Volatility exploding due to expiration dates closing in

After last weeks update turning into an opinion piece about Ethereum, Augur and crypto in general, this week we will close off the year with a normal update and chart of the last two weeks.

AIVIX indexes week 51 + 52 2018

When looking at the charts of the end of 2018. It is interesting to see the implied volatility increasing steadily.

This effect can be easily explained as almost all markets tracked by us for calculating our indexes are expiring at the end of 2018.

The volatility needs to increase by an higher and higher amount so the underlying price would have a chance to reach…

New chart and a short update

Chart of the week

This week our update will be rather short with a quick look at the chart of the week:

The AIVIX indexes this week

As the bear rally continues the volatility goes up even further. Now for BTC and ETH the AIVIX is relatively in line with historic volatility of the last 30 days.

AIVIX explodes as crypto winter keeps manifesting and our plans to integrate Veil

It’s the end of the world as we know it

We start this week again by having a look at a 7-day chart of our indexes.

AIVIX indexes over the course of calendar week 49 2018

Volatility went up by a lot this week as crypto exchange rates go further down the drain. The historic volatility based on the last 30 days is even higher. The AIVIX-ETH is leading the way by relatively growing by a higher factor than the AIViX-BTC, which seems to be more stable. There is a glimpse of light in the last couple of hours with prices recovering and volatility at least plateauing.

When looking into the actual markets on Augur the reaction to these exchange…

An excursion why it is important to choose in what to measure your P&L and the effect of correlation

The AIVIX this week

First here you can see a chart of the AugurInsider AIVIX indexes this week.

AIVIX chart for calendar week 48 2018

The peak was reached during Friday when crypto prices fell again by a lot in a short time, but volatility came back down quite a bit in the last couple of hours and is lower now than at the beginning of the week.

We will add a chart like this as a standard feature to AugurInsider soon.

Implied Probability explained

One KPI we calculate for every listed market is the Implied Probability. Here is a short description on why this matters.

Profit and Loss in USD

AugurInsider uses $ as basis for P&L (=…

How the huge drop in crypto assets affected the derivatives on Augur

State of the underlying markets

The last couple of days were quite turbulent for everybody involved into crypto assets. After a somehwat stable period almost all currencies and tokens went down by a lot. Leading the way are BTC by almost loosing 40% and ETH now being worth only half of what it was worth a couple of weeks ago.

AugurInsider Indexes on November 25th 2018

This obviously also impacted historic volatility, which spiked up by quite a lot to almost 400% in BTC and 500% in the ETH markets. (AugurInsider calculates Volatitly based on the last 30 days).

Impact on the derivatives

The implied volatility calculated based on the derivatives on Augur, that are…


Volatility Data for Augur Markets

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