Crypto Analysis

Crypto bitcoin correlation volatility
Bottom Line

Crypto analysis pending data load.

BTC trend and correlation regime will populate from computed data.

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IBIT 1M Return
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ETHA 1M Return
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BTC-SPY Correlation
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Crypto Vol (20d)
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Trend Signal
Ticker
Timeframe
View
Price — IBIT with SMA20 / SMA50
Ticker Name 1M Return 3M Return RSI(14) Vol (20d) Max DD

Overview

This analysis tracks Bitcoin and Ethereum ETFs alongside traditional equity indices to identify correlation regimes, volatility shifts, and performance divergences. The key question is whether crypto is acting as a risk asset (correlated with tech) or as an alternative store of value (decorrelated).

The crypto universe is represented by spot ETFs: IBIT (BlackRock Bitcoin ETF), ETHA (BlackRock Ethereum ETF), and GBTC (Grayscale Bitcoin Trust). These instruments may have limited price history; the analysis gracefully handles missing data by computing metrics only over available windows.

Key Metrics

  • IBIT / ETHA 1M Return — trailing 21-day cumulative return
  • BTC-SPY Correlation — rolling 60-day Pearson correlation
  • Crypto Vol (20d) — annualized realized volatility over 20 trading days
  • Trend Signal — price position relative to SMA20 and SMA50

Strengths

  • Correlation regime detection identifies macro vs crypto-native drivers
  • Volatility comparison contextualizes crypto risk against equities
  • ETF-based analysis captures institutional-accessible exposure
  • Graceful handling of limited history for newer instruments

Limitations

  • ETF proxies may differ from spot crypto prices
  • Limited history for IBIT/ETHA (launched 2024)
  • No on-chain metrics (hash rate, flows, MVRV)
  • Correlation is backward-looking and regime-dependent

How to Read This Analysis

  1. Check the BLOT banner. The headline identifies whether crypto is in a macro-correlated regime (moving with SPY/QQQ) or decorrelating (digital gold thesis). High correlation with tech means crypto trades as a risk asset.
  2. Read the Price chart. Price above SMA20 and SMA50 indicates uptrend. A cross below SMA20 is an early warning; below SMA50 confirms a trend reversal. Crypto trends tend to be persistent and high-momentum.
  3. Switch to Correlation view. Rolling 60-day correlation against SPY and QQQ reveals whether crypto is acting as beta or alpha. Correlation above 0.6 means macro regime; below 0.3 means crypto-native thesis.
  4. Check Volatility view. Crypto vol vs equity vol reveals relative risk. Crypto volatility typically runs 3-5x equity vol. Compression toward equity vol signals institutional adoption and maturation.
  5. Review Performance ranking. Horizontal bars compare cumulative returns across crypto ETFs. Divergence between IBIT and ETHA reveals BTC vs ETH relative strength and sector rotation within crypto.

Key Equations

Realized Volatility (Annualized)

$$\sigma = \sqrt{\frac{252}{n-1}\sum_{i=1}^{n}(r_i - \bar{r})^2}$$

where $r_i$ is the daily return, $\bar{r}$ is the mean return, and $n$ is the lookback window (20 days).

Rolling Pearson Correlation

$$\rho_{xy}(t) = \frac{\sum_{i=0}^{w-1}(r_{x,t-i}-\bar{r}_x)(r_{y,t-i}-\bar{r}_y)}{\sqrt{\sum(r_{x,t-i}-\bar{r}_x)^2 \cdot \sum(r_{y,t-i}-\bar{r}_y)^2}}$$

Computed over a rolling window $w=60$ trading days between BTC proxy (IBIT) and SPY/QQQ.

Relative Strength Index (RSI)

$$\text{RSI} = 100 - \frac{100}{1 + RS}$$

where $RS = \frac{\text{Avg Gain over } n}{\text{Avg Loss over } n}$ with $n=14$ periods.

Maximum Drawdown

$$\text{MDD} = \min_t \left(\frac{P_t}{\max_{s \le t} P_s} - 1\right)$$

The largest percentage decline from any peak to any subsequent trough over the analysis window.

Volatility Ratio

$$\text{VolRatio} = \frac{\sigma_{\text{crypto}}}{\sigma_{\text{equity}}}$$

Ratio greater than 1 indicates crypto is more volatile. Historical average for BTC/SPY is approximately 3-5x.