Realized Volatility, Rolling 30 Days (USD)

Definition
The 30 day rolling realized volatility, measured as the standard deviation of the natural log of returns calculated every 10 minutes over the past 30 days.
Name
MetricID
Category
Subcategory
Type
Unit
Interval
Volatility, realized, USD, rolling, 30 days
volatility_realized_usd_rolling_30d
Market
Volatility
Ratio
Dimensionless
30 days
Details
Coin Metrics calculates realized volatility using our Real-Time Reference Rates as the price input. The Real-Time Reference Rates have been tested against many out-of-sample periods of market stress and have been reliably producing prices under numerous market conditions for a period of three years. It utilizes our Market Selection Framework which evaluates all markets in our coverage universe and uses a set of 38 qualitative and quantitative features to produce a unique set of constituent markets for each asset. It uses volume-weighted and inverse price variance-weighted techniques to produce a price that is robust to outliers and anomalies. 
Volatility is calculated using the close-to-close method, as this is optimal for continuous markets and is widely accepted across financial literature. For this calculation we use the population mean with zero drift, meaning the formula reduces to:
RV=1N−1∑i=1N(ln(sisi−1)−0)2⋅TRV=\sqrt{\frac{1}{N-1}\sum_{i=1}^{N}(ln(\frac{s_i}{s_i-1}) - 0)^2}\cdot\sqrt{T}RV=N−11​i=1∑N​(ln(si​−1si​​)−0)2​⋅T​
Where RV RV RV
is the realized volatility (annualized), N N N
is the lookback window, si {s_i} si​
 is the real-time reference rate price at timestep i i i
, and T T T
 is the time adjustment factor. Using an average return of 0 is standard in these calculations as it avoids misleading volatility numbers during sustained periods of substantially high or low return.
The real-time reference rates are resampled to calculate returns over a 10 minute period, as this frequency captures the rapid nature of volatility in cryptocurrency markets. Volatility is then annualized by setting T=6⋅24⋅365 T=6⋅24⋅365 T=6⋅24⋅365
, as crypto markets trade 24 hours a day each day of the year. Volatility can then be calculated on a rolling window with a specified lookback.
Example
{
  "data": [
    {
      "asset": "btc",
      "time": "2023-01-04T01:30:00.000000000Z",
      "volatility_realized_usd_rolling_30d": "0.2541566"
    },
    {
      "asset": "btc",
      "time": "2023-01-04T01:40:00.000000000Z",
      "volatility_realized_usd_rolling_30d": "0.2540844"
    },
    {
      "asset": "btc",
      "time": "2023-01-04T01:50:00.000000000Z",
      "volatility_realized_usd_rolling_30d": "0.2540639"
    },
    {
      "asset": "btc",
      "time": "2023-01-04T02:00:00.000000000Z",
      "volatility_realized_usd_rolling_30d": "0.2540553"
    },
    {
      "asset": "btc",
      "time": "2023-01-04T02:10:00.000000000Z",
      "volatility_realized_usd_rolling_30d": "0.2540928"
    }
  ]
}
Interpretation
Realized volatility can be used to adjust risk parameters like collaterization ratios
Release History
Released on November 30th, 2022
Availability for Assets
The realized volatility metrics are available for approximately 550 assets and is identical to the Real-Time Reference Rates coverage universe.
Coin Metrics Coverage
Coin Metrics Coverage

Realized Volatility, Rolling 7 Days (USD)

Future Market Cap (USD)

Last modified 1mo ago

Name	MetricID	Category	Subcategory	Type	Unit	Interval
Volatility, realized, USD, rolling, 30 days	volatility_realized_usd_rolling_30d	Market	Volatility	Ratio	Dimensionless	30 days