CF Benchmarks Launches Volatility Index for Bitcoin
CF Benchmarks, the FCA-regulated benchmarks administrator and the largest indices provider for cryptocurrencies, is delighted to announce the launch of the Bitcoin Volatility Index, facilitating the tracking and trading of 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," said 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 Bitcoin 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. As with every other CF Benchmarks index, the Bitcoin Volatility 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.
"Crypto market participants need to be able to trade volatility in crypto just like they can in other asset classes," said Thomas Erdosi, Head of Product at CF Benchmarks. "The Bitcoin Volatility Index enables participants to gauge market sentiment and can be used to underpin a range of exciting new products that will take crypto asset exposure to the next level."
The Bitcoin Volatility Index methodologies are available to review on the CF Benchmarks website. For more information or for licensing the BVX or BVXS, please contact [email protected].
About CF Benchmarks
CF Benchmarks is the leading regulated cryptocurrency index provider. Authorized as a registered benchmark administrator under the UK Benchmarks Regulation (UK BMR). CF Benchmarks (FRN 847100) is on the FCA Benchmarks Register. Benchmark indices are provided through fully replicable public methodologies and transparent governance, for tracking, valuing and settling risk in cryptocurrency products and services.
CF Benchmarks' indices are integrated into some of the largest regulated crypto products by assets. This includes six out of the 11 spot bitcoin ETFs in the US (IBIT, ARKB, EZBC, BITB, BRRR & BTCW) and 99% of the regulated crypto derivatives market, including crypto derivatives offered by CME Group. In total, over $40bn of assets are referenced to CF Benchmarks indices.
For a full list of products that are referenced against CF Benchmarks indices, please visit our website.
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