Relative Returns

Another -temporary- end in the crypto markets after two overall great months in the industry. In the two months prior, all projects registered double digit percentage gains, but unfortunately that trend did not continue into June. Stellar (XLM) was up just above 81% in the last two months, and Ethereum (ETH) was up just shy of 80%. In April 2020, ETH spiked to a monthly gain of almost 60% and XLM even went one further and gained just above 71% in the same period.

Finding green numbers this month is more challenging. TRX was able to finish in the green, but just slightly. The rest of the assets lost value, with XRP being the biggest loser of all by declining almost 15%.

The Tron Foundation completed their first airdrop of JUST (JST) to their TRX holders at the end of May, coinciding with their second anniversary of the TRON mainnet. TRX prices rose at the end of the month of May 2020 quite substantially, however so did most other projects during the same time. There was no real evidence that the news from TRON had much to do with the increase in prices, and it was likely more due to the overall market behaviour. This month, even though it doesn't look great at first sight, TRX was able to hold its ground quite well. The news at the end of last month might have had a positive effect on TRX after all, which was able to stay in the top portion of the pack the whole month, finishing as the only asset with positive returns in this report.

Around June 26th, Stellar and Tron were able to run in a positive direction against the main market and recoup some of their losses. The big players, ETH and BTC only continued losing value during the same time. Showing at least hints of the often spoken about AltSeason.

“AltSeason” has been mentioned quite a lot lately in the news, and a bit of euphoria came back after the last two months. However, BTC was the 3rd highest gainer in April 2020, the 2nd highest in May 2020 and the 2nd highest again in June 2020. It might be a stretch calling this Altcoin season already, however the Alts in this report were performing great until the second week of June. The big month of March definitely took most of the increase in a great bull month, the following two were more of a trading range with notable spikes at the end of May and beginning of June. If the much anticipated spike in prices towards the end of the summer happens, there might be clearer evidence of a potential AltSeason starting, but as of now BTC is still in the top of the pack in terms of percentage gains.

Ethereum and Bitcoin followed each other extremely closely this month, after ETH was able to outperform BTC in the prior two months by quite some margin. Throughout the month most spikes and troughs were felt by both assets. Bitcoin performed just slightly better this month, “beating” ETH for the first time in 3 months.

June 2020, Biggest Changes

10-Hour Rolling Volatility

For June, we see very similar volatility readings to the month of May 2020, with relatively low volatility across the board. Most spikes stayed below the 0.015 region for the month with 3 noteworthy spikes occurring at the beginning of the month (June2nd), around 2 weeks in (June 12th) and towards the end of the month (June 28th).

The spike around June 2nd coincides with an upwards and subsequent downwards movement in prices, therefore having the biggest body (widest horizontal spread) of the three spikes. The main volatility spike on June 2nd coincides with the sharp price drop that the assets experienced at the beginning of the month. The increase in prices was much more gradual than the initial drop and thus did not trigger an equivalent second spike, even though most assets were able to make up most of their losses.

Around June 12th, BTC fell 7% in a day, with all assets following suit in a sizable sell off. Even though volumes have been decreasing over the last two months, heavy sell pressure saw all assets fly through their support zones. The bulls were able to regain some control the following day, but struggled to push prices back up, ultimately failing and finishing the month in the red (besides TRX).

The smallest of the three volatility spikes, around June 28th, was the only one that the assets were able to recoup from in a short time frame. The market fell off a slight cliff on the 28th, but this time most assets were able to come back from that drop, and reversed it in the following day. XRP, LTC and EOS weren't quite as strong, regaining a fraction of the drop before falling even more.

Overall, this was still a very low volatility month for the crypto market. That is now for the second month in a row that the majority of volatility moves stayed below 0.015. Just a few months ago spikes in the 0.1 region (almost 8x larger) were commonplace.

Correlations

There might be a point to be made about AltSeason after all!

Last month the correlations table changed quite drastically, creating a square of highly correlated pairs. The square still exists, even though with slightly decreasing numbers to the prior month. But, that is now the 2nd month in a row that most of the Alts are heavily correlated. Even though their price increase might have not been similar to that of bitcoin (for most assets) there is still some clear evidence here that the Alts are moving together more than they have in recent history. EOS & LTC still tower ahead of the pack with a reading of 0.93 (-0.01 from prior month). Correlation readings above 0.9 for almost three months in a row are rare, even in crypto. This makes EOS/LTC the main pair to monitor for Pairs Trading strategies once again.

BTC & ETH were the most correlated pairs in the mix at the start of this report series. Sitting at 0.94 just 4 months ago, it fell to a low of 0.85 last month. The new reading is a slight improvement towards perfect correlation of the two, but is still significantly lower than some of the top readings this month.

It’s still unclear if there is an AltCoin season on the horizon or not, with mixed signals from the BTC price and correlation compared to the Alts. However, AltCoin Season or not, a big bull run would lift the spirits of everyone in the market, no matter if that is BTC reaching new yearly highs or some of the Alts coming out of the shadows.

Notable News & Announcements

Genesis Launches Derivatives Trading Desk

JPMorgan Says Bitcoin Crash Survival Shows it Has Staying Power

Microsoft Releases Bitcoin-Based ID Tool as COVID-19 ‘Passports’ Draw Criticism

Canada’s Central Bank is Serious About Designing a Central Bank Digital Currency (CDBC)

About Consilium

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Consilium analyzes 17,000 trading pairs, over 1000 assets, across 50+ exchanges, and tracks trading activity to the millisecond. Our system monitors raw transaction data, as well as complete price and liquidity information from order books around the globe. These data pipelines power our core products, designed to help funds find alpha and place large orders efficiently in times of thin liquidity.

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DISCLAIMER: Consilium Crypto Inc. research and recommendations are meant for educational purposes only and the opinions expressed do not constitute investment advice. Independent advice should be sought where appropriate. The information in this report is provided "as is" and "as available". All information and opinions expressed herein are current as of publication and are subject to change without notice. Consilium Crypto Inc. does not warrant the accuracy of the materials provided herein, either expressly or impliedly, for any particular purpose and expressly disclaims any warranties of merchantability or fitness for a particular purpose. This document is provided for informational purposes only and should not be used for investment decisions. This is not an offer to sell or a solicitation of an offer to buy any security referenced in this document. Consilium Crypto Inc. does not provide financial or trading advice. For any questions or clarifications, please contact info@consiliumcrypto.ai.