Daily SOL options market report · 24-hour comparison
Solana options pair higher volatility with lower convexity premium
Solana one-week BF25 fell 0.79 volatility points to 4.31% over the observation window, while Solana two-week ATM IV rose 1.38 points to 60.47%. The combination left front-end ATM IV averaging 60.86%, up 1.09 points, even as the premium for one-week options away from the centre of the distribution contracted. Derivasys data showed the nearest eligible forward proxy, 25SEP26, up 0.74% to $118.22.
Solana one-week BF25 fell 0.79 volatility points to 4.31% over the observation window, while Solana two-week ATM IV rose 1.38 points to 60.47%. The combination left front-end ATM IV averaging 60.86%, up 1.09 points, even as the premium for one-week options away from the centre of the distribution contracted. Derivasys data showed the nearest eligible forward proxy, 25SEP26, up 0.74% to $118.22.
Solana options reprice amid coinbase incident
Coinbase reported delayed Solana sends and receives during a session of higher implied volatility.
Macro
No qualifying macro context was retained.
Crypto
Coinbase reported delayed Solana sends and receives during the observation window.
Links identify the underlying reporting. Events are presented as context, not assigned causes.
02 · Options market read
What the volatility surface did.
4 of 6 headline tenors were comparable at both endpoints. The largest ATM IV move was 2W at +1.38 volatility points, to 60.47%.
The intraday RV comparison is unavailable because the one-minute index-return series failed its completeness check. This affects the 24-hour, seven-day and 30-day comparison block.
Derived directly from structured Derivasys surface data
03 · Catalyst check
21 Sept 2026, 18:37 UTC to 22 Sept 2026, 18:18 UTC
Relevant context found; no confirmed catalyst
Relevant market event
1 relevant event was retained for the comparison window.
Confidencelow causal confidence
News is presented as contextual association unless the structured evidence supports a stronger relationship.
04 · Detailed analysis
What changed across the SOL volatility surface.
Front end
Front-end ATM IV increased, averaging +1.09 volatility points to 60.86% across 1W, 2W and 1M.
Long end
Long-dated ATM IV is unavailable because comparable observations were not present at both snapshots.
Skew
RR25 moved towards calls, averaging +0.10 volatility points to 4.05% across the four available headline tenors.
Convexity
BF25 decreased, averaging -0.55 volatility points to 4.38% across the four available headline tenors.
Largest standard-tenor move
The largest standard-tenor ATM IV move was +1.38 volatility points at 2W, to 60.47%.
Universe roll: added 24SEP26; removed 22SEP26. Comparisons use common expiries only.
05 · Standard-tenor ranking
Largest surface events
01
Largest eligible smile rotation
25SEP26, +4.07 vol pts02
Largest standard-tenor ATM IV move
2W, +1.38 vol pts03
Largest standard-tenor BF25 move
1W, -0.79 vol pts04
Largest standard-tenor RR25 move
3M, -0.62 vol pts05
Largest eligible SVI sigma move
25DEC26, +0.1773 param06
Largest eligible SVI rho move
25SEP26, +0.0482 param
06 · ATM volatility
Standard-tenor ATM implied volatility.
Tenor
Current (vol %)
Previous (vol %)
Change (vol pts)
Relative change
1W
63.82
62.59
+1.23 vol pts
+1.97%
2W
60.47
59.09
+1.38 vol pts
+2.34%
1M
58.30
57.65
+0.65 vol pts
+1.13%
3M
56.13
56.58
-0.45 vol pts
-0.80%
6M
Unavailable
Unavailable
Unavailable
Unavailable
9M
Unavailable
Unavailable
Unavailable
Unavailable
1Y
Unavailable
Unavailable
Unavailable
Unavailable
07 · Risk reversals
RR25 skew moved most at 3M.
