Ethereum volatility and risk: how violent it has been
3,376 daily moves since 17 Aug 2017. On a typical day ETH moves 2.0% in one direction or the other; on 1 day in 20 it has lost more than 6.9%, and its deepest fall from a record close was −94%.
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 | −44.6% | $107.8 | +26.4% | +46.8% |
| 19 May 2021 | −27.7% | $2,439 | +18.3% | −8.4% |
| 14 Sep 2017 | −22.3% | $215.2 | +19.4% | +58.9% |
| 16 Jan 2018 | −21.3% | $1,000 | −2.0% | −7.5% |
| 5 Sep 2018 | −19.9% | $228.5 | −19.9% | −0.1% |
| 21 Jan 2021 | −19.3% | $1,111 | +19.7% | +72.2% |
| 22 Dec 2017 | −18.7% | $636.0 | +15.4% | +64.9% |
| 24 Sep 2019 | −17.6% | $165.8 | +5.9% | −3.3% |
| 9 Nov 2022 | −17.4% | $1,103 | +10.3% | +14.5% |
| 4 Sep 2017 | −17.0% | $283.8 | +4.8% | +2.9% |
After these 10 falls, ETH was higher a week later in 8 of 10 cases and higher 30 days later in 6 of 10. 10 hand-picked extremes are an anecdote, not a test. The full count is on the 10% drop in a day study: 50 scored cases, verdict “weak evidence”.
The 10 largest one-day gains, and what followed
| Day | Move | Close | 7 days later | 30 days later |
|---|---|---|---|---|
| 24 May 2021 | +26.3% | $2,648 | +2.2% | −25.7% |
| 3 Jan 2021 | +26.3% | $978.3 | +28.2% | +54.5% |
| 13 Mar 2020 | +24.3% | $134.1 | −0.4% | +18.3% |
| 8 May 2025 | +21.9% | $2,207 | +15.5% | +14.4% |
| 12 Dec 2017 | +21.9% | $620.0 | +28.7% | +83.7% |
| 6 Apr 2020 | +20.1% | $171.3 | −8.8% | +16.1% |
| 20 May 2024 | +19.2% | $3,662 | +6.3% | −2.8% |
| 11 Dec 2017 | +19.0% | $508.7 | +54.1% | +145.1% |
| 28 Dec 2018 | +18.9% | $135.3 | +12.3% | −17.2% |
| 18 Jul 2022 | +18.1% | $1,581 | −8.9% | +16.0% |
After these 10 gains, ETH was higher a week later in 7 of 10 cases and higher 30 days later in 7 of 10. The full count is on the 10% jump in a day study: 64 scored cases, verdict “no better than chance”.
Moves are from one daily close to the next (00:00 UTC), Binance spot. “Open” means that many days have not passed yet.
Ethereum and Bitcoin
Over the last 365 days ETH has moved very closely with Bitcoin: the correlation of their daily moves is 0.91, where 1 means in step and 0 means unrelated. For each 1% Bitcoin moved in a day, ETH moved about 1.25% on average.
| Period | Days | Correlation | Move per 1% of Bitcoin |
|---|---|---|---|
| Last 90 days | 90 | 0.90 | 1.24% |
| Last 365 days | 365 | 0.91 | 1.25% |
| All shared history | 3,376 | 0.78 | 1.01% |
Daily close-to-close moves on the 3,376 days both pairs traded. What ETH did in the week after a Bitcoin shock is tested separately: after Bitcoin drops 5% in a day.