Computing Ravagli analysis…
Computing Ravagli analysis…
As of 2026-05-13T06:26:34.051Z, the BTC Vol Lab Ravagli signal is SELL_SKEW. Average SkewRP over the past 30 days is -0.2006, VvolRP is -0.1208. Implied vol-of-vol (ν_imp) averages 0.6415 versus realised ν_R of 0.7744 — a ratio of 0.83×. Implied spot-vol correlation (ρ_imp) averages +0.3056 versus realised ρ_R of -0.3940. Average 25-delta Risk Reversal: +4.74%; Butterfly: 1.54%. Recommended Vega-neutral hedge ratio N = 1.201 (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 |
|---|---|---|---|---|---|---|---|---|---|---|
| 2026-04-14 | 74,647 | 17 | 40.9% | +6.16 | 2.62 | 0.230 | -0.202 | 1.2396 | +0.3759 | 1.36 |
| 2026-04-15 |
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 |
|---|---|---|---|---|---|
| 2026-04-14→2026-04-15 | -1.02% | +1.14% | -1.155e-4 | +5.226e-4 | -6.380e-4 |
| 2026-04-15→2026-04-16 | +1.34% | +2.01% | +2.684e-4 | +2.020e-4 | +6.641e-5 |
| 2026-04-16→2026-04-17 | +0.30% | -5.39% | -1.612e-4 | +2.168e-4 | -3.780e-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).
| 73,889 |
| 44 |
| 41.4% |
| +4.71 |
| 1.71 |
| 0.280 |
| -0.243 |
| 0.6260 |
| +0.2845 |
| 1.23 |
| 2026-04-16 | 74,878 | 43 | 42.2% | +5.32 | 1.45 | 0.203 | -0.217 | 0.5949 | +0.3150 | 1.37 |
| 2026-04-17 | 75,102 | 21 | 40.0% | +2.83 | 1.42 | 0.415 | -0.231 | 0.7996 | +0.1774 | 1.12 |
| 2026-04-18 | 77,021 | 41 | 40.7% | +3.66 | 0.94 | 0.228 | -0.260 | 0.4725 | +0.2250 | 1.25 |
| 2026-04-19 | 75,385 | 40 | 43.3% | +7.47 | 0.63 | 0.201 | -0.180 | 0.4160 | +0.4318 | 1.44 |
| 2026-04-20 | 75,162 | 38 | 41.5% | +5.56 | 1.11 | 0.242 | -0.198 | 0.5407 | +0.3346 | 1.35 |
| 2026-04-21 | 76,088 | 17 | 42.3% | +4.50 | 0.05 | 0.296 | -0.267 | 0.1816 | +0.2660 | 1.18 |
| 2026-04-22 | 78,223 | 36 | 41.3% | +4.01 | 1.14 | 0.221 | -0.254 | 0.5621 | +0.2424 | 1.29 |
| 2026-04-23 | 78,079 | 36 | 40.0% | +3.76 | 0.74 | 0.101 | -0.320 | 0.4406 | +0.2348 | 1.45 |
| 2026-04-24 | 78,458 | 34 | 39.7% | +4.88 | 0.47 | 0.233 | -0.237 | 0.3557 | +0.3066 | 1.29 |
| 2026-04-25 | 77,530 | 34 | 38.2% | +5.67 | 1.62 | 0.224 | -0.197 | 0.6408 | +0.3714 | 1.38 |
| 2026-04-27 | 77,627 | 18 | 36.7% | +2.48 | 1.24 | 0.262 | -0.280 | 0.7430 | +0.1695 | 0.98 |
| 2026-04-28 | 76,888 | 31 | 38.3% | +3.09 | 1.55 | 0.382 | -0.275 | 0.6569 | +0.2017 | 1.07 |
| 2026-04-29 | 77,089 | 30 | 37.3% | +3.95 | 1.55 | 0.224 | -0.300 | 0.6515 | +0.2642 | 1.23 |
| 2026-04-30 | 76,140 | 29 | 37.0% | +10.22 | 5.11 | 0.429 | -0.087 | 1.1939 | +0.6910 | 1.43 |
| 2026-05-02 | 78,247 | 27 | 37.3% | +4.09 | 0.86 | 0.248 | -0.207 | 0.5120 | +0.2741 | 1.32 |
| 2026-05-03 | 78,360 | 26 | 37.1% | +10.19 | 4.23 | 0.293 | -0.076 | 1.1507 | +0.6872 | 1.57 |
| 2026-05-04 | 79,762 | 25 | 36.6% | +2.10 | 1.13 | 0.166 | -0.260 | 0.6003 | +0.1434 | 1.35 |
| 2026-05-06 | 81,453 | 51 | 38.0% | +8.36 | 4.18 | 0.263 | -0.097 | 0.8345 | +0.5497 | 1.31 |
| 2026-05-07 | 81,556 | 15 | 35.9% | +1.91 | 0.95 | 0.419 | -0.269 | 0.6993 | +0.1332 | 1.08 |
| 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 | 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 |
Ravagli (2024) analytical framework. Data from Deribit. Not investment advice. Independent of Deribit.
