BTC Volatility Analysis for PPI, 9th April 2020

Data Analysis

The release

Released by the Bureau of Labor Statistics on 9 April 2020 at 8:30 AM EDT. The Producer Price Index came in at -0.5% for March 2020, against -0.5% in February 2020. Producer prices are falling faster than before.

It arrived at the same moment as Core Producer Price Index, Initial Jobless Claims and Continued Jobless Claims, so the reaction measured on this page belongs to all of them together.

How Bitcoin moved

Bitcoin was at $7,246.09 when the figure came out. Fifteen minutes later it was 0.12% lower, and an hour later 0.75% higher. Its high-to-low range in the hour after was 1.67% of its price, against 2.69% in the hour before.

Measured by Clometrix

Bitcoin's volatility ratio was 1.93x, against 2.08x for a typical PPI release since 2021. Its volume ratio was 3.22x, against a typical 2.30x. That is about what this release usually does. Both compare the quarter hour of the release with an ordinary quarter hour that same day, where 1.00x is no change: volatility is how far the price ranged, volume how much traded.

What made it matter

Since 2021, PPI releases in the two weeks before a Fed decision have moved Bitcoin about as much as those at other times: a median volatility ratio of 2.18x across 29, against 2.05x across 41. This one was not within two weeks of a Fed decision. Its own ratio of 1.93x compares with 2.05x for those, about what its circumstances would suggest.

Its record

Across 70 PPI releases since 2021, Bitcoin's median volatility ratio is 2.08x.

About Producer Price Index

The Producer Price Index (PPI) measures the average change over time in the prices domestic producers receive for their output. It is a measure of inflation at the wholesale level that is compiled from thousands of indexes measuring producer prices by industry and product category. The index is published monthly by the U.S. Bureau of Labor Statistics (BLS).