Comparing On-Chain Signals Before and After Bitcoin Volatility Shocks
Summary
The report compares on-chain behavior around Bitcoin volatility shocks in bull and bear periods. It defines a shock as a day when absolute daily return exceeds two standard deviations above its historical average, then studies 21 shock days in each market phase. Four analyses examine whether metrics lead volatility, reach extreme percentile levels before shocks, shift immediately afterward, or remain changed in the following days. The inputs include raw metric levels and first differences, which represent daily changes.
The reported patterns vary by regime. In the bear sample, short-term UTXO measures show rising correlations ahead of shocks, while liquid-wallet net flows and exchange volume often reach low extremes. In the bull sample, exchange volume and realized-cap changes frequently reach high extremes, alongside signs of weaker longer-term activity. The document describes methods and sample findings, but its provided text is incomplete during the mean-shift discussion and does not establish that the associations will predict future shocks. Results are specific to the selected periods and thresholds.
Key ideas
- A shock day is defined using an absolute-return threshold based on two standard deviations above the historical mean.
- The analysis compares equal-sized sets of shock days from one bull phase and one bear phase.
- Lead-lag correlations use rolling five-day absolute returns and metric shifts across multiple days.
- Short-term UTXO behavior appears more consistently associated with approaching shocks in the bear sample.
- Extreme volume and realized-cap changes are among the reported pre-shock patterns in the bull sample.
- These historical associations are regime-specific and do not demonstrate reliable future prediction.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.