How much volatility options expect
CryptoKeyhole works out a model-free 30-day implied volatility for bitcoin, ether, SOL, XRP, HYPE, AVAX and TRX from our own snapshots of Deribit’s option chains, and rolls them into one market-wide index weighted by open interest.
| Coin | 30-day implied volatility | 24 hours | 7 days | Last 7 days |
|---|
History: Market-wide index and each coin’s line are charts on Plus.
What this index is
It answers one question: how much does the option market expect this coin to move over the next 30 days, in annualised percent. A reading of 60 means options price a one-standard-deviation move of about 17% over the coming month.
We use the method behind the VIX on Deribit’s option chain: for the two expiries around 30 days, the out-of-the-money option marks are summed across the listed strikes, weighted by the distance between strikes over the strike squared, and stopped after two strikes in a row with no bid. The result is interpolated to exactly 30 days and annualised. The market-wide number is the coins’ values weighted by each one’s option open interest in US dollars. A coin needs at least eight usable strikes on both expiries, otherwise its reading is left blank for that hour.
Prices are Deribit’s marks in US dollars. It covers the seven coins with enough listed options on Deribit. It will read a little differently from Deribit’s own volatility index for BTC and ETH, because the two calculations treat the wings of the option chain differently.