ETH: ETH minus BTC 25 Delta Risk Reversal (30 Days)
Shown as its 3 Oct – 1 Nov 2026 sample; the latest readings and full history are included with Plus.
The ETH 25-delta risk reversal minus the BTC one, at 30 days.
Why use it. Shows which of the two markets is pricing more downside protection. How to read it. Below zero: ETH options lean more to puts than BTC options do; above zero: BTC options lean more to puts.
Calculation. ETH 30-day trade-implied 25-delta risk reversal minus BTC's, in volatility points, each day both exist. 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.