Computing Ravagli analysis…
Computing Ravagli analysis…
As of 2026-08-12T16:39:52.979Z, the BTC Vol Lab Ravagli signal is BUY_SKEW. Average SkewRP over the past 30 days is +0.6997, VvolRP is -46.2532. Implied vol-of-vol (ν_imp) averages 0.5583 versus realised ν_R of 7.6617 — a ratio of 0.07×. Implied spot-vol correlation (ρ_imp) averages -0.4733 versus realised ρ_R of +0.4717. Average 25-delta Risk Reversal: -5.73%; Butterfly: 3.23%. Recommended Vega-neutral hedge ratio N = 0.589 (straddle Vega / strangle Vega). Analysis covers the nearest rolling ~30-day expiry using Deribit order-book mid prices. Calibration constants: c = 4.0 (vol-of-vol), d = 2.5 (correlation) per Ravagli (2024).
Independent analytics, not affiliated with Deribit. Not investment advice.
SkewRP = ρ_R·ν_R·σ − ρ_imp·ν_imp·σ | VvolRP = ν_imp² − ν_R²
Mid-IV = (bid_iv + ask_iv) / 2; fallback to mark_iv | Calibration: c = 4.0, d = 2.5 | Rolling expiry closest to 30d
← Scroll to explore →
| Date | Spot | τ (d) | ATM IV | RR | Fly | c25Δ | p25Δ | ν_imp | ρ_imp | N |
|---|---|---|---|---|---|---|---|---|---|---|
| 2026-07-14 | 62,562 | 17 | 34.3% | -4.14 | 0.29 | 0.231 | -0.360 | 0.3471 | -0.3022 | 1.17 |
| 2026-07-16 |
Vanna Excess = ΔS/S · Δσ/σ (realised covariance) − ρ_BE·ν_BE·σ_BE·Δt (implied breakeven)
← Scroll to explore →
| Period | ΔS/S | Δσ/σ | Realised Cov | Implied BE | Vanna Excess |
|---|---|---|---|---|---|
| 2026-07-14→2026-07-16 | +2.73% | -6.75% | -1.844e-3 | -1.971e-4 | -1.646e-3 |
| 2026-07-16→2026-07-17 | -2.02% | +13.40% | -2.712e-3 | -2.722e-4 | -2.439e-3 |
| 2026-07-17→2026-07-18 | +1.59% | -1.17% | -1.867e-4 | -7.616e-5 | -1.106e-4 |
SkewRP (Skew Risk Premium) measures the gap between implied and realised spot-vol covariance: SkewRP = ρ_R·ν_R·σ − ρ_imp·ν_imp·σ. A negative SkewRP means the options market is overpricing skew relative to what has been realised, generating a SELL_SKEW signal.
SELL_SKEW means the implied spot-vol covariance (ρ_imp × ν_imp) persistently exceeds the realised covariance (ρ_R × ν_R). Practitioners typically express this view by selling 25-delta risk reversals or butterflies, hedged to maintain Vega neutrality at ratio N = Straddle Vega / Strangle Vega.
Vol-of-vol (ν) measures how much implied volatility itself fluctuates. Under the Ravagli (2024) framework, implied ν is calibrated from the 25-delta butterfly: ν_imp = 4 × √(Fly) / √(τ) × σ₀ for crypto. A high ν_imp relative to realised ν_R signals that butterfly skew premiums are elevated.
The Vanna PnL attribution decomposes the cross-Greek contribution to a delta-hedged portfolio: Vanna PnL ∝ S·σ₀·Vanna × [ΔS/S·Δσ/σ − ρ_BE·ν_BE·σ_BE·Δt]. "Vanna Excess" is the realised cross-product minus the implied breakeven term; a consistently negative Vanna Excess favours short-Vanna (short RR) positions.
Each daily snapshot independently selects the option expiry whose time-to-expiry is closest to 30 days within a 14–60 day window, subject to adequate 25-delta bid/ask coverage. This rolling constant-maturity approach is consistent with the 30-day realised-statistics window recommended by Ravagli (2024).