| 2026-04-17→2026-04-18 |
| +2.56% |
| +1.93% |
| +4.925e-4 |
| +1.553e-4 |
| +3.373e-4 |
| 2026-04-18→2026-04-19 | -2.12% | +6.29% | -1.335e-3 | +1.186e-4 | -1.454e-3 |
| 2026-04-19→2026-04-20 | -0.30% | -4.01% | +1.185e-4 | +2.130e-4 | -9.453e-5 |
| 2026-04-20→2026-04-21 | +1.23% | +1.91% | +2.357e-4 | +2.059e-4 | +2.982e-5 |
| 2026-04-21→2026-04-22 | +2.81% | -2.46% | -6.891e-4 | +5.603e-5 | -7.451e-4 |
| 2026-04-22→2026-04-23 | -0.18% | -3.08% | +5.640e-5 | +1.542e-4 | -9.779e-5 |
| 2026-04-23→2026-04-24 | +0.49% | -0.71% | -3.457e-5 | +1.135e-4 | -1.481e-4 |
| 2026-04-24→2026-04-25 | -1.18% | -3.98% | +4.703e-4 | +1.188e-4 | +3.515e-4 |
| 2026-04-25→2026-04-27 | +0.13% | -3.94% | -4.934e-5 | +4.977e-4 | -5.470e-4 |
| 2026-04-27→2026-04-28 | -0.95% | +4.46% | -4.246e-4 | +1.265e-4 | -5.510e-4 |
| 2026-04-28→2026-04-29 | +0.26% | -2.52% | -6.593e-5 | +1.390e-4 | -2.050e-4 |
| 2026-04-29→2026-04-30 | -1.23% | -0.90% | +1.105e-4 | +1.761e-4 | -6.553e-5 |
| 2026-04-30→2026-05-02 | +2.77% | +0.85% | +2.356e-4 | +1.672e-3 | -1.437e-3 |
| 2026-05-02→2026-05-03 | +0.14% | -0.64% | -9.256e-6 | +1.434e-4 | -1.527e-4 |
| 2026-05-03→2026-05-04 | +1.79% | -1.21% | -2.173e-4 | +8.031e-4 | -1.020e-3 |
| 2026-05-04→2026-05-06 | +2.12% | +3.82% | +8.102e-4 | +1.727e-4 | +6.376e-4 |
| 2026-05-06→2026-05-07 | +0.13% | -5.68% | -7.232e-5 | +4.779e-4 | -5.502e-4 |
| 2026-05-07→2026-05-08 | -1.34% | +1.85% | -2.485e-4 | +9.148e-5 | -3.400e-4 |
| 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 |
| 2026-05-11→2026-05-12 | -0.14% | -0.04% | +5.709e-7 | +1.235e-4 | -1.230e-4 |