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Research
Sep 25, 2024
Macroeconomic Announcements Fuel Volatility
This study investigates the effects of scheduled macroeconomic announcements on Bitcoin (BTC) price and implied volatility proxied by the Bitcoin Volmex Implied Volatility (BVIV) Index. The results reveal statistically significant relationships, with CPI and Fed rate decisions generating substantial increases in BTC and BVIV volatility, and that BVIV experiences significant declines after these announcements, confirming the resolution of uncertainty in the... Read More
Aug 30, 2024
The Impact of Spot Bitcoin ETFs: Trading Activity and Volatility Patterns
This research shows the impact of Bitcoin Exchange-Traded Funds (ETFs) on Bitcoin's trading activity and volatility patterns, with a specific focus on differences between weekdays and weekends. We analyze changes in realized and implied volatility pre- and post-ETF introduction. The analysis reveals that overall trading volume and realized volatility have increased since the launch of Bitcoin ETFs, but this increase is predominantly observed on weekdays. Post-ETF weekdays exhibit significantly higher price fluctuations than... Read More
Aug 7, 2024
Volmex Research Series: Crash of August 5, 2024
On August 5, 2024, global markets experienced significant declines, with the Nikkei 225 falling by 12%, the S&P 500 by 3%, the NASDAQ by 3.4%, Bitcoin (BTC) by 7.2%, and Ether (ETH) by 10.1%. The VIX (S&P 500 Implied Volatility) spiked to 65.73 from 23.39, while the BVIV (BTC Volmex Implied Volatility Index) jumped to 89.04 from 59.65 and the EVIV (ETH Volmex Implied Volatility Index) rose to 102.33 from 59.78. Read More