Introducing CVIX: Crypto Volatility Index
CVIX (Crypto Volatility Index) is an analogue of the classic stock market index – the CBOE Volatility Index (VIX) – which computes implied stock market volatility based on prices from the S&P 500 index options market. The VIX provides a theoretical expectation of stock market volatility in the near future.
The CVIX shows the volatility of the total market capitalisation and is calculated as the standard deviation (the degree to which the prices vary from their average) over the last 30 days. CVIX cannot be constructed in the same way as the VIX due to the underdeveloped nature of the crypto options market. CVIX reflects the current volatility of crypto prices and its formula is:
where is the mean of the price over the last 30 days, xi is each recorded value, N is the count, calculated as the price of cryptocurrency every five minutes over 30 days, and i=1refers to the fact that we start at the first value (first day, first five minutes), so we include them all.