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Markets

Crypto Options Giant Deribit Launches Bitcoin Volatility Index

The exchange is planning to roll out futures tied to the index soon. It's not a "fear gauge" but an "action gauge."

By Omkar Godbole
AccessTimeIconMar 31, 2021 at 12:29 p.m. UTC
Updated Sep 14, 2021 at 12:34 p.m. UTC
The cryptocurrency options exchange Deribit has a new volatility index.
The cryptocurrency options exchange Deribit has a new volatility index.

Panama-based Deribit, the world's largest crypto options exchange by trading volume and open interest, has launched a bitcoin volatility index called DVOL to help traders assess the market's mood.

"DVOL uses the implied volatility smile of the relevant expiries to output one number that gives a gauge of the 30-day annualized implied volatility," the exchange said Wednesday in an announcement.

Implied volatility refers to investors' expectations for price turbulence over a specific time period.

In traditional markets, implied volatility usually picks up during bear markets and subsides during bull runs. A volatility index on the Standard & Poor's 500 Index of large U.S. stocks is popularly known as the "fear gauge."

Deribit refers to its bitcoin volatility index as an "action gauge."

Also read: Ether-Bitcoin Implied Volatility Spread Points to a Macro-Driven Market 

"Market participants need to be able to better understand as well as manage volatility," Deribit CEO John Jansen said. "As the bitcoin options market has matured, the time is now to launch DVOL, enabling further market growth and hopefully soon welcoming a new suite of volatility traders on Deribit."

The exchange plans to roll out futures tied to the bitcoin volatility index soon. That would allow traders to effectively bet on their views regarding near-term market volatility.

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CoinDesk is an award-winning media outlet that covers the cryptocurrency industry. Its journalists abide by a strict set of editorial policies. In November 2023, CoinDesk was acquired by the Bullish group, owner of Bullish, a regulated, digital assets exchange. The Bullish group is majority-owned by Block.one; both companies have interests in a variety of blockchain and digital asset businesses and significant holdings of digital assets, including bitcoin. CoinDesk operates as an independent subsidiary with an editorial committee to protect journalistic independence. CoinDesk employees, including journalists, may receive options in the Bullish group as part of their compensation.