Computing Ravagli analysis…
Computing Ravagli analysis…
As of 2026-11-11T03:37:03.935Z, the BTC Vol Lab Ravagli signal is WAIT. Average SkewRP over the past 30 days is -0.0448, VvolRP is -16.7693. Implied vol-of-vol (ν_imp) averages 0.6386 versus realised ν_R of 5.0665 — a ratio of 0.13×. Implied spot-vol correlation (ρ_imp) averages -0.3519 versus realised ρ_R of -0.1373. Average 25-delta Risk Reversal: -4.70%; Butterfly: 2.66%. Recommended Vega-neutral hedge ratio N = 1.246 (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 |
|---|---|---|---|---|---|---|---|---|---|---|
| 2026-10-13 | 84,034 | 17 | 32.7% | -2.69 | 1.06 | 0.269 | -0.244 | 0.6324 | -0.2054 | 1.23 |
| 2026-10-14 |
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 |
|---|---|---|---|---|---|
| 2026-10-13→2026-10-14 | +0.03% | +12.28% | +3.390e-5 | -1.165e-4 | +1.504e-4 |
| 2026-10-14→2026-10-15 | -2.48% | +2.15% | -5.329e-4 | -8.689e-5 | -4.460e-4 |
| 2026-10-15→2026-10-16 | +0.64% | -4.75% | -3.042e-4 | -1.168e-4 | -1.874e-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).
| 84,057 |
| 44 |
| 36.8% |
| -2.82 |
| 1.12 |
| 0.287 |
| -0.238 |
| 0.4498 |
| -0.1918 |
| 1.23 |
| 2026-10-15 | 81,973 | 43 | 37.5% | -3.43 | 1.28 | 0.253 | -0.210 | 0.4965 | -0.2287 | 1.30 |
| 2026-10-16 | 82,498 | 21 | 35.8% | -4.26 | 1.27 | 0.161 | -0.178 | 0.6768 | -0.2975 | 1.53 |
| 2026-10-17 | 82,140 | 41 | 35.3% | -1.30 | 0.65 | 0.270 | -0.352 | 0.3404 | -0.0917 | 0.94 |
| 2026-10-20 | 81,941 | 38 | 36.2% | -3.73 | 0.82 | 0.194 | -0.222 | 0.4097 | -0.2574 | 1.39 |
| 2026-10-22 | 82,554 | 36 | 34.3% | -6.08 | 2.98 | 0.262 | -0.152 | 0.7589 | -0.4430 | 1.23 |
| 2026-10-23 | 81,862 | 35 | 17.6% | -7.02 | 22.41 | 0.118 | -0.074 | 1.0836 | -0.9952 | 1.56 |
| 2026-10-24 | 81,042 | 34 | 35.8% | -4.34 | 0.15 | 0.168 | -0.270 | 0.1841 | -0.3029 | 1.35 |
| 2026-10-25 | 80,970 | 33 | 35.7% | -5.61 | 1.91 | 0.169 | -0.212 | 0.6602 | -0.3932 | 1.47 |
| 2026-10-26 | 80,306 | 32 | 36.3% | -4.05 | 0.59 | 0.234 | -0.258 | 0.3774 | -0.2787 | 1.26 |
| 2026-10-27 | 80,071 | 31 | 35.7% | -3.60 | 1.50 | 0.297 | -0.263 | 0.6028 | -0.2523 | 1.17 |
| 2026-10-28 | 81,229 | 16 | 36.0% | -1.96 | 0.86 | 0.235 | -0.238 | 0.6442 | -0.1357 | 1.29 |
| 2026-10-29 | 80,116 | 29 | 34.4% | -7.23 | 3.62 | 0.179 | -0.092 | 0.9338 | -0.5253 | 1.23 |
| 2026-10-31 | 77,537 | 27 | 39.2% | -5.96 | 0.24 | 0.262 | -0.241 | 0.2872 | -0.3800 | 1.22 |
| 2026-11-01 | 78,190 | 26 | 37.4% | -5.14 | 0.97 | 0.243 | -0.247 | 0.5559 | -0.3434 | 1.27 |
| 2026-11-04 | 78,240 | 16 | 34.4% | -10.77 | 5.38 | 0.132 | -0.110 | 1.5401 | -0.7833 | 1.06 |
| 2026-11-05 | 80,586 | 22 | 33.9% | -2.34 | 1.17 | 0.276 | -0.242 | 0.6030 | -0.1728 | 1.03 |
| 2026-11-06 | 76,045 | 49 | 36.8% | -10.96 | 5.48 | 0.313 | -0.106 | 0.9447 | -0.7438 | 1.32 |
| 2026-11-07 | 76,553 | 48 | 37.5% | -1.28 | 0.75 | 0.134 | -0.342 | 0.3598 | -0.0851 | 1.37 |
| 2026-11-10 | 74,973 | 17 | 36.5% | -4.13 | 1.62 | 0.318 | -0.204 | 0.8702 | -0.2827 | 1.25 |
Ravagli (2024) analytical framework. Data from Deribit. Not investment advice. Independent of Deribit.
| 2026-10-16→2026-10-17 |
| -0.43% |
| -1.29% |
| +5.585e-5 |
| -1.972e-4 |
| +2.531e-4 |
| 2026-10-17→2026-10-20 | -0.24% | +2.62% | -6.318e-5 | -9.058e-5 | +2.739e-5 |
| 2026-10-20→2026-10-22 | +0.75% | -5.20% | -3.887e-4 | -2.093e-4 | -1.793e-4 |
| 2026-10-22→2026-10-23 | -0.84% | -48.65% | +4.072e-3 | -3.163e-4 | +4.389e-3 |
| 2026-10-23→2026-10-24 | -1.00% | +102.92% | -1.032e-2 | -5.210e-4 | -9.797e-3 |
| 2026-10-24→2026-10-25 | -0.09% | -0.22% | +1.984e-6 | -5.465e-5 | +5.663e-5 |
| 2026-10-25→2026-10-26 | -0.82% | +1.76% | -1.447e-4 | -2.539e-4 | +1.092e-4 |
| 2026-10-26→2026-10-27 | -0.29% | -1.84% | +5.384e-5 | -1.047e-4 | +1.585e-4 |
| 2026-10-27→2026-10-28 | +1.45% | +1.02% | +1.479e-4 | -1.486e-4 | +2.965e-4 |
| 2026-10-28→2026-10-29 | -1.37% | -4.50% | +6.159e-4 | -8.626e-5 | +7.022e-4 |
| 2026-10-29→2026-10-31 | -3.22% | +13.95% | -4.491e-3 | -9.249e-4 | -3.566e-3 |
| 2026-10-31→2026-11-01 | +0.84% | -4.57% | -3.846e-4 | -1.172e-4 | -2.674e-4 |
| 2026-11-01→2026-11-04 | +0.06% | -8.14% | -5.226e-5 | -5.871e-4 | +5.349e-4 |
| 2026-11-04→2026-11-05 | +3.00% | -1.32% | -3.969e-4 | -1.136e-3 | +7.392e-4 |
| 2026-11-05→2026-11-06 | -5.64% | +8.61% | -4.851e-3 | -9.685e-5 | -4.754e-3 |
| 2026-11-06→2026-11-07 | +0.67% | +1.71% | +1.142e-4 | -7.092e-4 | +8.234e-4 |
| 2026-11-07→2026-11-10 | -2.06% | -2.52% | +5.206e-4 | -9.426e-5 | +6.148e-4 |