Computing Ravagli analysis…
Computing Ravagli analysis…
As of 2026-09-26T22:18:37.528Z, the BTC Vol Lab Ravagli signal is SELL_SKEW. Average SkewRP over the past 30 days is +0.3903, VvolRP is -28.8316. Implied vol-of-vol (ν_imp) averages 0.6486 versus realised ν_R of 1.4074 — a ratio of 0.46×. Implied spot-vol correlation (ρ_imp) averages -0.0557 versus realised ρ_R of +0.3667. Average 25-delta Risk Reversal: -0.80%; Butterfly: 1.57%. Recommended Vega-neutral hedge ratio N = 1.215 (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 |
|---|---|---|---|---|---|---|---|---|---|---|
| 2026-08-27 | 79,090 | 29 | 39.4% | +4.55 | 1.75 | 0.074 | -0.217 | 0.7437 | +0.2888 | 1.84 |
| 2026-08-29 |
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 |
|---|---|---|---|---|---|
| 2026-08-27→2026-08-29 | -1.85% | -6.33% | +1.171e-3 | +4.636e-4 | +7.075e-4 |
| 2026-08-29→2026-08-30 | +0.63% | +3.75% | +2.351e-4 | -1.885e-4 | +4.236e-4 |
| 2026-08-30→2026-09-02 | -0.84% | -7.39% | +6.183e-4 | -9.178e-4 | +1.536e-3 |
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).
| 77,627 |
| 20 |
| 36.9% |
| -3.10 |
| 1.95 |
| 0.123 |
| -0.127 |
| 0.8878 |
| -0.2101 |
| 1.92 |
| 2026-08-30 | 78,114 | 19 | 38.3% | -5.72 | 1.33 | 0.131 | -0.072 | 0.7809 | -0.3736 | 1.41 |
| 2026-09-02 | 77,460 | 23 | 35.5% | +2.57 | 0.31 | 0.198 | -0.288 | 0.3155 | +0.1809 | 1.29 |
| 2026-09-05 | 79,705 | 20 | 35.1% | +2.73 | 1.03 | 0.241 | -0.270 | 0.6148 | +0.1940 | 1.23 |
| 2026-09-06 | 79,923 | 19 | 36.8% | +2.16 | 1.68 | 0.221 | -0.262 | 0.8426 | +0.1472 | 1.28 |
| 2026-09-07 | 79,493 | 18 | 36.4% | +0.10 | 1.69 | 0.272 | -0.186 | 0.8604 | +0.0069 | 1.33 |
| 2026-09-08 | 78,408 | 17 | 36.0% | -0.86 | 2.35 | 0.178 | -0.143 | 1.0321 | -0.0594 | 1.63 |
| 2026-09-10 | 78,505 | 50 | 37.1% | -2.77 | 4.76 | 0.181 | -0.104 | 0.8771 | -0.1868 | 1.79 |
| 2026-09-11 | 77,198 | 21 | 38.6% | -1.73 | 0.86 | 0.160 | -0.148 | 0.6026 | -0.1117 | 1.36 |
| 2026-09-12 | 77,382 | 20 | 32.1% | -1.49 | 3.81 | 0.253 | -0.189 | 1.0789 | -0.1161 | 1.35 |
| 2026-09-13 | 77,534 | 47 | 38.3% | -0.20 | 0.10 | 0.137 | -0.181 | 0.1339 | -0.0127 | 0.91 |
| 2026-09-15 | 77,048 | 17 | 37.1% | -1.81 | 2.28 | 0.238 | -0.203 | 1.0502 | -0.1222 | 1.35 |
| 2026-09-16 | 76,149 | 44 | 36.0% | -2.02 | 1.38 | 0.370 | -0.243 | 0.4901 | -0.1404 | 1.16 |
| 2026-09-17 | 76,876 | 43 | 34.2% | -1.99 | 0.88 | 0.275 | -0.240 | 0.3747 | -0.1453 | 1.24 |
| 2026-09-20 | 80,798 | 40 | 34.3% | -0.53 | 1.18 | 0.191 | -0.211 | 0.4511 | -0.0390 | 1.42 |
| 2026-09-21 | 82,295 | 39 | 34.7% | -0.83 | 0.34 | 0.234 | -0.263 | 0.2490 | -0.0597 | 1.24 |
| 2026-09-22 | 85,822 | 38 | 36.8% | -2.23 | 1.31 | 0.241 | -0.178 | 0.5247 | -0.1512 | 1.38 |
| 2026-09-24 | 84,970 | 36 | 35.0% | -2.07 | 0.85 | 0.251 | -0.247 | 0.4139 | -0.1481 | 1.21 |
Ravagli (2024) analytical framework. Data from Deribit. Not investment advice. Independent of Deribit.
| 2026-09-02→2026-09-05 |
| +2.90% |
| -0.96% |
| -2.779e-4 |
| +1.663e-4 |
| -4.442e-4 |
| 2026-09-05→2026-09-06 | +0.27% | +4.76% | +1.299e-4 | +1.147e-4 | +1.518e-5 |
| 2026-09-06→2026-09-07 | -0.54% | -1.03% | +5.550e-5 | +1.249e-4 | -6.944e-5 |
| 2026-09-07→2026-09-08 | -1.37% | -1.14% | +1.557e-4 | +5.893e-6 | +1.498e-4 |
| 2026-09-08→2026-09-10 | +0.12% | +3.03% | +3.777e-5 | -1.209e-4 | +1.586e-4 |
| 2026-09-10→2026-09-11 | -1.66% | +4.11% | -6.848e-4 | -1.664e-4 | -5.184e-4 |
| 2026-09-11→2026-09-12 | +0.24% | -16.90% | -4.027e-4 | -7.120e-5 | -3.315e-4 |
| 2026-09-12→2026-09-13 | +0.20% | +19.55% | +3.833e-4 | -1.101e-4 | +4.934e-4 |
| 2026-09-13→2026-09-15 | -0.63% | -3.16% | +1.980e-4 | -3.578e-6 | +2.016e-4 |
| 2026-09-15→2026-09-16 | -1.17% | -2.94% | +3.423e-4 | -1.306e-4 | +4.729e-4 |
| 2026-09-16→2026-09-17 | +0.95% | -5.01% | -4.778e-4 | -6.798e-5 | -4.098e-4 |
| 2026-09-17→2026-09-20 | +5.10% | +0.06% | +2.980e-5 | -1.532e-4 | +1.830e-4 |
| 2026-09-20→2026-09-21 | +1.85% | +1.42% | +2.623e-4 | -1.653e-5 | +2.789e-4 |
| 2026-09-21→2026-09-22 | +4.29% | +5.86% | +2.510e-3 | -1.415e-5 | +2.524e-3 |
| 2026-09-22→2026-09-24 | -0.99% | -4.74% | +4.714e-4 | -1.599e-4 | +6.314e-4 |