Making Sense of Bitcoin's Volatility Clustering and How To Take Advantage of itby@caleb
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Making Sense of Bitcoin's Volatility Clustering and How To Take Advantage of it

March 4th 2020
16m
by @caleb 593 reads
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In 2019, Bitcoin's volatility was erratic. On one day alone, the price of bitcoin changed by over 40%. However, for most days, the change in price hovers around 1%-2%. This article will look at various options strategies that can capitalize on BTC’s volatility clustering (i.e. heteroscedasticity) and compare these strategies to how well a simple buy & hold portfolio performed. At the end, I will cover portfolio optimization and diversification in order to show that, overall, the best performing portfolio comes from a combination of the option strategies and buy and hold.

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