Chart reading: SOL -8.58 vol points between the stored daily endpoints.
Relative-value reading: The reading measures ATM implied volatility at the chart’s stated tenor.
Next watch: Watch whether 1W ATM IV extends or reverses this move at the next daily comparison.
Combined surface read: ATM IV fell (SOL); RR25 moved toward puts (SOL); BF25 wing premium increased (SOL); 1W IV was above 7D RV (SOL).
01 · Daily briefing
Macro · Crypto · Options
The day in markets.
Solana options: 1W ATM IV falls 8.58 volatility points
Solana 1W ATM IV fell 8.58 volatility points to 49.63% between the October 8 and October 9 snapshots at 16:56 UTC, according to Derivasys data. The absolute 1W ATM IV daily move ranked at the 96.7 percentile among 30 matching observations in the prior 30 days. Solana 2W ATM IV declined 1.03 volatility points to 50.64%, while Solana 1M ATM IV rose 1.27 volatility points to 51.40%.
Macro
No qualifying macro event was retained for this report window.
Crypto
In Solana news, [CoinDesk](https://www.coindesk.com/tech/2026/10/09/solana-is-about-to-halve-its-block-times-as-final-200-millisecond-upgrade-nears) reported that an upgrade intended to halve block times was approaching. Separately, [Decrypt](https://decrypt.co/380522/solana-defi-firms-orca-and-loopscale-merge-under-new-formation-brand) reported that Solana DeFi firms Orca and Loopscale merged under the Formation brand. These developments provide protocol and business context; the available evidence establishes no causal link to the options repricing.
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 -8.58 volatility points, to 49.63%.
Derived directly from structured Derivasys surface data
03 · Catalyst check
08 Oct 2026, 16:56 UTC to 09 Oct 2026, 16:56 UTC
Relevant context found; no confirmed catalyst
Relevant market events
2 relevant events were 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 16:56 UTC cutoff, 1W ATM IV was 49.63%, 3.19 volatility points above seven-day realised volatility of 46.44%; 24-hour realised volatility was 61.67% and 30-day realised volatility was 56.83%.
Front end
Front-end ATM IV decreased, averaging -2.78 volatility points to 50.56% 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 +0.99 volatility points to 0.80 volatility points across the three available headline tenors.
Convexity
BF25 increased, averaging +0.33 volatility points to 3.79 volatility points across the three available headline tenors.
Largest standard-tenor move
The largest standard-tenor ATM IV move was -8.58 volatility points at 1W, to 49.63%.
24h spot-index return
SOL spot-index return was +1.85% over 24 hours.
7d spot-index return
SOL spot-index return was -8.51% over seven days.
Universe roll: added 11OCT26; removed 9OCT26. Comparisons use common expiries only.
RR25 moved towards calls, averaging +0.99 volatility points to 0.80 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 +0.33 volatility points to 3.79 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
ATM IV change
10OCT26, -28.89 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
10OCT26Expiry effect
0.6 days
109.67
+1.51 USD
43.66%
-28.89 vol pts
+2.67 vol pts
-3.43 vol pts
16OCT26
6.6 days
109.72
+1.48 USD
49.51%
-8.30 vol pts
-1.13 vol pts
+0.05 vol pts
23OCT26
13.6 days
109.81
+1.51 USD
50.65%
-0.68 vol pts
+1.71 vol pts
+0.03 vol pts
30OCT26
20.6 days
109.88
+1.48 USD
50.46%
+1.59 vol pts
+1.03 vol pts
+0.61 vol pts
27NOV26
48.6 days
110.04
+1.53 USD
52.18%
+0.79 vol pts
+2.57 vol pts
+0.99 vol pts
25DEC26
76.6 days
110.24
+1.37 USD
51.36%
+0.11 vol pts
+2.02 vol pts
+0.68 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.
10OCT26parallel shift lower · rotation towards puts · wing steepening16OCT26rotation towards puts · wing steepening23OCT26rotation towards calls · wing steepening30OCT26rotation towards calls · wing steepening27NOV26rotation 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
10OCT26
16OCT26
23OCT26
30OCT26
27NOV26
25DEC26
-0.30kATM+0.30k
Completed-session cross-asset context
Crypto volatility against US equity risk.
SOL 30-day implied volatility was 3.5 times VIX, while its 30-session return correlation with SPX was mixed at 0.59.
Implied-volatility premium
SOL 30-day ATM IV was 53.96%, against VIX at 15.41: a 38.55-point spread and 3.50× ratio.
Daily-close realised-volatility regime
SOL 20-calendar-day realised volatility was 55.36%, versus SPX 20-session realised volatility of 10.14%. The spread ranked at percentile rank 36.3% of 245 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 0.592 over 30 aligned sessions and 0.376 over 60 sessions. VIX9D, VIX and VIX3M closed at 12.21, 15.41 and 18.08.
