CF Benchmarks Launches Bitcoin Volatility Index

FCA-regulated benchmark administrator CF Benchmarks has added a Bitcoin Volatility Index to its suite of products targeting 30-day forward-looking bitcoin price volatility.

Composed of the CF Bitcoin Volatility Real Time Index (BVX) and the CF Bitcoin Volatility Index Settlement Rate (BVXS), the indices aggregate implied volatility from bitcoin options contracts listed on the CME into a single value to gauge market volatility and uncertainty. The BVX prints approximately every second to provide bitcoin volatility real-time with the BVXS calculating a daily settlement rate based on a 30-minute window of BVX observations between 1530-1600 London time.

“Volatility indices have become a key indicator in financial markets providing participants with a means to measure investor sentiment and risk appetite,” says Sui Chung, CEO of CF Benchmarks. “As the largest cryptocurrency index provider by Assets under Reference (AuR), 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.”

The fir says the new index can be used as risk sentiment data or as the settlement mechanism for a range of products so market participants can trade volatility. The firm has previously launched a series of crypto benchmarks with CME and says as with those indices, the new index is UK BMR compliant and calculated to a rigorous methodology. “This means products benchmarked against it can reliably track the underlying without being impacted by unaccountable price swings caused by poor quality data,” the firm states.