Implied Volatility (3 Months)
options
61
Sell-Side Risk Ratio
on-chain-liquidity
10
Money Supply (Global M2)
macro
56
Implied Volatility (1 Month)
options
10
Instantenous Volatility Factor
technicals
56
Net Realized Profit/Loss
on-chain
10
Fast Momentum Factor
technicals
53
BTC Market Dominance
valuation
10
Puell Multiple
miners
52
Implied Volatility (1 Week)
options
10
Reddit Mentions
social
43
Asset Value-Investor Value (AVIV) Ratio
valuation
10
Exchange Outflow
exchanges
36
Short Term Realized Cap HODL Waves Index
on-chain
10
Instantenous Momentum Factor
technicals
33
Futures Premium (CME)
market-stats
10
High Yield Sensitivity
cross-asset
29
Reserve Risk
on-chain-liquidity
10
Fear & Greed Index
market-stats
28
Attention Index
social
10
Stablecoin Supply
stablecoin
26
MVRV
valuation
10
ETF Net Flow
market-stats
14
Hash Price
miners
10
Skew Factor
technicals
0
US Dollar / Bitcoin Ratio
cross-asset
10
Slow Momentum Factor
technicals
0
Unemployment - Initial Claims
macro
10
US Cloud Computing Sector
cross-asset
10
Equities Market Breadth
market-stats
10
US Bank Assets: Securities in Custody for Foreign and International Accounts
macro
10
Corporate Bond Sensitivity
cross-asset
10
Inflation Linked Bonds Sensitivity
cross-asset
10
Telegram Mentions
social
10
Stablecoin Supply Ratio
stablecoin
10
Exchange Balances
exchanges
10
Collateralization of Currency (US Dollar)
macro
10
Unemployment - Continued Claims (Insured Unemployment)
macro
10
Currency Component of M1
macro
10
Active Addresses
on-chain
10
Equities Sensitivity
cross-asset
10
Memecoin Index
cross-asset
10
Aggregate Sentiment
sentiment
10
Open Interest (Aggregate)
market-stats
10
New Users
on-chain
10
Whale Transactions Index
on-chain
10
Bitcoin / Gold Correlation
cross-asset
10
Development Effort
social
10
Stablecoin Transfer Volumes
stablecoin
10
Youtube Mentions
social
10
MSTR Premium
market-stats
10
Treasury and Agency Securities, Overall Level
macro
10
Funding Rates (Aggregate)
market-stats
10
Demand Deposits
macro
10
Gold Certificates
macro
10
Aggregate Futures Volume
market-stats
10
Coin Days Destroyed
on-chain
10
Retail Money Market Funds
macro
10
Hashrate
miners
10
Overall Level Bank Credit
macro
10
Telegram Sentiment
sentiment
10
Median Consumer Price Index
macro
10
Reddit Sentiment
sentiment
10
With investor sentiment and risk premiums encapsulated in its options data, Bitcoin’s implied volatility is becoming an interesting predictive factor with its dual role as a fear gauge and a proxy for speculative behavior.
Implied Volatility (IV)—a metric derived from options that reflects market expectations of future price movement — is calculated by reverse-engineering options pricing models to determine the volatility level that justifies current market prices for derivatives. For Bitcoin, this metric encapsulates collective expectations:
High Implied Volatility: Traders anticipate larger price swings, often driven by events like regulatory shifts, macroeconomic instability. Larger volatility is traditionally associated with prices falling.
Low Implied Volatility: Market participants expect relatively mild price fluctuations over the near term. This typically translates to lower options premiums, as traders price in a period of reduced uncertainty and risk.
A prolonged period of low IV might also suggest market complacency, where potential risks or future shocks are being underestimated. We can confirm this empirically — low implied volatility is associated with lower future BTC returns, opposite to what theory would dictate.
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Predictive Correlation measures the rolling Pearson correlation coefficient between Implied Volatility (3 Months) and 90 Day BTC forward returns. 1 Indicates a perfect positive correlation, -1 indicates a perfect negative correlation, and 0 indicates no correlation.
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We group the factor's values into ranges, to make sure we can analyze its behaviour when it's at the extremes - or somewhere in the middle.
BTC’s 30-day return was highest (5.13%) when Implied Volatility (3 Months) was in the 0.21 - 0.41 range. The lowest returns (0.13%) occurred when Implied Volatility (3 Months) was in the 0.01 - 0.21 range.
This graph shows the average cumulative BTC returns over subsequent 30 days when a factor was in a specific range.
Implied volatility seems to act as a contrarian indicator, reflecting the unique dynamics of Bitcoin markets, where periods of higher realized volatility tend to coincide with stronger returns — a stark contrast to traditional equities, where elevated volatility is more often associated with declining performance. Implied Volatility’s forward-looking nature allows it to capture shifts in investor expectations before they materialize in spot prices.
Our research comparing IV and (Realized Volatility) RV reveals that when IV exceeds RV, it often signals impending market stress. We’ll explore this in an upcoming article.