Cryptocurrency Weekly Statistical Review — 20/05/2019

It’s been a volatile end to the week for cryptocurrencies with Bitcoin plunging over $1,000 mid week, only to recover most of that on the final day, while Alts have finally outperformed BTC as the average Altcoin ended up just over 22%, with BTC ending the week up 18%, both in USD terms.

This week’s leader board is dominated by past Binance IEO projects, with MATICBTC, CELRBTC, BTTBTC and FETBTC making up the top 4, with MATIC outperforming Bitcoin by a staggering 206%. Interestingly, BRDBTC, another Binance IEO project is actually one of this week’s biggest losers, down 13%, although RLCBTC claims the top prize there, down 26%

The usual suspects make up the top of the volumes charts, and the disparity this week in the performance between high and low volume coins is higher than usual, with the top 20 coins by volume posting an average performance of 23.5%, while the bottom 20 have a lowly -1% average performance.

Perhaps surprisingly, given the rather volatile moves we’ve seen towards the end of the week, our regression studies haven’t flagged much up. As well as regressing each coin against their most correlated coin, we also now regress each coin against an index price of the average Altcoin on Binance, with WRPBTC looking potentially 5% undervalued against the rest of the pack.

And finally, we are now keeping an eye on the realised volatility and Average True Range (ATR) for each coin, and now that Deribit list both Bitcoin and Ethereum options, an eye on implied volatilities as well. Interestingly, BTC realised volatility for the week comes in at the bottom of the pile at 111% while Ethereum realised vol comes it much higher at 166%. With both BTC and ETH front month (Exp. 24th May) implied vols trading a similar level (110% for BTC and 105% for ETH) perhaps Ethereum options offer some value against Bitcoin as a short term gamma play. GL.