BTC Volatility Analysis for PPI, 10th September 2020

Data Analysis

The release

Released by the Bureau of Labor Statistics on 10 September 2020 at 8:30 AM EDT. The Producer Price Index came in at 0.2% for August 2020, against 0.6% in July 2020. Producer prices are still rising, but more slowly 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.

Measured by Clometrix

Bitcoin's volatility ratio was 1.35x, against 2.08x for a typical PPI release since 2021. Its volume ratio was 1.57x, against a typical 2.30x. Under 1.5x is not a reaction at all: the market barely noticed this release. 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.

How Bitcoin moved

Bitcoin was at $10,333.08 when the figure came out. Fifteen minutes later it was 0.2% higher, and an hour later 0.3% higher. Its high-to-low range in the hour after was 0.63% of its price, against 0.73% in the hour before.

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 came out 6 days before the Federal Reserve's 16 September rate decision. Its own ratio of 1.35x compares with 2.18x for those, so it moved the price less than its circumstances would suggest.

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).