Starting with Historical Volatility
Implied volatility is central to options trading because it projects how the assets price will perform. The price of the options contract is based on the assets price; the closer the share price moves toward being in the money, the more the value of the options contract increases. So if you can accurately project how the underlying price is likely to perform in coming weeks, you can estimate the likely value of the options contract as well.
Implied volatility is central to options trading because it projects how the assets price will perform. The price of the options contract is based on the assets price; the closer the share price moves toward being in the money, the more the value of the options contract increases. So if you can accurately project how the underlying price is likely to perform in coming weeks, you can estimate the likely value of the options contract as well.
🏁 On the AE exchange at 8:00 UTC Expiration of options 02/17/2026:
• BTCH26 68766
In-the-money options deliver the underlying futures.
Check positions and collateral adequacy.
Your options exchange 👉 ae.exchange
• BTCH26 68766
In-the-money options deliver the underlying futures.
Check positions and collateral adequacy.
Your options exchange 👉 ae.exchange
Calculating Historical Volatility
The value of volatile assets often seems unpredictable. Prices fluctuate over time at varying rates. We can assess the future prices of such assets based on knowledge of how quickly and in what direction the price has changed in the recent past. Therefore, we rely on the daily percentage change in price.
The value of volatile assets often seems unpredictable. Prices fluctuate over time at varying rates. We can assess the future prices of such assets based on knowledge of how quickly and in what direction the price has changed in the recent past. Therefore, we rely on the daily percentage change in price.
🏁 On the AE exchange at 8:00 UTC Expiration of options 02/20/2026:
• BTCH26 68154
• ETHH26 1969.8
• GOLDH26 5032.1
• SOLH26 83.7
In-the-money options deliver the underlying futures.
Check positions and collateral adequacy.
Your options exchange 👉 ae.exchange.
• BTCH26 68154
• ETHH26 1969.8
• GOLDH26 5032.1
• SOLH26 83.7
In-the-money options deliver the underlying futures.
Check positions and collateral adequacy.
Your options exchange 👉 ae.exchange.
🏁 On the AE exchange at 8:00 UTC Expiration of options 02/24/2026:
• BTCH26 63327
In-the-money options deliver the underlying futures.
Check positions and collateral adequacy.
Your options exchange 👉 ae.exchange
• BTCH26 63327
In-the-money options deliver the underlying futures.
Check positions and collateral adequacy.
Your options exchange 👉 ae.exchange
Historical Volatility in the Crypto Industry. Part 1
Today we're going to work through one of the core concepts you simply cannot do without when dealing with any crypto asset. We're talking about historical volatility. Write that down and commit it to memory - you'll encounter it every single day of your career in financial markets.
Today we're going to work through one of the core concepts you simply cannot do without when dealing with any crypto asset. We're talking about historical volatility. Write that down and commit it to memory - you'll encounter it every single day of your career in financial markets.
🏁 On the AE exchange at 8:00 UTC Expiration of options 02/27/2026:
• BTCH26 67924
• ETHH26 2035.1
• GOLDH26 5204.4
• SOLH26 87.39
• TONH26 1.3204
• XRPH26 1.4189
In-the-money options deliver the underlying futures.
Check positions and collateral adequacy.
Your options exchange 👉 ae.exchange.
• BTCH26 67924
• ETHH26 2035.1
• GOLDH26 5204.4
• SOLH26 87.39
• TONH26 1.3204
• XRPH26 1.4189
In-the-money options deliver the underlying futures.
Check positions and collateral adequacy.
Your options exchange 👉 ae.exchange.
Historical Volatility in the Crypto Industry. Part 2
Why Do We Calculate Historical Volatility at All??? I hear this question every year. Let me answer it directly and thoroughly, because the reasoning matters...
Why Do We Calculate Historical Volatility at All??? I hear this question every year. Let me answer it directly and thoroughly, because the reasoning matters...
