Bitcoin volatility and risk: how violent it has been
3,376 daily moves since 17 Aug 2017. On a typical day BTC moves 1.5% in one direction or the other; on 1 day in 20 it has lost more than 5.3%, and its deepest fall from a record close was −83%.
Volatility is the standard deviation of daily log returns multiplied by the square root of 365, the usual way to put it on a yearly scale. “1 in 20” and “1 in 100” are the 5th and 1st percentiles of all daily moves, read straight from the history with no model.
The 10 largest one-day falls, and what followed
| Day | Move | Close | 7 days later | 30 days later |
|---|---|---|---|---|
| 12 Mar 2020 | −39.5% | $4,800 | +28.4% | +43.3% |
| 16 Jan 2018 | −19.5% | $10,900 | −0.9% | −8.3% |
| 14 Sep 2017 | −19.2% | $3,189 | +13.2% | +84.1% |
| 13 Jun 2022 | −15.4% | $22,487 | −8.5% | −10.0% |
| 5 Feb 2018 | −15.2% | $6,940 | +28.3% | +42.8% |
| 19 May 2021 | −14.4% | $36,690 | +7.0% | −2.4% |
| 9 Nov 2022 | −14.1% | $15,923 | +4.6% | +7.6% |
| 5 Feb 2026 | −14.0% | $62,910 | +5.3% | +6.9% |
| 22 Dec 2017 | −14.0% | $13,327 | +7.9% | −13.5% |
| 30 Dec 2017 | −13.5% | $12,440 | +37.2% | −9.6% |
After these 10 falls, BTC was higher a week later in 8 of 10 cases and higher 30 days later in 5 of 10. 10 hand-picked extremes are an anecdote, not a test. The full count is on the 10% drop in a day study: 24 scored cases, verdict “weak evidence”.
The 10 largest one-day gains, and what followed
| Day | Move | Close | 7 days later | 30 days later |
|---|---|---|---|---|
| 7 Dec 2017 | +22.5% | $16,599 | −1.6% | +2.8% |
| 8 Feb 2021 | +19.5% | $46,375 | +3.3% | +20.4% |
| 2 Apr 2019 | +17.2% | $4,857 | +6.0% | +13.1% |
| 25 Oct 2019 | +16.8% | $8,655 | +6.7% | −20.2% |
| 13 Mar 2020 | +16.2% | $5,579 | +11.3% | +23.8% |
| 15 Sep 2017 | +16.0% | $3,700 | −2.8% | +54.3% |
| 6 Dec 2017 | +15.8% | $13,550 | +18.3% | +25.2% |
| 26 Dec 2017 | +14.5% | $15,689 | −6.5% | −28.8% |
| 28 Feb 2022 | +14.5% | $43,160 | −12.0% | +9.1% |
| 19 Mar 2020 | +14.3% | $6,162 | +9.3% | +17.6% |
After these 10 gains, BTC was higher a week later in 6 of 10 cases and higher 30 days later in 8 of 10. The full count is on the 10% jump in a day study: 34 scored cases, verdict “weak evidence”.
Moves are from one daily close to the next (00:00 UTC), Binance spot. “Open” means that many days have not passed yet.