Kraken Intelligence, our team of in-house research experts, has released the Bitcoin Volatility Report for August, 2019.
- After a bullish and active 2Q2019, bitcoin volatility, trading volume, price, and velocity dampened in August as the market reset and settled into a higher range.
- Bitcoin realized volatility retreated to its lowest level since 1Q2019, falling as much as 29 percentage points month-over-month to 64%; spot trading volume also weakened materially, plunging -38% month-over-month to $31B, the largest absolute decline in a year.
- Excluding the S&P500, bitcoin became more negatively correlated with traditional financial assets in a 1-month window; with the exception of crude oil and the S&P500, bitcoin grew slightly more positively correlated on a 1-year and 2-year basis.
- Bitcoin’s 1-month correlation with the top 5 altcoins by market capitalization grew more positive, amidst a broad decline in volatility.
- Global macroeconomic data signaled economic slowdown, driving recession fears higher and contributing to the inversion of the U.S. yield curve, the 10-year U.S. bond yield falling below the 2-year U.S. bond yield, for the first time since 2007.
Where to Next?
- Assuming history repeats itself, we may be due for a protracted low-volatility environment while the market digests recent price action, expectations reset, and volatility mean reverts lower.