CF Bitcoin Volatility Index
Index Description
The CF Bitcoin Volatility Index represents a 30-day constant maturity measure of implied volatility in the CME Bitcoin Options market. The index is comprised of two variants:- The CF Bitcoin Volatility Real Time Index (BVX) represents a single, real time measure calculated once per second.
- The CF Bitcoin Volatility Index Settlement Rate (BVXS) is constructed using published BVX data and is calculated daily at 4pm London Time. The design and implementation of the BVXS lends itself to be used as a settlement rate for derived financial instruments such as volatility futures, options and ETFs.
Both variants represent forward looking measures, indicating how dispersed price movements in the underlying asset are expected to be over a 30-day time horizon. Index Facts
| BVX | BVXS |
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| Asset | Bitcoin (BTC) | |
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| Calculation Frequency | Every Second | Daily |
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| Calculation Method | Creating portfolios of “front contracts” and “next contracts” to replicate the payoff of a variance swap | Average of volume-weighted average (VWA) index values of BVX partitions |
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| Input Data | CME Futures and Options orderbook data | |
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| Publication Days | All CME Trading Days | |
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| Publication Time | Real Time (7:00am to 4:00pm Central Time) | Between 4:00pm and 4:30pm London Time |
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BVXS Calculation Overview
| 15:30 - 15:35 London Time | 15:35 - 15:40 London Time | 15:40 - 15:45 London Time | 15:45 - 15:50 London Time | 15:50 - 15:55 London Time | 15:55 - 16:00 London Time | *16:00 - 16:30 London Time |
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| Settlement Index Calculation | 5 min Partition (1): VWA | 5 min Partition (2): VWA | 5 min Partition (3): VWA | 5 min Partition (4): VWA | 5 min Partition (5): VWA | 5 min Partition (6): VWA | Index Publication: Average of 6 VWAs |
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Disclaimer: The information contained within is for educational and informational purposes ONLY. It is not intended nor should it be considered an invitation or inducement to buy or sell any of the underlying instruments cited including but not limited to cryptoassets, financial instruments or any instruments that reference any index provided by CF Benchmarks Ltd. This communication is not intended to persuade or incite you to buy or sell security or securities noted within. Any commentary provided is the opinion of the author and should not be considered a personalised recommendation. Please contact your financial adviser or professional before making an investment decision.