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Daily SOL options market report · 24-hour comparison

Solana options see one-week implied volatility fall

SOL 1W ATM IV fell 3.28 vol points to 53.09% over the daily comparison.

By Sean Gordon — Derivasys Research

Published · Snapshot

Snapshot · 1 Oct 2026, 16:30 UTC

  • SOLSpot-index 24h -1.77%1W ATM IV 53.09%1W RR25 +2.22 vol pts1W BF25 +2.58 vol pts1W IV − 7D RV -6.65 vol ptsPartial RV: 99.83% coverage, longest gap 16 min; gaps may miss volatility

Notable move: SOL 1W ATM IV Δ -3.28 vol pts → 53.09% · percentile rank 73.3% by absolute move · 30-day window (n=30).

Solana options see one-week implied volatility fall. ATM implied-volatility term structure from Derivasys data.
Source: Derivasys options data. ATM implied-volatility; unsupported tenors remain blank. Cite this report.
Chart download and reuse termsDownload 1280 × 720 chart · Reuse terms

01 · Daily briefing

Macro · Crypto · Options

The day in markets.

Solana one-week ATM volatility falls 3.28 points to 53.09%

The one-week implied reading stood 6.65 volatility points below seven-day realised volatility of 59.74%, while 24-hour realised volatility was lower at 49.63%. The seven-day estimate has partial coverage and may miss volatility during gaps. No prior spread is supplied to establish whether the discount widened. SOL’s spot index fell 1.77% over the reporting window.

Macro

No qualifying macro event was retained for this report window.

Crypto

The Solana Foundation announced that Open USD was live on the network, allowing businesses to mint and burn 1:1 against dollars at no cost, with more than $1 billion committed to liquidity. The launch provides Solana-specific infrastructure context. Its event-specific market reaction is unavailable, so the evidence does not establish that it drove the options compression.

Links identify the underlying reporting for retained events; entries without a retained link are marked.

02 · Options market read

What the volatility surface did.

3 of 6 headline tenors were comparable at both endpoints. The largest ATM IV move was 1W at -3.28 volatility points, to 53.09%.

RV observation windows

The 24-hour, seven-day and 30-day RV windows are assessed independently using observed one-minute index returns, annualised on a 365-day basis. Recorded minimums: at least 99.5% coverage over 24 hours, 99.5% coverage over seven days, 99.5% coverage over 30 days, with no gap longer than 60 minutes. Returns spanning gaps are excluded, not interpolated; unavailable windows remain unreported. The exact 24-hour spot return requires prices at both endpoints.

Derived directly from structured Derivasys surface data

03 · Catalyst check

30 Sept 2026, 16:30 UTC to 01 Oct 2026, 16:30 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.

Implied versus realised

At the 16:30 UTC cutoff, 1W ATM IV was 53.09%, 6.65 volatility points below seven-day realised volatility of 59.74%; 24-hour realised volatility was 49.63% and 30-day realised volatility was 58.30%.

Front end

Front-end ATM IV decreased, averaging -1.73 volatility points to 54.22% 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 puts, averaging -0.78 volatility points to 1.79 volatility points across the three available headline tenors.

Convexity

BF25 decreased, averaging -0.32 volatility points to 3.31 volatility points across the three available headline tenors.

Largest standard-tenor move

The largest standard-tenor ATM IV move was -3.28 volatility points at 1W, to 53.09%.

Universe roll: added 16OCT26, 3OCT26; removed 1OCT26. Comparisons use common expiries only.

05 · Standard-tenor ranking

Largest surface events

01

Largest standard-tenor ATM IV move

1W, -3.28 vol pts
02

Largest standard-tenor RR25 move

2W, -1.52 vol pts
03

Largest eligible smile rotation

30OCT26, -1.27 vol pts
04

Largest standard-tenor BF25 move

1W, -0.80 vol pts
05

Largest eligible SVI sigma move

30OCT26, -0.0810 param
06

Largest eligible SVI rho move

30OCT26, +0.0475 param

06 · ATM volatility

Standard-tenor ATM implied volatility.

