Pendle volatility and risk: how violent it has been
1,230 daily moves since 3 Jul 2023. On a typical day PENDLE moves 3.4% in one direction or the other; on 1 day in 20 it has lost more than 8.3%, and its deepest fall from a record close was −85%.
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 |
|---|---|---|---|---|
| 10 Oct 2025 | −22.1% | $3.54 | −11.1% | −20.9% |
| 5 Feb 2026 | −21.8% | $1.14 | +0.4% | +5.6% |
| 3 Mar 2025 | −19.9% | $2.47 | −22.6% | +20.2% |
| 2 Feb 2025 | −18.0% | $2.68 | +18.9% | −7.7% |
| 2 Jul 2024 | −17.9% | $4.09 | −15.1% | −16.8% |
| 14 Nov 2025 | −15.7% | $2.11 | +1.6% | −0.5% |
| 9 Dec 2024 | −15.6% | $5.69 | +10.7% | −25.1% |
| 19 Dec 2024 | −15.3% | $4.83 | +1.3% | −16.7% |
| 24 Feb 2025 | −13.9% | $2.94 | −16.1% | −1.7% |
| 22 Jan 2024 | −13.9% | $1.99 | +30.2% | +28.8% |
After these 10 falls, PENDLE was higher a week later in 6 of 10 cases and higher 30 days later in 3 of 10. 10 hand-picked extremes are an anecdote, not a test. The full count is on the 10% drop in a day study: 25 scored cases, verdict “weak evidence”.
The 10 largest one-day gains, and what followed
| Day | Move | Close | 7 days later | 30 days later |
|---|---|---|---|---|
| 4 Apr 2024 | +28.6% | $6.25 | +7.6% | −18.6% |
| 10 Jan 2024 | +27.5% | $1.69 | +18.9% | +87.6% |
| 7 Aug 2025 | +25.2% | $5.02 | +8.2% | −8.4% |
| 20 May 2024 | +25.1% | $6.02 | +14.2% | −3.2% |
| 6 Aug 2024 | +24.5% | $2.74 | +6.1% | −1.9% |
| 9 Apr 2025 | +23.3% | $3.35 | −6.1% | +15.3% |
| 16 Jan 2024 | +22.8% | $2.08 | +1.8% | +49.2% |
| 6 Nov 2024 | +20.7% | $5.13 | +5.6% | +33.4% |
| 31 Mar 2024 | +20.7% | $5.50 | +22.3% | −23.2% |
| 4 May 2026 | +18.9% | $1.89 | +13.7% | −28.8% |
After these 10 gains, PENDLE was higher a week later in 9 of 10 cases and higher 30 days later in 4 of 10. The full count is on the 10% jump in a day study: 45 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.
Pendle and Bitcoin
Over the last 365 days PENDLE has moved closely with Bitcoin: the correlation of their daily moves is 0.63, where 1 means in step and 0 means unrelated. For each 1% Bitcoin moved in a day, PENDLE moved about 1.29% on average.
| Period | Days | Correlation | Move per 1% of Bitcoin |
|---|---|---|---|
| Last 90 days | 90 | 0.57 | 1.13% |
| Last 365 days | 365 | 0.63 | 1.29% |
| All shared history | 1,230 | 0.60 | 1.45% |
Daily close-to-close moves on the 1,230 days both pairs traded. What PENDLE did in the week after a Bitcoin shock is tested separately: after Bitcoin drops 5% in a day.