Introducing the BITIX: The Bitcoin Fear Gauge
11 Pages Posted: 13 May 2019 Last revised: 16 May 2019
Date Written: May 9, 2019
We obtain high-frequency data on bitcoin options from the Deribit cryptocurrency derivatives exchange, every 15 minutes from 13 March to 14 May 2019. We use these traded option prices to construct implied volatility indices for bitcoin following the VIX methodology introduced by the CBOE. We discuss the features of 15-minute BITIX time series with 7, 14, 21 and 28 days to maturity. We also discuss the empirical features of bitcoin variance risk premia, i.e. pay-offs to bitcoin variance swaps, with fair-value swap rate equal to the BITIX.
Keywords: Bitcoin, BITIX, Cryptocurrency, Derivatives, ETHIX, Futures, Implied Volatility, Options, Variance Risk Premium, VIX
JEL Classification: C22, C5, E42, F31, G1, G2
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