Hey everyone, If someone has access to Bitcoin and Ethrium Ivol historical data could you PM me. I am willing to pay if it is from a reputable vendor. I need 30d, 60d and 90d tenors or First, Second and Third month expirations. Thanks.
I could not find ivol data anywhere. I just wrote some code to pull data from the Derbit API. I will be storing it in an sql db. I will post once I have six months of data. In the mean time. My Derbit account is funded with .03.. Bitcoin. RBC only lets me move 500 CAD a week into my coin base account!! I am thinking of buying a prepaid visa/mastercard. With only hvol data I am leaning towards my first trade as short Jul5 ATM combo @ 114% Ivol. However I would prefer to hedge the position with vega (long Jul5/Sep calendar). From the only data of Ivol I have (a picture I will post below), it seems Sep vol (currently @ 100 ivol) will not come in to much. hvol close-close is 50%. 1 year range of max:125% min:18%.
This is exciting. Filled. Short .2 11000 July26 for $.1225 edit** This is equivalent to 108% Ivol Long .1 Bitcoin as a hedge. 66% of MM used
Isn't to hear your findings on liquidity and spreads in near months. Is it difficult to get in and out at reasonable IVs?
Hey guys, I stopped trading on the deribit exchange awhile ago as I needed capital for other purposes. I also found a website that tracked all the data I needed. If you want data on ivol, hvol, skew, volume, perpetuals etc.. send me message and I'll give you the link. The data is free to visualize but costs to download to csv. I was interested in trading forward vol (calendars) but the spreads were to wide and I did not have the capabilities to make markets