PARKED · data gap
Hypothesis
The 25-delta risk reversal (call IV minus put IV) encodes directional positioning; extreme skew is a contrarian signal for the underlying.
Math — risk reversal
Skew as the IV gap between symmetric out-of-money strikes:
$$ \text{RR}_{25} = \sigma^{IV}_{25\Delta C} - \sigma^{IV}_{25\Delta P} $$
Method
Plan: pull Deribit BTC/ETH option surfaces, build the 25Δ RR term structure, test extremes as contrarian spot signals. Blocked: liquid crypto options exist only for BTC/ETH, so the cross-section is two names wide.
Conceptually sound and standard in FX, but crypto options liquidity is confined to BTC and ETH — a two-asset cross-section cannot support a systematic strategy. Parked until alt options liquidity matures. Useful as discretionary context, not a system.
A signal needs a cross-section to be a strategy. Two liquid underlyings is a chart, not a dataset.