Realized Volatility

Definition

The rolling realized volatility, measured as the standard deviation of the natural log of returns calculated every 10 minutes over the past interval.

Name	MetricID	Unit	Interval
Volatility, realized, USD, rolling, 24 hours	volatility_realized_usd_rolling_24h	Dimensionless	24 hours
Volatility, realized, USD, rolling, 7 days	volatility_realized_usd_rolling_7d	Dimensionless	7 days
Volatility, realized, USD, rolling, 30 days	volatility_realized_usd_rolling_30d	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:

$$RV=\sqrt{\frac{1}{N-1}\sum_{i=1}^{N}(ln(\frac{s_i}{s_{i-1}}) - 0)^2}\cdot\sqrt{T}$$

Where $RV$is the realized volatility (annualized), $N$is the lookback window, ${s_i}$ is the real-time reference rate price at timestep $i$, and $T$ 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 $T=6⋅24⋅365$, 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.

API Endpoints

Realized Volatility can be accessed using these endpoints:

• /timeseries/asset-metrics

Asset metrics

Returns requested metrics for specified assets. Results for block by block metrics (1b frequency) are ordered by tuple (asset, height, block_hash), all other metrics are ordered by tuple (asset, time). You can change the sorting using sort query parameter. Supported output formats are json (default) and csv, use format query parameter to override it. To fetch the next page of results use next_page_url JSON response field or x-next-page-url CSV HTTP header if present. If multiple metrics are requested in the same time the strict policy for partially available metrics among requested ones is applied:

GEThttps://api.coinmetrics.io/v4/timeseries/asset-metrics

Authorization

api_key

Query parameters

Response

200400401403414

Time series of metrics for an asset.

Body

application/jsontext/csv

data*any

next_page_tokenNextPageToken (string)

Token of the next page results for a given request.

next_page_urlNextPageUrl (string)

URL of the next page results for a given request.

Response

200400401403

{
  "next_page_token": "text",
  "next_page_url": "text"
}

Example

{
  "data": [
    {
      "asset": "btc",
      "time": "2023-01-04T01:30:00.000000000Z",
      "volatility_realized_usd_rolling_7d": "0.1665951"
    },
    {
      "asset": "btc",
      "time": "2023-01-04T01:40:00.000000000Z",
      "volatility_realized_usd_rolling_7d": "0.166523"
    },
    {
      "asset": "btc",
      "time": "2023-01-04T01:50:00.000000000Z",
      "volatility_realized_usd_rolling_7d": "0.1665153"
    },
    {
      "asset": "btc",
      "time": "2023-01-04T02:00:00.000000000Z",
      "volatility_realized_usd_rolling_7d": "0.1664952"
    },
    {
      "asset": "btc",
      "time": "2023-01-04T02:10:00.000000000Z",
      "volatility_realized_usd_rolling_7d": "0.166733"
    }
  ]
}

• asset: The id of the asset.\

• time: The exchange-reported time in ISO 8601 date-time format. Always with nanoseconds precision.\

• volatility_realized_usd_rolling_7d: The annualized 7-day rolling volatility.

Release History

• Released on November 30th, 2022

Availability for Assets

The realized volatility metrics are available for approximately 650 assets and is identical to the Real-Time Reference Rates coverage universe.

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