Computing Ravagli analysis…
Computing Ravagli analysis…
As of 2026-11-11T03:47:08.092Z, the ETH Vol Lab Ravagli signal is SELL_SKEW. Average SkewRP over the past 30 days is +1.7061, VvolRP is -100.0587. Implied vol-of-vol (ν_imp) averages 0.8278 versus realised ν_R of 0.9355 — a ratio of 0.88×. Implied spot-vol correlation (ρ_imp) averages -0.1570 versus realised ρ_R of -0.7000. Average 25-delta Risk Reversal: -3.21%; Butterfly: 1.61%. Recommended Vega-neutral hedge ratio N = 1.292 (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 |
|---|---|---|---|---|---|---|---|---|---|---|
| 2026-10-13 | 2,531 | 17 | 47.6% | +6.73 | 1.15 | 0.073 | -0.352 | 0.9545 | +0.3532 | 1.16 |
| 2026-10-14 |
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 |
|---|---|---|---|---|---|
| 2026-10-13→2026-10-14 | -0.44% | +3.45% | -1.515e-4 | +4.397e-4 | -5.912e-4 |
| 2026-10-14→2026-10-15 | -5.24% | +1.84% | -9.623e-4 | -9.697e-6 | -9.526e-4 |
| 2026-10-15→2026-10-16 | +3.23% | -3.25% | -1.049e-3 | -5.468e-5 | -9.948e-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).
| 2,520 |
| 44 |
| 49.2% |
| -0.29 |
| 0.73 |
| 0.266 |
| -0.357 |
| 0.4882 |
| -0.0147 |
| 1.14 |
| 2026-10-15 | 2,388 | 43 | 50.1% | -1.02 | 1.78 | 0.238 | -0.251 | 0.7827 | -0.0509 | 1.25 |
| 2026-10-16 | 2,465 | 42 | 48.5% | -0.95 | 0.85 | 0.283 | -0.310 | 0.5311 | -0.0490 | 1.15 |
| 2026-10-17 | 2,436 | 20 | 49.4% | -2.45 | 1.39 | 0.129 | -0.185 | 1.0031 | -0.1237 | 1.43 |
| 2026-10-18 | 2,417 | 40 | 50.5% | -0.06 | 0.03 | 0.214 | -0.352 | 0.1062 | -0.0030 | 0.88 |
| 2026-10-20 | 2,391 | 17 | 49.6% | -2.80 | 0.10 | 0.227 | -0.272 | 0.2937 | -0.1411 | 1.23 |
| 2026-10-23 | 2,404 | 35 | 48.4% | +0.92 | 2.42 | 0.078 | -0.259 | 0.9789 | +0.0475 | 1.69 |
| 2026-10-24 | 2,379 | 34 | 49.8% | -1.86 | 0.02 | 0.220 | -0.331 | 0.0803 | -0.0934 | 1.20 |
| 2026-10-25 | 2,352 | 33 | 50.6% | -4.40 | 1.22 | 0.236 | -0.218 | 0.7481 | -0.2171 | 1.32 |
| 2026-10-26 | 2,321 | 32 | 51.0% | -12.81 | 4.96 | 0.243 | -0.071 | 1.5415 | -0.6284 | 1.71 |
| 2026-10-27 | 2,326 | 59 | 51.2% | -5.62 | 2.28 | 0.328 | -0.157 | 0.7726 | -0.2743 | 1.31 |
| 2026-10-28 | 2,367 | 30 | 49.5% | -3.83 | 1.40 | 0.375 | -0.239 | 0.8208 | -0.1933 | 1.16 |
| 2026-10-31 | 2,244 | 27 | 51.8% | -7.85 | 2.72 | 0.286 | -0.210 | 1.2646 | -0.3791 | 1.26 |
| 2026-11-01 | 2,271 | 26 | 50.9% | -5.45 | 1.74 | 0.215 | -0.273 | 1.0143 | -0.2677 | 1.26 |
| 2026-11-04 | 2,307 | 23 | 46.6% | -5.70 | 1.98 | 0.263 | -0.214 | 1.0522 | -0.3064 | 1.29 |
| 2026-11-05 | 2,420 | 22 | 47.9% | -3.74 | 0.78 | 0.347 | -0.258 | 0.6927 | -0.1957 | 1.14 |
| 2026-11-09 | 2,096 | 18 | 55.1% | -7.14 | 3.24 | 0.244 | -0.217 | 1.8014 | -0.3239 | 1.30 |
| 2026-11-10 | 2,124 | 45 | 52.9% | -2.60 | 1.76 | 0.218 | -0.254 | 0.8015 | -0.1229 | 1.29 |
Ravagli (2024) analytical framework. Data from Deribit. Not investment advice. Independent of Deribit.
| 2026-10-16→2026-10-17 |
| -1.17% |
| +1.87% |
| -2.188e-4 |
| -3.456e-5 |
| -1.842e-4 |
| 2026-10-17→2026-10-18 | -0.79% | +2.27% | -1.793e-4 | -1.680e-4 | -1.126e-5 |
| 2026-10-18→2026-10-20 | -1.07% | -1.82% | +1.947e-4 | -8.730e-7 | +1.956e-4 |
| 2026-10-20→2026-10-23 | +0.52% | -2.40% | -1.256e-4 | -1.690e-4 | +4.342e-5 |
| 2026-10-23→2026-10-24 | -1.02% | +2.80% | -2.865e-4 | +6.168e-5 | -3.481e-4 |
| 2026-10-24→2026-10-25 | -1.15% | +1.65% | -1.892e-4 | -1.023e-5 | -1.790e-4 |
| 2026-10-25→2026-10-26 | -1.31% | +0.74% | -9.721e-5 | -2.252e-4 | +1.280e-4 |
| 2026-10-26→2026-10-27 | +0.21% | +0.49% | +1.025e-5 | -1.353e-3 | +1.363e-3 |
| 2026-10-27→2026-10-28 | +1.76% | -3.32% | -5.848e-4 | -2.974e-4 | -2.874e-4 |
| 2026-10-28→2026-10-31 | -5.18% | +4.51% | -2.337e-3 | -6.459e-4 | -1.691e-3 |
| 2026-10-31→2026-11-01 | +1.20% | -1.66% | -2.001e-4 | -6.799e-4 | +4.798e-4 |
| 2026-11-01→2026-11-04 | +1.57% | -8.55% | -1.341e-3 | -1.136e-3 | -2.050e-4 |
| 2026-11-04→2026-11-05 | +4.93% | +2.78% | +1.370e-3 | -4.111e-4 | +1.781e-3 |
| 2026-11-05→2026-11-09 | -13.41% | +15.08% | -2.022e-2 | -7.107e-4 | -1.951e-2 |
| 2026-11-09→2026-11-10 | +1.33% | -3.91% | -5.217e-4 | -8.803e-4 | +3.586e-4 |