©2020 - All Rights Res erved.

CFTC TAC Presentation, July 16, 2020 

Presented by: Thomas Chippas 
©2020 - All Rights Res erved. 2

Volatility: Bitcoin vs Other Assets 

Appl e ( AAPL ) Ama z on ( AMZN) Ba nk of Amer i c a ( BAC)

Gener a l E l ec t r i c ( GE )

S PDR Gol d ( GL D)

S &P500 ( GS PC)

S PDR S &P500 ( S PY) Tes l a ( TS L A)

Bi t c oi n ( BTC) E t her eum ( E TH)

vs

Cr ude Oi l ( US O)
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Bitcoin Volatility 

● We have observed how Bitcoin is on average more volatile than some notable large cap US stocks, 

although there are some stocks that have a similar, and at times greater, volatility, including many small 

cap US stocks. 

● Bitcoin’s current volatility and market structure, when combined with extremely high leverage (50 -100x) 

offered by marketplaces outside the purview of US regulators, can create conditions for sharp price 

movements unrelated to market fundamentals.

● As Bitcoin and its market structure mature, and come under greater oversight, participants and 

exchanges will benefit from the experience of traditional markets and asset classes to reduce market 

structure rooted volatility.

● Enabling responsible, regulated, professionally run trading venues to bring the benefits of robust and 

reliable infrastructure, surveillance programs, and secure and sound operations to market will help 

strengthen market structure and present the market with a competitive alternative to riskier, less 

mature, and less stringently regulated products and platforms.
©2020 - All Rights Res erved. 4

Historical Volatility (January 2019 - June 2020) 

● Bitcoin and Ethereum are on average more 

volatile than traditional s tocks .

● Nonetheles s , s ome s tocks experience 

periods where their volatility is substantially 

higherthan Bitcoin/Ethereum volatility.

● On 29% of the reviewed days Tes la’s 

volatility was higher than Bitcoin’s volatility.

● In fact, through February 2020, Tes la’s 

volatility was more than double Bitcoin’s 

volatility.

● Other s tocks like GE or BAC have als o had 

periods of higher volatility compared to 

Bitcoin.

● Gold’s volatility is much lower than Bitcoin’s 

volatility, overall.

● Crude Oil volatility has been above Bitcoin 

on s everal occas ions . Particularly, during 

April-May of 2020, Crude Oil volatility was 

Source: Yahoo Finance. 2.5x higher than Bitcoin volatility.

Volatility Calculation: standard deviation(log(price at t) - log(price at t-1)) with a rolling window of 20 days, annualized by 252 trading days

1-Month Annualized Volatility of Log Returns 
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COVID-19 Impact on volatility 

BTC ETH AAPL AMZN BAC GE GLD GSPC SPY TSLA USO 

Jan2019 - Feb2020 65. 50% 75. 15% 27. 64% 24. 01% 24. 08% 40. 87% 12. 10% 13. 75% 13. 83% 58. 78% 31. 03%

Mar2020 - Jun2020 116. 73% 141. 64% 63. 36% 46. 39% 93. 77% 94. 73% 24. 81% 58. 13% 56. 25% 103. 80% 126. 04%

● Since the COVID-19 s pread to the US and triggered s ignificant market s ell-offs , s ample s tocks ’ volatility has gone up 

on average 265% with res pect to previous levels , while Bitcoin volatility has gone up 178% and Ethereum volatility 

has gone up 188%. 

● Although Bitcoin and Ethereum volatility are on average the highes t volatilities in both periods , there are certain 

s tocks , particularly Tes la and General Electric, whos e volatility is very clos e to that of the two digital as s ets ’.

● Gold doubled its average volatility after the pandemic broke out, but it’s s till the leas t volatile as s et among all the 

analyzed as s ets .

● Crude Oil experienced a period of higher volatility during the months April-May 2020, increas ing it’s volatility by 400% 

compared to the volatility levels from 2019.

1-Month Annualized Volatility of Log Returns (Jan 2019 - Jun 2020) 

Source: Yahoo Finance. 

Volatility Calculation: standard deviation(log(price at t) - log(price at t-1)) with a rolling window of 20 days, annualized by 252 trading days
©2020 - All Rights Res erved. 6

Bitcoin March 2020 Crash - BitMEX Liquidations 

● Between 9am UTC on March 12th and 

6am UTC on March 13th, Bitcoin’s 

price fell from $7,300 to $3,900. 

