Computing Ravagli analysis…
Computing Ravagli analysis…
As of 2026-05-13T11:32:40.062Z, the ETH Vol Lab Ravagli signal is BUY_SKEW. Average SkewRP over the past 30 days is +1.4345, VvolRP is -71.1188. Implied vol-of-vol (ν_imp) averages 0.9769 versus realised ν_R of 8.5046 — a ratio of 0.11×. Implied spot-vol correlation (ρ_imp) averages +0.1488 versus realised ρ_R of +0.3187. Average 25-delta Risk Reversal: +3.43%; Butterfly: 1.34%. Recommended Vega-neutral hedge ratio N = 0.986 (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 |
|---|---|---|---|---|---|---|---|---|---|---|
| 2026-04-14 | 2,381 | 17 | 63.6% | +2.65 | 1.50 | 0.285 | -0.217 | 1.4572 | +0.1042 | 1.26 |
| 2026-04-16 |
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 |
|---|---|---|---|---|---|
| 2026-04-14→2026-04-16 | -1.56% | +1.94% | -3.030e-4 | +5.290e-4 | -8.320e-4 |
| 2026-04-16→2026-04-17 | -0.24% | -2.38% | +5.716e-5 | +2.297e-4 | -1.725e-4 |
| 2026-04-17→2026-04-18 | +2.99% | -0.36% | -1.089e-4 | +2.349e-4 | -3.438e-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).
| 2,344 |
| 43 |
| 64.8% |
| +3.88 |
| 1.30 |
| 0.242 |
| -0.211 |
| 0.8643 |
| +0.1497 |
| 1.32 |
| 2026-04-17 | 2,339 | 42 | 63.3% | +3.47 | 1.74 | 0.381 | -0.208 | 0.9870 | +0.1374 | 1.14 |
| 2026-04-18 | 2,409 | 41 | 63.0% | +2.50 | 1.63 | 0.223 | -0.232 | 0.9627 | +0.0992 | 1.31 |
| 2026-04-20 | 2,315 | 17 | 62.0% | +9.08 | 4.54 | 0.263 | -0.155 | 2.4158 | +0.3660 | 1.16 |
| 2026-04-21 | 2,321 | 38 | 62.3% | +3.66 | 1.83 | 0.258 | -0.319 | 1.0496 | +0.1468 | 0.95 |
| 2026-04-22 | 2,377 | 15 | 60.9% | +5.87 | 2.03 | 0.305 | -0.209 | 1.7091 | +0.2409 | 1.24 |
| 2026-04-27 | 2,317 | 32 | 59.7% | +2.74 | 0.60 | 0.212 | -0.224 | 0.6257 | +0.1147 | 1.26 |
| 2026-04-28 | 2,287 | 31 | 58.1% | +4.53 | 0.51 | 0.246 | -0.240 | 0.5714 | +0.1951 | 1.25 |
| 2026-04-29 | 2,325 | 30 | 54.7% | +3.66 | 1.13 | 0.262 | -0.242 | 0.8146 | +0.1676 | 1.25 |
| 2026-04-30 | 2,259 | 15 | 53.3% | +4.39 | 1.03 | 0.237 | -0.240 | 1.0777 | +0.2058 | 1.23 |
| 2026-05-01 | 2,280 | 28 | 52.1% | +1.34 | 0.67 | 0.392 | -0.377 | 0.6197 | +0.0643 | 1.01 |
| 2026-05-04 | 2,363 | 25 | 53.3% | +3.01 | 0.16 | 0.265 | -0.191 | 0.3256 | +0.1409 | 1.29 |
| 2026-05-06 | 2,372 | 23 | 50.7% | +1.56 | 0.82 | 0.214 | -0.264 | 0.7366 | +0.0770 | 1.27 |
| 2026-05-07 | 2,346 | 22 | 54.2% | +3.94 | 1.97 | 0.334 | -0.119 | 1.2485 | +0.1818 | 1.29 |
| 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 | 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 |
Ravagli (2024) analytical framework. Data from Deribit. Not investment advice. Independent of Deribit.
| 2026-04-18→2026-04-20 |
| -3.89% |
| -1.65% |
| +6.424e-4 |
| +3.297e-4 |
| +3.127e-4 |
| 2026-04-20→2026-04-21 | +0.26% | +0.53% | +1.394e-5 | +1.502e-3 | -1.488e-3 |
| 2026-04-21→2026-04-22 | +2.42% | -2.31% | -5.587e-4 | +2.631e-4 | -8.218e-4 |
| 2026-04-22→2026-04-27 | -2.52% | -1.87% | +4.722e-4 | +3.433e-3 | -2.961e-3 |
| 2026-04-27→2026-04-28 | -1.29% | -2.70% | +3.487e-4 | +1.174e-4 | +2.313e-4 |
| 2026-04-28→2026-04-29 | +1.66% | -5.92% | -9.844e-4 | +1.775e-4 | -1.162e-3 |
| 2026-04-29→2026-04-30 | -2.85% | -2.56% | +7.287e-4 | +2.045e-4 | +5.242e-4 |
| 2026-04-30→2026-05-01 | +0.95% | -2.20% | -2.080e-4 | +3.237e-4 | -5.317e-4 |
| 2026-05-01→2026-05-04 | +3.60% | +2.32% | +8.371e-4 | +1.706e-4 | +6.664e-4 |
| 2026-05-04→2026-05-06 | +0.39% | -4.95% | -1.917e-4 | +1.340e-4 | -3.258e-4 |
| 2026-05-06→2026-05-07 | -1.11% | +6.91% | -7.646e-4 | +7.871e-5 | -8.433e-4 |
| 2026-05-07→2026-05-08 | -1.40% | -8.31% | +1.161e-3 | +3.369e-4 | +8.244e-4 |
| 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 |