Crypto Market Update Post JPY Liquidity Crunch
From August 2024 "DigOpp Student of Crypto" Overview
Global risk assets took a plunge due to The Japanese Central Bank raising rates. Crypto was not excluded from this downside market action. Here are some charts summarizing crypto market dynamics from a review we put together in our “Student of Crypto” document.
Bitcoin Drawdown Among Worst in Recent History
Bitcoin’s intraday peak to trough drawdown, of -18%, during the JPY liquidity crunch was the 95th percentile worst daily drawdown since 2020
August 5 Derivative Liquidations Highest YTD
Perpetual swaps are the primary derivative utilized in cryptocurrency markets. Liquidations of derivatives totaled $209M, the largest this year.
BTC Implied Volatilities Explode Higher, Then Quickly Settle
Bitcoin implied volatility, as measured by BVIV index, ripped to nearly 100. It later settled in the mid 60s.
Realized Volatility Spiked With ETH Spiking More than BTC
After a few months of declining volatility, this recent event saw a huge spike.
Exchange Volumes Spiking
Until the JPY event exchange volumes, along with volatility, had been on a decline since Q1 2024.
BTC Vs. Market Index Correlations Increased, but Low Overall
As would be expected in a liquidity event, Bitcoin’s correlation to assets affected by deflationary shocks increased. However, the correlation overall is still relatively low.
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