How the indexes are computed

Both indexes are built from TickFoundry's own capture of Polymarket's order books and trades, once a day after the UTC day closes. This page is the rule book for method v1 (last run 2026-10-23 05:30 UTC).

TFVX: Polymarket-implied crypto volatility, one day

• Inputs. Every live crypto Up/Down market (5 minutes to 1 day) and every quoted rung of the “above $K” strike ladders (hourly and daily) for every coin Polymarket runs them on (BTC, ETH, SOL, XRP, DOGE, BNB and HYPE), with each market's settlement rule (the Chainlink average or the Binance candle it resolves on) and the per-second reference price.
• Readings. Every minute, each market's mid price is read as a binary option on its settlement price (a Black-Scholes digital; markets that settle on an average are moment-matched) and inverted to an implied volatility. A reading's weight is one over its error squared, where the error is the quote's half spread (at least half a cent) over the option's sensitivity to volatility: a market near its strike or a wide book counts for almost nothing. Books wider than 6 cents, prices outside 5 to 95 cents and failed inversions are left out.
• The 1-day value. Over the trailing 5 minutes, readings are pooled per expiry (the weighted median). Each expiry gives a total variance, volatility squared times time to expiry, which is made non-decreasing in time to expiry (weighted isotonic regression). The value at exactly 24 hours is interpolated linearly in total variance between the expiries either side, as the VIX reads 30 days. When no expiry lies beyond 24 hours, the variance of every live expiry is averaged with weights of precision times time to expiry and held flat to 24 hours. DOGE, BNB and HYPE have Up/Down markets only (no strike ladders on Polymarket), so their value is always this blend; their track record is accordingly weaker, and it is shown with the others rather than left out.
• Publication. The hourly fix is the median of the hour's minute values, stamped at the start of the hour. The daily value is the 00:00 UTC fix. All coins (TFVX): the square root of the coins' variances averaged with market-cap weights from the previous day's close (CoinGecko), over the coins with a value that minute.
• Track record. Each hourly fix is scored against the volatility realized over the following 24 hours (overlapping 60-second returns of the Binance reference) and against the naive forecast, the volatility of the previous 24 hours. Before 21 June 2026 the reference prices are Binance 1-minute prices, a stand-in for our own spot capture; the method was settled on data from 21 June on.
• Comparison. Deribit's DVOL (30-day, BTC and ETH) is shown beside TFVX for context; it measures a different horizon on a different market.

The cost to move

• Basket. Each UTC day, every market that traded at least $1,000 of taker volume the day before (from the daily trade candles), whose last price that day was between 3 and 97 cents, that ends more than two hours after the day starts, and that is not a crypto Up/Down market. A market counts at a reading while its mid is between 10 and 90 cents and it ends more than an hour later.
• The move. The odds p / (1 - p) multiplied by 1.25 (up) or divided by 1.25 (down): the same weight of evidence at every price (5.6 cents at 50 cents, 3.3 at 80, 1.8 at 90). The cost of a direction is what a taker pays to sweep the book to the target: every ask up to it (buying YES), or every bid down to it (buying NO at 1 - bid). Toward 50 cents is the move that makes the market less certain; away from 50 cents pushes the favourite.
• The close. Daily values are read from the full order book at 24:00 UTC, every level. The typical market is the median market of the group; the sector total adds every market up. The share ratio divides the shares bought for the away move by those for the toward move. Groups: each catalog sector (the event's Gamma tags), the headline (every sector except Sports, Esports and Weather, whose same-day markets have settled by the close) and all sectors.
• Hourly. The same measures every 15 minutes from the top 25 levels of each book (the stored depth), on the day's basket, averaged over each hour. On a book quoted in tenths of a cent the 25 levels can stop short of the move, and the hourly figure is then a lower bound; the daily close reads every level. Hourly history begins 2026-10-13.
• Liquidity index. Per market, the geometric mean of the two directions; the group's median of that, divided by the group's geometric mean over 12 May to 10 June 2026 (the first 30 closes), or by the typical market of all sectors that day. Each point is the close or a 7-day geometric average.

Revisions and versions

• The nightly run recomputes its last three days. TFVX values of the last two days are provisional: the realized volatility needs the next day, and the reference data of a day is final two nights later. Values older than that do not change.
• A change to any rule above ships as a new method version, announced in the changelog, with history recomputed under the new version. Values are never rewritten silently.
• Nothing is filled in: a gap in our capture shows as fewer markets in that day's basket or a missing hourly value.

Use

• Free: view the charts and quote single values with attribution to TickFoundry.
• L10 and L25 plans, any venue: the full history, hourly values, CSV downloads and the API, for your own and your team's research.
• Products, terminals, client work and redistribution: the enterprise index licence (talk to us).