CoinDesk analysis shows Bitcoin has recorded 10 trading days this year in which the one-day move reached three standard deviations of recent volatility, exceeding the eight seen in all of 2018. The calculation uses realized daily return volatility over the previous 30 days and includes both upside and downside moves. At the same time, Bitcoin’s annualized volatility this year is about 46%, below 84% in 2018, while the average absolute move on those outsized days has fallen from roughly 10% to about 7%. Deribit CEO Luuk Strijers said standard value-at-risk, or VaR, metrics do not fully capture tail risk, warning that increasing allocations solely because recent volatility has declined could amplify the impact of sudden swings on a portfolio.
According to CoinDesk analysis cited by Techub News, Bitcoin has recorded 10 trading days this year in which the one-day price move reached three standard deviations of recent volatility, more than the eight such days seen in all of 2018.
The measure is based on realized daily return volatility over the previous 30 days and counts both upward and downward moves.
Lower annualized volatility, but more extreme days
Bitcoin’s annualized volatility this year is about 46%, compared with 84% in 2018. The average absolute move on those outsized trading days has also dropped, from about 10% to about 7%.
Deribit CEO flags tail-risk limits in VaR
Deribit CEO Luuk Strijers said standard value-at-risk metrics do not adequately measure tail risk. He added that raising allocations based only on a decline in recent volatility could magnify the effect of sudden market moves on a portfolio.
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