March 3, 2023
Welcome to Amberdata Derivatives Fresh New Features where we go in-depth on features that have recently been built for our ADD customers. Correlating Deribit's Dvol Index with 30-day ATM volatility.
In time for Deribit’s launch of DVol Futures in March 2023, we’re announcing our new feature, the DVol Butterfly Index.
This chart depicts the relation between the Dvol Index (calculated by Deribit) and the constant 30-day ATM volatility.
The relation is expressed by ratio or spread (toggle permits to change it). It’s called the butterfly index because this calculation mimics the information you could have analyzing butterflies.
In fact, the Dvol Index is calculated using all the strikes across the theoretical maturity of 30 days, and comparing them to the ATM 30 days constant you get basically the richness of the skew.
The chart is displayed along with lower/upper (10%/90% percentile) fences and median values to give users a relative metric to be used as mean reverting boundaries.
How to find this chart? Options → Deribit → Historical
Find the chart HERE:
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