gvol.io (Genesis Volatility)
gvol.io (Genesis Volatility) 2 minutes reading from Bitcoin

38 Years of BTC Volatility

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I must say, it's pretty surreal to research & write this AMAZING 38pg report these legends:

@SinclairEuan

@PelionCap

@Gravity5ucks

@samchepal

We've covered FOUR years of BTC volatility surface regimes.

(Link below)

Dissecting Volatility Trends Research Paper | Amberdata

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Highlights

Quantifying the duration of BTC term structure "Backwardation"

In the report we further investigate the typical richness/discount of each regime.

Together we have "Timing" and "Magnitude" to help execute trading decisions.

(3/n) Highlights

Spot/Vol. regimes have clearly been shifting throughout the years.

We explore those dynamics... Which have shifted AGAIN in 2023🤯

(4/n) Highlights

Quantifying VRP is crucial to option pricing...

We don't simply look at average VRP, but filter VRP further in a matrix like analysis to filter for

- Positive / Negative RR-Skew regimes - Contango / Backwardation Regimes - Cross Section the two

(5/n) Highlights

This report then analyzes 2 separate backtest strategies created by @samchepal of @ledger_prime to find ways to truly find edge in this nascent vol. market

This post is based on this twitter thread.

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