Computing Ravagli analysis…
Computing Ravagli analysis…
As of 2026-06-27T13:48:33.961Z, the ETH Vol Lab Ravagli signal is SELL_SKEW. Average SkewRP over the past 30 days is -0.8872, VvolRP is -139.6516. Implied vol-of-vol (ν_imp) averages 1.2704 versus realised ν_R of 11.9177 — a ratio of 0.11×. Implied spot-vol correlation (ρ_imp) averages +0.4890 versus realised ρ_R of -0.0832. Average 25-delta Risk Reversal: +8.40%; Butterfly: 5.82%. Recommended Vega-neutral hedge ratio N = 1.069 (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 | 1,994 | 29 | 49.3% | +3.40 | 1.70 | 0.104 | -0.221 | 0.9176 | +0.1720 | 0.76 |
| 2026-06-03 |
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→2026-06-03 | -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 |
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).
| 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 |
| 2026-06-07 | 1,615 | 19 | 64.9% | +20.16 | 10.08 | 0.392 | -0.112 | 3.6422 | +0.7768 | 1.34 |
| 2026-06-08 | 1,674 | 53 | 58.6% | +7.00 | 2.94 | 0.367 | -0.241 | 1.0584 | +0.2985 | 1.16 |
| 2026-06-09 | 1,679 | 17 | 11.6% | +10.69 | 50.19 | 0.235 | -0.197 | 1.5331 | +2.3108 | 1.36 |
| 2026-06-10 | 1,641 | 16 | 60.0% | +12.01 | 1.97 | 0.236 | -0.240 | 1.6250 | +0.5007 | 1.29 |
| 2026-06-11 | 1,654 | 15 | 56.5% | +7.09 | 3.54 | 0.331 | -0.285 | 2.1201 | +0.3138 | 1.03 |
| 2026-06-18 | 1,749 | 43 | 52.9% | +3.47 | 0.11 | 0.210 | -0.343 | 0.2004 | +0.1641 | 1.21 |
| 2026-06-20 | 1,725 | 20 | 50.3% | +20.77 | 10.39 | 0.223 | -0.090 | 2.7917 | +1.0333 | 1.30 |
| 2026-06-21 | 1,731 | 40 | 53.2% | +6.59 | 3.04 | 0.273 | -0.204 | 1.1262 | +0.3099 | 1.30 |
| 2026-06-22 | 1,745 | 39 | 51.7% | +6.84 | 2.55 | 0.284 | -0.235 | 1.0141 | +0.3305 | 1.19 |
| 2026-06-23 | 1,680 | 17 | 51.6% | +4.35 | 0.99 | 0.373 | -0.321 | 0.9644 | +0.2106 | 1.08 |
| 2026-06-24 | 1,671 | 37 | 53.9% | +5.63 | 0.54 | 0.072 | -0.247 | 0.5025 | +0.2610 | 1.66 |
| 2026-06-27 | 1,582 | 34 | 54.5% | +4.16 | 0.93 | 0.298 | -0.419 | 0.6924 | +0.1908 | 1.07 |
Ravagli (2024) analytical framework. Data from Deribit. Not investment advice. Independent of Deribit.
| 2026-06-05→2026-06-07 |
| -3.81% |
| +13.06% |
| -4.975e-3 |
| +3.503e-4 |
| -5.325e-3 |
| 2026-06-07→2026-06-08 | +3.70% | -9.63% | -3.558e-3 | +5.028e-3 | -8.586e-3 |
| 2026-06-08→2026-06-09 | +0.30% | -80.28% | -2.421e-3 | +5.075e-4 | -2.929e-3 |
| 2026-06-09→2026-06-10 | -2.28% | +418.73% | -9.559e-2 | +1.122e-3 | -9.671e-2 |
| 2026-06-10→2026-06-11 | +0.78% | -5.86% | -4.554e-4 | +1.337e-3 | -1.792e-3 |
| 2026-06-11→2026-06-18 | +5.75% | -6.34% | -3.644e-3 | +7.202e-3 | -1.085e-2 |
| 2026-06-18→2026-06-20 | -1.39% | -4.93% | +6.829e-4 | +9.527e-5 | +5.876e-4 |
| 2026-06-20→2026-06-21 | +0.37% | +5.86% | +2.191e-4 | +3.972e-3 | -3.753e-3 |
| 2026-06-21→2026-06-22 | +0.82% | -2.84% | -2.320e-4 | +5.087e-4 | -7.407e-4 |
| 2026-06-22→2026-06-23 | -3.77% | -0.10% | +3.646e-5 | +4.748e-4 | -4.383e-4 |
| 2026-06-23→2026-06-24 | -0.52% | +4.41% | -2.274e-4 | +2.873e-4 | -5.147e-4 |
| 2026-06-24→2026-06-27 | -5.30% | +1.08% | -5.746e-4 | +5.813e-4 | -1.156e-3 |