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BAROMETER

barometer@atheron:/volatility$

// Feed one

How much it may move.

A 30-day forecast, every minute.

Expected Volatility forecasts the size of price moves over the next 30 days, as an annual rate. It is built from our own one-minute price history, so every number can be traced back to the trades it came from.

Coming soon
Expected Volatility, BTC
Line chart of a sample 30-day expected volatility for bitcoin beside realised volatility, over 120 days203040506041.632.1

From the Atheron Barometer feed, updated every minute. Market information, not advice.

Show the numbers as a table
DayExpected, next 30 daysRealised, last 30 days
1 days ago41.632.1
1 days ago42.732.9
2 days ago41.932.4
3 days ago41.932.4
3 days ago41.932.2
3 days ago41.932.2
4 days ago41.932.2
4 days ago44.133.9
5 days ago44.333.6
6 days ago42.132.5
7 days ago41.932.2
8 days ago41.932.2
8 days ago41.932.2
8 days ago41.932.2
8 days ago41.932.4
9 days ago41.932.2
9 days ago41.932.2
9 days ago41.932.2
9 days ago41.932.2
9 days ago43.032.2
10 days ago43.332.8
11 days ago43.533.3
12 days ago43.533.5
13 days ago44.033.7
14 days ago44.234.4
15 days ago43.934.1
16 days ago43.533.9
17 days ago43.034.5
18 days ago44.134.9
19 days ago45.435.1
20 days ago44.135.1
21 days ago43.735.1
22 days ago43.234.6
23 days ago42.634.2
24 days ago42.335.2
25 days ago42.935.6
26 days ago44.136.0
27 days ago43.735.6
28 days ago43.435.4
29 days ago43.935.1
30 days ago43.134.7
31 days ago42.835.6
32 days ago44.836.6
33 days ago44.336.4
34 days ago46.036.3
35 days ago45.036.0
36 days ago46.036.0
37 days ago44.935.3
38 days ago44.636.0
39 days ago45.936.7
40 days ago46.436.6
41 days ago45.737.1
42 days ago45.837.6
43 days ago47.137.6
44 days ago45.137.3
45 days ago44.540.3
46 days ago45.641.4
47 days ago44.841.9
48 days ago45.541.7
49 days ago46.541.3
50 days ago45.140.2
51 days ago43.639.5
52 days ago43.339.6
53 days ago45.839.8
54 days ago44.539.0
55 days ago45.138.7
56 days ago44.538.5
57 days ago44.538.2
58 days ago44.437.9
59 days ago44.338.0
60 days ago46.638.1
61 days ago46.437.4
62 days ago45.636.8
63 days ago45.436.5
64 days ago48.336.2
65 days ago48.035.6
66 days ago47.635.7
67 days ago49.436.0
68 days ago49.935.7
69 days ago50.135.5
70 days ago51.535.3
71 days ago51.134.1
72 days ago50.032.9
73 days ago50.232.6
74 days ago54.532.0
75 days ago50.528.2
76 days ago50.126.6
77 days ago47.525.9
78 days ago47.625.8
79 days ago47.225.4
80 days ago47.126.2
81 days ago47.326.8
82 days ago47.627.2
83 days ago47.327.7
84 days ago47.228.2
85 days ago47.528.2
86 days ago47.128.0
87 days ago47.028.5
88 days ago47.429.4
89 days ago47.330.1
90 days ago47.630.7
91 days ago47.631.8
92 days ago47.731.8
93 days ago47.531.6
94 days ago47.031.9
95 days ago48.732.8
96 days ago48.433.5
97 days ago48.933.9
98 days ago48.234.7
99 days ago48.134.8
100 days ago47.534.7
101 days ago47.136.5
102 days ago47.438.9
103 days ago47.139.5
104 days ago47.139.9
105 days ago47.240.2
106 days ago48.440.2
107 days ago46.939.7
108 days ago46.740.2
109 days ago47.640.9
110 days ago47.241.6
111 days ago47.341.7
112 days ago47.941.9
113 days ago47.941.7
114 days ago47.341.3
115 days ago47.341.8
116 days ago47.742.4
117 days ago48.243.3
118 days ago48.343.7
119 days ago48.244.1

// In every reading

One forecast, four numbers

Each reading carries everything you need to judge it, not just the headline.

Expected

The forecast for the next 30 days, annualised, in per cent.

Realised

What volatility actually was over the last 30 days, measured the same way.

The gap

Expected minus realised, so you can see when the forecast runs ahead of the recent past.

Percentile

Where today's forecast sits in its own last 365 days, from 0 to 100.

// Coverage

What it covers

We start narrow and add assets once their history is long and clean enough.

Bitcoin

BTC, from the first release.

Ether

ETH, from the first release.

Top 50 basket

An equal-weight basket of the 50 largest assets we track, next.

// How a reading is made

From trades to a forecast

The same steps every minute, the same way every time.

  1. 1

    Collect

    One-minute prices from the exchanges we read, kept as our own history.

  2. 2

    Measure

    Realised variance from five-minute returns, for the last day, week and month.

  3. 3

    Forecast

    A HAR model weighs those three into the next 30 days. Its weights are refitted every month.

  4. 4

    Publish

    A new reading every minute, plus hourly and daily history, with the model's weights inside.

Questions

Is this implied volatility?
No. Implied volatility is read from option prices. Expected Volatility is a forecast from price history, which we own outright. We will only add an option-based index from a venue whose terms let us publish values derived from its data.
Does it tell me what to trade?
No. It measures and forecasts how much prices move, not which way. It is information, not advice.
How far back does the history go?
Readings are kept from the first day the feed publishes, plus a twelve-month history rebuilt with the same method from our stored prices.
Can I see how it is calculated?
Yes. The method page explains every step, and each reading carries the model's current weights.

Use it in your own tools

The feed comes through the Atheron developer portal, with a key, docs and examples in every major language. Join the list to hear when API access opens.

Coming soonDocs
Expected Volatility | Atheron Barometer