● During that period $1.1B worth of 

contracts were liquidated in the BitMEX 

platform. 

● This automated liquidation res ulted in 

s elling pres s ure in the market, which 

exacerbated the BTC price drop.

● BitMEX reportedly s uffered a DDOS 

attack1 at ~2am, las ting ~45 minutes 

on March 13th, which caus ed their 

liquidation engine to s top the 

liquidation for a period of time, thus , 

alleviating the s elling pres s ure from the 

market. 

● During this period of time, BTC prices 

ros e by ~23%.

Source: Coin Metrics

1 https://blog.bitmex.com/how -we-are-responding-to-last-weeks-ddos-attacks
©2020 - All Rights Res erved. 7

Historical Volatility (Jan 2019 - June 2020) 

● The correlation between BTCUSD and ETH-USD is 

cons is tently high, and has been 

particularly high during the 

COVID-19 outbreak, with 

correlations clos e to 1. 

● There is low correlation 

between BTC-USD and SPY or 

GLD.

● Correlation increas ed during the 

March ‘20 volatility to 0.4-0.6 

but has s ince reverted to lower 

levels .

● The correlation between BTCUSD or ETH-USD with s tocks or 

Source: Yahoo Finance gold, is not cons is tent.

Correlation Calculation: pearson correlation(log(price at t) - log(price at t-1)) with a rolling window of 20 days

1-Month Correlation of Log Returns 
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COVID-19 Impact on Correlation 

● The pandemic outbreak has increas ed correlation acros s all pairs . 

● It’s worth noting the correlation between ET H and Gold, which was 0 for the previous year, and during the pandemic it ros e to 60%.

● High correlation is already s ubs iding and returning to pre-pandemic levels . 

● This data s ugges ts that under normal market conditions ETH and BTC are not correlated with the s tock market nor Gold, but that under extreme 

market conditions the correlation ris es s ignificantly and can remain high for a period of time. When the market conditions s tart to s ettle, 

correlation declines and normal levels are once more achieved. 

BTC ETH GLD SPY 

BTC 100. 0% 80. 7% - 8. 7% 21. 4%

ETH 80. 7% 100. 0% 0. 0% 12. 5%

GLD - 8. 7% 0. 0% 100. 0% - 23. 2%

SPY 21. 4% 12. 5% - 23. 2% 100. 0%

BTC ETH GLD SPY 

BTC 100. 0% 96. 0% 53. 5% 32. 2%

ETH 96. 0% 100. 0% 60. 2% 27. 7%

GLD 53. 5% 60. 2% 100. 0% 17. 5%

SPY 32. 2% 27. 7% 17. 5% 100. 0%

Correlation of Log Returns (Jan 2019 - Feb 2020) Correlation of Log Returns (Mar 2020 - Jun 2020) 

Source: Yahoo Finance

Correlation Calculation: pearson correlation(log(price at t) - log(price at t-1)) with a rolling window 

of 20 days

Source: Yahoo Finance

Correlation Calculation: pearson correlation(log(price at t) - log(price at t-1)) with a rolling window 

of 20 days
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ErisX disclosures 

9

The information contained in this file does not constitute a prospectus, nor is it a 

recommendation to buy, sell or retain any specific financial instrument or security. 

The information has been provided to you for informational purposes only and is intended as a 

broad overview of certain aspects of ErisX and the market. Additionally, any examples are based 

on hypothetical situations, to be used for explanation purposes only, and should not be 

considered as investment advice, legal advice, or tax advice. Although all effort has been made 

to provide accurate information ErisX assumes no responsibility for any errors or omissions. 

Futures trading on ErisX is governed solely by the rules of Eris Exchange, a designated 

contract market with the CFTC and the rules of Eris Clearing, a derivatives clearing 

organization. All information contained herein is made subject to and superseded by the 

exchange and clearing rulebooks. Spot trading on ErisX is also governed solely by the exchange 

rulebook, and unless otherwise specified spot trading is not subject to the rules applicable 

for trading on the designated contract market. The ErisX spot market is registered or pending 

registration for various state money - transmitter licenses, the NY BitLicense, and is not 

registered with, or designated, recognized, licensed or approved by the CFTC.

The ErisX name and logo are trademarks of the Eris group of companies.