Quantitative data tailored to the cryptocurrency derivatives market
One factor that affects option prices is the fluctuation (or volatility) of its underlying asset. Options traders display their anticipation of this volatility through option prices. This indicator, called implied volatility, can be extracted from market prices. The analysis of implied volatility and its dynamic is a key piece of information in the risk management of options trading.
Implied Volatility Smile
Volatility curve of a listed expiry date computed on a set of strike prices. Our methodology includes space interpolation and allows users to also compute consistent implied volatilities on non-listed strikes.
Implied Volatility Surface
Volatility surface for a range of expiry dates and a range of strike prices. Our methodology includes space and time interpolation and allows users to also compute consistent implied volatilities on non-listed strikes or between two listed expiration dates.
To compute accurate and robust implied volatilities for the cryptocurrency market, improvements have been made to the common/standard methodologies.
This methodology is fully transparent and quantitative details are available in our research paper.
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