Definition

Our Realized Volatility (RV) endpoints include the RV Summary Table and RV Spot Perpetual. They provide a comprehensive analysis of historical price movements, emphasizing the correlation between Bitcoin (BTC) and Ethereum (ETH) and their perpetual contracts.

The RV Summary Table offers a broad perspective on the realized volatility and correlation between BTC and ETH. It delivers spot high-low data for the last 52 weeks, as well as changes in the last seven days.

The RV Spot Perpetual Endpoint calculates the realized volatility of the Deribit "Index Price" (or "cash") and "Perpetual Future". Realized volatility is a key measure in options trading, offering insights into how the underlying cryptocurrency has performed in the past. Using Parkinson Volatility, an efficient estimator of volatility in the continuously trading cryptocurrency markets, this endpoint is designed to inform delta hedging strategies and provide a more accurate approximation of cryptocurrency volatility.

Details

The RV Summary Table Endpoint returns a high-level overview of the realized volatility (RV) and correlation between Bitcoin (BTC) and Ethereum (ETH). It includes high and low spot prices over the last 52 weeks, along with the changes observed in the last seven days. This data can offer traders and investors a snapshot of market activity, enabling them to identify trends, make comparisons, and strategize accordingly.

On the other hand, the RV Spot Perpetual Endpoint focuses on calculating the realized volatility of the Deribit "Index Price" (also known as "cash") and "Perpetual Future". These calculations are based on the Parkinson Volatility formula, which provides a more efficient estimate of volatility for continuously trading cryptocurrencies. This information is particularly beneficial for traders involved in delta hedging, as the realized volatility of perpetual contracts can often provide a better approximation of cryptocurrency volatility than spot trading.

API Endpoints

[LIVE] RV Summary Table

[LIVE] RV Spot Perpetual

FAQs

What information does the RV Summary Table provide?

The RV Summary Table provides a comprehensive view of the realized volatility and correlation between Bitcoin and Ethereum. It shows the highest and lowest spot prices for the last 52 weeks, and the changes in the last 7 days. This information allows traders to analyze market trends, and better understand the market dynamics between the two largest cryptocurrencies.

How does the RV Spot Perpetual Endpoint benefit traders?

The RV Spot Perpetual Endpoint returns the Deribit "Index Price" (aka cash) and "Perpetual Future" realized volatility. This data is essential for traders as it gives insights into the historical price movements of these instruments. Traders typically use this information to adjust their delta hedging strategies and get a better approximation of the underlying cryptocurrency's volatility.

What is the calculation behind the Parkinson Volatility provided by the RV Spot Perpetual Endpoint?

The Parkinson Volatility is calculated using the formula √ {[ ( 1 ÷ 4ln2) × Σ (ln(high/low))² ]1/n}. Rolling windows are used to average the variance before applying the square root to find the volatility value. This is done to respect Jensen's inequality, which states that the average of the square roots is smaller than the square root of the average. Rolling windows use a full dataset but display only the selected date range.

What is the difference between implied volatility and realized volatility?

Implied volatility is derived from the price of an option and represents the market's future expectation of price movement. Realized volatility, on the other hand, is a measure of how much the price of an asset has changed for a set number of past trading days. It is calculated using historical prices and serves as an indicator of past price behavior.