A narrow range is a finding rather than an absence of one. It is the condition in which an allocator can accumulate without moving the price, and it is also the condition in which volatility is sold too cheaply, because the recent past is the input everybody uses.
$66,516
Thirty-day high close
$62,265
Thirty-day low close
7%
Range, high to low
29%
Realized volatility, annualized
Source: Coinbase Exchange daily closes. Computed by Institutional Asset Journal.
Bitcoin daily close
Coinbase Exchange, in dollars, last 120 days.
Source: Coinbase Exchange daily closes. Computed by Institutional Asset Journal.
What a drawdown figure is for
A peak-to-trough number is not a forecast. It is the historical answer to the question an investment committee will ask, which is how bad this has been before, and it is the input to a position size that survives the next one.
How this was measured
- Prices are Coinbase Exchange daily closes, chosen over an aggregated mid because a single regulated venue is a defined measurement and a blend of venues is not. Realized volatility is the standard deviation of daily logarithmic returns over the stated window, annualized by the square root of 365 rather than 252, because this market trades every day. Correlations are Pearson coefficients on daily log returns over the same window. Drawdown is measured from the highest prior daily close in the series, not from an intraday high. A piece dated one day uses closes through the day before.
