Crypto derivatives exchange Deribit launches index for implied bitcoin volatility


Options exchange Deribit has launched a new index product focused on bitcoin volatility.

Unveiled Wednesday, the Bitcoin Volatility Index, or DVOL, was debuted "with the purpose to launch futures on this index soon." Put simply, such futures would allow traders to place bets on the volatility performance of the bitcoin market. 

"This index uses the implied volatility smile of the relevant expiries to output one number that gives a gauge of the 30 day annualised implied volatility," Deribit explained in a blog post, which laid out the parameters for the index.

As the firm went on to note:

"Volatility Index Futures are not only a very effective and simple method to trade volatility but also opens up new trading strategies such as more possibilities of realised vs implied volatility strategies, hedging volatility exposure from options, volatility mean reversion and momentum strategies."

As shown in the graph below, Deribit continues to dominate the market for bitcoin options, constituting nearly 90% of the share of open interest for such products. As previously reported, Deribit moved late last year to require its trader base to become verified. 

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Aug 11, 2021, 5:18PM UTC