Data Snippet – Bitcoin volatility surges past previous high

• Bitcoin’s price volatility has continued to rise since it surpassed 2018’s high in mid-March.
• In the midst of a global pandemic, interest rate cuts and economic uncertainty have left traditional markets with similarly high volatility. The VIX recently fell just short of reaching the 2008 all-time high.
• BTC/USD is also approaching a significant 7800-8000 range, which has provided both support and resistance over the past year
• BTC/USD is also approaching its slow-moving 100 and 200 day SMA’s.

The 30-day rolling historical volatility uses the Brave New Coin, Bitcoin Liquid Index (BLX) daily close as a price input. Historical volatility is calculated as the standard deviation of a given period of interday returns (in this case 30 days). Standard deviation measures the average deviation of each day’s returns from the mean returns, throughout the period. This value is multiplied by an annualization factor (the square root of 365) to derive the 30-day annualized volatility. This calculation is repeated everyday using a shifting 30 day window, to derive a time series of rolling historical volatility.

The BNC Bitcoin Liquid Index (BLX) represents the fair value of Bitcoin, and is based on trade and order book data sourced from the world’s most trusted and liquid trading platforms. The BLX is ideal for settlements and accurate spot pricing, and is part of the Liquid Indices Program. alongside the Ethereum Liquid Index (ELX) and the XRP Liquid Index (XRPLX).

The Liquid Indices Programprovides a real-time spot or reference rate for the most liquid end of their respective markets and has been independently audited and aligned with IOSCO benchmark principles. The data is available through APIs offering a live feed and support for fine granularity historic tick-data dating back to MtGox in early 2010. End-of-Day (EOD), OHLCV, Time and Volume-Weighted-Average (T-WAP and V-WAP) are also included.

The Reuters Instrument Code (RIC) assigned for the Bitcoin Liquid Index is <BTCINX=BNC>, and the BNC company page is referenced as TR: BLXINDEX. The BLX and ELX are also available through the Nasdaq Global Index Data ServiceSM (GIDS).