Laevitas Beta Launch
Beta is live on laevitas.ch
Economic Context
2020 was a pivotal year for crypto markets — massive March sell-off, DeFi boom, Bitcoin institutional adoption and explosive growth in derivatives. Let’s take a look at some of the figures:
The futures and options markets have seen month-over-month record numbers last year. Due to macroeconomic uncertainty and inflationary currency regimes around the world, there’s considerable renewed interest in Bitcoin and crypto-assets. Among the plethora of good news we’ve seen this year — corporate treasuries and institutional investors allocating to Bitcoin, Paypal launching crypto payments and trading. 2020 may be seen as an inflection point for Bitcoin’s stature as a store of value and inflation hedge. Since the previous boom and bust cycle in 2017–18 the crypto market has made great strides in establishing itself as a legitimate asset class. The extensive development in crypto-asset institutional services and products have diminished the risk factors for companies and institutional investors. With the launch of regulated investment products and custody solutions, allocation to Bitcoin and other crypto-assets as an alternative investment becomes more compelling for investors seeking asymmetrical return profiles and diversification benefits.
Another major trend from last year was the ascendance of options on the equities markets with retail trading volume hitting record highs. This democratization of trading may be due to a variety of reasons: the boredom market hypothesis, commission-free trading on brokers such as Robinhood, ZIRP (zero interest-rate policies) and excess liquidity thanks to quantitative easing (money printer go brrr).
We’re witnessing a whole new subset of market participants who are trading these instruments and a vast majority of them will come to crypto, especially as this bull cycle kicks into gear.
The crypto options market is just getting started
Thus, in view of the economic context above, we foresee this trend to accelerate the adoption of the crypto-asset market on it’s trajectory to a multi-trillion dollar market capitalization. This will lead to a considerable increase in exchange volume, open interest and number of market participants, wherein we believe lies an opportunity to provide comprehensive data analytics covering these markets.
What is Laevitas?
Founded in 2020, Laevitas is a data analytics platform based on quantitative finance models for the crypto-asset market. Our goal is to provide analysis by implementing mathematical models on data from a variety of crypto-asset derivatives markets. The initial beta release will cover the Deribit options market but over the coming weeks we aim to integrate more markets: options on other exchanges, futures and DeFi (on-chain derivatives).
Main Beta Functions
Volatility Index (VIX)
The CBOE Volatility Index (VIX) is an index that represents the market’s expectations of future volatility. We calculated a VIX index on each Bitcoin and Ethereum using the step-by-step instructions highlighted in the CBOE VIX whitepaper. The indexes are derived from the Deribit options order book— since they have the highest liquidity in the crypto-asset market today. For now we’ve computed 5 time-intervals 15D, 1M, 2M, 3M and 6M, each with their respective expiration dates (near-term and next-term).
Option Chain
Option Activity
Volatility
With a bunch of others charts such as historical ATM implied volatility, realized volatility, 25-delta skew, IV term structure and volatility cones.
Option Analytics
Settlements
Portfolio Tracker
This is a work in progress but we’ve started building an options portfolio tracker where you can simulate positions or add current and expired ones to view your realized and unrealized P/L, risk measures etc.
What’s in the pipeline?
- Markets, markets, markets… Over the coming weeks we aim to cover more options markets both centralized and on-chain.
- Adding new charts and analytics, improving current ones.
If you have any support queries, feedback and ideas for new features/improvements please join our Discord. Or follow us on Twitter where we regularly publish crypto options market analysis.
