Re:CBOE Will Start Bitcoin Futures Trading on December 10
by tome on Monday December 04, 2017 @12:12PM
(#15845455)
The highest daily volatility ever was 15% and it's currently around 4%, according to https://bitvol.info/ . Two times the highest daily standard deviation ever doesn't seem so unreasonable.
Re:CBOE Will Start Bitcoin Futures Trading on December 10
by 1053r on Monday December 04, 2017 @12:54PM
(#15845875)
That's the highest AVERAGE ROLLING 30 DAY volatility.
For example, on Dec 7, 2013, volatility between the high and the low was 54.6%. [1] However, it was lower for the other days of all 30 day periods that include that day, and averaged out to under 15%.
Re:CBOE Will Start Bitcoin Futures Trading on December 10
by baddox on Monday December 04, 2017 @10:30AM
(#15844533)
Do you have any data on what the largest 48-hour jumps in Bitcoin price have been?
Re:CBOE Will Start Bitcoin Futures Trading on December 10
by pmontra on Monday December 04, 2017 @10:47AM
(#15844718)
This could be the largest one in absolute value: according to http://www.xe.com/en/currencycharts/?from=XBT&to=USD&view=1W it went from 11258 USD on November 28 to 9136 on November 29. Then it went up and down again to 9217 on the night of November 30.
The initial margin is expected to cover a the movement of an observable through making the margin call, the period of time the margin call could be filled, declaring the counter-party in default and closing out the position. This normally adds up to a minimum of 2 working days.
Saying that it's beyond the realms of possibility for bitcoin to jump or fall 30% in 2 days seems ridiculous.