Research news
The first benchmark index to quantify bitcoin implied volatility
By: Neil Vowles
Last updated: Thursday, 3 December 2020
The Bitcoin Volatility Index (BVIX)
Professor Carol Alexander
A team of cryptocurrency experts from the University of Sussex Business School have teamed up with CryptoCompare, a global leader in digital asset data, for the launch today of the Bitcoin Volatility Index (BVIX).
A first of its kind for digital assets, the index measures the implied volatility of bitcoin - the view on volatility over the next 30 days held by sophisticated bitcoin option traders - which is the standard gauge of market sentiment.
Other VIX indices are used for settlement prices of volatility futures contracts in traditional markets and have paved the way to the creation of a diverse set of leveraged, direct and inverse volatility ETFs and other exchange-traded products.
BVIX is derived from the volatility implied from market prices of bitcoin options. The index represents a valuable tool for institutional investors to price bitcoin volatility risk, and hedge and trade on bitcoin volatility.
CryptoCompare uses proprietary methods to live stream the BIVIX following the research design of leading industry expert Professor Carol Alexander and her team at the University of Sussex Business School.
Carol Alexander, Professor of Finance at the University of Sussex Business School, said: “Live-streaming a well-known market sentiment index like the VIX has been an intellectual challenge made pleasurable by working with Quynh and her fabulous team at CryptoCompare.
“And the University of Sussex Business School is delighted to recognise the practical implementation of my research with Arben Imeraj, published in the Journal of Alternative Investments.”
Quynh Tran-Thanh, Head of Indices and Investable Instruments at CryptoCompare, said: “We have created the Bitcoin Volatility Index (BVIX) so that investors can use a reliable and transparent barometer to monitor and eventually hedge against bitcoin volatility.
“By bringing together our indexing capabilities and Carol Alexander’s expertise, we are delighted to introduce the first bitcoin implied volatility index to digital asset market participants.”