Bitcoin Futures: 06 August 2020


With the recent spike in price and volume in the underlying BTC markets, Historical Volatility is now up to over 65%. A quick look at the Implied Volatility on the options markets over at Deribit shows that the future volatility is also expected to continue in a similar pattern.

By understanding the market volatility; as well as analysing the different futures markets; we can get a better grasp on the risks associated the any movements that BTC may make in the future. This is done using a statistical model known as the Black Scholes model; which has established itself as a go-to model for market analytics.

Based on Historical Volatility (HV); we should expect a weekly movement of between 1.15% – 1.25%.

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