SSRN Author: Arben ImerajArben Imeraj SSRN Content
https://privwww.ssrn.com/author=3516704
https://privwww.ssrn.com/rss/en-usSat, 01 Aug 2020 01:10:21 GMTeditor@ssrn.com (Editor)Sat, 01 Aug 2020 01:10:21 GMTwebmaster@ssrn.com (WebMaster)SSRN RSS Generator 1.0REVISION: The Bitcoin VIX and its Variance Risk PremiumWe acquire a unique dataset of high-frequency traded prices for bitcoin call and put options from the Deribit cryptocurrency derivatives exchange, by 15-minute sampling via the application programming interface. We use these prices to construct a term structure of bitcoin implied volatility indices using a variance swap fair-value formula that is employed by the CBOE for the VIX, an index commonly referred to as the ‘investor fear gauge’ for the US stock market. Employing over 7 million option prices, we construct the bitcoin implied volatility indices with maturities from one week to three months, sampled every 15 minutes from March 2019 to March 2020. We discuss the features of the index and the associated bitcoin variance risk premia, with three different regular time partitions for realised variance, viz. 15-minutes, hourly and daily. We also examine the relationship between bitcoin’s 30-day realised variance, volatility index and variance risk premium with their equivalent for ...
https://privwww.ssrn.com/abstract=3383734
https://privwww.ssrn.com/1926960.htmlFri, 31 Jul 2020 08:55:07 GMTREVISION: The Bitcoin VIX its Variance Risk PremiumWe acquire a unique dataset of high-frequency traded prices for bitcoin call and put options from the Deribit cryptocurrency derivatives exchange, by 15-minute sampling via the application programming interface. We use these prices to construct a term structure of bitcoin implied volatility indices using a variance swap fair-value formula that is employed by the CBOE for the VIX, an index commonly referred to as the ‘investor fear gauge’ for the US stock market. Employing over 7 million option prices, we construct the bitcoin implied volatility indices with maturities from one week to three months, sampled every 15 minutes from March 2019 to March 2020. We discuss the features of the index and the associated bitcoin variance risk premia, with three different regular time partitions for realised variance, viz. 15-minutes, hourly and daily. We also examine the relationship between bitcoin’s 30-day realised variance, volatility index and variance risk premium with their equivalent for ...
https://privwww.ssrn.com/abstract=3383734
https://privwww.ssrn.com/1917410.htmlTue, 07 Jul 2020 09:25:11 GMTREVISION: The Bitcoin VIX its Variance Risk PremiumWe acquire a unique dataset of high-frequency traded prices for bitcoin call and put options from the Deribit cryptocurrency derivatives exchange, by 15-minute sampling via the application programming interface. We use these prices to construct a term structure of bitcoin implied volatility indices using a variance swap fair-value formula that is employed by the CBOE for the VIX, an index commonly referred to as the ‘investor fear gauge’ for the US stock market. Employing over 7 million option prices, we construct the bitcoin implied volatility indices with maturities from one week to three months, sampled every 15 minutes from March 2019 to March 2020. We discuss the features of the index and the associated bitcoin variance risk premia, with three different regular time partitions for realised variance, viz. 15-minutes, hourly and daily. We also examine the relationship between bitcoin’s 30-day realised variance, volatility index and variance risk premium with their equivalent for ...
https://privwww.ssrn.com/abstract=3383734
https://privwww.ssrn.com/1889357.htmlFri, 24 Apr 2020 08:52:32 GMTREVISION: The Crypto Investor Fear Gauge and the Bitcoin Variance Risk PremiumWe acquire a unique dataset of high-frequency traded prices for bitcoin call and put options from the Deribit cryptocurrency derivatives exchange, by 15-minute sampling via the application programming interface. We use these prices to construct a term structure of bitcoin implied volatility indices using a 'geometric' variance swap fair-value formula that is employed by the CBOE for the VIX, an index commonly referred to as the 'investor fear gauge' for the US stock market. However, its emphasis on deep out-of-the-money puts makes it easy to manipulate. Also, this formula is not model-free - in the presence of large price jumps it significantly underestimates the fair-value. And bitcoin prices jump excessively. So we also employ an arithmetic variance swap formula which has floating leg defined by a different type of realised variance, and which is truly model-free. Employing over 3 million option prices, we construct the curve of both geometric and arithmetic bitcoin implied ...
https://privwww.ssrn.com/abstract=3383734
https://privwww.ssrn.com/1826708.htmlMon, 23 Sep 2019 09:43:36 GMTREVISION: The Crypto Investor Fear Gauge and the Bitcoin Variance Risk PremiumWe acquire a unique dataset of high-frequency traded prices for bitcoin call and put options from the Deribit cryptocurrency derivatives exchange, by 15-minute sampling via the application programming interface. We use these prices to construct a term structure of bitcoin implied volatility indices using a 'geometric' variance swap fair-value formula that is employed by the CBOE for the VIX, an index commonly referred to as the 'investor fear gauge' for the US stock market. However, its emphasis on deep out-of-the-money puts makes it easy to manipulate. Also, this formula is not model-free - in the presence of large price jumps it significantly underestimates the fair-value. And bitcoin prices jump excessively. So we also employ an arithmetic variance swap formula which has floating leg defined by a different type of realised variance, and which is truly model-free. Employing over 3 million option prices, we construct the curve of both geometric and arithmetic bitcoin implied ...
https://privwww.ssrn.com/abstract=3383734
https://privwww.ssrn.com/1820800.htmlWed, 04 Sep 2019 10:41:19 GMTREVISION: Introducing the BITIX: The Bitcoin Fear GaugeWe obtain high-frequency data on bitcoin options from the Deribit cryptocurrency derivatives exchange, every 15 minutes from 13 March to 27 July 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.
https://privwww.ssrn.com/abstract=3383734
https://privwww.ssrn.com/1812140.htmlFri, 02 Aug 2019 16:57:35 GMT