As of 08 Oct 2026, 20:00 UTC. Implied volatility and completed-session realised volatility use their respective observation windows shown above.
Evidence and methodology
MCP market-context-v1; requested as_of=2026-10-09T16:56:00+00:00. Benchmark and crypto observation timestamps=2026-10-08T20:00:00Z; ingestedAt=2026-10-08T22:30:51.921788Z. Freshness=fresh, ageSeconds=75360, evaluatedAt=2026-10-09T16:56:00Z; qualityStatus=valid; alignmentToleranceSeconds=600. Sources: Derivasys fixed-tenor surface/canonical crypto index and yahoo_finance ^VIX/^VIX9D/^VIX3M/^GSPC. IV/RV levels and spreads use volatility_points; ratios use ratio; correlations use correlation_coefficient; percentiles use percentile_rank. Crypto IV uses ACT/365; crypto RV uses 20 calendar-day close-to-close log returns and sqrt(365); SPX RV uses 20 US-session log returns and sqrt(252). Additional returned crossAsset metrics: ivSpreadChange1d=2.4600000762939445 volatility_points; ivRatioChange1d=0.10838626640151183 ratio_change; rvSpreadChange1d=-15.43721147439944 volatility_points; rvRatioChange1d=-1.4647174723823415 ratio_change; ivSpreadPercentile=null and ivRatioPercentile=null, each sampleCount=27; returnCorrelation30Percentile=92.20183486238533, sampleCount=218; returnCorrelation60Percentile=13.924050632911392, sampleCount=158. Level/change metrics have sampleCount=null except explicitly counted correlations/percentiles. Percentiles use prior valid observations only.
RV observation windows and sampling
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
2026-10-08 16:56:00 UTC → 2026-10-09 16:56:00 UTC
Changes use these stored market-snapshot baselines. The comparison baseline may differ from the snapshot used in the previous published edition.
Lead signal · 9 Oct 2026, 16:56 UTC
The measurement behind the lead chart
SOL 1W ATM IV 49.63% · Δ -8.58 vol pts
SOL percentile rank 96.7% by absolute move · 30-day window (n=30)
Original report summary
Solana 1W ATM implied volatility fell 8.58 volatility points to 49.63% against the October 8 cutoff, measured at 16:56 UTC on October 9. The decline contrasts with a 1M ATM IV increase of 1.27 volatility points to 51.40%, concentrating the contraction at the shortest supported fixed tenor while the one-month smile strengthened.
At report cutoff · Levels and stored endpoint changes
What matters now
Vol: SOL 1W ATM IV 49.63% · Δ -8.58 vol pts
Skew: SOL 1W RR25 -1.60 vol pts · Δ -0.69 vol pts
Relative value: SOL 1W IV 49.63% / 7D RV 46.44% · spread +3.19 vol pts
Vol
SOL 1W ATM IV 49.63% · Δ -8.58 vol ptspercentile rank 96.7% by absolute move · 30-day window (n=30)
Skew
SOL 1W RR25 -1.60 vol pts · Δ -0.69 vol ptspercentile rank 33.3% by absolute move · 30-day window (n=30)
Wings
SOL 1W BF25 3.16 vol pts · Δ +0.05 vol ptspercentile rank 10.0% by absolute move · 30-day window (n=30)
IV versus RV
SOL 1W IV 49.63% / 7D RV 46.44% · spread +3.19 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 96.7% by absolute move · 30-day window (n=30)
SOL 1W RR25: percentile rank 33.3% by absolute move · 30-day window (n=30)
SOL 1W BF25: percentile rank 10.0% 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 27NOV26.
Expiry
Δ a
Δ b
Δ rho
Δ m
Δ sigma
Smile classification
10OCT26
+0.05090
-0.09380
-0.21330
-0.11160
-0.04750
parallel shift lower, rotation towards puts, wing steepening
16OCT26
+0.00560
+0.00560
-0.01920
-0.01210
-0.07700
rotation towards puts, wing steepening
23OCT26
+0.01130
-0.00990
+0.01220
-0.01200
-0.04080
rotation towards calls, wing steepening
30OCT26
+0.03450
-0.02290
+0.09740
+0.04220
-0.12950
rotation towards calls, wing steepening
27NOV26
+0.05740
-0.03840
-0.08700
-0.08750
-0.20180
rotation towards calls
25DEC26
+0.04710
-0.02940
+0.02820
-0.01020
-0.14500
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.
RV coverage and methodology
SOL · Available · Surface cutoff 09 Oct 2026, 16:56:00 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.