TenorCurrent (vol %)Comparison snapshot (vol %)Change (vol pts)Relative change
1W53.0956.37-3.28 vol pts-5.82%
2W55.3055.90-0.60 vol pts-1.07%
1M54.2855.60-1.32 vol pts-2.37%
3MUnavailableUnavailableUnavailableUnavailable
6MUnavailableUnavailableUnavailableUnavailable
9MUnavailableUnavailableUnavailableUnavailable
1YUnavailableUnavailableUnavailableUnavailable

Source: Derivasys Research — structured data

07 · Risk reversals

RR25 skew moved most at 2W.

RR25 moved towards puts, averaging -0.78 volatility points to 1.79 volatility points across the three available headline tenors. Negative RR25 denotes a richer 25-delta put wing under the call-minus-put convention.

0.9 vol pts1.5 vol pts2.1 vol pts2.7 vol pts3.3 vol pts1W2W1M
TenorCurrent (vol pts)Comparison snapshot (vol pts)Change (vol pts)
1W2.222.00+0.22 vol pts
2W1.102.62-1.52 vol pts
1M2.053.10-1.05 vol pts
3MUnavailableUnavailableUnavailable
6MUnavailableUnavailableUnavailable
9MUnavailableUnavailableUnavailable
1YUnavailableUnavailableUnavailable

Source: Derivasys Research — structured data

08 · Butterflies

BF25 convexity changed most at 1W.

BF25 decreased, averaging -0.32 volatility points to 3.31 volatility points across the three available headline tenors. BF25 measures the average 25-delta wing premium over ATM IV.

2.4 vol pts2.8 vol pts3.2 vol pts3.7 vol pts4.1 vol pts1W2W1M
TenorCurrent (vol pts)Comparison snapshot (vol pts)Change (vol pts)
1W2.583.38-0.80 vol pts
2W3.463.64-0.18 vol pts
1M3.893.86+0.03 vol pts
3MUnavailableUnavailableUnavailable
6MUnavailableUnavailableUnavailable
9MUnavailableUnavailableUnavailable
1YUnavailableUnavailableUnavailable

Source: Derivasys Research — structured data

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

2OCT26, -11.92 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.

52.7%53.7%54.7%55.7%56.8%1W2W1M

Suppressed outside the observable listed-expiry range: 3M, 6M, 9M, 1Y.

ExpiryTime leftForward now (USD)Forward change (USD)ATM IV nowATM IV changeRR25 changeBF25 change
2OCT26Expiry effect0.6 days117.45-2.14 USD52.97%-5.74 vol pts-2.22 vol pts-1.48 vol pts
9OCT267.6 days117.51-2.11 USD53.00%-3.23 vol pts+0.23 vol pts-0.85 vol pts
30OCT2628.6 days117.66-2.10 USD54.25%-1.36 vol pts-1.07 vol pts-0.03 vol pts
25DEC2684.6 days118.07-2.20 USD54.76%-0.14 vol pts-1.00 vol pts-0.16 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.

2OCT26rotation towards puts · wing steepening
-0.30k0.00k+0.30k
9OCT26parallel shift lower · rotation towards calls
-0.30k0.00k+0.30k
30OCT26rotation towards puts
-0.30k0.00k+0.30k
25DEC26rotation towards puts
-0.30k0.00k+0.30k

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.

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 mixed at 0.50.

Implied-volatility premium

SOL 30-day ATM IV was 54.41%, against VIX at 16.34: a 38.07-point spread and 3.33× ratio.

Daily-close realised-volatility regime

SOL 20-calendar-day realised volatility was 73.50%, versus SPX 20-session realised volatility of 10.79%. The spread ranked at percentile rank 50.6% of 239 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 0.498 over 30 aligned sessions and 0.385 over 60 sessions. VIX9D, VIX and VIX3M closed at 14.20, 16.34 and 18.37.

