31 Dec '14, 3pm
BitMEX to Launch Bitcoin 'Fear' Index: Derivatives exchange BitMEX will publish an index
Derivatives exchange BitMEX will publish an index on 5th January that it hopes will become the bitcoin world's version of the VIX– the so-called 'fear index' that is used to gauge uncertainty in the wider financial markets. The 30-Day Bitcoin Historic Volatility Index, as BitMEX is calling it, works by taking the time-weighted average price from Bitfinex's USD/BTC rate. It then calculates bitcoin's annualised volatility over a rolling 30-day period using that data. The result is a measure of bitcoin's realised volatility for that period. True to form as a derivatives exchange, BitMEX has created a tradable instrument based on its new index, and will offer a futures contract quoted in volatility percentage points, with each point paying 0.01 BTC. Traders will receive up to five times leverage for the contract. Volatility as an asset class The new contract effectively turns ...