Historical Volatility in the Crypto Industry. Part 3
Mathematical Foundation: Logarithmic Returns
Before we get into the calculation methods, we need to establish one fundamental concept - the logarithmic return, also called the log return or continuously compounded return.
Mathematical Foundation: Logarithmic Returns
Before we get into the calculation methods, we need to establish one fundamental concept - the logarithmic return, also called the log return or continuously compounded return.
🏁 On the AE exchange at 8:00 UTC Expiration of options 03/03/2026:
• BTCH26 68376
In-the-money options deliver the underlying futures.
Check positions and collateral adequacy.
Your options exchange 👉 ae.exchange
• BTCH26 68376
In-the-money options deliver the underlying futures.
Check positions and collateral adequacy.
Your options exchange 👉 ae.exchange
Methods for Calculating Historical Volatility
Now we get to the interesting part. There are several fundamentally distinct approaches, each with its own strengths and weaknesses when applied to crypto markets...
Classical Standard Deviation (Close-to-Close Volatility)
Now we get to the interesting part. There are several fundamentally distinct approaches, each with its own strengths and weaknesses when applied to crypto markets...
Classical Standard Deviation (Close-to-Close Volatility)
🏁 On the AE exchange at 8:00 UTC Expiration of options 03/06/2026:
• BTCH26 71268
• ETHH26 2087,3
• GOLDH26 5133,7
• SOLH26 88,77
In-the-money options deliver the underlying futures.
Check positions and collateral adequacy.
Your options exchange 👉 ae.exchange.
• BTCH26 71268
• ETHH26 2087,3
• GOLDH26 5133,7
• SOLH26 88,77
In-the-money options deliver the underlying futures.
Check positions and collateral adequacy.
Your options exchange 👉 ae.exchange.
Methods for Calculating Historical Volatility. Method 2. Parkinson Volatility
In 1980, Michael Parkinson proposed using not just closing prices, but daily highs and lows as well. The intuition is straightforward: if a price reached a high of H and fell to a low of L during the day, that range contains far more information about volatility than the closing price alone.
In 1980, Michael Parkinson proposed using not just closing prices, but daily highs and lows as well. The intuition is straightforward: if a price reached a high of H and fell to a low of L during the day, that range contains far more information about volatility than the closing price alone.
🏁 On the AE exchange at 8:00 UTC Expiration of options 03/10/2026:
• BTCH26 70528
In-the-money options deliver the underlying futures.
Check positions and collateral adequacy.
Your options exchange 👉 ae.exchange
• BTCH26 70528
In-the-money options deliver the underlying futures.
Check positions and collateral adequacy.
Your options exchange 👉 ae.exchange
Methods for Calculating Historical Volatility. Method 3. Garman-Klass Volatility
Mark Garman and Michael Klass, also in 1980, went further than Parkinson by incorporating opening prices as well, producing a more complete picture. The first term captures the contribution of the intraday range, as in Parkinson. The second term adjusts for the open-to-close movement. If the price closes significantly above or below the open, the volatility estimate increases accordingly.
Mark Garman and Michael Klass, also in 1980, went further than Parkinson by incorporating opening prices as well, producing a more complete picture. The first term captures the contribution of the intraday range, as in Parkinson. The second term adjusts for the open-to-close movement. If the price closes significantly above or below the open, the volatility estimate increases accordingly.
🏁 On the AE exchange at 8:00 UTC Expiration of options 03/13/2026:
• BTCH26 71100
• ETHH26 2100,3
• GOLDH26 5090
• SOLH26 88,61
In-the-money options deliver the underlying futures.
Check positions and collateral adequacy.
Your options exchange 👉 ae.exchange.
• BTCH26 71100
• ETHH26 2100,3
• GOLDH26 5090
• SOLH26 88,61
In-the-money options deliver the underlying futures.
Check positions and collateral adequacy.
Your options exchange 👉 ae.exchange.
🏁 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