Volatility
Volatility Index and Volatility Index Decorated
Definition
The “Volatility Index” is a VIX-like implied volatility index calculation maintained by Deribit for the Bitcoin (BTC) and Ethereum (ETH) cryptocurrency markets. It serves as a benchmark for the market’s expectation of 30-day volatility in the underlying asset.
Details
The Volatility Index is designed to reflect a 30-day constant expiration, similar to the CBOE Volatility Index (VIX) for traditional equity markets. The index is calculated based on the weighted average of out-of-the-money (OTM) BTC or ETH option prices, capturing the market’s consensus on near-term future volatility. The weighting scheme and other details of the calculation can be found here: https://insights.deribit.com/exchange-updates/dvol-deribit-volatility-index-vix-index-for-comparison/ In addition to the standard Volatility Index, we also provide a “Volatility Index Decorated” endpoint. This version of the index incorporates additional metadata to enhance the analysis and interpretation of the volatility index.API Endpoints
/Volatility Index /Volatility Index DecoratedAvailability
| Exchange | Start Date (YYYY-MM-DD) | Granularity |
|---|---|---|
| Deribit | 2021-05-01 | Minutely |