DVOL (Deribit Volatility Index)

What DVOL is

Deribit publishes a volatility index for BTC and one for ETH, each called DVOL, with history back to March 2021. It is not the implied volatility of any one option. Following the approach of the VIX, it is derived from the prices of out-of-the-money options across many strikes, not only at the money, and expressed at a constant 30-day horizon. It is a single number for how much movement Deribit's options market is pricing over the next month.

Reading the number

DVOL is quoted like any annualized IV. With DVOL at 55 and BTC at $100,000:

• a one-standard-deviation move over 30 days is 55% × √(30/365) ≈ 15.8%, about $15,800 either way;
• over one day, 55% / √365 ≈ 2.88%, about $2,900. Dividing by about 19 is the usual mental shortcut.

DVOL and ATM IV 30d

Both measure 30-day implied volatility, but not in the same way. ATM IV 30d, as BOSS computes it, uses only the at-the-money options of the listed expiries, interpolated to 30 days. DVOL also draws on the wings, and in crypto the wings usually trade above the money (the smile), so DVOL tends to sit somewhat above ATM IV 30d, more so when the smile steepens. A widening gap between the two is itself a sign the market is paying up for the tails.

DVOL is computed from Deribit's options only. BOSS's ATM IV 30d is computed per venue, so it can also be read on OKX and Bybit, where IV can differ from Deribit's.

DVOL against realized volatility

Set against the 30-day realized volatility of the same coin, DVOL shows the volatility risk premium over years. Keep the timing straight: DVOL on a date looks forward 30 days, while RV 30d on that date looks back 30 days. With DVOL at 55 and last month's RV at 40, options price 15 points more movement than the last month delivered; whether that premium was actually earned is decided by the RV of the following 30 days (see IV vs. RV).

DVOL tends to jump in sharp sell-offs and drift lower in quiet markets, much as the VIX does for equities, though in crypto a strong rally can lift it too. A long straddle gains from a rise in it; a short strangle loses.

Where BOSS gets it

BOSS imports DVOL from Deribit's free public history: daily values since 2021 and hourly values for the last 60 days, refreshed every hour. The Dashboard charts it against the 30-day realized volatility of Deribit's perpetual, using the hourly series for periods up to 60 days and the daily one beyond.