Historical logarithmic returns for a selected trading pair
Different volatility measures
Different historical volatility measures using a 30-day rolling window.
Daily volatility cones
Volatility quantiles were calculated using non-overlapping daily intervals. (20 to 180 days). STD volatility measure was used (square root of variance).
Intraday volatility cones
Volatility quantiles were calculated using non-overlapping hour intervals. (1 to 7 days). STD volatility measure was used.
Historical volatility histogram
Distribution of historical volatility values. STD volatility measure was used (square root of variance).
Simulated returns histogram
Simulation of worst 1% returns distribution. Merton Jump-Diffusion process is used to simulate returns.
Uniswap Liquidity and Implied volatility
Uniswap liquidity distribution by price and corresponding implied volatility given the pool fee tier.
Historical long and short trading volume
Historical long and short open interest
Historical long and short open aggregate leverage values
Historical long and short liquidation volumes
Current long and short liquidation map