Solana’s 1W BF25 butterfly rose 1.84 volatility points to 3.71 volatility points between the October 6 and October 7 16:30 UTC snapshots, according to Derivasys data. BF25 measures average 25-delta wing implied volatility minus ATM forward implied volatility, so the increase captures stronger wing convexity.
Chart reading: SOL +1.84 vol points between the stored daily endpoints.
Relative-value reading: Positive BF25 places average wing IV above ATM IV; negative BF25 places it below.
Next watch: Watch whether 1W BF25 extends or reverses this move at the next daily comparison.
Combined surface read: ATM IV rose (SOL); RR25 moved toward puts (SOL); BF25 wing premium increased (SOL); 1W IV was above 7D RV (SOL).
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 1M at -1.75 volatility points, to 50.79%.
Derived directly from structured Derivasys surface data
03 · Catalyst check
06 Oct 2026, 16:30 UTC to 07 Oct 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.
Implied versus realised
At the 16:30 UTC cutoff, 1W ATM IV was 51.97%, 7.86 volatility points above seven-day realised volatility of 44.11%; 24-hour realised volatility was 46.04% and 30-day realised volatility was 55.89%.
Front end
Front-end ATM IV decreased, averaging -0.18 volatility points to 51.20% 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 -0.30 volatility points to 1.93 volatility points across the three available headline tenors.
Convexity
BF25 increased, averaging +1.36 volatility points to 3.71 volatility points across the three available headline tenors.
Largest standard-tenor move
The largest standard-tenor ATM IV move was -1.75 volatility points at 1M, to 50.79%.
Universe roll: no additions; removed 7OCT26. Comparisons use common expiries only.
RR25 moved towards puts, averaging -0.30 volatility points to 1.93 volatility points across the three available headline tenors. Negative RR25 denotes a richer 25-delta put wing under the call-minus-put convention.
BF25 increased, averaging +1.36 volatility points to 3.71 volatility points across the three 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
Smile rotation
8OCT26, -28.19 vol pts1.6d
Smile rotation
9OCT26, -18.97 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: 3M, 6M, 9M, 1Y.
Expiry
Time left
Forward now (USD)
Forward change (USD)
ATM IV now
ATM IV change
RR25 change
BF25 change
8OCT26Expiry effect
0.6 days
116.94
-3.72 USD
47.08%
+0.82 vol pts
-5.74 vol pts
-0.14 vol pts
9OCT26Expiry effect
1.6 days
116.96
-3.77 USD
52.78%
+3.00 vol pts
-5.26 vol pts
+1.84 vol pts
16OCT26
8.6 days
117.06
-3.69 USD
51.92%
+1.60 vol pts
-0.69 vol pts
+1.81 vol pts
30OCT26
22.6 days
117.14
-3.70 USD
50.18%
-2.11 vol pts
+0.38 vol pts
+1.02 vol pts
25DEC26
78.6 days
117.54
-3.76 USD
51.94%
-1.17 vol pts
-0.54 vol pts
+0.40 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.
8OCT26rotation towards puts · wing steepening9OCT26rotation towards puts · wing steepening16OCT26rotation towards puts · wing steepening30OCT26wing steepening25DEC26parallel shift lower · rotation towards puts
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
8OCT26
9OCT26
16OCT26
30OCT26
25DEC26
-0.30kATM+0.30k
Completed-session cross-asset context
Crypto volatility against US equity risk.
SOL 30-day implied volatility was 3.4 times VIX, while its 30-session return correlation with SPX was mixed at 0.58.
Implied-volatility premium
SOL 30-day ATM IV was 51.10%, against VIX at 15.01: a 36.09-point spread and 3.40× ratio.
Daily-close realised-volatility regime
SOL 20-calendar-day realised volatility was 67.86%, versus SPX 20-session realised volatility of 10.39%. The spread ranked at percentile rank 44.9% of 243 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 0.577 over 30 aligned sessions and 0.363 over 60 sessions. VIX9D, VIX and VIX3M closed at 12.03, 15.01 and 17.64.
As of 06 Oct 2026, 20:00 UTC. Implied volatility and completed-session realised volatility use their respective observation windows shown above.
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.
Evidence, source data and methodology
Report comparison baseline → current snapshot
2026-10-06 16:30:00 UTC → 2026-10-07 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 · 7 Oct 2026, 16:30 UTC
The measurement behind the lead chart
SOL 1W BF25 3.71 vol pts · Δ +1.84 vol pts
SOL percentile rank 100.0% by absolute move · full history (n=40)
Original report summary
Solana’s 1W BF25 butterfly increased 1.84 volatility points to 3.71 points from the October 6 daily cutoff. The rise in wing convexity contrasted with a nearly unchanged ATM implied-volatility average across 1W, 2W and 1M, masking divergent tenor moves. No retrieved news met the report’s eligibility requirements for Solana context.
At report cutoff · Levels and stored endpoint changes
What matters now
Vol: SOL 1W ATM IV 51.97% · Δ +1.73 vol pts
Skew: SOL 1W RR25 0.97 vol pts · Δ -1.02 vol pts
Relative value: SOL 1W IV 51.97% / 7D RV 44.11% · spread +7.86 vol pts
Vol
SOL 1W ATM IV 51.97% · Δ +1.73 vol ptspercentile rank 37.5% by absolute move · full history (n=40)
Skew
SOL 1W RR25 0.97 vol pts · Δ -1.02 vol ptspercentile rank 40.0% by absolute move · full history (n=40)
Wings
SOL 1W BF25 3.71 vol pts · Δ +1.84 vol ptspercentile rank 100.0% by absolute move · full history (n=40)
IV versus RV
SOL 1W IV 51.97% / 7D RV 44.11% · spread +7.86 vol pts
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 37.5% by absolute move · full history (n=40)
SOL 1W RR25: percentile rank 40.0% by absolute move · full history (n=40)
SOL 1W BF25: percentile rank 100.0% by absolute move · full history (n=40)
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 25DEC26; the largest sigma change occurred at 16OCT26.
Expiry
Δ a
Δ b
Δ rho
Δ m
Δ sigma
Smile classification
8OCT26
+0.02530
-0.02460
-0.08650
-0.00800
-0.18580
rotation towards puts, wing steepening
9OCT26
-0.01880
+0.05370
-0.08110
-0.01050
-0.10000
rotation towards puts, wing steepening
16OCT26
+0.03870
+0.01950
+0.00270
+0.04410
-0.34230
rotation towards puts, wing steepening
30OCT26
+0.03020
+0.01130
-0.19090
-0.11820
-0.22950
wing steepening
25DEC26
-0.01640
+0.00840
+0.28840
+0.25740
+0.01660
parallel shift lower, rotation 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.
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 · Available · Surface cutoff 07 Oct 2026, 16:30:00 UTC · 7D coverage 100% / 99.5% required · largest 7D gap 0 min / 60 min maximum · maximum gap 60 min.
24h: complete; 1440/1440 observed returns; 100% coverage; 99.5% minimum; 0 min largest gap.
7d: complete; 10080/10080 observed returns; 100% coverage; 99.5% minimum; 0 min largest gap.
30d: complete; 43200/43200 observed returns; 100% coverage; 99.5% minimum; 0 min largest gap.
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.
