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Volatility Analysis Scorecard
Realized volatility computed from tick-level trade data, compared against implied volatility from Deribit options to identify volatility premium or di
Signal Quality
| Period | Accuracy | Samples | Significance |
|---|---|---|---|
| 7d | 73% | 2,016 | ✅ Significant |
| 30d | 70% | 8,640 | ✅ Significant |
| 90d | 69% | 25,920 | ✅ Significant |
Calibration: Volatility regime classification accuracy: % of time high-vol label matches next-4h realized vol > 50th percentile.
Current Reading
Current Value
142.3500
alpha_spread_bps
Methodology Version
v2.0 (2025-11)
Current realized vol vs 90-day rolling distribution.
24h History
500 data points · alpha_spread_bps
Strengths & Weaknesses
✅ Strengths
- High accuracy for regime classification
- Useful for position sizing
- Fast update frequency
Best regime: all regimes
⚠️ Weaknesses
- Reactive, not predictive
- Cannot distinguish vol expansion from contraction
- Less useful as directional signal
Worst regime: sudden vol regime changes
Methodology Changelog
| Date | Version | Change |
|---|---|---|
| 2025-11 | v2.0 | Added multi-timeframe ATR (5m, 1h, 4h, 24h) |
| 2025-06 | v1.0 | Initial launch with 24h realized vol only |
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