What question did this study set out to answer?

This paper aims to explore how on-chain signals influence Bitcoin's implied volatility in short-term scenarios.

January 25, 2026Open Access

Forecasting Bitcoin Implied Volatility: On-Chain Signals, Belief Formation, and Limits to Arbitrage

Key Points

This paper aims to explore how on-chain signals influence Bitcoin's implied volatility in short-term scenarios.
Analyzed short-horizon changes in Bitcoin implied volatility.
Integrated on-chain metrics with macroeconomic indicators and market data.
Employed an interdisciplinary framework to assess volatility dynamics.
Identified significant relationships between on-chain signals and implied volatility.
Highlighted the role of belief formation in influencing market behaviors.
Demonstrated limits to arbitrage affecting economic realizability.

Abstract

This paper studies short-horizon changes in Bitcoin implied volatility using an interdisciplinary empirical framework that combines on-chain metrics, macroeconomic indicators, and market data. The analysis emphasizes belief formation, volatility dynamics, and limits to arbitrage in crypto-derivative markets, highlighting the distinction between statistical predictability and economic realizability under realistic trading frictions.

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