🏁 On the AE exchange at 8:00 UTC Expiration of options 03/17/2026:
• BTCH26 74 332
In-the-money options deliver the underlying futures.
Check positions and collateral adequacy.
Your options exchange 👉 ae.exchange
• BTCH26 74 332
In-the-money options deliver the underlying futures.
Check positions and collateral adequacy.
Your options exchange 👉 ae.exchange
Methods for Calculating Historical Volatility. Method 4. Rogers-Satchell Volatility
This estimator, introduced in 1991, was specifically designed for assets exhibiting nonzero drift — that is, assets with a persistent trend. For Bitcoin during a bull market, this is highly relevant.
The method performs correctly in the presence of a trend without requiring the zero-drift assumption. This makes it preferable for cryptocurrencies during pronounced bull or bear market phases.
This estimator, introduced in 1991, was specifically designed for assets exhibiting nonzero drift — that is, assets with a persistent trend. For Bitcoin during a bull market, this is highly relevant.
The method performs correctly in the presence of a trend without requiring the zero-drift assumption. This makes it preferable for cryptocurrencies during pronounced bull or bear market phases.
🏁 On the AE exchange at 8:00 UTC Expiration of options 03/20/2026:
• BTCH26 70891
• ETHH26 2151.1
• GOLDH26 4704.7
• SOLH26 89.41
In-the-money options deliver the underlying futures.
Check positions and collateral adequacy.
Your options exchange 👉 ae.exchange.
• BTCH26 70891
• ETHH26 2151.1
• GOLDH26 4704.7
• SOLH26 89.41
In-the-money options deliver the underlying futures.
Check positions and collateral adequacy.
Your options exchange 👉 ae.exchange.
Methods for Calculating Historical Volatility. Method 5
This is the most sophisticated of the classical range-based estimators, introduced in 2000. Its key advantage is that it correctly accounts for overnight gaps, intraday movement, and a general trend - all simultaneously. The Yang-Zhang formula combines three components: overnight volatility (from the previous close to the current open), open-to-close intraday volatility, and the Rogers-Satchell estimator.
This is the most sophisticated of the classical range-based estimators, introduced in 2000. Its key advantage is that it correctly accounts for overnight gaps, intraday movement, and a general trend - all simultaneously. The Yang-Zhang formula combines three components: overnight volatility (from the previous close to the current open), open-to-close intraday volatility, and the Rogers-Satchell estimator.
🏁 On the AE exchange at 8:00 UTC Expiration of options 03/24/2026:
• BTCH26 71082
In-the-money options deliver the underlying futures.
Check positions and collateral adequacy.
Your options exchange 👉 ae.exchange
• BTCH26 71082
In-the-money options deliver the underlying futures.
Check positions and collateral adequacy.
Your options exchange 👉 ae.exchange
Methods for Calculating Historical Volatility. Method 6. Time-Weighted Methods - EWMA
Up to this point, every method we've discussed assigns equal weight to all observations in the sample. But there is a serious problem with that: markets change. Volatility from three years ago may be entirely unrepresentative of current conditions.
Up to this point, every method we've discussed assigns equal weight to all observations in the sample. But there is a serious problem with that: markets change. Volatility from three years ago may be entirely unrepresentative of current conditions.
🏁 On the AE exchange at 8:00 UTC Expiration of options and futures 03/27/2026:
• BTCH26 68523
• ETHH26 2067,1
• GOLDH26 4448,8
• SOLH26 85,87
• TONH26 1,2513
• XRPH26 1,3578
In-the-money options deliver the underlying futures. Settlement execution of the futures contract
Your options exchange 👉 ae.exchange
• BTCH26 68523
• ETHH26 2067,1
• GOLDH26 4448,8
• SOLH26 85,87
• TONH26 1,2513
• XRPH26 1,3578
In-the-money options deliver the underlying futures. Settlement execution of the futures contract
Your options exchange 👉 ae.exchange
Methods for Calculating Historical Volatility. Method 7. GARCH Models
Now we reach the heavy machinery. GARCH - Generalized Autoregressive Conditional Heteroskedasticity - a formidable name, but the underlying idea is elegant.
GARCH is built on a key empirical observation: volatility clusters. You can verify this yourself on any crypto chart: large moves beget large moves; calm periods are followed by other calm periods. Volatility arrives in bunches - a phenomenon known as volatility clustering.
Now we reach the heavy machinery. GARCH - Generalized Autoregressive Conditional Heteroskedasticity - a formidable name, but the underlying idea is elegant.
GARCH is built on a key empirical observation: volatility clusters. You can verify this yourself on any crypto chart: large moves beget large moves; calm periods are followed by other calm periods. Volatility arrives in bunches - a phenomenon known as volatility clustering.
🏁 On the AE exchange at 8:00 UTC Expiration of options 03/31/2026:
• BTCM26 67975
In-the-money options deliver the underlying futures.
Check positions and collateral adequacy.
Your options exchange 👉 ae.exchange
• BTCM26 67975
In-the-money options deliver the underlying futures.
Check positions and collateral adequacy.
Your options exchange 👉 ae.exchange
Methods for Calculating Historical Volatility. Method 8. Realized Volatility
With the advent of high-frequency data, an entirely new class of estimators emerged - realized volatility. In crypto this is particularly relevant, because exchanges provide tick-level data and candles at any granularity.
The concept is straightforward: instead of a single daily observation, take, say, 288 five-minute candles over the course of a day and calculate volatility from them. The sum of squared intraday returns is a statistically consistent estimator of the integrated variance over the day.
With the advent of high-frequency data, an entirely new class of estimators emerged - realized volatility. In crypto this is particularly relevant, because exchanges provide tick-level data and candles at any granularity.
