25Δ Risk Reversal, Skew & Volatility Smile (Deribit)

The 25Δ Risk Reversal is the implied-volatility asymmetry between the 25-delta call and the 25-delta put at each expiration.

Formula: RR = IV(25Δ Call) − IV(25Δ Put), in volatility points.

Negative RR — puts are richer than calls. The market is paying up for downside protection (fear, protective hedging).

Positive RR — calls are richer than puts. The market is paying up for upside (bullish speculation, call buying).

Near-zero RR — a symmetric smile; neither tail is especially bid.

The data source is bid/ask-mid IVs (mark_iv) from Deribit, Bybit and OKX, per expiration and per exchange. Since no strike sits exactly at 25Δ, we linearly interpolate IV between the two nearest strikes that bracket |delta| = 0.25.

When a venue/expiration has wings too thin to bracket 25Δ, it appears as a gap — we do not fabricate a value.

Negative RR + negative GEX — dealers are short downside gamma and the market is paying up for puts. A classic amplification setup: a sharp sell-off forces dealer hedging that accelerates the move.

Positive RR + positive GEX — dealers are long upside gamma and the market is buying calls. A rally-into-pin regime: squeezes can happen, but mean-reversion often wins.

Sign mismatch (RR and GEX opposite) — positioning and pricing disagree; watch the flow that resolves the imbalance.

The Put/Call Ratio measures open-interest positioning (who owns what). GEX C/P measures the gamma bias (where hedging pressure sits). The 25Δ RR measures the price the market charges for tail risk — it is the vol side of the same question.

In Crypto Metrics Pro, RR and skew live in the Volatility tab (Vol Lab) of the GEX Terminal — for BTC and ETH, per exchange and per expiration.