Premium, compressing
Notes · BTC · 2026-04-26Four years of compression. The variance risk premium turned negative in 2026.
Annual mean of DVOL − RV30, in vol points. 2026 through 2026-04-26.
For four years, DVOL — Deribit’s BTC implied-volatility index — has averaged 6.6 vol-points above thirty-day realized volatility. Selling that gap, mechanically, every month: fifty trades, sixty-six percent win rate, Sharpe of 1.34. The textbook short-vol carry.
The gap has narrowed every year. +9.7 in 2022. +7.9, +6.6, +5.1. Year-to-date 2026, it is −2.1 vol points — the structural premium has crossed zero. ETF launches absorbed retail tail-hedging demand. DVOL futures gave the street another way to short the index. Dealer competition closed what was left.
One conditioning rule survives. Skip months where the prior seven-day maximum daily move was above 5%. Thirty-six trades instead of fifty; Sharpe rises to 1.80; maximum drawdown halves. The premium has not vanished — it has retreated into the calm regimes. At the current state, with spread30 at the 41st percentile and recent realized above implied, the rule says: wait.
A premium that everyone harvests is a premium that compresses.