Volatility

Volatility Comparison

Volatility Pairs: Plot volatility for any two volatility items (can add more) over a selected time period.

Volatility Comparison: Plot the volatility risk premium over a selected time period (can also show as a box plot).

Currency 1: Select cryptocurrency for the first volatility item.

Currency 2: Select cryptocurrency for the second volatility item.

Volatility 1: Select the first volatility item (implied/realized).

Volatility 2: Select the second volatility item (implied/realized).

Trail / Fwd 1: Select trailing or forward for the first volatility item (for realized volatility only). Trailing volatility is realized volatility over the preceding time window. Forward volatility is realized volatility over the following time window.

Trail / Fwd 2: Select trailing or forward for the second volatility item (for realized volatility only). Trailing volatility is realized volatility over the preceding time window. Forward volatility is realized volatility over the following time window.

Moneyness (%) 1: Strike price relative to the current value (spot/ATM strike) of the underlier, relevant for implied volatility 1.

Moneyness (%) 2: Strike price relative to the current value (spot/ATM strike) of the underlier, relevant for implied volatility 2.

Window size 1: Relevant for Volatility 1. For implied volatility, select the time to expiration (days). For realized volatility (trailing or forward), select the time window (days).

Window size 2: Relevant for Volatility 2. For implied volatility, select the time to expiration (days). For realized volatility (trailing or forward), select the time window (days).

Comp. type: For Volatility Comparison. Select VRP to plot the difference between Volatility 1 and Volatility 2 (Volatility 1 less Volatility 2). Note that this plots the VRP if Volatility 1 is selected to be implied volatility, and Volatility 2 is selected to be realized Fwd volatility. But this can also be the difference between any two chosen pairs.

Select log.VRP to show the log of the difference between Volatility 1 and Volatility 2, and abs.VRP to show the absolute value of the difference.

Curve / Distribution: For Volatility Comparison. If “Curve” is selected, the plot shows the difference in volatilities over the selected time period. If "Distrib" is selected, the distribution over this time period is displayed as a box plot showing the minimum, maximum, sample median, and the first and third quartiles (as well as upper and lower fences for outliers).

Add Comp: Add to plot multiple volatility pairs and comparisons.

Volatility Cone

Plots today’s realized volatility (green diamond marker) relative to its historical distribution over 365 days (mean, min, max, and various quantiles) for various times to expiration.

Currency: Select cryptocurrency.

Select Date: Distribution assessed over a time period that covers 365 days that precede the selected date.

Juicy VRP

For selected time to expiration, scatter plot of realized volatility against ATM implied volatility. Each plot corresponds to a specific date during the selected time period. The green diamond marker shows today’s plot.

Currency: Select cryptocurrency.

Texp: Select time to expiration (in days).

Select quantile: Shows the top and bottom observations that fall above or below the selected quantile. For example, if 5% is selected, the scatter plot shows in green/blue observations that have a ratio of realized to implied volatility that is greater/lower than 95% of observations.

Hovering the mouse cursor over a specific observation reveals associated data points (date, trailing realized volatility, implied volatility).

Threshold RV. Select a threshold for realized volatility to exclude tail observations. For example, selecting a threshold of 100% excludes any observation with implied volatility in excess of 100%.

Option. Select specific option trading strategy in order to display associated PnL for each observation in scatter plot. For example, selecting “Straddle/Strangle Long” shows for each observation (specific date) the PnL associated with buying a straddle or a strangle (if Change in Moneyness (%) is selected to be 0, it’s a straddle; if not it’s a strangle) . PnL is shown via a color scheme. Again, hovering the mouse cursor over a specific observation reveals associated data points (date, trailing realized volatility, implied volatility, PnL), this time including the PnL associated with the selected strategy.

Change in Moneyness (%). Change in strike price relative to spot/ATM strike price, positive for a call and negative for a put, for the selected strategy.

Entry indicator. Click on “Lasso Select” at the top to then select a specific subset of observation.

Click “Add Entry” to add selected observations to define customized trading rule (see “Entry indicator” defined for the straddle long position).