dvol-index

name

dvol-index

description

Read Deribit's DVOL index (BTC and ETH) — the crypto analogue of CBOE's VIX — for vol regime context, term-structure flags, and historical percentile comparisons. Use this skill whenever the user asks about crypto vol regime, BTC vs ETH vol, DVOL level vs history, or wants a vol-context read before crypto-options trades. Triggers: "DVOL", "BTC DVOL", "ETH DVOL", "crypto VIX", "BTC vol regime", "is crypto vol cheap", "implied vol vs realized for BTC". Defaults: BTC currency, trailing 1y window for percentile.

DVOL — Deribit Volatility Index Reader

DVOL is Deribit's 30-day forward implied volatility index, computed from listed BTC/ETH option prices using a variance-swap replication. Functionally it's "the VIX of crypto".

---

Step 1: Pull Current Level

!`curl -sS --max-time 3 "https://www.deribit.com/api/v2/public/get_volatility_index_data?currency=BTC&start_timestamp=$(($(date +%s) * 1000 - 86400000))&end_timestamp=$(($(date +%s) * 1000))&resolution=43200" 2>/dev/null | python3 -c "import json,sys; d=json.load(sys.stdin); rows=d['result']['data']; print(f'BTC DVOL last: {rows[-1][4]:.1f}' if rows else 'DVOL: no data')" || echo "DVOL_UNAVAILABLE"`

For ETH, change currency=BTC to currency=ETH.

---

Step 2: Pull History

import requests, pandas as pd
from datetime import datetime, timedelta

def get_dvol(currency='BTC', days=365, resolution='43200'):
    end = int(datetime.utcnow().timestamp() * 1000)
    start = end - days * 86400 * 1000
    r = requests.get(
        "https://www.deribit.com/api/v2/public/get_volatility_index_data",
        params={
            "currency": currency,
            "start_timestamp": start,
            "end_timestamp": end,
            "resolution": resolution,
        }, timeout=15)
    r.raise_for_status()
    rows = r.json()['result']['data']
    df = pd.DataFrame(rows, columns=['ts', 'open', 'high', 'low', 'close'])
    df['ts'] = pd.to_datetime(df['ts'], unit='ms')
    return df

Resolution values: 1 (1min), 60 (1h), 3600 (1h... wait, see below), 43200 (12h), D (daily). Deribit's resolution is in seconds as a string. 43200 = 12h. Use D for daily bars over a 1y window.

If the API fails, stop — don't substitute cached or approximate values.

---

Step 3: Classify Level

DVOL ranges (BTC, historical 2021-now):

Regime	DVOL
Calm (rare)	< 35
Normal	35 – 55
Elevated	55 – 75
Stressed	75 – 100
Crisis	> 100 (e.g., LUNA, FTX, March 2020)

ETH DVOL tends to run 10-20 vol points higher than BTC due to ETH's higher realized vol and lower options liquidity.

Always show 1y percentile alongside the absolute level — "DVOL = 52" means very different things at the 10th vs 90th percentile of the year.

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Step 4: Term Structure (DVOL alone is 30-day — for a curve, use ATM IVs from deribit-options-chain)

DVOL is a single 30-day point. To get the full vol curve, use deribit-options-chain to compute ATM IV per expiry. Compare the 7d ATM IV vs DVOL vs 90d ATM IV for contango/backwardation read.

short_long_ratio = atm_iv_7d / atm_iv_90d

Pattern	Read
Short < Long (contango)	Calm regime, vol-sellers' market
Short > Long (backwardation)	Frontend stress, vol-buyers' market
Curve kink at expiry near a known event	Event vol — token unlock, halving, scheduled upgrade

Halvings (BTC ~every 4 years) and ETH protocol upgrades historically pump near-event IV by 10-15 vol points.

---

Step 5: IV vs Realized (IV-RV Spread)

Pull BTC daily closes for the past 30 days from any spot source (e.g. Coingecko, or use the Deribit index /get_index_price snapshot for now and an external history elsewhere). Compute realized vol:

import numpy as np
def realized_vol(prices, window=30):
    logret = np.log(prices).diff()
    return logret.rolling(window).std() * np.sqrt(365)

Compare to DVOL:

iv_rv_spread = DVOL − realized_vol_30d

• Sustained iv_rv_spread > 10 vol points → vol-sellers earn the variance risk premium
• iv_rv_spread < 0 (realized > implied) → vol expansion regime, vol buyers winning

This is the canonical "vol carry" trade in crypto. Risk: realized can spike fast — funding stress, exchange collapses, hack rumors all blow it up. Size with position-sizing.

---

Step 6: Respond to User

1. Current DVOL (BTC + ETH if relevant) + 1y percentile.
2. Regime classification.
3. IV-RV spread context.
4. Term-structure read (if user asks beyond DVOL alone).
5. One-line trade implication if a clear regime — but no naked recommendations without sizing constraints.

Hand off to:

• deribit-options-chain for the full surface
• inverse-options-pricing for theoretical contract prices
• position-sizing if user wants to size a vol-carry trade

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Caveats

• DVOL update frequency: Deribit publishes DVOL continuously; the index uses a 1-second tick. Polling once/minute is plenty.
• DVOL ≠ ATM IV: DVOL is a variance-swap replication, not the ATM 30-day IV. They typically differ by 1-3 vol points (DVOL is biased higher because of OTM contributions).
• ETH DVOL liquidity: Thinner than BTC. Daily-bar level is reliable; intraday can spike on a single block trade through an OTM wing.
• No SOL DVOL as of 2025-Q4 — too thin a chain to compute.