Research Summary

The report discusses the correlation between changes in Bitcoin (BTC) spot price and US equity indices. The correlation has fallen to a near-zero statistical relationship since February of this year. Despite both assets retracing significant losses from 2022, BTC’s strong year-to-date (YTD) performance of +86% occurred independently of movements in the S&P 500 and the Nasdaq 100 indices. The report also notes a fall in the correlation between changes in the implied volatility of BTC and Ethereum (ETH) as measured by Block Scholes’ own implied volatility index (BSIV).

Actionable Insights

  • Correlation between BTC and equities has been falling: This trend has been observed since early February this year, and it is now at the lowest level since July 2021. This fall in correlation occurred as both assets retraced losses from the previous year’s tightening cycle.
  • BTC and ETH reported the highest returns YTD: BTC and ETH have reported the highest returns YTD of all benchmarks, at 86.2% and 62.6% respectively.
  • Implied volatilities of BTC and ETH options are trading near historic lows: Despite their market-dominating returns, the implied volatilities of BTC and ETH options have been trading near the lower bound of their historic ranges.
  • Little statistical relationship between future volatility of BTC and US equities: While their spot prices moved together for significant historical periods, expectations about future volatility of BTC and US equities have held little statistical relationship.

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