Prior comparison unavailable: the published 2026-09-15 edition is verified but ends at 15 Sept, 21:01 UTC; this window requires 15 Sept, 16:30 UTC.
A structured watchlist was not recorded or could not be verified in the prior edition; prior-watch outcomes remain unavailable.
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 ≤ 54.33 percent at . Current level 54.33; threshold is the current observed endpoint.
Full retrace: SOL 1W ATM IV ≥ 56.47 percent at . Current level 54.33; 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.
SOL:atmIv:1W:observed-current-level: rows[asset=SOL].report.tenors[tenor=1W].atmIv.previous; rows[asset=SOL].report.tenors[tenor=1W].atmIv.current; rows[asset=SOL].report.tenors[tenor=1W].atmIv.change; evaluation window 2026-09-16T16:30:00+00:00 to 2026-09-17T16:30:00+00:00.
SOL:atmIv:1W:observed-previous-level: rows[asset=SOL].report.tenors[tenor=1W].atmIv.previous; rows[asset=SOL].report.tenors[tenor=1W].atmIv.current; rows[asset=SOL].report.tenors[tenor=1W].atmIv.change; evaluation window 2026-09-16T16:30:00+00:00 to 2026-09-17T16:30:00+00:00.
Chart notes
Combined surface read: ATM IV fell (SOL); RR25 moved toward calls (SOL).
01 · Daily briefing
Macro · Crypto · Options
The day in markets.
Smile rotation is the fitted IV change at +0.15 log-moneyness minus the change at −0.15, in volatility points. A positive reading indicates a relative shift toward the call side.
Solana volatility eases while skew stays call-rich
Solana one-week ATM IV fell modestly, while one-week RR25 kept call volatility relatively richer than puts.
Macro
NPR reported expectations that the Federal Reserve would raise its benchmark interest rate.
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
17SEP26, -6.31 vol pts1.6d
Smile rotation
18SEP26, +4.27 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
17SEP26Expiry effect
0.6 days
97.21
-2.10 USD
67.01%
-0.84 vol pts
-1.79 vol pts
Unavailable
18SEP26Expiry effect
1.6 days
97.26
-2.05 USD
59.41%
-3.75 vol pts
+1.36 vol pts
Unavailable
25SEP26
8.6 days
97.37
-1.95 USD
54.02%
-1.25 vol pts
+0.03 vol pts
Unavailable
30OCT26
43.6 days
97.57
-1.97 USD
54.22%
-1.28 vol pts
-0.06 vol pts
Unavailable
25DEC26
99.6 days
97.89
-1.95 USD
54.71%
+0.32 vol pts
-0.21 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.
17SEP26rotation towards puts · wing steepening18SEP26rotation towards calls · wing steepening25SEP26parallel shift lower30OCT26parallel 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
17SEP26
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 3.2 times VIX, while its 30-session return correlation with SPX was mixed at 0.33.
Implied-volatility premium
SOL 30-day ATM IV was 54.86%, against VIX at 17.20: a 37.66-point spread and 3.19× ratio.
Daily-close realised-volatility regime
SOL reported crypto realised volatility was 73.81%, versus SPX reported realised volatility of 9.06%. The spread ranked at percentile rank 51.3% of 228 prior observations.
Equity co-movement
Return correlation with SPX was 0.325 over 30 aligned sessions and 0.316 over 60 sessions. VIX9D, VIX and VIX3M closed at 17.21, 17.20 and 19.36.
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 15 Sept 2026, 20:00 UTC. Implied volatility and completed-session realised volatility use their respective observation windows shown above.
The intraday RV comparison is unavailable. Recorded reason: Canonical SOL index coverage for 7d is incomplete: expected 10080 one-minute returns, found 10042 (99.6230% 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
2026-09-15 16:30:00 UTC → 2026-09-16 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.
Reader summary (BF-specific claims withheld)
Solana one-week ATM IV fell 2.14 volatility points to 54.33% over the 24-hour observation window. Solana one-week RR25 rose 0.29 volatility points to 1.11 volatility points, leaving call volatility richer than put volatility at that tenor. Derivasys data show front-end ATM IV averaged 54.22%; realised-volatility comparisons were unavailable at the cutoff.
At report cutoff · Levels and stored endpoint changes
What matters now
Vol: SOL 1W ATM IV 54.33% · Δ -2.14 vol pts
Skew: SOL 1W RR25 1.11 vol pts · Δ +0.29 vol pts
Curve: SOL 3M minus 1W ATM IV spread +0.34 vol pts · spread Δ +2.33 vol pts
Vol
SOL 1W ATM IV 54.33% · Δ -2.14 vol pts
Skew
SOL 1W RR25 1.11 vol pts · Δ +0.29 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 25DEC26; the largest sigma change occurred at 30OCT26.
Expiry
Δ a
Δ b
Δ rho
Δ m
Δ sigma
Smile classification
17SEP26
+0.07100
-0.06870
-0.01300
+0.00110
-0.25710
rotation towards puts, wing steepening
18SEP26
+0.05820
-0.05200
+0.04350
+0.01700
-0.21680
rotation towards calls, wing steepening
25SEP26
+0.03130
-0.04190
+0.02860
+0.01810
-0.06240
parallel shift lower
30OCT26
+0.04950
-0.04190
+0.02870
+0.02910
-0.16780
parallel shift lower
25DEC26
-0.00700
-0.00900
-0.03620
-0.02500
+0.05520
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 16 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 10042 (99.6230% 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.
