Derivatives

DVOL — Deribit implied volatility index

How much volatility the options market expects over the next 30 days, expressed as an annualised percentage.

Why it matters

This site's realized volatility looks backwards; DVOL looks forwards, and not because anyone is forecasting: it's the price at which people are buying and selling options right now. Comparing the two produces the strongest finding the project's research has generated: implied has exceeded subsequent realized by 9.96 points on average across 1,963 days, positive 73.8% of the time, with a 90% confidence interval of [+7.59, +12.90] — people systematically overpay for protection. That difference is called the volatility risk premium.

Build it yourself

Set an implied level and the volatility that actually ended up happening, and look at the subtraction: that's the premium collected by whoever sells volatility.

Variance premium = Implied volatility − subsequent realized volatility
Variance premium (volatility points)

The historical average of this subtraction is +9.96 points, and the worst unfiltered month was −55 points: the premium is real and so is the tail.

Illustrative example numbers for practice — not real data.

How it's calculated, step by step

  1. Deribit publishes its own DVOL index as OHLC candles; the connector stores each candle exactly as received.
  2. For each day the close is taken and stored as that day's value. There is no further computation: it's an input, just like price.
Descriptive. Descriptive on its own — a high DVOL means the market expects movement, not that it will go up or down. Where there is measured information is in the SUBTRACTION against subsequent realized volatility, and harvesting that requires trading options on Deribit, which the project does not do. The number is published; a strategy is not.

Chart

This is real Bitcoin data, computed from the blockchain — not the illustrative example above.

Data last updated on 2026-09-09.

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