Mar 31, 2021

DVOL – Deribit Implied Volatility Index

DVOL volatility index


 If you woke up this morning and realized that Deribit page looks somewhat different, you're correct: today the largest crypto-derivatives exchange premiered its own real-time volatility index. The methodology is variance swap with standard liquidity adjustments. Since Deribit trades north of 90% of cryptocurrency options this is a significant and important market benchmark.

Exchange's plans are ambitions:  they are planning on launching futures on volatility index "very soon." In upcoming posts I hope to cover some mathematics behind volatility index, and how futures on DVOL can be priced. 

Read more details here. As I mentioned in previous posts - if you want to trade Bitcoin and Ether options there is no better, more liquid and more robust place than Deribit. With recent market run-up there are ample opportunities to capitalize on skew in cryptocurrency options.



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