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How Is a VIX-like Index Calculated for the Cryptocurrency Market?

Weighted average of out-of-the-money call and put option prices across a range of strikes and expirations.
Greeks.Live20.11.25

How Is a VIX-like Index Calculated for the Cryptocurrency Market?

A crypto volatility index (e.g. CBOE's VIX for Bitcoin) is calculated by aggregating the weighted prices of a basket of out-of-the-money call and put options across a range of strike prices and two nearest-term expiration dates.

The calculation uses a complex formula to derive the market's expected 30-day volatility, mirroring the methodology used for the traditional VIX.

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