Content
@
https://warpcast.com/~/channel/praxisveritas
0 reply
0 recast
0 reaction
PraxisVeritas.io
@praxisveritas
ETH's volatility risk premium - the ratio between option-implied and realised volatility - just hit one of its lowest readings since data are available. Using Deribit DVOL data and a Rogers-Satchell 30 day estimator for realised vol shows a collapse in the VRP last seen in mid-June 2021. Normalisations in the VRP have tended to precede or coincide with spot price recoveries, but timing hasn't been consistent historically.
0 reply
0 recast
0 reaction
