Introducing the Volatility Index Monitor

Today we are proud to announce another new tool on the site: the bitcoin volatility index monitor. 
Here you will be able to see the BitMEX BVOL24H 24-hour rolling bitcoin volatility index over four different time periods:

• Daily
• Monthly
• Quarterly
• Annually

It is a useful indicator to monitor because during prolonged periods of low volatility, bitcoin is bracing for a move, as it never can stay still for too long. Additionally, high periods of volatility are difficult to sustain, and there's always a reversion to the mean as in all financial asset returns:

Viewing volatility over the longer run can also be instructive to get perspective on the market. Too often traders are caught up in the extremely low timeframes. That may seem funny coming from this blog, as we are monitoring markets on a daily basis which is noisy in general. But people need to keep an appreciation for it.

Note that this index is computed using the BitMEX formula, as from their documentation: 

The BitMEX Daily Historical Volatility Index is referred to as the .BVOL24H Index. This index is calculated as the logarithmic percentage change taken from measurements taken the Bitcoin spot price every 5 minutes. The settlement price is calculated from 288 snaps over the 24-hour period.

Calculation Formula
P = Last Price (taken at 5 minute intervals)
Stdev = Sample Standard Deviation
Ln = Natural Logarithm
Sqrt = Square Root

.BVOL24H Index = Stdev(Ln(P1/P0), Ln(P2/P1), ..., Ln(P288/P287)) * Sqrt(288)

Note that this is not the same as the VIX index, which is based on the options measurement of volatility. Thus, when price is going up, BVOL24H will go up too, unlike VIX which will drop when price gradually rises.

Watch the market and compare how the volatility graphs show for the day, and you will get a good feeling for how it reacts. 

We hope traders will find this useful and if so the interface and functionality will improve, but for now the relatively crude graphs are just the start to see if there's interest.  

​Please provide feedback and contact us.