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BitMEX is the only Bitcoin exchange listing volatility futures.

We list three types of futures; daily, weekly, and 30-day. Each contract settles on the index price for that day. To
understand how to correctly price `BVOL`

contracts, one must understand how the indices are calculated.

### Volatility Indices

BitMEX runs three indices tracking volatility: `.BVOL`

, `.BVOL7D`

, and `.BVOL24H`

.
Note the leading `.`

which indicates an index.

### Volatility Contracts

BitMEX runs two contracts based on volatility indices: `BVOL24H`

and `BVOL7D`

, which track their respective indices.
At this time, BitMEX is not trading 30-day volatility contracts.

#### .BVOL24H (Daily)

In many cases, traders want to track volatility closely. `.BVOL24H`

moves quickly and is useful for tracking
Bitcoin price movements from events such as exchange announcements, integrations, and legislation.

The BitMEX Daily Historical Volatility Futures Contract allows investors to speculate on the daily
volatility of the Bitcoin / USD (XBTUSD) exchange rate over a 24 hour period. Price measurements are taken
from the `.XBT_5M`

index, which tracks the XBX Index every 5 minutes.

This price is recorded in the .BVOL24H Index. The daily settling `BVOL24H`

contract settles
on this price.

#### .BVOL7D (Weekly)

The weekly version of `.BVOL`

is a midway point between 30-day volatility, and very short term daily volatility.
Many traders have a week-long time horizon for their trades so using a weekly volatility contract in their
portfolio is prudent.

The BitMEX Weekly Historical Volatility Futures Contract allows investors to speculate on the seven day
volatility of the Bitcoin / USD (XBTUSD) exchange rate. Price measurements are taken from the `.XBT_5M`

index,
which tracks TradeBlock XBX every 5 minutes.

This price is recorded in the .BVOL7D Index. The daily settling `BVOL7D`

contract settles
on this price.

#### .BVOL (30-Day Annualized)

The BitMEX 30 Day Historical Volatility Futures Contract allows investors to speculate on the annualized
volatility of the Bitcoin / USD (XBTUSD) exchange rate over a 30 day period. Price measurements are taken
based on daily 2-hour TWAP (`.XBT2H`

).

This price is recorded daily in the .BVOL Index. Contracts are settled on the price
of the `.BVOL`

index on the settlement date.

At this time, BitMEX is not trading 30-day volatility contracts.

### What Is Volatility?

Volatility is a measure for variation of price of a financial instrument over time. We calculate volatility by measuring the percentage change in price (up or down) between measurements on a logarithmic scale.

#### .BVOL24H (Daily) Index calculation

The underlying of the Daily Historical Volatility Futures Contract futures is the
BitMEX Daily Historical Volatility Index (`.BVOL24H Index`

). This index is a rolling 24 hour calculation
of the historical volatility of XBTUSD using logarithmic percentage change of the XBX Index last price observed
every 5 minutes. 288 samples are taken per day (`12 per hour * 24 hours`

).

```
P = XBX Index Last Price (taken at 5 minute intervals)
Stdev = Sample Standard Deviation
Ln = Natural Logarithm
Sqrt = Square Root
.BVOL Index = Stdev(Ln(P
```_{1}/P_{0}), Ln(P_{2}/P_{1}), ..., Ln(P_{288}/P_{287})) * Sqrt(288)

#### .BVOL7D (Weekly) Index calculation

The underlying of the Weekly Historical Volatility Futures Contract futures is the
BitMEX Weekly Historical Volatility Index (`.BVOL7D Index`

). This index is a rolling 7 day calculation
of the historical volatility of .XBT using logarithmic percentage change of last price observed
every 5 minutes. 2,016 samples are taken per week (`12 per hour * 24 hours * 7 days`

).

```
P = XBX Index Last Price (taken at 5 minute intervals)
Stdev = Sample Standard Deviation
Ln = Natural Logarithm
Sqrt = Square Root
.BVOL7D Index = Stdev(Ln(P
```_{1}/P_{0}), Ln(P_{2}/P_{1}), ..., Ln(P_{2105}/P_{2016})) * Sqrt(2016)

#### .BVOL (30-Day Annualized) Index calculation

The underlying of the 30 Day Historical Volatility Futures Contract futures is the
BitMEX 30 Day Historical Volatility Index (`.BVOL Index`

