BTC: Spot-Vol Correlation (30 Days)
Shown as its 3 Oct – 1 Nov 2026 sample; the latest readings and full history are included with Plus.
The 30-day correlation between daily BTC price moves and daily changes in 30-day at-the-money implied volatility.
Why use it. Shows how the options market treats moves: negative means volatility rises when the price falls, the usual fear pattern; a positive reading means rallies are lifting volatility too, the mark of a speculative, call-driven market. How to read it. From -1 to 1. Well below zero: falls are feared more than rallies are chased. Above zero: vol rises with the price.
Calculation. Each day: the correlation over the last 30 days of two daily series, the log return of our BTC price index and the change in the 30-day trade-implied at-the-money volatility; at least 20 days of pairs. Trade-implied: each day's smile is rebuilt from that day's Deribit trades. For every expiry more than a day away, one point per strike (the out-of-the-money contract's volume-weighted implied volatility and log-moneyness against the index price at each trade, at least six strikes on both sides of the money) is fitted with raw SVI as on our fitted surface, then interpolated in total variance to each constant maturity between the two bracketing expiries, never extrapolated. The index price stands in for the forward, so a long tenor can differ from a forward-based reading by a fraction of a volatility point. Days with too few traded strikes have no value. Checked against our fitted surface over the 25 days both exist (14 October to 8 November 2026): the 30-day reading differs by 0.4 volatility points on average, the 7-day by under 1.2, the 25-delta risk reversal by about 0.5 and the butterfly by 0.1. Deribit's DVOL, a different whole-smile construction, runs a median of about 3 points higher with a 0.99 correlation over more than 2,000 days.