RR25 moved towards calls, averaging +0.10 volatility points to 4.05% across the four 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
3.83
3.52
+0.31 vol pts
2W
3.93
3.61
+0.32 vol pts
1M
4.25
3.85
+0.40 vol pts
3M
4.19
4.81
-0.62 vol pts
6M
Unavailable
Unavailable
Unavailable
9M
Unavailable
Unavailable
Unavailable
1Y
Unavailable
Unavailable
Unavailable
08 · Butterflies
BF25 convexity changed most at 1W.
BF25 decreased, averaging -0.55 volatility points to 4.38% across the four 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
4.31
5.10
-0.79 vol pts
2W
4.13
4.89
-0.76 vol pts
1M
4.01
4.33
-0.32 vol pts
3M
5.07
5.39
-0.32 vol pts
6M
Unavailable
Unavailable
Unavailable
9M
Unavailable
Unavailable
Unavailable
1Y
Unavailable
Unavailable
Unavailable
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
Smile rotation
23SEP26, +22.15 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
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
23SEP26Expiry effect
0.6 days
118.29
+0.93 USD
75.40%
+1.09 vol pts
+2.10 vol pts
-3.26 vol pts
25SEP26
2.6 days
118.22
+0.87 USD
72.89%
+3.31 vol pts
+1.11 vol pts
-0.23 vol pts
2OCT26
9.6 days
118.47
+1.06 USD
62.29%
+2.33 vol pts
+0.20 vol pts
-0.96 vol pts
30OCT26
37.6 days
118.62
+0.98 USD
57.91%
+0.55 vol pts
+0.42 vol pts
-0.24 vol pts
25DEC26
93.6 days
119.22
+1.11 USD
56.10%
-0.46 vol pts
-0.66 vol pts
-0.34 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.
23SEP26rotation towards calls · wing flattening25SEP26rotation towards calls · wing steepening2OCT26rotation towards calls · wing flattening30OCT26rotation towards calls25DEC26parallel 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
23SEP26
25SEP26
2OCT26
30OCT26
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 25SEP26; the largest sigma change occurred at 25DEC26.
Expiry
Δ a
Δ b
Δ rho
Δ m
Δ sigma
Smile classification
23SEP26
+0.00770
-0.06540
+0.07740
+0.06610
+0.29020
rotation towards calls, wing flattening
25SEP26
-0.01090
-0.00330
+0.04820
+0.02310
+0.06360
rotation towards calls, wing steepening
2OCT26
-0.03800
+0.00920
+0.01580
-0.01090
+0.17000
rotation towards calls, wing flattening
30OCT26
-0.04050
+0.02550
-0.03100
-0.04790
+0.11490
rotation towards calls
25DEC26
-0.06250
+0.04150
+0.04700
+0.01500
+0.17730
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 3.9 times VIX, while its 30-session return correlation with SPX was mixed at 0.40.
Implied-volatility premium
SOL 30-day ATM IV was 57.77%, against VIX at 14.87: a 42.90-point spread and 3.89× ratio.
Daily-close realised-volatility regime
SOL 20-calendar-day realised volatility was 74.19%, versus SPX 20-session realised volatility of 10.66%. The spread ranked at 49.1 percentile of 232 prior observations.
This separate RV estimate uses 20 daily close-to-close log returns, sampled at 16:00 New York time, ending at the completed-session timestamp shown below. It requires a valid close for each day, rather than every intervening minute. Crypto RV is annualised with √365; SPX uses 20 trading-session returns and √252. It does not replace the intraday IV–RV comparison.
Equity co-movement
Return correlation with SPX was 0.401 over 30 aligned sessions and 0.298 over 60 sessions. VIX9D, VIX and VIX3M closed at 13.14, 14.87 and 18.08.
As of 21 Sept 2026, 20:00 UTC. Returned persisted Derivasys context; crypto RV annualised with sqrt(365), SPX RV with sqrt(252).
13 · Methodology and provenance
Generated from measured Derivasys surface data.
Current snapshot
22 Sept 2026, 18:18 UTC
Comparison snapshot
21 Sept 2026, 18:37 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.
