Reading the market regime before prices move
Reading the market regime before prices move
You set a tight stop, the price tags it and then bounces, because you don't know how big a normal move is today.
Here is the range options are pricing for one day and one week, and how often it held over the last two months.
The crypto implied volatility index (DVOL · Deribit Volatility Index): the annualized volatility that Bitcoin and Ethereum options price over thirty days. We turn it into a range: on a normal day the price usually stays inside the first range and rarely leaves the second.
| Coin | Implied Volatility | Realized over 30 days | One-day range | One-week range | How often the one-day range held |
|---|---|---|---|---|---|
| Bitcoin BTC · $82,984.7 | 36.9% Volatility premium +4.9 | 32.0% | $81,397.28 – $84,603.07 ±1.93% | $78,850.63 – $87,335.52 ±5.11% | 81.7% of 60 days · Expected 68.3% |
| Ethereum ETH · $2,456.73 | 52.3% Volatility premium +16.3 | 36.0% | $2,390.39 – $2,524.91 ±2.74% | $2,285.09 – $2,641.27 ±7.24% | 81.7% of 60 days · Expected 68.3% |
Variance risk premium (VRP · Variance Risk Premium) : implied minus realized. Positive means options are pricing a bigger move than the one that actually happened over the past month.
Source: the DVOL index from Deribit · perpetual futures prices from the major crypto exchanges · last update .
The day-by-day range cone for a week, the history of implied and realized volatility, and open interest and funding for each coin are in the members' derivatives desk.
