Hi Ben - Thanks for writing this article. I'm pondering the correlation between IV and BTC.D. If BTC.D, If BTC.D is a metric that shows the percentage of the total cryptocurrency market capitalization contributed by Bitcoin. There could be an inverse relationship between BTC.D and IV; as BTC.D increases, it may suggest a move towards a safer asset (BTC) and thus lower market IV. Conversely, a decreasing BTC.D might indicate a shift towards altcoins, which could increase IV due to the higher risk and volatility associated with these assets.
If this is a true, or we see strength with this correlation, in your historical analysis is there a time delay i.e. I'm trying to understand if there is a way to front run portfolio rotation, or portfolio rebalancing timing.
Hi Ben - Thanks for writing this article. I'm pondering the correlation between IV and BTC.D. If BTC.D, If BTC.D is a metric that shows the percentage of the total cryptocurrency market capitalization contributed by Bitcoin. There could be an inverse relationship between BTC.D and IV; as BTC.D increases, it may suggest a move towards a safer asset (BTC) and thus lower market IV. Conversely, a decreasing BTC.D might indicate a shift towards altcoins, which could increase IV due to the higher risk and volatility associated with these assets.
If this is a true, or we see strength with this correlation, in your historical analysis is there a time delay i.e. I'm trying to understand if there is a way to front run portfolio rotation, or portfolio rebalancing timing.
Awesome question, Adam. Let me get back to you on this as I'm curious myself and want to check it out when I get a bit more time.