Computing Ravagli analysis…
Computing Ravagli analysis…
As of 2026-06-07T00:06:36.093Z, the ETH Vol Lab Ravagli signal is BUY_SKEW. Average SkewRP over the past 30 days is +0.2155, VvolRP is -6.7312. Implied vol-of-vol (ν_imp) averages 0.9266 versus realised ν_R of 2.7790 — a ratio of 0.33×. Implied spot-vol correlation (ρ_imp) averages +0.6283 versus realised ρ_R of +0.2992. Average 25-delta Risk Reversal: +6.49%; Butterfly: 4.49%. Recommended Vega-neutral hedge ratio N = 1.225 (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 | 2,313 | 20 | 49.7% | +3.53 | 1.53 | 0.331 | -0.153 | 1.0481 | +0.1779 | 1.28 |
| 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 | +0.06% | +0.01% | +6.180e-8 | +2.538e-4 | -2.537e-4 |
| 2026-05-09→2026-05-13 | -0.51% | -7.13% | +3.599e-4 | -7.065e-6 | +3.670e-4 |
| 2026-05-13→2026-05-15 | -1.62% | +6.07% | -9.823e-4 | +2.816e-4 | -1.264e-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).
| 2,314 |
| 20 |
| 49.7% |
| -0.19 |
| 0.02 |
| 0.334 |
| -0.382 |
| 0.1357 |
| -0.0096 |
| 1.06 |
| 2026-05-13 | 2,303 | 16 | 46.1% | +2.20 | 1.10 | 0.357 | -0.390 | 0.9343 | +0.1192 | 0.99 |
| 2026-05-15 | 2,265 | 21 | 48.9% | +1.47 | 0.90 | 0.218 | -0.312 | 0.7783 | +0.0751 | 1.19 |
| 2026-05-16 | 2,197 | 41 | 50.6% | +4.70 | 2.14 | 0.251 | -0.274 | 0.8864 | +0.2325 | 1.20 |
| 2026-05-18 | 2,123 | 39 | 51.4% | +5.38 | 3.00 | 0.262 | -0.247 | 1.0930 | +0.2617 | 1.15 |
| 2026-05-19 | 2,140 | 17 | 47.6% | +8.19 | 4.33 | 0.135 | -0.149 | 1.8540 | +0.4303 | 1.77 |
| 2026-05-20 | 2,130 | 37 | 21.1% | +8.85 | 31.57 | 0.172 | -0.157 | 1.4966 | +1.0483 | 1.59 |
| 2026-05-21 | 2,135 | 36 | 48.9% | +2.95 | 1.48 | 0.110 | -0.217 | 0.7592 | +0.1510 | 0.78 |
| 2026-05-24 | 2,121 | 33 | 47.9% | +4.69 | 2.35 | 0.311 | -0.217 | 0.9804 | +0.2453 | 1.09 |
| 2026-05-25 | 2,114 | 18 | 14.0% | +33.90 | 16.95 | 0.366 | -0.283 | 1.0480 | +6.0536 | 1.05 |
| 2026-05-27 | 2,081 | 16 | 44.1% | +2.55 | 0.78 | 0.379 | -0.323 | 0.7551 | +0.1444 | 1.08 |
| 2026-05-28 | 1,994 | 29 | 49.3% | +3.40 | 1.70 | 0.104 | -0.221 | 0.9176 | +0.1720 | 0.76 |
| 2026-06-03 | 1,882 | 58 | 50.3% | +6.57 | 2.84 | 0.185 | -0.202 | 0.8538 | +0.3262 | 1.32 |
| 2026-06-04 | 1,777 | 15 | 65.0% | +11.14 | 0.30 | 0.240 | -0.212 | 0.7161 | +0.4286 | 1.23 |
| 2026-06-05 | 1,679 | 56 | 57.4% | +4.49 | 0.94 | 0.246 | -0.278 | 0.5690 | +0.1959 | 1.22 |
Ravagli (2024) analytical framework. Data from Deribit. Not investment advice. Independent of Deribit.
| 2026-05-15→2026-05-16 |
| -3.00% |
| +3.37% |
| -1.013e-3 |
| +7.836e-5 |
| -1.091e-3 |
| 2026-05-16→2026-05-18 | -3.39% | +1.58% | -5.362e-4 | +5.713e-4 | -1.107e-3 |
| 2026-05-18→2026-05-19 | +0.81% | -7.36% | -5.981e-4 | +4.028e-4 | -1.001e-3 |
| 2026-05-19→2026-05-20 | -0.48% | -55.67% | +2.646e-3 | +1.041e-3 | +1.605e-3 |
| 2026-05-20→2026-05-21 | +0.26% | +131.46% | +3.444e-3 | +9.072e-4 | +2.537e-3 |
| 2026-05-21→2026-05-24 | -0.69% | -2.04% | +1.404e-4 | +4.602e-4 | -3.198e-4 |
| 2026-05-24→2026-05-25 | -0.31% | -70.74% | +2.215e-3 | +3.153e-4 | +1.900e-3 |
| 2026-05-25→2026-05-27 | -1.55% | +215.29% | -3.330e-2 | +4.867e-3 | -3.817e-2 |
| 2026-05-27→2026-05-28 | -4.18% | +11.79% | -4.928e-3 | +1.319e-4 | -5.060e-3 |
| 2026-05-28→2026-06-03 | -5.63% | +1.98% | -1.112e-3 | +1.280e-3 | -2.393e-3 |
| 2026-06-03→2026-06-04 | -5.60% | +29.13% | -1.631e-2 | +3.839e-4 | -1.669e-2 |
| 2026-06-04→2026-06-05 | -5.52% | -11.71% | +6.463e-3 | +5.464e-4 | +5.917e-3 |