On-chain Volatility and Uniswap v3

Liquidity of the ETH-USDC-0.3% pool. The green bars show the 7-day expected move, computed using on-chain implied volatility measurements.

Computing the Implied Volatility from Uniswap v3

How accurate is the assumption that all DeFi users are “rational”. It may be very low depending on who you ask, but let’s consider this more carefully.

Check it out at http://info.yewbow.org

Using IV to help effectively deploy liquidity

Why should we care about IV? Actually, implied volatility is very useful for estimating the expected price move of any asset according to:



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Guillaume Lambert

Guillaume Lambert

Asst professor in Applied Physics at Cornell. LambertLab.io PI and proud father. Interests: Biophysics, Math, Crypto, and Options (often all at the same time).