The concept is straightforward: instead of a single daily observation, take, say, 288 five-minute candles over the course of a day and calculate volatility from them. The sum of squared intraday returns is a statistically consistent estimator of the integrated variance over the day.
🏁 On the AE exchange at 8:00 UTC Expiration of options 04/03/2026:
• BTCH26 67645
• ETHH26 2079.2
• GOLDH26 4705
• SOLH26 80.3
In-the-money options deliver the underlying futures.
Check positions and collateral adequacy.
Your options exchange 👉 ae.exchange.
• BTCH26 67645
• ETHH26 2079.2
• GOLDH26 4705
• SOLH26 80.3
In-the-money options deliver the underlying futures.
Check positions and collateral adequacy.
Your options exchange 👉 ae.exchange.
Methods for Calculating Historical Volatility. Method 9. Rolling Windows and the Choice of Lookback Period
A separate but practically critical topic is the selection of the lookback window - a parameter that has a substantial effect on the output.
A separate but practically critical topic is the selection of the lookback window - a parameter that has a substantial effect on the output.
👍1👌1
Practical Characteristics of Crypto Markets
You cannot apply these methods blindly without understanding the specific features of crypto. Let me walk through the key characteristics that affect how volatility is calculated and interpreted...
You cannot apply these methods blindly without understanding the specific features of crypto. Let me walk through the key characteristics that affect how volatility is calculated and interpreted...
🏁 On the AE exchange at 8:00 UTC Expiration of options 04/10/2026:
• BTCM26 72102
• ETHM26 2192.2
• GOLDM26 4777.2
• SOLM26 83.36
In-the-money options deliver the underlying futures.
Check positions and collateral adequacy.
Your options exchange 👉 ae.exchange
• BTCM26 72102
• ETHM26 2192.2
• GOLDM26 4777.2
• SOLM26 83.36
In-the-money options deliver the underlying futures.
Check positions and collateral adequacy.
Your options exchange 👉 ae.exchange
How All This Is Applied in Practice
Let me paint a practical picture. When a professional crypto trader or risk manager begins the trading day, they typically monitor volatility across several horizons simultaneously.
Let me paint a practical picture. When a professional crypto trader or risk manager begins the trading day, they typically monitor volatility across several horizons simultaneously.
🏁 On the AE exchange at 8:00 UTC Expiration of options 04/14/2026:
• BTCM26 75069
In-the-money options deliver the underlying futures.
Check positions and collateral adequacy.
Your options exchange 👉 ae.exchange
• BTCM26 75069
In-the-money options deliver the underlying futures.
Check positions and collateral adequacy.
Your options exchange 👉 ae.exchange
The Manifestations of Volatility. Part I
The article traces the evolution of options pricing from the 1973 introduction of exchange-traded options and the Black-Scholes model through the 1987 Black Monday crash, which fundamentally changed market understanding of volatility. The crash revealed that the Black-Scholes assumption of uniform implied volatility across strike prices was flawed. Post-1987, options markets exhibit persistent negative volatility skew, where out-of-the-money puts trade at higher implied volatilities than equivalent calls. This skew is attributed to liquidity constraints, market maker risk aversion, and investor demand for downside protection. In cryptocurrency markets, this negative skew is even more pronounced due to higher probabilities of extreme price movements and the absence of central bank backing, leading participants to demand substantial risk premiums for protection against tail events.
The article traces the evolution of options pricing from the 1973 introduction of exchange-traded options and the Black-Scholes model through the 1987 Black Monday crash, which fundamentally changed market understanding of volatility. The crash revealed that the Black-Scholes assumption of uniform implied volatility across strike prices was flawed. Post-1987, options markets exhibit persistent negative volatility skew, where out-of-the-money puts trade at higher implied volatilities than equivalent calls. This skew is attributed to liquidity constraints, market maker risk aversion, and investor demand for downside protection. In cryptocurrency markets, this negative skew is even more pronounced due to higher probabilities of extreme price movements and the absence of central bank backing, leading participants to demand substantial risk premiums for protection against tail events.
🏁 On the AE exchange at 8:00 UTC Expiration of options 04/17/2026:
• BTCM26 75542
• ETHM26 2344.2
• GOLDM26 4808.4
• SOLM26 88.42
In-the-money options deliver the underlying futures.
Check positions and collateral adequacy.
Your options exchange 👉 ae.exchange.
• BTCM26 75542
• ETHM26 2344.2
• GOLDM26 4808.4
• SOLM26 88.42
In-the-money options deliver the underlying futures.
Check positions and collateral adequacy.
Your options exchange 👉 ae.exchange.
Review of Some Examples
This article examines the phenomenon of volatility skew - the observed tendency for options with different strike prices but identical expirations to trade at different levels of implied volatility. Using April 2026 gold futures options as an example, it demonstrates that implied volatilities across strikes do not form a flat line, contradicting a core assumption of the Black-Scholes model.
This article examines the phenomenon of volatility skew - the observed tendency for options with different strike prices but identical expirations to trade at different levels of implied volatility. Using April 2026 gold futures options as an example, it demonstrates that implied volatilities across strikes do not form a flat line, contradicting a core assumption of the Black-Scholes model.
🏁 On the AE exchange at 8:00 UTC Expiration of options 04/21/2026:
• BTCM26 76675
In-the-money options deliver the underlying futures.
Check positions and collateral adequacy.
Your options exchange 👉 ae.exchange
• BTCM26 76675
In-the-money options deliver the underlying futures.
Check positions and collateral adequacy.
Your options exchange 👉 ae.exchange