Computing Ravagli analysis…
Computing Ravagli analysis…
As of 2026-09-26T23:02:55.632Z, the ETH Vol Lab Ravagli signal is WAIT. Average SkewRP over the past 30 days is +0.4557, VvolRP is -1153.2391. Implied vol-of-vol (ν_imp) averages 1.4011 versus realised ν_R of 41.1076 — a ratio of 0.03×. Implied spot-vol correlation (ρ_imp) averages +1.2093 versus realised ρ_R of +0.0734. Average 25-delta Risk Reversal: +2.19%; Butterfly: 7.34%. Recommended Vega-neutral hedge ratio N = 1.222 (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 |
|---|---|---|---|---|---|---|---|---|---|---|
| 2026-08-28 | 2,497 | 21 | 52.9% | +2.50 | 1.82 | 0.216 | -0.240 | 1.1992 | +0.1182 | 1.32 |
| 2026-08-29 |
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 |
|---|---|---|---|---|---|
| 2026-08-28→2026-08-29 | -2.46% | -11.78% | +2.898e-3 | +2.053e-4 | +2.693e-3 |
| 2026-08-29→2026-09-02 | -0.76% | +5.21% | -3.962e-4 | -7.663e-4 | +3.700e-4 |
| 2026-09-02→2026-09-03 | -0.79% | -2.42% | +1.910e-4 | +6.129e-3 | -5.938e-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).
| 2,436 |
| 20 |
| 46.6% |
| -2.07 |
| 2.83 |
| 0.197 |
| -0.097 |
| 1.3512 |
| -0.1109 |
| 1.74 |
| 2026-09-02 | 2,417 | 23 | 49.1% | +28.78 | 15.57 | 0.298 | -0.257 | 3.1088 | +1.4662 | 1.15 |
| 2026-09-03 | 2,398 | 22 | 47.9% | -47.26 | 24.83 | 0.186 | -0.341 | 3.9182 | -2.4671 | 1.25 |
| 2026-09-05 | 2,457 | 55 | 4.7% | +36.66 | 29.53 | 0.266 | -0.190 | 0.2634 | +19.5416 | 1.33 |
| 2026-09-06 | 2,503 | 19 | 49.2% | +5.42 | 2.71 | 0.164 | -0.307 | 1.4320 | +0.2755 | 1.17 |
| 2026-09-08 | 2,488 | 52 | 51.3% | +1.92 | 0.84 | 0.254 | -0.202 | 0.4982 | +0.0936 | 1.32 |
| 2026-09-10 | 2,476 | 15 | 50.8% | +2.38 | 1.61 | 0.229 | -0.303 | 1.2854 | +0.1170 | 1.19 |
| 2026-09-11 | 2,472 | 21 | 50.6% | +6.62 | 3.37 | 0.089 | -0.380 | 1.5615 | +0.3270 | 1.47 |
| 2026-09-13 | 2,522 | 19 | 50.5% | -1.74 | 0.87 | 0.418 | -0.257 | 0.8338 | -0.0861 | 1.10 |
| 2026-09-15 | 2,477 | 17 | 53.4% | +3.46 | 0.98 | 0.172 | -0.369 | 0.9874 | +0.1619 | 1.11 |
| 2026-09-16 | 2,397 | 16 | 50.8% | -0.14 | 2.22 | 0.155 | -0.265 | 1.4608 | -0.0067 | 1.39 |
| 2026-09-20 | 2,588 | 40 | 49.3% | +1.08 | 0.61 | 0.275 | -0.294 | 0.4690 | +0.0548 | 1.16 |
| 2026-09-22 | 2,739 | 38 | 50.2% | +2.45 | 1.59 | 0.205 | -0.302 | 0.7889 | +0.1219 | 1.24 |
| 2026-09-24 | 2,697 | 15 | 48.5% | -4.91 | 2.86 | 0.371 | -0.130 | 1.6355 | -0.2534 | 1.34 |
| 2026-09-25 | 2,672 | 35 | 24.9% | -0.04 | 25.15 | 0.258 | -0.257 | 1.6240 | -0.0040 | 1.22 |
Ravagli (2024) analytical framework. Data from Deribit. Not investment advice. Independent of Deribit.
| 2026-09-03→2026-09-05 |
| +2.44% |
| -90.21% |
| -2.198e-2 |
| -2.537e-2 |
| +3.382e-3 |
| 2026-09-05→2026-09-06 | +1.88% | +948.61% | +1.785e-1 | +6.614e-4 | +1.779e-1 |
| 2026-09-06→2026-09-08 | -0.61% | +4.27% | -2.584e-4 | +1.063e-3 | -1.322e-3 |
| 2026-09-08→2026-09-10 | -0.46% | -0.85% | +3.935e-5 | +1.310e-4 | -9.168e-5 |
| 2026-09-10→2026-09-11 | -0.16% | -0.52% | +8.250e-6 | +2.095e-4 | -2.013e-4 |
| 2026-09-11→2026-09-13 | +2.01% | -0.08% | -1.587e-5 | +1.415e-3 | -1.431e-3 |
| 2026-09-13→2026-09-15 | -1.78% | +5.70% | -1.013e-3 | -1.987e-4 | -8.146e-4 |
| 2026-09-15→2026-09-16 | -3.23% | -5.00% | +1.612e-3 | +2.340e-4 | +1.378e-3 |
| 2026-09-16→2026-09-20 | +7.95% | -2.88% | -2.288e-3 | -5.403e-5 | -2.233e-3 |
| 2026-09-20→2026-09-22 | +5.84% | +1.94% | +1.131e-3 | +6.939e-5 | +1.061e-3 |
| 2026-09-22→2026-09-24 | -1.54% | -3.50% | +5.385e-4 | +2.648e-4 | +2.738e-4 |
| 2026-09-24→2026-09-25 | -0.93% | -48.54% | +4.493e-3 | -5.506e-4 | +5.043e-3 |