Loading...

[PLUS] Calculate Bitcoin Price Movement Implied by DeriBit's Option Volatility Index

Bitcoin Volatility Index
Deribit's Implied Volatility Index (DVOL) is constructed in the same manner as the more well-known VIX (which measures volatility of the stock market through options.) DVOL is "forward looking"; meaning that it measures the expected volatility of BTC (or ETH) over the next 30 days as calculated through option activity. By default, the index represents implied volatility over the 30 day window, and so we will need to scale the volatility from 30 days down to 1 day. DVOL is calculated continuously and expressed as an Index, and we have the time series of the volatility index in our data depository. (More technical examinations of the Index can be found in DeriBit's Insights section).

The Code
We will use Python to connect to the DeriBit API and retrieve the latest implied 30 day volatility calculation (DVOL). Then, we will use a function to convert this 30day metric into a one day metric to make it more meaningful for daily expectations. (Python script will be configurable so that you can set for any time horizon other than 1-day). Of course, every line of code is commented so that you can understand the line of thought; and you are free to customize to your own purposes.

Example Result
We have the result as of 4/8/2023 showing an option(s)-expected daily move of ~2.91%.

Example script result


This is a premium post. Create Plus+ Account to view the live, working codebase for this article.




Notice: Information contained herein is not and should not be construed as an offer, solicitation, or recommendation to buy or sell securities. The information has been obtained from sources we believe to be reliable; however no guarantee is made or implied with respect to its accuracy, timeliness, or completeness. Author does not own the any crypto currency discussed. The information and content are subject to change without notice. CryptoDataDownload and its affiliates do not provide investment, tax, legal or accounting advice.

This material has been prepared for informational purposes only and is the opinion of the author, and is not intended to provide, and should not be relied on for, investment, tax, legal, accounting advice. You should consult your own investment, tax, legal and accounting advisors before engaging in any transaction. All content published by CryptoDataDownload is not an endorsement whatsoever. CryptoDataDownload was not compensated to submit this article. Please also visit our Privacy policy; disclaimer; and terms and conditions page for further information.

Latest Posts
Follow Us
Notify me of new content