Volatility

About this desk

What you use it for

Open this before sizing a coin. It shows how wide the daily moves have been, how much of that width was downside, where the latest week sits on the path, the deepest close-to-close drop, and the best and worst day. For bitcoin and ether it also shows Deribit’s volatility index.

What the numbers are

Realized volatility is the sample standard deviation of daily log returns, times the square root of 365, as a percent. Downside uses only the negative logs. Week rank is how many 7-day windows were this calm or calmer, out of 100. A high rank is a wide week. The path is CoinGecko’s daily closes for about 90 days. Deribit’s index is their daily close. Their historical volatility is the latest point of the series they return.

What it leaves out

It describes the path that already printed. It is not a forecast and not an option price. Intraday lows can be deeper than the close-to-close drawdown. Deribit’s index is only attached for bitcoin and ether.

Every desk is introduced the same way on the desk list.