). The Index is a rolling 30 day calculation
of the historical volatility of XBTUSD on the XBX Index. Every day from 10:00 UTC to 12:00 UTC a 1 minute
Time Weighted Average Price (TWAP) is calculated for XBTUSD on the XBX Index and the index looks at the daily
logarithmic percentage change in this price.

```
P = Daily TWAP from day 0 to day 30 (i.e. 31 prices to give 30 price movements)
Stdev = Sample Standard Deviation
Ln = Natural Logarithm
Sqrt = Square Root
.BVOL Index = Stdev(Ln(P
```_{1}/P_{0}), Ln(P_{2}/P_{1}), ..., Ln(P_{30}/P_{29})) * Sqrt(365)

### How Are These Contracts Quoted?

For all contracts, the minimum price increment is 0.01%.

Daily and weekly contracts are quoted in daily or weekly volatility percentage points.

For example, a quote of 10.00 means 10.00% daily or weekly volatility. The contract pays out 0.0001 XBT for every 0.01% point move in volatility, or 0.01 XBT per 1% point move.

The 30 day volatility futures contracts are quoted in annualized volatility percentage points.

For example, a quote of 50.00 means 50.00% 30 day annualized volatility. The contract pays out 0.0001 XBT for every 0.01% point move in the annualised volatility, or 0.01 XBT per 1% point move.

### Buying Volatility

Traders wishing to profit from an increase in the historical volatility will buy BVOL contracts. The difference between where a trader buys the futures contract and where the .BVOL Index is on settlement day, multiplied by 0.01 XBT, is the trader’s profit.

For example, a trader wishes to buy 100 XBT worth of volatility. The BVOLG15 (27 February 2015 BitMEX 30 Day Historical Volatility Futures Contract) trades at 50.00%.

`XBT Contract Value = Futures Price * 0.01 XBT * Number of Contracts`

To have an exposure of 100 XBT, the trader must buy 200 contracts, `100 XBT / (50.00% * 0.01 XBT)`

.

On settlement day, the .BVOL Index equals 60.00%.

`XBT Profit = (.BVOL Index – Entry Price) * 0.01 XBT * Number of Contracts`

The trader has made a profit of 20 XBT, `(60.00% - 50.00%) * 0.01 XBT * 200`

.

### Selling Volatility

Traders wishing to profit from a decrease in the historical volatility will sell futures contracts. The difference between where a trader sells the futures contract and where the .BVOL Index is on settlement day, multiplied by 0.01 XBT, is the trader’s profit.

A trader wishes to sell 100 XBT worth of volatility. The BVOLG15 (27 February 2015 BitMEX 30 Day Historical Volatility Futures Contract) trades at 50.00%.

`XBT Contract Value = Futures Price * 0.01 XBT * Number of Contracts`

To have an exposure of -100 XBT, the trader must sell 200 contracts, `-100 XBT / (50.00% * 0.01 XBT)`

.

On settlement day, the .BVOL Index equals 40.00%.

`XBT Profit = (.BVOL Index – Entry Price) * 0.01 XBT * Number of Contracts`

The trader has made a profit of 20 XBT: `(40.00% - 50.00%) * 0.01 XBT * -200`

.

### Margin

`BVOL`

contracts are classed as `Speculative`

. Because of the high degree of price volatility, the Dynamic Profit Equalisation system is used. BitMEX allows the use of leverage when trading the volatility futures contracts.
Just like all other BitMEX futures contacts, traders must post initial margin to place an order,
and must have maintenance margin against any open positions. The initial and maintenance margin levels
are assessed as a percentage of the Bitcoin value of the futures contracts.

If the initial margin and maintenance margin levels are 30% and 20% respectively, a trader with a position of 200 contracts of the BVOLG15 at a price of 50.00% must post 30 XBT and 20 XBT respectively.

When the 30 day volatility futures contract has 30 days left until expiry, the price used to mark positions for the purposes of maintenance margin and unrealised PNL changes from Last Price to Mark Price. The daily volatility futures contract does not use the mark price logic.

#### Mark Price (30-day Contracts Only)

```
N = Days until expiry (from 30 to 0)
L = Last Price
I = BitMEX 30 Day Historical Volatility Index Value
Mark Price = (L \* (N/30)) + (I \* ((30-N)/30))
```

### Pricing Spreadsheet

Please use the following
BVOL Pricing
google spreadsheet as an aid to help price `BVOL`

futures contracts. A detailed guide is included in the spreadsheet itself.