Conversation

Well, something reached all time highs today... ftx.com/trade/BVOL/USD

Replying to

and

Why would you not have a vol product that is the sum of daily range over x time period? Makes lot of sense to me

Replying to

That's sort of what BVOL is--it adds up implied vol from next day, next few weeks, and next few quarters. Or do you mean an expiring one?

Replying to

and

I thought bvol is simply a bet on the BTC (t=expiration) - BTC (t=0). In above case, final settlement can be zero while the path could be very volatile. I am thinking an expiring one.

SBF

@SBF_FTX

Replying to

@sks01119

MOVE is t=expiration - t=0 BVOL holds MOVE contracts but sells them before t=0--so it only holds MOVE contracts whose periods haven't started yet, thus tracks implied vol, not realized vol

2:23 AM · May 10, 2020Twitter Web App

Replying to

and

Exactly. So what I am suggesting is one based on realized. Sum of daily moves is so easy to understand intuitively vs thinking in terms of vol and then worrying about the difference between realized and implied vol