The first benchmark index to quantify bitcoin implied volatility
London, 3 December 2020 – CryptoCompare, a global leader in digital asset data, and the University of Sussex Business School today announced the launch of the Bitcoin Volatility Index (BVIN).
A first of its kind for digital assets, the index measures the implied volatility of bitcoin - the view on volatility over the next 30 days held by sophisticated bitcoin option traders - which is the standard gauge of market sentiment. Other VIX indices are used for settlement prices of volatility futures contracts in traditional markets and have paved the way to the creation of a diverse set of leveraged, direct and inverse volatility ETFs and other exchange-traded products.
BVIN is derived from the volatility implied from market prices of bitcoin options. The index represents a valuable tool for institutional investors to price bitcoin volatility risk, and hedge and trade on bitcoin volatility. CryptoCompare uses proprietary methods to live stream the BVIN following the research design of leading industry expert Prof. Carol Alexander and her team at the University of Sussex Business School.
We have created the Bitcoin Volatility Index (BVIN) so that investors can use a reliable and transparent barometer to monitor and eventually hedge against bitcoin volatility, said Quynh Tran-Thanh, Head of Indices and Investable Instruments of CryptoCompare. “By bringing together our indexing capabilities and Carol Alexander’s expertise, we are delighted to introduce the first bitcoin implied volatility index to digital asset market participants” she continued.
Carol Alexander, Professor of Finance at the University of Sussex Business School, commented: “Live-streaming a well-known market sentiment index like the VIX has been an intellectual challenge made pleasurable by working with Quynh and her fabulous team at CryptoCompare. And the University of Sussex Business School is delighted to recognise the practical implementation of my research with Arben Imeraj, published in the Journal of Alternative Investments.”
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About CryptoCompare - data.cryptocompare.com
CryptoCompare is the global leader in digital asset data. Institutional and retail investors rely on the company for real-time, high-quality data spanning 4,400+ coins and 200,000+ currency pairs. By aggregating and analysing tick data from globally recognised exchanges and seamlessly integrating multiple datasets, CryptoCompare provides a comprehensive, granular overview of the market across trade, order book, historical, social and blockchain data.
About Carol Alexander
Carol Alexander is an expert in FinTech, data analysis, blockchains, crypto asset and derivatives markets, pricing and hedging financial instruments, volatility analysis, investment strategy, market risk analysis and portfolio management. She has had a dual career in both industry and as an academic, and is currently Professor of Finance at the University of Sussex and Visiting Professor at Peking University Business School. She has also edited the Journal of Banking and Finance since 2013.