The Bitcoin VIX and its Variance Risk Premium

Forthcoming in the Journal of Alternative Investments

28 Pages Posted: 13 May 2019 Last revised: 1 Jul 2021

See all articles by Carol Alexander

Carol Alexander

University of Sussex Business School; Peking University HSBC Business School

Arben Imeraj

University of Sussex

Date Written: May 9, 2019


We acquire a unique dataset of high-frequency traded prices for bitcoin call and put options from the Deribit cryptocurrency derivatives exchange, by 15-minute sampling via the application programming interface. We use these prices to construct a term structure of bitcoin implied volatility indices using a variance swap fair-value formula that is employed by the CBOE for the VIX, an index commonly referred to as the ‘investor fear gauge’ for the US stock market. Employing over 7 million option prices, we construct the bitcoin implied volatility indices with maturities from one week to three months, sampled every 15 minutes from March 2019 to March 2020. We discuss the features of the index and the associated bitcoin variance risk premia, with three different regular time partitions for realised variance, viz. 15-minutes, hourly and daily. We also examine the relationship between bitcoin’s 30-day realised variance, volatility index and variance risk premium with their equivalent for US equities, oil, gold, the USD/EUR exchange rate and the 10-year US treasury note.

Keywords: Cryptocurrency, Derivatives, Futures, Implied Volatility, Options, Realised Volatility, Fear Gauge, VXBT

JEL Classification: C22, C5, E42, F31, G1, G2

Suggested Citation

Alexander, Carol and Imeraj, Arben, The Bitcoin VIX and its Variance Risk Premium (May 9, 2019). Forthcoming in the Journal of Alternative Investments, Available at SSRN: or

Carol Alexander (Contact Author)

University of Sussex Business School ( email )

Falmer, Brighton BN1 9SL
United Kingdom


Peking University HSBC Business School ( email )

Arben Imeraj

University of Sussex ( email )

Sussex House
Brighton, Sussex BNI 9RH
United Kingdom

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