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.

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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://medium.com/deribitofficial/dvol-deribit-implied-volatility-index-72bda8b22ce6

In addition to the standard Volatility Index, Deribit also provides a "Volatility Index Decorated" endpoint. This version of the index incorporates additional metadata to enhance the analysis and interpretation of the volatility index.

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Availability

/Volatility Index

/Volatility Index Decorated

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