Computing Ravagli analysis…
Computing Ravagli analysis…
As of 2026-06-27T14:55:22.132Z, the BTC Vol Lab Ravagli signal is SELL_SKEW. Average SkewRP over the past 30 days is -0.1811, VvolRP is +0.5080. Implied vol-of-vol (ν_imp) averages 0.8850 versus realised ν_R of 0.7058 — a ratio of 1.25×. Implied spot-vol correlation (ρ_imp) averages +0.5865 versus realised ρ_R of +0.1270. Average 25-delta Risk Reversal: +8.14%; Butterfly: 3.98%. Recommended Vega-neutral hedge ratio N = 1.498 (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 |
|---|---|---|---|---|---|---|---|---|---|---|
| 2026-05-28 | 73,425 | 15 | 33.5% | +4.45 | 2.23 | 0.319 | -0.256 | 0.9977 | +0.3325 | 1.05 |
| 2026-06-01 |
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 |
|---|---|---|---|---|---|
| 2026-05-28→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 |
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).
| 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 |
| 2026-06-07 | 62,594 | 54 | 43.5% | +5.84 | 1.09 | 0.268 | -0.273 | 0.4746 | +0.3358 | 1.20 |
| 2026-06-09 | 63,379 | 52 | 41.4% | +6.85 | 1.63 | 0.279 | -0.245 | 0.5618 | +0.4137 | 1.23 |
| 2026-06-10 | 61,681 | 16 | 43.9% | +6.18 | 1.79 | 0.147 | -0.373 | 1.1352 | +0.3521 | 1.23 |
| 2026-06-11 | 62,681 | 15 | 42.7% | +13.69 | 6.84 | 0.352 | -0.114 | 2.2316 | +0.8007 | 1.31 |
| 2026-06-12 | 63,067 | 21 | 39.8% | +9.24 | 3.97 | 0.223 | -0.139 | 1.3353 | +0.5798 | 1.53 |
| 2026-06-13 | 63,856 | 20 | 38.1% | +3.82 | 0.09 | 0.301 | -0.296 | 0.1915 | +0.2506 | 1.15 |
| 2026-06-14 | 64,443 | 19 | 38.3% | +4.04 | 1.48 | 0.407 | -0.267 | 0.8242 | +0.2636 | 1.10 |
| 2026-06-17 | 65,666 | 44 | 36.8% | +6.00 | 0.14 | 0.235 | -0.232 | 0.1590 | +0.4081 | 1.30 |
| 2026-06-19 | 62,610 | 21 | 37.5% | +8.35 | 4.18 | 0.355 | -0.228 | 1.2871 | +0.5576 | 1.10 |
| 2026-06-20 | 63,756 | 41 | 38.3% | +7.05 | 1.31 | 0.308 | -0.234 | 0.5256 | +0.4599 | 1.20 |
| 2026-06-21 | 64,323 | 40 | 36.8% | +7.59 | 1.95 | 0.338 | -0.210 | 0.6240 | +0.5159 | 1.22 |
| 2026-06-22 | 64,332 | 39 | 36.4% | +8.84 | 2.53 | 0.246 | -0.212 | 0.7127 | +0.6068 | 1.30 |
| 2026-06-23 | 62,947 | 38 | 36.0% | +20.02 | 10.01 | 0.114 | -0.086 | 1.4186 | +1.3899 | 1.10 |
| 2026-06-24 | 62,707 | 37 | 36.9% | +5.67 | 1.88 | 0.303 | -0.343 | 0.6378 | +0.3840 | 1.08 |
| 2026-06-25 | 61,904 | 36 | 37.9% | +10.44 | 3.31 | 0.221 | -0.225 | 0.8835 | +0.6883 | 1.31 |
| 2026-06-27 | 60,602 | 34 | 20.2% | +18.70 | 28.07 | 0.297 | -0.079 | 1.4097 | +2.3144 | 1.50 |
Ravagli (2024) analytical framework. Data from Deribit. Not investment advice. Independent of Deribit.
| 2026-06-05→2026-06-07 |
| -0.94% |
| +10.02% |
| -9.467e-4 |
| +6.252e-4 |
| -1.572e-3 |
| 2026-06-07→2026-06-09 | +1.25% | -4.81% | -6.031e-4 | +3.797e-4 | -9.828e-4 |
| 2026-06-09→2026-06-10 | -2.68% | +6.03% | -1.616e-3 | +2.636e-4 | -1.879e-3 |
| 2026-06-10→2026-06-11 | +1.62% | -2.60% | -4.215e-4 | +4.805e-4 | -9.020e-4 |
| 2026-06-11→2026-06-12 | +0.62% | -6.80% | -4.185e-4 | +2.093e-3 | -2.511e-3 |
| 2026-06-12→2026-06-13 | +1.25% | -4.34% | -5.428e-4 | +8.450e-4 | -1.388e-3 |
| 2026-06-13→2026-06-14 | +0.92% | +0.42% | +3.861e-5 | +5.010e-5 | -1.149e-5 |
| 2026-06-14→2026-06-17 | +1.90% | -3.96% | -7.510e-4 | +6.834e-4 | -1.434e-3 |
| 2026-06-17→2026-06-19 | -4.65% | +1.92% | -8.925e-4 | +1.307e-4 | -1.023e-3 |
| 2026-06-19→2026-06-20 | +1.83% | +2.30% | +4.203e-4 | +7.365e-4 | -3.162e-4 |
| 2026-06-20→2026-06-21 | +0.89% | -3.95% | -3.515e-4 | +2.538e-4 | -6.053e-4 |
| 2026-06-21→2026-06-22 | +0.01% | -0.99% | -1.304e-6 | +3.246e-4 | -3.259e-4 |
| 2026-06-22→2026-06-23 | -2.15% | -1.18% | +2.540e-4 | +4.318e-4 | -1.777e-4 |
| 2026-06-23→2026-06-24 | -0.38% | +2.42% | -9.202e-5 | +1.945e-3 | -2.037e-3 |
| 2026-06-24→2026-06-25 | -1.28% | +2.86% | -3.665e-4 | +2.475e-4 | -6.139e-4 |
| 2026-06-25→2026-06-27 | -2.10% | -46.75% | +9.834e-3 | +1.264e-3 | +8.570e-3 |