25Δ RR (Risk Reversal)

25Δ Risk Reversal (RR) measures the implied-volatility asymmetry between 25-delta calls and 25-delta puts 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 — Symmetric smile; neither tail is especially bid.

Data source: Bid/ask-mid IVs (mark_iv) from Deribit, Bybit, and OKX. Since no strike sits exactly at 25Δ, we linearly interpolate IV between the two nearest strikes that bracket |delta| = 0.25. A venue/expiration appears as a gap when its wings are too thin to bracket 25Δ.

How to read it with GEX:

• Negative RR + Negative GEX — Dealers are short downside gamma and the market is paying up for puts. 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. Rally-into-pin regime: squeezes can happen but mean-reversion often wins.
• Sign mismatch (RR and GEX opposite) — Positioning and pricing disagree; watch for flow to resolve the imbalance.

Why this metric is different from P/C Ratio or GEX C/P: P/C Ratio measures open-interest positioning (who owns what). GEX C/P measures gamma bias (where the hedging pressure sits). 25Δ RR measures the price the market charges for tail risk — it's the vol side of the same question.