Daily SOL options market report · 24-hour comparison
Solana options turn call-rich as short-dated skew jumps
Solana one-week RR25 rose 3.60 volatility points to 5.86 volatility points, making call-side volatility richer than put-side volatility at the cutoff. Derivasys data show the move was notable at the 82nd percentile of 27 comparable observations, while front-end ATM IV averaged 57.66%, up 0.39 volatility points, indicating a skew-led repricing rather than a broad volatility retreat.
4 of 6 headline tenors were comparable at both endpoints. The largest ATM IV move was 2W at +1.07 volatility points, to 58.21%.
RV observation windows
The intraday RV comparison is unavailable. Recorded reason: Canonical SOL index coverage for 7d is incomplete: expected 10080 one-minute returns, found 9824 (97.4603% coverage); returns spanning missing minutes are excluded No coverage policy was recorded; its thresholds cannot be established from another report.
Derived directly from structured Derivasys surface data
03 · Catalyst check
23 Sept 2026, 16:30 UTC to 24 Sept 2026, 16:30 UTC
No catalyst assigned.
No qualifying context was found in the monitored news sources for this reporting window.
04 · Detailed analysis
What changed across the SOL volatility surface.
Front end
Front-end ATM IV increased, averaging +0.39 volatility points to 57.66% 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 +2.27 volatility points to 5.07 volatility points across the four available headline tenors.
Convexity
BF25 increased, averaging +0.18 volatility points to 4.35 volatility points across the four available headline tenors.
Largest standard-tenor move
The largest standard-tenor ATM IV move was +1.07 volatility points at 2W, to 58.21%.
Universe roll: added 26SEP26, 9OCT26; removed 24SEP26. Comparisons use common expiries only.
RR25 moved towards calls, averaging +2.27 volatility points to 5.07 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 +0.18 volatility points to 4.35 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.
0.6d
ATM IV change
25SEP26, +10.94 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
25SEP26Expiry effect
0.6 days
117.31
+2.60 USD
74.19%
+10.94 vol pts
+0.52 vol pts
-2.88 vol pts
2OCT26
7.6 days
117.43
+2.64 USD
57.36%
-0.06 vol pts
+3.66 vol pts
+0.38 vol pts
30OCT26
35.6 days
117.6
+2.61 USD
56.72%
-0.14 vol pts
+2.65 vol pts
-0.21 vol pts
25DEC26
91.6 days
118.05
+2.56 USD
55.19%
+0.40 vol pts
+1.37 vol pts
+0.27 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.
25SEP26rotation towards calls · wing flattening2OCT26rotation towards calls · wing steepening30OCT26rotation towards calls25DEC26rotation towards calls
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
25SEP26
2OCT26
30OCT26
25DEC26
-0.30kATM+0.30k
Completed-session cross-asset context
Crypto volatility against US equity risk.
SOL 30-day implied volatility was 3.7 times VIX, while its 30-session return correlation with SPX was mixed at 0.43.
Implied-volatility premium
SOL 30-day ATM IV was 56.46%, against VIX at 15.18: a 41.28-point spread and 3.72× ratio.
Daily-close realised-volatility regime
SOL 20-calendar-day realised volatility was 72.80%, versus SPX 20-session realised volatility of 10.99%. The spread ranked at percentile rank 47.6% of 233 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 0.430 over 30 aligned sessions and 0.339 over 60 sessions. VIX9D, VIX and VIX3M closed at 13.45, 15.18 and 18.11.
As of 23 Sept 2026, 20:00 UTC. Implied volatility and completed-session realised volatility use their respective observation windows shown above.
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 one-week RR25 rose 3.60 volatility points to 5.86 volatility points, making call-side volatility richer than put-side volatility at the cutoff. Derivasys data show the move was notable at the 82nd percentile of 27 comparable observations, while front-end ATM IV averaged 57.66%, up 0.39 volatility points, indicating a skew-led repricing rather than a broad volatility retreat.
At report cutoff · Levels and stored endpoint changes
What matters now
Vol: SOL 1W ATM IV 57.85% · Δ +0.09 vol pts
Skew: SOL 1W RR25 5.86 vol pts · Δ +3.60 vol pts
Wings: SOL 1W BF25 4.00 vol pts · Δ +0.34 vol pts
Vol
SOL 1W ATM IV 57.85% · Δ +0.09 vol ptspercentile rank 0.0% by absolute move · 30-day window (n=27)
Skew
SOL 1W RR25 5.86 vol pts · Δ +3.60 vol ptspercentile rank 81.5% by absolute move · 30-day window (n=27)
Wings
SOL 1W BF25 4.00 vol pts · Δ +0.34 vol ptspercentile rank 40.7% by absolute move · 30-day window (n=27)
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.
Historical move evidence
SOL 1W ATM IV: percentile rank 0.0% by absolute move · 30-day window (n=27)
SOL 1W RR25: percentile rank 81.5% by absolute move · 30-day window (n=27)
SOL 1W BF25: percentile rank 40.7% by absolute move · 30-day window (n=27)
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 2OCT26; the largest sigma change occurred at 25DEC26.
Expiry
Δ a
Δ b
Δ rho
Δ m
Δ sigma
Smile classification
25SEP26
+0.06910
-0.11910
-0.37450
-0.17580
-0.19460
rotation towards calls, wing flattening
2OCT26
+0.05360
-0.03580
-0.15460
-0.08590
-0.21990
rotation towards calls, wing steepening
30OCT26
+0.00350
-0.00060
-0.12140
-0.10270
-0.02240
rotation towards calls
25DEC26
+0.11660
-0.08490
+0.06350
+0.05630
-0.25590
rotation towards calls
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.
Full RV evidence and methodology
SOL · Surface cutoff 24 Sept 2026, 16:30:00 UTC. RV suppressed — valid 7D coverage was not recorded. Canonical SOL index coverage for 7d is incomplete: expected 10080 one-minute returns, found 9824 (97.4603% 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.
