Digital assets are commonly sized as a single allocation and then filled with whatever is liquid. The dispersion between the majors over a quarter is the argument against doing that, and it is larger than the equivalent figure for most equity sectors.
| Asset | Close | 90-day | One year |
|---|---|---|---|
| Bitcoin | $63,951 | −9.3% | −36.7% |
| LINK | $7.87 | −14.8% | −32.5% |
| Ether | $1,726 | −19.9% | −22.5% |
| DOGE | $0.08 | −20.0% | −46.7% |
| XRP | $1.13 | −20.4% | −44.1% |
| Solana | $71.88 | −20.8% | −45.4% |
| AVAX | $6.23 | −35.4% | −62.3% |
Bitcoin daily close
Coinbase Exchange, in dollars.
Source: Coinbase Exchange daily closes. Computed by Institutional Asset Journal.
Why realized rather than implied
Implied volatility is a price, set by whoever is selling options, and it carries a risk premium. Realized volatility is an observation: what the asset actually did. For sizing a position the second is the input, and for judging whether options are expensive the difference between the two is.
How this was measured
- Prices are Coinbase Exchange daily closes, chosen over an aggregated mid because a single regulated venue is a defined measurement and a blend of venues is not. Realized volatility is the standard deviation of daily logarithmic returns over the stated window, annualized by the square root of 365 rather than 252, because this market trades every day. Correlations are Pearson coefficients on daily log returns over the same window. Drawdown is measured from the highest prior daily close in the series, not from an intraday high. A piece dated one day uses closes through the day before.
