Altcoin Volatility Surfaces Using Equity Basket Bootstrap

Summary

The document describes a proposed method for estimating altcoin volatility surfaces. It contrasts the approach with methods that adjust Bitcoin or Ethereum volatility using realized moments such as skew, kurtosis, and volatility of volatility. It argues that those moments can vary sharply with the selected data and timeframe, while rare extreme events make tail estimates particularly difficult.

The proposed alternative bootstraps from an equity basket, uses cointegration to ground relationships, and applies GARCH scaling. The overview also identifies outputs: SVI parameters at 7- and 30-day expirations, statistics including delta surfaces and GARCH estimates, and synthetic option marks with spreads and futures prices. It names possible uses in market making, DeFi, exchanges, and OTC pricing. However, it provides no equations, calibration details, comparative test results, or independent evidence for its claims of greater stability. Treat it as a high-level description of a vendor methodology rather than a reproducible evaluation.

Key ideas

• The method uses an equity basket as the starting point for estimating altcoin volatility surfaces.
• It applies cointegration and GARCH scaling to construct or adjust volatility estimates.
• The stated outputs include SVI parameters, delta surfaces, and synthetic option marks.
• The document argues that realized-moment scaling can be unstable across samples and timeframes.
• No empirical comparison or implementation details are supplied.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.