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Data & analysis of ETH's volatility and correlations to other cryptoassets, gold, and the S&P 500 throughout 2018

The SFOX Crypto Volatility Report: 2018 Year-End Edition SFOXBlockedUnblockFollowFollowing

Jan 9


The SFOX Multi-Factor Market Index is set at moderately bearish entering 2019. ETH, BCH, and LTC ended the year near their year-long highs for 30-day historical volatility — i.e. their 30-day historical volatilities on December 31st were near the highest values they had been throughout all of 2018. BTC’s 30-day historical volatility on December 31st fell in the 58th percentile for its values throughout all of 2018. BTC, ETH, BCH, and LTC maintain strong, positive correlations with each other; they are largely uncorrelated with the S&P 500, and slightly negatively correlated with gold. All SFOX-enabled cryptoassets were more volatile than the S&P 500 and gold throughout the year, with the exception of four days in November during which gold was more volatile than BTC. “FUD” (fear, uncertainty, and doubt) likely drove volatility in many forms throughout 2018, including: fear of market conditions; uncertainty about the evolving regulatory landscape; and doubt about how much the crypto sector has really developed thus far. Look to new ICOs, the U.S. economy, speculation about new products, and global crypto adoption statistics as potential drivers of volatility in 2019.

To usher in the new year, the SFOX Research Team is pleased to offer this review of the 2018 crypto market’s volatility. We’ve aggregated price, volume, and volatility data from eight major exchanges and liquidity providers to analyze the global performance of the 4 leading cryptoassets — BTC, ETH, BCH, and LTC — that we have enabled on our trading platform. The following is a report and analysis of their volatility throughout last year, with a focus on the last month of December. (For more information on data sources and methodology, please consult the appendix at the end of the report.)

The Current State of Crypto: Risk and Volatility Entering Janu...
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