- New index designed to measure the 30-day forward-looking volatility of bitcoin
- Applies Cboe’s proprietary VIX® methodology and is based on iShares Bitcoin Trust ETF options
- Expands Cboe’s volatility index suite across new asset classes
Cboe Global Markets, Inc., the world’s leading derivatives and securities exchange network, announced plans to launch the Cboe IBIT Volatility Index (Ticker: BITVX) on Monday, March 23. This new index will further expand Cboe’s growing suite of volatility indices and bring the firm’s proprietary VIX® Index methodology to the bitcoin market.
BITVX is designed to measure the market’s expectation of 30-day forward-looking volatility for the bitcoin market, as conveyed by options on the iShares Bitcoin Trust ETF (Ticker: IBIT) — one of the most actively traded U.S. options tied to digital assets. The new index is calculated and administered by Cboe Global Indices, using Cboe’s well-established VIX Index methodology, which derives expected volatility directly from option prices rather than from historical returns.
The VIX Index, widely regarded as the world’s premier barometer of 30-day forward-looking volatility for the U.S. equity market, is based on S&P 500 Index (SPX) options. Consistent with the VIX framework, BITVX aggregates information across a broad range of out-of-the-money option strikes to produce a model-free measure of implied volatility.
“With the new BITVX Index, we’re taking the proven framework of Cboe’s VIX Index methodology and applying it to bitcoin, giving the market a transparent, rules-based benchmark for expected volatility derived from IBIT options activity,” said Rob Hocking, Global Head of Derivatives at Cboe. “Bitcoin ETF options are a popular way for investors to access and manage bitcoin exposure, and we believe a dedicated volatility index will be an additive piece to the ecosystem, helping investors better analyze, price, and hedge risk in digital assets.”
Calculation for the BITVX Index is based on weekly Friday expirations of IBIT options, using two maturities that bracket a constant 30-day target horizon. The resulting index reflects the market’s consensus expectation of near-term volatility implied by listed IBIT option prices. To learn more about Cboe’s indices, visit the website.
Source: Cboe Global Markets
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