Volatility Market Data

BTC Forward Basis displays the annualized yield of Bitcoin futures contracts over various future dates. The chart represents the yield plotted on the vertical axis and the expiration dates of these contracts on the horizontal axis.

BTC Volatility Smile By Expiry is a graphical representation that shows the implied volatility of Bitcoin options across different deltas, for a specific expiration dates. For example P10 represents the Put option with delta 10% and C20 represents the Call option with delta 20%.

BTC/USD Perpetual Swap Funding Rate chart shows annualised PERPETUAL funding rate for different time periods.

BTC Historical Forward Basis shows historical dynamics of annulaized basis rates for standard constant maturities.

BTC Volatility Cone visualizes Implied Volatility for various deltas, comparing them to historical levels over a specified period. This tool helps identify how current volatility stands relative to past trends, providing valuable insights for risk management and trading strategies.

BTC Volatility Heatmap visualizes volatility levels for a range of deltas, with colors representing their historical percentiles. This allows you to quickly identify how current volatility compares to historical norms, making it easier to spot trends and anomalies.

BTC ATM Term Structure by Expiry shows At-The-Money Volatility for listed options expiries.

BTC ATM Term Structure shows At-The-Money Volatility for standard constant maturities.

BTC Risk Reversal chart shows Implied Volatility (IV) difference between Call and Put options with Deltas of 25% and 10%:

25Δ Risk Reversal = 25d Call IV - 25d Put IV
10Δ Risk Reversal = 10d Call IV - 10d Put IV

If the price of the call option is higher than that of the put option, the risk reversal value is positive and vice versa.

BTC Butterfly shows the difference between the average volatility of the out-of-the-money (OTM) call and put prices with similar deltas and at-the-money (ATM) volatility level. In other words, for 25 delta, butterfly defines how far the average volatility of 25 delta call and 25 delta put is away from the ATM volatility level.

BF25 = (25d Call IV + 25d Put IV) /2 – ATM_IV
BF10 = (10d Call IV + 10d Put IV) /2 – ATM_IV

BTC ATM Volatility Constant Maturity shows historical dynamics of at-the-money (ATM) volatility for standard constant maturities.

BTC Realized Volatility chart shows historical volatility over various time periods. This helps in understanding how the volatility has changed over time, providing insights into market behavior and aiding in risk assessment and strategy development.

BTC Risk Reversal Constant Maturity shows historical dynamics of 10% delta and 25% delta Risk Reversals for standard constant maturities.

BTC Butterfly Constant Maturity shows historical dynamics of 10% delta and 25% delta Butterfly for standard constant maturities.