| 64,271 |
| 15 |
| 32.0% |
| -4.27 |
| 2.13 |
| 0.144 |
| -0.298 |
| 0.9318 |
| -0.3335 |
| 0.79 |
| 2026-07-17 | 62,970 | 42 | 36.3% | -5.16 | 0.25 | 0.193 | -0.247 | 0.2157 | -0.3554 | 1.33 |
| 2026-07-18 | 63,973 | 20 | 35.8% | -6.77 | 0.71 | 0.233 | -0.138 | 0.5203 | -0.4723 | 1.52 |
| 2026-07-19 | 64,967 | 40 | 33.6% | -3.98 | 1.20 | 0.264 | -0.282 | 0.4476 | -0.2962 | 1.20 |
| 2026-07-20 | 64,474 | 39 | 16.2% | -10.09 | 21.91 | 0.332 | -0.115 | 0.9346 | -1.5520 | 1.33 |
| 2026-07-21 | 66,458 | 38 | 33.0% | -7.65 | 3.82 | 0.243 | -0.135 | 0.8042 | -0.5791 | 1.18 |
| 2026-07-22 | 66,120 | 37 | 35.3% | -3.75 | 2.24 | 0.245 | -0.201 | 0.6665 | -0.2662 | 1.34 |
| 2026-07-23 | 65,403 | 36 | 38.7% | -6.61 | 2.26 | 0.129 | -0.097 | 0.7453 | -0.4270 | 2.09 |
| 2026-07-26 | 64,316 | 33 | 16.5% | -5.37 | 20.58 | 0.230 | -0.209 | 1.0009 | -0.8129 | 1.24 |
| 2026-07-27 | 65,172 | 32 | 35.8% | -4.57 | 0.38 | 0.223 | -0.210 | 0.2985 | -0.3197 | 1.36 |
| 2026-07-28 | 63,627 | 31 | 36.9% | -5.57 | 0.05 | 0.268 | -0.240 | 0.1110 | -0.3778 | 1.23 |
| 2026-07-29 | 64,494 | 30 | 32.9% | -6.87 | 3.43 | 0.178 | -0.204 | 0.8542 | -0.5228 | 0.96 |
| 2026-07-30 | 63,933 | 15 | 34.9% | -7.89 | 1.71 | 0.180 | -0.114 | 0.9105 | -0.5645 | 1.75 |
| 2026-07-31 | 63,834 | 28 | 34.2% | -4.11 | 0.06 | 0.197 | -0.257 | 0.1190 | -0.3004 | 1.26 |
| 2026-08-01 | 63,398 | 55 | 33.0% | -7.67 | 3.84 | 0.179 | -0.193 | 0.6680 | -0.5816 | 0.98 |
| 2026-08-03 | 62,545 | 53 | 35.8% | -6.31 | 0.18 | 0.216 | -0.213 | 0.1577 | -0.4408 | 1.33 |
| 2026-08-04 | 63,626 | 24 | 32.9% | -3.47 | 1.73 | 0.409 | -0.155 | 0.6799 | -0.2640 | 1.24 |
| 2026-08-05 | 64,122 | 23 | 32.5% | -4.56 | 0.21 | 0.226 | -0.214 | 0.2376 | -0.3504 | 1.35 |
| 2026-08-06 | 65,150 | 50 | 34.7% | -9.84 | 3.46 | 0.138 | -0.104 | 0.6991 | -0.7099 | 1.98 |
| 2026-08-08 | 64,915 | 20 | 29.1% | -6.06 | 3.03 | 0.255 | -0.117 | 0.8720 | -0.5218 | 1.24 |
| 2026-08-11 | 64,124 | 17 | 32.7% | -5.85 | 0.26 | 0.192 | -0.187 | 0.3068 | -0.4474 | 1.30 |
| 2026-08-12 | 63,765 | 44 | 34.6% | -1.22 | 0.61 | 0.077 | -0.296 | 0.3125 | -0.0882 | 0.59 |
Ravagli (2024) analytical framework. Data from Deribit. Not investment advice. Independent of Deribit.
| 2026-07-18→2026-07-19 |
| +1.55% |
| -6.13% |
| -9.511e-4 |
| -2.413e-4 |
| -7.098e-4 |
| 2026-07-19→2026-07-20 | -0.76% | -51.71% | +3.923e-3 | -1.222e-4 | +4.045e-3 |
| 2026-07-20→2026-07-21 | +3.08% | +103.29% | +3.179e-2 | -6.455e-4 | +3.244e-2 |
| 2026-07-21→2026-07-22 | -0.51% | +6.78% | -3.454e-4 | -4.214e-4 | +7.600e-5 |
| 2026-07-22→2026-07-23 | -1.08% | +9.74% | -1.055e-3 | -1.714e-4 | -8.839e-4 |
| 2026-07-23→2026-07-26 | -1.66% | -57.36% | +9.541e-3 | -1.012e-3 | +1.055e-2 |
| 2026-07-26→2026-07-27 | +1.33% | +116.85% | +1.556e-2 | -3.678e-4 | +1.593e-2 |
| 2026-07-27→2026-07-28 | -2.37% | +3.10% | -7.356e-4 | -9.355e-5 | -6.420e-4 |
| 2026-07-28→2026-07-29 | +1.36% | -10.95% | -1.493e-3 | -4.237e-5 | -1.451e-3 |
| 2026-07-29→2026-07-30 | -0.87% | +6.38% | -5.554e-4 | -4.020e-4 | -1.535e-4 |
| 2026-07-30→2026-07-31 | -0.15% | -2.23% | +3.454e-5 | -4.921e-4 | +5.266e-4 |
| 2026-07-31→2026-08-01 | -0.68% | -3.44% | +2.350e-4 | -3.347e-5 | +2.685e-4 |
| 2026-08-01→2026-08-03 | -1.34% | +8.49% | -1.141e-3 | -7.023e-4 | -4.388e-4 |
| 2026-08-03→2026-08-04 | +1.73% | -8.19% | -1.414e-3 | -6.814e-5 | -1.346e-3 |
| 2026-08-04→2026-08-05 | +0.78% | -1.11% | -8.663e-5 | -1.616e-4 | +7.497e-5 |
| 2026-08-05→2026-08-06 | +1.60% | +6.69% | +1.073e-3 | -7.413e-5 | +1.147e-3 |
| 2026-08-06→2026-08-08 | -0.36% | -16.18% | +5.832e-4 | -9.428e-4 | +1.526e-3 |
| 2026-08-08→2026-08-11 | -1.22% | +12.49% | -1.522e-3 | -1.087e-3 | -4.354e-4 |
| 2026-08-11→2026-08-12 | -0.56% | +5.84% | -3.271e-4 | -1.229e-4 | -2.041e-4 |