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CAPIVIX Index Methodology

This article provides comprehensive information on the calculation methodology for our CAPIVIX (CoinAPI Volatility Index) indexes. These indexes measure the market's expectation of 30-day volatility for major cryptocurrencies, similar to the VIX methodology for traditional markets. Currently, we calculate CAPIVIX for BTC/USD and ETH/USD pairs.

Data Inputs​

Exchange Selection​

The index considers options data from various selected derivatives exchanges.

Instrument Selection​

For each underlying asset (BTC, ETH):

  • Near-term and next-term put and call options
  • Only options with more than zero volume in the last 24 hours
  • Strike prices that straddle the current spot price
  • Minimum of 8 strike prices per expiration

Time Periods​

The calculation uses two expiration time periods:

  1. Near-term: Options with < 30 days to expiration
  2. Next-term: Options with ≥ 30 days to expiration

Calculation Methodology​

  1. Data Collection:

    • Select eligible options for both near-term and next-term expirations
    • Collect bid-ask quotes for each selected option
    • Record the risk-free interest rate for each expiration period

  2. Forward Level Calculation:

    • Determine the forward index level (F) using put-call parity
    • Identify the strike price (K₀) at which the absolute difference between call and put prices is smallest

  3. Variance Calculation for each expiration:

    σ² = (2/T) * Σ[ΔK/K² * e^(RT) * Q(K)]

    Where:

    • T is time to expiration
    • ΔK is the interval between strike prices
    • R is the risk-free interest rate
    • Q(K) is the midpoint of the bid-ask spread for each option

  4. 30-day Volatility Interpolation:

    CAPIVIX = 100 * √[{T₁σ₁²(N₂-N₃₀)/(N₂-N₁) + T₂σ₂²(N₃₀-N₁)/(N₂-N₁)} * N₃₆₅/N₃₀]

    Where:

    • N₁ and N₂ are near and next-term days to expiration
    • N₃₀ is 30 days
    • N₃₆₅ is 365 days

Index Outputs​

Index Codes​

Index values are created with the following format: IDX_VOL_CAPIVIX_{AssetId}_USD

For example:

  • IDX_VOL_CAPIVIX_BTC_USD: Bitcoin Volatility Index
  • IDX_VOL_CAPIVIX_ETH_USD: Ethereum Volatility Index

Frequency​

The index is calculated every 100 milliseconds, providing near-real-time volatility expectations.

For real-time index updates, we recommend using our WebSocket Index API. This API provides continuous, low-latency updates, ensuring you receive the most up-to-date index values as they are calculated. For more information on how to connect and use the WebSocket API, please refer to our WebSocket Index API documentation.