BTC: 25 Delta Risk Reversal (Trade-Implied)
Shown as its 3 Oct – 1 Nov 2026 sample; the latest readings and full history are included with Pro.
The 25-delta risk reversal of BTC options at 7, 30, 60, 90 and 180 days, rebuilt from Deribit's traded prices.
Why use it. Shows how much more traders pay for upside or downside protection, over the full history of BTC options. How to read it. Above zero: calls are priced above puts. Below zero: puts are priced above calls, a sign of demand for protection.
Calculation. 25-delta call implied volatility minus 25-delta put implied volatility, in volatility points. Trade-implied: each day's smile is rebuilt from that day's Deribit trades. For every expiry more than a day away, one point per strike (the out-of-the-money contract's volume-weighted implied volatility and log-moneyness against the index price at each trade, at least six strikes on both sides of the money) is fitted with raw SVI as on our fitted surface, then interpolated in total variance to each constant maturity between the two bracketing expiries, never extrapolated. The index price stands in for the forward, so a long tenor can differ from a forward-based reading by a fraction of a volatility point. Days with too few traded strikes have no value. Checked against our fitted surface over the 25 days both exist (14 October to 8 November 2026): the 30-day reading differs by 0.4 volatility points on average, the 7-day by under 1.2, the 25-delta risk reversal by about 0.5 and the butterfly by 0.1. Deribit's DVOL, a different whole-smile construction, runs a median of about 3 points higher with a 0.99 correlation over more than 2,000 days. Source: every Deribit BTC option trade (the coin-settled contracts) from Deribit's public trade record, complete from the first listed contract, and our own copy of that record for the latest days. OKX and Bybit are not included: their trades are only available from our own capture, which starts on 14 October 2026 13:00 UTC.