Bitcoin volatility index launched by CF Benchmarks

UK-based CF Benchmarks has announced the launch of its Bitcoin BTC +1.55% Volatility Index. The new product facilitates the tracking and trading of 30-day forward-looking bitcoin price volatility.

The FCA-regulated firm's new product is composed of two indices, the CF Bitcoin Volatility Real Time Index (BVX) and the CF Bitcoin Volatility Index Settlement Rate (BVXS). These indices aggregate implied volatility from bitcoin options contracts listed on the Chicago Mercantile Exchange , CME, into a single value to gauge market volatility and uncertainty.

"Volatility indices have become a key indicator in financial markets providing participants with a means to measure investor sentiment and risk appetite," CF Benchmarks CEO Sui Chung said.

Real-time tracking of bitcoin volatility

The BVX index prints approximately every second to provide bitcoin volatility in real-time, while the BVXS index calculates the daily settlement rate based on a 30-minute window of BVX observations between 1530 pm and 1600 pm London time.

"CF Benchmarks’ Bitcoin Volatility Index will be the benchmark for bitcoin price volatility, just as the Bitcoin Reference Rate (BRR) is the benchmark for spot bitcoin," Chung added.

According to CF Benchmarks , the new volatility index can be used as risk sentiment data or as the settlement mechanism for a range of products so market participants can trade volatility, and is UK Benchmarks Regulation (BMR) compliant.

"Crypto market participants need to be able to trade volatility in crypto just like they can in other asset classes," CF Benchmarks Head of Product Thomas Erdosi said. He added that it also enables participants to gauge market sentiment.