As of 30 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. All displayed observations: 2026-09-30T20:00:00Z; cryptoSnapshotTimestamp and benchmarkTimestamp: 2026-09-30T20:00:00Z. Ingested at 2026-09-30T22:30:50.879828Z. Freshness: fresh, ageSeconds 73800, evaluatedAt 2026-10-01T16:30:00Z. Quality valid; alignment tolerance 600 seconds. Crypto ATM IV: Derivasys 30-calendar-day fixed-tenor surface nearest the US close, ACT/365 convention. VIX-family levels: yahoo_finance, ^VIX/^VIX9D/^VIX3M, completed US cash-session close. Crypto RV: Derivasys canonical crypto index, 20 calendar-day close-to-close log returns, sqrt(365). SPX RV: yahoo_finance ^GSPC, 20 US trading-session close-to-close log returns, sqrt(252). Volatility levels and spreads use volatility_points; ratios use ratio; correlations use correlation_coefficient; percentiles use percentile_rank and prior valid observations only. Correlations use 30/60 aligned US-session daily returns. Additional returned cross-asset metrics: ivSpreadChange1d=-1.559999237060552 volatility_points; ivRatioChange1d=-0.14083272628258747 ratio_change; rvSpreadChange1d=-0.6362781610552801 volatility_points; rvRatioChange1d=0.08518131710016075 ratio_change; ivSpreadPercentile=null and ivRatioPercentile=null, each sampleCount=21; returnCorrelation30Percentile=58.490566037735846, sampleCount=212; returnCorrelation60Percentile=13.81578947368421, sampleCount=152. Level/ratio/RV metric sampleCount fields are null. Mixed RV annualisation bases are preserved.

Evidence, source data and methodology
Report comparison baseline → current snapshot
2026-09-30 16:30:00 UTC → 2026-10-01 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.

Lead signal · 1 Oct 2026, 16:30 UTC

The measurement behind the lead chart

SOL 1W ATM IV 53.09% · Δ -3.28 vol pts

SOL percentile rank 73.3% by absolute move · 30-day window (n=30)

Original report summary

Solana’s front-end options volatility eased over the 24 hours to October 1 at 16:30 UTC, with average ATM implied volatility across one week, two weeks and one month down 1.73 volatility points to 54.22%. The evidence is retained as context and does not establish causation for the measured options move.

At report cutoff · Levels and stored endpoint changes

What matters now

Vol: SOL 1W ATM IV 53.09% · Δ -3.28 vol pts

Skew: SOL 1W RR25 2.22 vol pts · Δ +0.22 vol pts

Relative value: SOL 1W IV 53.09% / 7D RV 59.74% · spread -6.65 vol pts (partial RV; coverage below)

Vol

SOL 1W ATM IV 53.09% · Δ -3.28 vol ptspercentile rank 73.3% by absolute move · 30-day window (n=30)

Skew

SOL 1W RR25 2.22 vol pts · Δ +0.22 vol ptspercentile rank 8.8% by absolute move · full history (n=34)

Wings

SOL 1W BF25 2.58 vol pts · Δ -0.80 vol ptspercentile rank 86.7% by absolute move · 30-day window (n=30)

IV versus RV

SOL 1W IV 53.09% / 7D RV 59.74% · spread -6.65 vol pts · Partial RV: 99.83% coverage, longest gap 16 min; gaps may miss volatility

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 73.3% by absolute move · 30-day window (n=30)

SOL 1W RR25: percentile rank 8.8% by absolute move · full history (n=34)

SOL 1W BF25: percentile rank 86.7% by absolute move · 30-day window (n=30)

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 30OCT26; the largest sigma change occurred at 30OCT26.

