Computing Ravagli analysis…
Computing Ravagli analysis…
As of 2026-08-12T17:03:51.090Z, the ETH Vol Lab Ravagli signal is WAIT. Average SkewRP over the past 30 days is -2.2407, VvolRP is -14409.4787. Implied vol-of-vol (ν_imp) averages 0.8885 versus realised ν_R of 161.8093 — a ratio of 0.01×. Implied spot-vol correlation (ρ_imp) averages -0.2274 versus realised ρ_R of -0.0290. Average 25-delta Risk Reversal: -3.47%; Butterfly: 4.41%. Recommended Vega-neutral hedge ratio N = 1.379 (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 |
|---|---|---|---|---|---|---|---|---|---|---|
| 2026-07-13 | 1,788 | 46 | 48.1% | -2.70 | 1.35 | 0.241 | -0.298 | 0.6319 | -0.1400 | 0.95 |
| 2026-07-14 |
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 |
|---|---|---|---|---|---|
| 2026-07-13→2026-07-14 | -0.53% | -0.01% | +5.478e-7 | -1.166e-4 | +1.172e-4 |
| 2026-07-14→2026-07-15 | +5.22% | -9.45% | -4.933e-3 | -2.913e-4 | -4.642e-3 |
| 2026-07-15→2026-07-16 | +2.14% | +5.94% | +1.272e-3 | -1.100e-3 | +2.372e-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).
| 1,779 |
| 17 |
| 48.1% |
| -5.53 |
| 0.73 |
| 0.193 |
| -0.234 |
| 0.7685 |
| -0.2875 |
| 1.35 |
| 2026-07-15 | 1,871 | 16 | 43.6% | -9.00 | 4.50 | 0.343 | -0.115 | 1.7849 | -0.5163 | 1.31 |
| 2026-07-16 | 1,912 | 43 | 46.2% | -6.43 | 4.33 | 0.144 | -0.145 | 1.1234 | -0.3482 | 1.65 |
| 2026-07-18 | 1,845 | 41 | 47.4% | -3.09 | 0.93 | 0.331 | -0.284 | 0.5493 | -0.1630 | 1.14 |
| 2026-07-19 | 1,869 | 19 | 46.5% | -3.88 | 0.78 | 0.274 | -0.260 | 0.7270 | -0.2084 | 1.20 |
| 2026-07-24 | 1,895 | 35 | 49.2% | +3.08 | 0.44 | 0.159 | -0.279 | 0.4247 | +0.1568 | 1.37 |
| 2026-07-25 | 1,855 | 34 | 48.6% | -4.87 | 3.76 | 0.186 | -0.123 | 1.2411 | -0.2505 | 1.54 |
| 2026-07-26 | 1,881 | 19 | 1.3% | -0.42 | 49.41 | 0.185 | -0.248 | 0.1585 | -0.8137 | 1.37 |
| 2026-07-28 | 1,881 | 31 | 49.5% | -0.05 | 3.56 | 0.362 | -0.179 | 1.2879 | -0.0023 | 1.23 |
| 2026-07-29 | 1,923 | 30 | 46.8% | -2.38 | 4.29 | 0.297 | -0.243 | 1.3602 | -0.1273 | 1.19 |
| 2026-08-01 | 1,869 | 27 | 46.7% | -3.04 | 1.37 | 0.197 | -0.289 | 0.8097 | -0.1625 | 1.24 |
| 2026-08-02 | 1,875 | 26 | 48.0% | -7.02 | 0.56 | 0.258 | -0.216 | 0.5418 | -0.3656 | 1.28 |
| 2026-08-03 | 1,841 | 25 | 47.6% | -6.44 | 1.12 | 0.209 | -0.192 | 0.7743 | -0.3380 | 1.42 |
| 2026-08-04 | 1,863 | 24 | 45.4% | -2.72 | 0.98 | 0.223 | -0.284 | 0.7077 | -0.1498 | 1.25 |
| 2026-08-06 | 1,911 | 22 | 43.6% | -1.75 | 1.61 | 0.209 | -0.278 | 0.9077 | -0.1003 | 1.27 |
| 2026-08-07 | 1,901 | 21 | 43.5% | -1.67 | 0.83 | 0.329 | -0.214 | 0.6672 | -0.0957 | 1.22 |
| 2026-08-08 | 1,915 | 20 | 41.7% | -1.11 | 1.73 | 0.193 | -0.258 | 0.9462 | -0.0662 | 1.24 |
| 2026-08-09 | 1,923 | 47 | 48.1% | -2.62 | 2.52 | 0.174 | -0.321 | 0.8525 | -0.1363 | 1.28 |
| 2026-08-11 | 1,878 | 17 | 44.4% | -7.70 | 3.32 | 0.363 | -0.113 | 1.5054 | -0.4334 | 1.38 |
Ravagli (2024) analytical framework. Data from Deribit. Not investment advice. Independent of Deribit.
| 2026-07-16→2026-07-18 |
| -3.50% |
| +2.66% |
| -9.313e-4 |
| -9.895e-4 |
| +5.821e-5 |
| 2026-07-18→2026-07-19 | +1.34% | -1.81% | -2.436e-4 | -1.162e-4 | -1.274e-4 |
| 2026-07-19→2026-07-24 | +1.39% | +5.69% | +7.895e-4 | -9.661e-4 | +1.756e-3 |
| 2026-07-24→2026-07-25 | -2.11% | -1.21% | +2.553e-4 | +8.974e-5 | +1.656e-4 |
| 2026-07-25→2026-07-26 | +1.38% | -97.38% | -1.345e-2 | -4.140e-4 | -1.303e-2 |
| 2026-07-26→2026-07-28 | -0.01% | +3780.78% | -2.613e-3 | -9.012e-6 | -2.604e-3 |
| 2026-07-28→2026-07-29 | +2.26% | -5.38% | -1.217e-3 | -3.970e-6 | -1.213e-3 |
| 2026-07-29→2026-08-01 | -2.82% | -0.26% | +7.215e-5 | -6.666e-4 | +7.388e-4 |
| 2026-08-01→2026-08-02 | +0.31% | +2.78% | +8.667e-5 | -1.683e-4 | +2.550e-4 |
| 2026-08-02→2026-08-03 | -1.80% | -0.83% | +1.499e-4 | -2.605e-4 | +4.105e-4 |
| 2026-08-03→2026-08-04 | +1.20% | -4.63% | -5.552e-4 | -3.413e-4 | -2.140e-4 |
| 2026-08-04→2026-08-06 | +2.56% | -3.87% | -9.892e-4 | -2.637e-4 | -7.255e-4 |
| 2026-08-06→2026-08-07 | -0.55% | -0.32% | +1.774e-5 | -1.088e-4 | +1.265e-4 |
| 2026-08-07→2026-08-08 | +0.78% | -4.10% | -3.213e-4 | -7.609e-5 | -2.452e-4 |
| 2026-08-08→2026-08-09 | +0.41% | +15.20% | +6.181e-4 | -7.161e-5 | +6.897e-4 |
| 2026-08-09→2026-08-11 | -2.38% | -7.56% | +1.797e-3 | -3.060e-4 | +2.103e-3 |