Introducing the BITIX: The Bitcoin Fear Gauge

11 Pages Posted: 13 May 2019 Last revised: 16 May 2019

See all articles by Carol Alexander

Carol Alexander

University of Sussex Business School

Arben Imeraj

Technische Universität München (TUM)

Date Written: May 9, 2019

Abstract

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

Suggested Citation

Alexander, Carol and Imeraj, Arben, Introducing the BITIX: The Bitcoin Fear Gauge (May 9, 2019). Available at SSRN: https://ssrn.com/abstract=3383734 or http://dx.doi.org/10.2139/ssrn.3383734

Carol Alexander (Contact Author)

University of Sussex Business School ( email )

Falmer, Brighton BN1 9SL
United Kingdom

HOME PAGE: http://www.carolalexander.org

Arben Imeraj

Technische Universität München (TUM) ( email )

Arcisstrasse 21
Munich, 80333
Germany

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