Methodology
At a given time, volmex.finance indices factor in eight options which meet the following criteria:
    In-the-money call and put closest to 15 days from expiration
    Out-of-the-money call and put closest to 15 days from expiration
    In-the-money call and put closest to 45 days from expiration
    Out-of-the-money call and put closest to 45 days from expiration
Options data is sourced in real-time from Deribit, the leading crypto options exchange. By running respective data through an inverted Black-Scholes formula, an output is generated (current index value), which aims to measure the 30-day implied volatility of the underlying asset (e.g. ETH, BTC, etc). The index output is the mean of the IVs.
Mid price of options is used in the calculation.
Last modified 3mo ago
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