ExpiryΔ aΔ bΔ rhoΔ mΔ sigmaSmile classification
2OCT26+0.04830-0.06540-0.16600-0.10390-0.02700rotation towards puts, wing steepening
9OCT26+0.03790-0.04520-0.04660-0.01950-0.07040parallel shift lower, rotation towards calls
30OCT26+0.02850-0.03360+0.04750+0.06530-0.08100rotation towards puts
25DEC26+0.03460-0.03500+0.00460+0.02990-0.07710rotation towards puts

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.

Highest Vega25DEC26, 0.22487 USD / vol pt
Highest Gamma2OCT26, 0.152434 1 / USD
Highest Theta Decay2OCT26, -0.808211 USD / day
Highest Vanna25DEC26, 0.000952 delta / vol pt
Highest Volga25DEC26, -0.000071 USD / vol pt²

7D realised volatility · data quality

AssetRecorded RVStatusCoverage / requiredLongest gap / maximum
SOL59.74%Partial99.8313% / 99.5% required16 min / 60 min maximum

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 01 Oct 2026, 16:30:00 UTC. Partial estimate: gaps may miss volatility.

{
  "source": "canonical/SOL-USDC-INDEX (DERIBIT and OKX indexes)",
  "fallbackObservations": 0,
  "fallbackPolicy": "Missing canonical minutes use the stored Deribit index first, then the stored OKX index; canonical bars always take precedence.",
  "samplingInterval": "1 minute",
  "annualizationBasis": "365 days",
  "windowEnd": "2026-10-01T16:30:00+00:00",
  "spotWindowStart": "2026-09-30T16:30:00+00:00",
  "spotMetric": "spot-index return",
  "spotUnit": "percent",
  "spotMove24hPercent": -1.77,
  "rv24hPercent": 49.63,
  "rv7dPercent": 59.74,
  "rv30dPercent": 58.3,
  "observations": {
    "24h": 1440,
    "7d": 10063,
    "30d": 43109
  },
  "coverage": {
    "24h": {
      "status": "complete",
      "observedReturns": 1440,
      "expectedReturns": 1440,
      "coveragePercent": 100,
      "missingPriceMinutes": 0,
      "missingIntervals": 0,
      "largestMissingRunMinutes": 0,
      "unavailableReason": null
    },
    "7d": {
      "status": "partial",
      "observedReturns": 10063,
      "expectedReturns": 10080,
      "coveragePercent": 99.8313,
      "missingPriceMinutes": 16,
      "missingIntervals": 1,
      "largestMissingRunMinutes": 16,
      "unavailableReason": null
    },
    "30d": {
      "status": "partial",
      "observedReturns": 43109,
      "expectedReturns": 43200,
      "coveragePercent": 99.7894,
      "missingPriceMinutes": 88,
      "missingIntervals": 3,
      "largestMissingRunMinutes": 37,
      "unavailableReason": null
    }
  },
  "coveragePolicy": {
    "version": "observed-minute-returns-v1",
    "minimumCoveragePercent": 99.5,
    "minimumCoveragePercentByWindow": {
      "24h": 99.5,
      "7d": 99.5,
      "30d": 99.5
    },
    "maximumMissingRunMinutes": 60,
    "methodology": "Each RV window qualifies independently. RV annualises the mean squared observed one-minute log return; returns spanning gaps are excluded, not interpolated or zero-filled. Partial estimates assume observed minutes are representative and may miss volatility during gaps."
  },
  "spotUnavailableReason": null,
  "oneWeekAtmIvPercent": 53.09,
  "oneWeekIvMinus7dRvPoints": -6.65,
  "oneWeekIvMinus24hRvPoints": 3.46,
  "oneWeekIvMinus30dRvPoints": -5.21
}

Source data JSON

13 · Methodology and provenance

Generated from measured Derivasys surface data.

Current snapshot
01 Oct 2026, 16:30 UTC
Comparison snapshot
30 Sept 2026, 16:30 UTC
Source
Derivasys proprietary historical SVI surface and canonical SOL index databases
Realised volatility
Annualised root-mean-square of one-minute canonical SOL-USD index log returns using a 365-day basis; all windows end at the current snapshot.
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.

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