🌪️ Volatility Cone — BTC Volatility Regime Analyzer
Crypto bisa jadi investasi aman + passive income — Volatility Cone bantu kamu position sizing rasional.
Vol P90+ = exit non-core. Vol P10 = leverage carefully. Tool standard di hedge fund risk management, sekarang accessible retail.
Current Vol Snapshot (May 2026)
30d Realized Vol
52%
Percentile P25 — low end of normal
90d Realized Vol
58%
Percentile P15 — calm regime
180d Realized Vol
65%
Percentile P25
365d Realized Vol
72%
Percentile P40 — slightly below median
Kesimpulan Saat Ini: Vol regime saat ini below historical median di semua window. Market dalam fase CALM — kondisi ideal untuk standard-to-elevated position size, tapi tetap waspada karena calm regime sering precede breakout volatility spike.
🔍 Apa Itu Volatility Cone?
Volatility Cone adalah visualisasi distribusi historis dari rolling realized volatility di berbagai window length (30d, 90d, 180d, 365d). Untuk setiap window, kita hitung percentile (P10, P25, P50, P75, P90) dari 9 tahun data historis (2017-2026). Bentuknya menyerupai "cone" karena:
- Short window (30d) = sangat variable, range P10-P90 lebar (35%-145%). Vol bisa swing ekstrem cepat.
- Long window (365d) = smoother averaging, range P10-P90 lebih sempit (60%-100%). Trend volatility jangka panjang.
- Bentuk cone melebar di sisi kiri (short) → menyempit di sisi kanan (long).
Use Case Praktis:
- Kalau current vol di P90+ = ekstrem stressed → reduce position size, exit non-core positions.
- Kalau current vol di P10- = ekstrem calm → leverage carefully, potential breakout coming (compression precedes expansion).
- Mean reversion volatility: vol jarang bertahan di ekstrem lama → expect normalization.
- Options pricing: vol P75+ = options expensive → consider selling premium; vol P25- = options cheap → consider buying protection.
Volatility Cone Chart
Garis = percentile distribusi historis 9-tahun. Dot emas = current realized vol di setiap window.
🚦 Vol Regime Detection Table
| Window |
Current Vol |
Percentile Rank |
Regime |
Action Recommendation |
| 30d |
52% |
P25 |
CALM |
Standard size, watch for compression breakout |
| 90d |
58% |
P15 |
CALM |
Position normal, options cheap (consider hedges) |
| 180d |
65% |
P25 |
NORMAL-LOW |
Standard sizing, trend-follow viable |
| 365d |
72% |
P40 |
NORMAL |
Below median — kondisi healthy, no defensive action |
📜 Historical Calls — Vol Spike + Crash Events
| Tanggal |
Event |
30d Vol Reaction |
Percentile |
| 2018-02 |
Tether FUD + bear market start |
Jumped P10 → P95 dalam 2 minggu |
P95 |
| 2020-03 |
COVID liquidation cascade |
Exploded ke 200%+ annualized |
P99 |
| 2021-05 |
China mining ban |
Vol spike 135% |
P85 |
| 2022-11 |
FTX collapse |
Vol regime shift stressed |
P92 |
| 2024-08 |
Yen carry trade unwind |
Brief spike 90%+ |
P75 |
| 2026-04 (current) |
Post-ETF maturation cycle |
Sustained calm regime |
P25 |
Pattern: vol spike P85+ historis selalu coincide dengan major drawdown. Tapi vol P10 calm regime BUKAN guarantee bullish — bisa juga setup untuk breakout violently.
💼 Cara Pakai untuk Position Sizing
| Vol Regime | Percentile | Multiplier vs Normal Size | Rationale |
|---|
| CALM (extreme low) |
< P10 |
1.5× normal size |
Reduced risk per unit, but ready for compression breakout |
| NORMAL |
P25 - P75 |
1.0× (standard) |
Typical market conditions, base sizing |
| STRESSED |
P75 - P90 |
0.5× normal size |
Elevated risk, drawdown probability up |
| EXTREME |
> P90 |
Exit non-core, 0.2× core only |
Tail risk regime, wait for stabilization |
Contoh aplikasi saat ini (May 2026): Vol di P15-P25 (calm) → bisa run 1.3-1.5× normal position. Tapi gunakan trailing stop ketat karena calm regime sering precede vol expansion.
Caveat Penting
- Volatility ≠ direction. High vol bisa naik atau turun. Cone hanya kasih magnitude, bukan arah.
- Backward-looking. Vol cone berdasar historis — bukan prediction. Vol bisa break out of historical range (regime shift).
- Crypto post-ETF regime shift. Pasca-approval ETF (Jan 2024), institutional flow membuat median vol mungkin lebih rendah forward. Historis 2017-2022 mungkin overstate forward vol.
- Combine dengan trend + sentiment. Vol cone alone bukan decision tool — kombinasikan dengan regime detector, HMM regime, dan macro indicator.
- Tail events. P99+ event (COVID, FTX) tidak ter-capture penuh di percentile chart — risk manajemen tetap perlu stop loss + hedging.
🔗 Vol vs Sharpe Relationship
Common misconception: Sharpe tinggi = vol rendah. Tidak selalu.
- Sharpe = (Return − RiskFreeRate) / Volatility. Bisa tinggi karena numerator besar (high return overcome high vol), bukan hanya denominator kecil.
- Contoh: BTC 2017 vol 120% tapi return 1400% → Sharpe ~10+. Vol P90 tapi Sharpe luar biasa.
- Vol cone bantu posisi: kalau vol P25 + return positif = ideal regime (efficient compounding). Kondisi May 2026 hampir match profile ini.
- Kalau vol P85+ + return negatif = worst-case regime, drawdown psychology buruk. Defensive.
Strategy implication: vol cone sebagai input untuk dynamic position sizing dalam Kelly framework — adjust f* based on current vol percentile.
🔗 Cross-Reference Tools
Referensi:
- Burghardt, G., & Lane, M. (1990). "How to Tell If Options Are Cheap." Journal of Portfolio Management. — Volatility cone seminal.
- Hull, J.C. (2018). Options, Futures, and Other Derivatives (10th ed.). Pearson. — Volatility cone application.
- Bouri, E. et al. (2017). "On the hedge and safe haven properties of Bitcoin." Finance Research Letters, 20. — BTC volatility characterization.
- Liu, Y., & Tsyvinski, A. (2021). "Risks and Returns of Cryptocurrency." Review of Financial Studies, 34(6).
Past performance does not guarantee future results. Volatility = backward-looking, gunakan untuk position sizing bukan timing.