Crypto Volatility Around Macro Announcements
Scheduled economic releases now move crypto markets. How to measure event-driven volatility and adjust risk around the calendar.
As institutional participation in crypto has grown, so has its sensitivity to the same macroeconomic information that moves rates, currencies, and equities. Inflation data, labour-market reports, and central-bank decisions are scheduled in advance, which makes their effects measurable.
Event-study design
- Collect announcement timestamps with minute-level precision.
- Measure realized volatility in short windows before and after each release.
- Compare against the same clock times on non-announcement days to control for intraday seasonality.
- Examine spread and depth over the same windows, not only price.
The typical pattern around a significant release is a withdrawal of liquidity in the minutes beforehand, a burst of volatility and volume immediately after, and a gradual normalization. The size of the effect depends on how far the data surprises expectations.
This publication is provided for informational purposes only and does not constitute investment, legal, or tax advice, or an offer or solicitation to buy or sell any asset. Live figures are computed from third-party public market data and may be delayed, incomplete, or inaccurate.
