Previous publication cutoff 11 Sept, 16:29 UTC. Today’s market comparison starts at 11 Sept, 16:29 UTC. Snapshot clocks align for the measured comparison below.
SOL 1W ATM IV: prior change -2.80 → current change -0.45 volatility points; same direction.
SOL 1W RR25: prior change +4.51 → current change +0.45 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 ≤ 50.01 percent at . Current level 50.01; threshold is the current observed endpoint.
Full retrace: SOL 1W ATM IV ≥ 50.46 percent at . Current level 50.01; 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 is unavailable because comparable observations were not present at both snapshots. Negative RR25 denotes a richer 25-delta put wing under the call-minus-put convention.
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
Smile rotation
13SEP26, -17.98 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
13SEP26Expiry effect
0.6 days
102.01
+0.17 USD
35.21%
-10.38 vol pts
-3.74 vol pts
Unavailable
18SEP26
5.6 days
102.03
+0.16 USD
49.40%
-1.04 vol pts
+0.49 vol pts
Unavailable
25SEP26
12.6 days
102.02
+0.09 USD
51.13%
+0.46 vol pts
-0.81 vol pts
Unavailable
30OCT26
47.6 days
102.33
+0.18 USD
52.97%
+0.21 vol pts
+0.69 vol pts
Unavailable
25DEC26
103.6 days
102.66
+0.17 USD
51.80%
+0.15 vol pts
-0.07 vol pts
Unavailable
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.
13SEP26rotation towards puts · wing steepening18SEP26wing steepening25SEP26rotation towards puts30OCT26rotation towards calls25DEC26parallel shift higher
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
13SEP26
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 0.24.
Implied-volatility premium
SOL 30-day ATM IV was 52.38%, against VIX at 15.84: a 36.54-point spread and 3.31× ratio.
Daily-close realised-volatility regime
SOL reported crypto realised volatility was 69.88%, versus SPX reported realised volatility of 8.99%. The spread ranked at percentile rank 46.5% of 226 prior observations.
Equity co-movement
Return correlation with SPX was 0.241 over 30 aligned sessions and 0.295 over 60 sessions. VIX9D, VIX and VIX3M closed at 14.47, 15.84 and 18.60.
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 11 Sept 2026, 20:00 UTC. Implied volatility and completed-session realised volatility use their respective observation windows shown above.
Evidence and methodology
DerivaSys persisted market-context-v1. Crypto RV is annualised using sqrt(365); SPX RV uses sqrt(252).
RV observation windows and sampling
The intraday RV comparison is unavailable. Recorded reason: Canonical SOL index coverage for 30d is incomplete: expected 43200 one-minute returns, found 43164 (99.9167% coverage); returns spanning missing minutes are excluded No coverage policy was recorded; its thresholds cannot be established from another report.
Evidence, source data and methodology
Report comparison baseline → current snapshot
2026-09-11 16:29:00 UTC → 2026-09-12 16:29:00 UTC
Changes use these stored market-snapshot baselines. The comparison baseline may differ from the snapshot used in the previous published edition.
Reader summary (BF-specific claims withheld)
Solana’s options surface rotated lower across strikes, while front-end ATM IV increased only 0.17 volatility points on average to 51.32%. The largest standard-tenor ATM IV change was a 0.64-point rise in two-week ATM IV to 51.38%; realised-volatility comparisons were unavailable at the cutoff.
At report cutoff · Levels and stored endpoint changes
What matters now
Vol: SOL 1W ATM IV 50.01% · Δ -0.45 vol pts
Skew: SOL 1W RR25 4.50 vol pts · Δ +0.45 vol pts
Curve: SOL 3M minus 1W ATM IV spread +1.93 vol pts · spread Δ +0.59 vol pts
Vol
SOL 1W ATM IV 50.01% · Δ -0.45 vol pts
Skew
SOL 1W RR25 4.50 vol pts · Δ +0.45 vol pts
Wings
SOL Unavailable
IV versus RV
SOL Unavailable
Unavailable readings: SOL Wings; 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
Original edition evidence follows unchanged. Its BF slots retain the original full fly25 or unverified basis; these receipts do not validate canonical BF25 history or ranks.
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
13SEP26
+0.03610
-0.07780
-0.22290
-0.08510
-0.03700
rotation towards puts, wing steepening
18SEP26
+0.03640
-0.04720
-0.02570
+0.01260
-0.15060
wing steepening
25SEP26
+0.03250
-0.03560
-0.11330
-0.02610
-0.10780
rotation towards puts
30OCT26
+0.03380
-0.02810
-0.02020
-0.00820
-0.11850
rotation towards calls
25DEC26
-0.00030
+0.00620
-0.04790
-0.02140
-0.01510
parallel shift higher
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 12 Sept 2026, 16:29:00 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 30d is incomplete: expected 43200 one-minute returns, found 43164 (99.9167% coverage); returns spanning missing minutes are excluded Full 7D coverage policy was not recorded.
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.
