The skew matters more than the hedge decision

In short: You want to know what a put option, a contract that pays out if the price falls, really costs. The answer turns on the skew, how much more a put below the current price is priced to swing, and most tools just guess it. That one guess moves the result by more than the gap between hedging and not hedging. We measured it: a put 15% below the price carried 17% more volatility on BTC and 8% on ETH, so each asset now gets its own value and every answer shows the skew it used.

If you ask what a put costs, the answer depends on a parameter almost nobody states: the skew, which is how much extra implied volatility an out-of-the-money strike carries above the at-the-money index.

It is usually assumed. A model takes the volatility index, applies a constant, and returns a price. That constant moves the result by more than the difference between hedging and not hedging. That makes it the single most consequential number in the answer, and the one least likely to be shown to you.

So we measured it#

We measured against a live chain rather than a textbook. Both findings are bad news for a constant.

It is not one number across assets. A 15% out-of-the-money put carried 17% more volatility than at-the-money on BTC, and 8% on ETH. Those differ by a factor of two, so each asset now uses its own.

It is not one number across tenors either. On BTC the markup decays steeply with time to expiry:

    8 days    38.6%
  288 days     3.4%

The honest caveat on our own number#

The measurement holds for one day and one tenor. It is a reading, not a constant we have discovered, and the next reading will differ.

That is why every answer states the value it used rather than burying it. If you do not know what skew produced a hedging result, you cannot reproduce it, and it is just a number in a confident font.

What this is for#

This sits in the read-only half of the system. The volatility history (Deribit’s index back to March 2021, plus option chains for strikes away from the money) exists so the agent can answer “what would this have cost” with something better than an opinion.

None of it trades. Options are not reachable from here; a hedging step in a plan is an instruction for you to carry out at a venue. The data’s whole job is to make that instruction specific enough to be worth following: the asset, put or call, the strike as a multiple of spot, and how long.