Introducing the Crypto Volatility Index (CVIX)

If there’s one thing for certain in crypto markets, it’s that no one knows where it’s going next. It’s been a roller-coaster ride of a year for us all, but through all the ups and downs we have preserved. If only instead of investing in individual assets, we could bet on the volatility…

At Ledger we’ve been focusing a lot on developing tools and products that will help make these markets more mature and digestible for typical investors. The Crypto Volatility Index (CVIX) serves both of these purposes and we are really excited to put it out there for investors to use.

Before I get too far into this, it’s worth noting that while we call this index the CVIX, it has some fundamental differences from the carefully constructed VIX in traditional markets:

The VIX is a measure of expected future volatility based on option prices. Given the lack of a sufficiently sophisticated crypto options market right now, the CVIX couldn’t be constructed in the same way. Rather, it is a reflection of how volatile crypto prices are currently.


Multiple methods were investigated to construct an effective index. In the end, we decided to keep it simple to keep it truly reflective of daily (or hourly) volatility. The index is calculated as follows:

CVIX Calculation

The CVIX is a market-weighted volatility index consisting of bitcoin and ethereum. It uses a rolling 30-day standard deviation of log returns for the daily index and a rolling 24-hour standard deviation of log returns for the hourly index. For any stats nerds out there, the exponential term used is called the Geometric Coefficient of Variation, something that we use to describe variation in log-normal data. A KS-test was run for BTC and ETH’s daily and hourly log returns, and the p-values for both were >.8, so no worries there.

Here’s how it looks:

Daily VIX for the past year
Hourly VIX for the past 80 days

Volatility skyrocketed in December-January (as expected) and seems to have calmed down over the past month although it’s picked up recently. Looking at the hourly graph, it is much more volatile but more cognizant of the rapid movements that characterize these markets.

So how can I use this?

Really, however you want to. Along with our Fear & Greed Index, it can be a great indication of the sentiment in the markets. As crypto matures, hopefully we can create products to actually trade off volatility (options, futures, etc.) as that is a key element in traditional finance. We are working on hosting both the Fear & Greed Index and the CVIX on our website, but for now you can view it daily in our newsletter, CryptoAM.

If you have any comments, questions, or suggestions to improve this index please let us know. It’s a complicated subject to tackle and we want to make the best product we can. Follow us for updates!