USD
51.56%
-0.07 vol pts
+0.46 vol pts
+0.46 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.
10SEP26rotation towards calls · wing steepening11SEP26rotation towards calls · wing steepening18SEP26rotation towards puts · wing steepening25SEP26rotation towards calls · wing steepening30OCT26parallel shift lower25DEC26limited movement
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
10SEP26
11SEP26
18SEP26
25SEP26
30OCT26
25DEC26
-0.30kATM+0.30k
Completed-session cross-asset context
Crypto volatility against US equity risk.
SOL 30-day implied volatility was 3.3 times VIX, while its 30-session return correlation with SPX was low at 0.25.
Implied-volatility premium
SOL 30-day ATM IV was 52.36%, against VIX at 15.72: a 36.64-point spread and 3.33× ratio.
Realised-volatility regime
SOL reported crypto realised volatility was 74.10%, versus SPX reported realised volatility of 8.54%. The spread ranked at percentile rank 52.9% of 223 prior observations.
Equity co-movement
Return correlation with SPX was 0.248 over 30 aligned sessions and 0.355 over 60 sessions. VIX9D, VIX and VIX3M closed at 14.81, 15.72 and 18.39.
RV comparison basis unverified: this edition does not record the recognised provider methodology for both horizons and annualisation conventions. The displayed spread rank does not establish matched-horizon comparability.
As of 08 Sept 2026, 20:00 UTC. Implied volatility and completed-session realised volatility use their respective observation windows shown above.
Evidence and methodology
market-context-v1; crypto RV annualized sqrt(365), SPX RV annualized sqrt(252); source provenance: DerivaSys canonical crypto index and Yahoo Finance ^GSPC/^VIX/^VIX9D/^VIX3M.
Evidence, source data and methodology
Report comparison baseline → current snapshot
2026-09-08 16:30:00 UTC → 2026-09-09 16:30:00 UTC
Changes use these stored market-snapshot baselines. The comparison baseline may differ from the snapshot used in the previous published edition.
Original report summary
Solana’s 18SEP26 option smile rotated lower by 1.19 volatility points, the largest surface movement, while front-end ATM IV averaged 53.37%, down 0.59 points. The two-week ATM IV fell 0.79 points to 52.93%. DerivaSys data showed one-week RR25 moving 0.38 points toward puts to 0.90 volatility points, although calls remained relatively richer than puts. Realised-volatility comparisons were unavailable because the canonical minute series did not meet completeness requirements.
At report cutoff · Levels and stored endpoint changes
What matters now
Vol: SOL 1W ATM IV 54.66% · Δ -0.69 vol pts
Skew: SOL 1W RR25 0.90 vol pts · Δ -0.38 vol pts
Wings: SOL 1W BF25 4.48 vol pts · Δ +0.22 vol pts
Vol
SOL 1W ATM IV 54.66% · Δ -0.69 vol pts
Skew
SOL 1W RR25 0.90 vol pts · Δ -0.38 vol pts
Wings
SOL 1W BF25 4.48 vol pts · Δ +0.22 vol pts
IV versus RV
SOL Unavailable
Unavailable readings: SOL IV versus RV. See the report’s data availability notes.
Δ compares the report’s stored surface endpoints. IV versus RV is a level comparison, not a daily change.
Technical appendix: measurement and history provenance
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 25SEP26; the largest sigma change occurred at 18SEP26.
Expiry
Δ a
Δ b
Δ rho
Δ m
Δ sigma
Smile classification
10SEP26
+0.03940
-0.05770
+0.00020
-0.00220
-0.13970
rotation towards calls, wing steepening
11SEP26
+0.02120
-0.01840
+0.05270
+0.01880
-0.10100
rotation towards calls, wing steepening
18SEP26
+0.02070
-0.01720
+0.03380
+0.03700
-0.07520
rotation towards puts, wing steepening
25SEP26
+0.02100
-0.02400
+0.06160
+0.04440
-0.05820
rotation towards calls, wing steepening
30OCT26
+0.00880
-0.01030
+0.00390
+0.00590
-0.01830
parallel shift lower
25DEC26
+0.02260
-0.01430
+0.03640
+0.02340
-0.07480
limited movement
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.
Thresholds are asset-specific policies recorded in this edition. Each window is assessed independently; returns spanning gaps are excluded. Partial estimates may miss volatility during gaps.
RV coverage and methodology
SOL · Unavailable · Surface cutoff 09 Sept 2026, 16:30:00 UTC · 7D coverage not recorded / not recorded required · largest 7D gap not recorded / not recorded maximum · maximum gap not recorded. RV suppressed — valid 7D coverage was not recorded. Canonical SOL index coverage for 7d is incomplete: expected 10080 one-minute returns, found 10044 (99.6429% coverage); returns spanning missing minutes are excluded Full 7D coverage policy was not recorded.
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.
