The skew matters more than the hedge decision

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 — which makes it the single most consequential number in the answer, and the one least likely to be shown to you.

So we measured it#

Against a live chain rather than a textbook. Two findings, both inconvenient 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. A hedging result you cannot reproduce because you do not know what skew produced it is not a result, it is a number with 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.