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CF Bitcoin Volatility Index Settlement Rate

BVXS

54.50-3.06%
Last updated: Wed, 08 May 2024 15:00:00 GMT

About

The CF Bitcoin Volatility Index Settlement Rate (BVXS) is a once a day benchmark representing a forward looking, 30-day constant maturity measure of implied volatility based on CFTC regulated Bitcoin option contracts traded on the CME. The BVXS is calculated at 4pm London Time on all CME Trading Days by combining data from CME Bitcoin options order books, where price discovery is facilitated by the GLOBEX central limit order book system. The index calculation is based on a robust and replicable methodology that applies standard variance swap pricing to isolate exposure to volatility. The BVXS launched on April 9, 2024. All index values prior to April 9, 2024 are backtested.

Usage & Licensing

The CF Bitcoin Volatility Index is an investible benchmark with design features that promote replicability, manipulation resistance and index integrity. Its calculation is to the highest regulatory standards and is regulated by the UK FCA under EU BMR.

If you require access to real time or historic data for this index to power a product or service or are interested in licensing the index for the creation of a financial product, investment fund or derivative instrument please contact [email protected]

Documentation

Documents
  • CF Bitcoin Volatility Index Real Time Methodology
  • CF Bitcoin Volatility Index Settlement Methodology
  • Factsheet

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