Abstract
This paper studies a large number of Bitcoin options traded on the options exchange Deribit. We use the trades to calculate implied volatility and analyze if volatility forecasts can be improved using such information. Implied volatility is less accurate than ARMA or HAR model forecasts in predicting short-term future bitcoin volatility (1 day ahead), but superior in predicting long-term volatility (7, 10, 15 days ahead). Further, a combination of implied volatility and model-based forecasts provides the highest accuracy for all forecasting horizons revealing that the bitcoin options market contains unique information.
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