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PraxisVeritas.io
@praxisveritas
BTC and ETH: when will the lashings stop? One place to look is the volatility-risk-premium, which compares implied with realised volatility. For BTC and ETH, the implied values are the Deribit DVOL indices, while the realised vol data are Rogers-Satchell 30 day vol estimators, which incorporate intraday price action. Although data are only available since 2021, inflection points after negative price action have occurred around low percentile readings of the VRP. For BTC, current values are on par with the start of mid-July's price recovery, but still higher than January and May's inflections.
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