Methodology

At a given time, volmex.finance indices factor in eight options which meet the following criteria:

• In-the-money call and put closest to 15 days from expiration

• Out-of-the-money call and put closest to 15 days from expiration

• In-the-money call and put closest to 45 days from expiration

• Out-of-the-money call and put closest to 45 days from expiration

Options data is sourced in real-time from Deribit, the leading crypto options exchange. By running respective data through an inverted Black-Scholes formula, an output is generated (current index value), which aims to measure the 30-day implied volatility of the underlying asset (e.g. ETH, BTC, etc). The index output is the mean of the IVs.

Mid price of options is used in the calculation.