Computing Ravagli analysis…
Computing Ravagli analysis…
As of 2026-06-07T04:11:48.846Z, the BTC Vol Lab Ravagli signal is SELL_SKEW. Average SkewRP over the past 30 days is -0.1734, VvolRP is +0.1289. Implied vol-of-vol (ν_imp) averages 0.7171 versus realised ν_R of 0.6641 — a ratio of 1.08×. Implied spot-vol correlation (ρ_imp) averages +0.3998 versus realised ρ_R of -0.2788. Average 25-delta Risk Reversal: +5.64%; Butterfly: 1.93%. Recommended Vega-neutral hedge ratio N = 0.877 (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
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| Date | Spot | τ (d) | ATM IV | RR | Fly | c25Δ | p25Δ | ν_imp | ρ_imp | N |
|---|---|---|---|---|---|---|---|---|---|---|
| 2026-05-08 | 80,463 | 48 | 36.5% | +3.44 | 1.34 | 0.216 | -0.257 | 0.4662 | +0.2355 | 1.25 |
| 2026-05-09 |
Vanna Excess = ΔS/S · Δσ/σ (realised covariance) − ρ_BE·ν_BE·σ_BE·Δt (implied breakeven)
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| Period | ΔS/S | Δσ/σ | Realised Cov | Implied BE | Vanna Excess |
|---|---|---|---|---|---|
| 2026-05-08→2026-05-09 | -0.21% | -5.64% | +1.194e-4 | +1.098e-4 | +9.580e-6 |
| 2026-05-09→2026-05-10 | +0.62% | +7.02% | +4.358e-4 | +2.372e-4 | +1.985e-4 |
| 2026-05-10→2026-05-11 | -0.00% | -1.84% | +8.375e-7 | +5.115e-5 | -5.032e-5 |
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).
| 80,293 |
| 20 |
| 34.5% |
| +4.07 |
| 2.04 |
| 0.083 |
| -0.211 |
| 0.8500 |
| +0.2956 |
| 0.69 |
| 2026-05-10 | 80,791 | 19 | 36.9% | +4.49 | 0.06 | 0.226 | -0.233 | 0.1663 | +0.3043 | 1.30 |
| 2026-05-11 | 80,788 | 18 | 36.2% | +2.98 | 0.84 | 0.116 | -0.276 | 0.6042 | +0.2061 | 1.49 |
| 2026-05-12 | 80,676 | 17 | 36.2% | +3.25 | 1.00 | 0.312 | -0.226 | 0.6796 | +0.2242 | 1.20 |
| 2026-05-15 | 80,806 | 21 | 36.8% | +7.33 | 0.86 | 0.159 | -0.176 | 0.5738 | +0.4978 | 1.57 |
| 2026-05-16 | 78,362 | 20 | 34.5% | +6.12 | 3.06 | 0.205 | -0.307 | 1.0388 | +0.4440 | 0.89 |
| 2026-05-17 | 78,232 | 40 | 35.9% | +7.91 | 2.62 | 0.220 | -0.196 | 0.7049 | +0.5505 | 1.38 |
| 2026-05-18 | 77,154 | 39 | 36.7% | +5.18 | 1.34 | 0.190 | -0.351 | 0.5235 | +0.3526 | 1.21 |
| 2026-05-19 | 77,264 | 38 | 35.9% | +3.80 | 1.50 | 0.252 | -0.344 | 0.5481 | +0.2643 | 1.14 |
| 2026-05-20 | 77,321 | 37 | 35.8% | +4.62 | 1.97 | 0.214 | -0.341 | 0.6347 | +0.3224 | 1.18 |
| 2026-05-21 | 77,855 | 15 | 36.0% | +10.56 | 2.21 | 0.182 | -0.107 | 1.0705 | +0.7324 | 1.78 |
| 2026-05-23 | 75,522 | 34 | 35.0% | +6.25 | 1.13 | 0.160 | -0.244 | 0.4869 | +0.4474 | 1.43 |
| 2026-05-24 | 76,738 | 19 | 32.1% | +7.54 | 3.77 | 0.430 | -0.145 | 1.1036 | +0.5860 | 1.27 |
| 2026-05-25 | 77,369 | 18 | 32.3% | +5.99 | 1.13 | 0.261 | -0.179 | 0.6231 | +0.4635 | 1.35 |
| 2026-05-27 | 75,985 | 30 | 33.3% | +8.80 | 4.40 | 0.411 | -0.110 | 0.9800 | +0.6612 | 1.35 |
| 2026-05-28 | 73,425 | 15 | 33.5% | +4.45 | 2.23 | 0.319 | -0.256 | 0.9977 | +0.3325 | 1.05 |
| 2026-06-01 | 72,860 | 25 | 35.0% | +7.51 | 2.78 | 0.234 | -0.133 | 0.8978 | +0.5364 | 1.52 |
| 2026-06-03 | 67,206 | 23 | 39.7% | +2.21 | 1.11 | 0.075 | -0.412 | 0.6711 | +0.1394 | 0.53 |
| 2026-06-05 | 63,191 | 56 | 39.5% | +6.34 | 3.17 | 0.199 | -0.319 | 0.7204 | +0.4007 | 0.88 |
Ravagli (2024) analytical framework. Data from Deribit. Not investment advice. Independent of Deribit.
| 2026-05-11→2026-05-12 | -0.14% | -0.04% | +5.709e-7 | +1.235e-4 | -1.230e-4 |
| 2026-05-12→2026-05-15 | +0.16% | +1.71% | +2.755e-5 | +4.532e-4 | -4.256e-4 |
| 2026-05-15→2026-05-16 | -3.02% | -6.38% | +1.931e-3 | +2.881e-4 | +1.643e-3 |
| 2026-05-16→2026-05-17 | -0.17% | +4.25% | -7.080e-5 | +4.354e-4 | -5.062e-4 |
| 2026-05-17→2026-05-18 | -1.38% | +2.24% | -3.087e-4 | +3.819e-4 | -6.906e-4 |
| 2026-05-18→2026-05-19 | +0.14% | -2.15% | -3.078e-5 | +1.857e-4 | -2.165e-4 |
| 2026-05-19→2026-05-20 | +0.07% | -0.31% | -2.263e-6 | +1.427e-4 | -1.449e-4 |
| 2026-05-20→2026-05-21 | +0.69% | +0.60% | +4.145e-5 | +2.008e-4 | -1.594e-4 |
| 2026-05-21→2026-05-23 | -3.00% | -3.02% | +9.064e-4 | +1.549e-3 | -6.421e-4 |
| 2026-05-23→2026-05-24 | +1.61% | -8.04% | -1.295e-3 | +2.086e-4 | -1.503e-3 |
| 2026-05-24→2026-05-25 | +0.82% | +0.51% | +4.221e-5 | +5.696e-4 | -5.274e-4 |
| 2026-05-25→2026-05-27 | -1.79% | +3.03% | -5.424e-4 | +5.113e-4 | -1.054e-3 |
| 2026-05-27→2026-05-28 | -3.37% | +0.63% | -2.126e-4 | +5.910e-4 | -8.036e-4 |
| 2026-05-28→2026-06-01 | -0.77% | +4.42% | -3.396e-4 | +1.218e-3 | -1.557e-3 |
| 2026-06-01→2026-06-03 | -7.76% | +13.58% | -1.054e-2 | +9.230e-4 | -1.146e-2 |
| 2026-06-03→2026-06-05 | -5.97% | -0.53% | +3.158e-4 | +2.036e-4 | +1.122e-4 |