Bitcoin and the Public Markets, 1/31/2022: BTC Correlation to Nasdaq Still High, Futures in Contango; BITO Sees $28mm Inflows

The correlation of Bitcoin to the Nasdaq is ~58% and still rising. However, a large down day in the Nasdaq is an even higher predictor of Bitcoin daily returns. Slides 3 and 4 show that since the BTC peak, Bitcoin usually exhibits large declines with the Nasdaq. This is consistent with our view that Bitcoin is still a risk-on asset, notwithstanding the prevalent inflation hedge / digital gold / uncorrelated asset narratives in the space. It can get there, but it is not there yet. Click here for the full report.

The 18 publicly listed mining stocks trade at an average adjusted Enterprise Value per YE 2022 PH/s of planned capacity of $130k, up $10k since last week as Bitcoin price rose 2.6% WoW. Adjusted EV = Market Cap + Debt — Cash — Market Value of Crypto Holdings. Technically, pending capital expenditures needed to pay for future deliveries of announced rig purchases and ancillary equipment should be added back, but the lack of data led us to exclude this adjustment for consistency.

Notably, miners like Hive that have relatively modest expansion plans, or Greenidge and Riot that have low power and operating costs, trade at a premium to the group. We also examined financials based on Bloomberg analyst consensus, finding that the companies that do have estimates trade at 2.9x 2022E EBITDA and 6.5x 2022E Contribution (Gross Profit + Depreciation). Considering our 327EH/s year end network Hashrate estimate, we suspect that consensus EBITDA estimates may need downward revisions unless Bitcoin price accelerates to new highs — not unlikely, but counter to the current trend. The multiples now look reasonably accommodative of a downward EBITDA recalibration.

Most public miners have underperformed Bitcoin YTD and have experienced an average drawdown of ~57% since Bitcoin peaked on 11/10/2021. Bitcoin is down 45% from that peak, which makes sense because of the loss of operating leverage as mining margins compress with BTC’s falling price.

CME 30-day at-the-money implied volatility is consistently above realized volatility. Currently, implied vol is at 61% annualized, while realized vol is at 55%.

The CME Futures curve returned to Contango. Overall open interest fell 15% vs. last week to 9,787 lots. The roll post option expiry is incomplete, with over 2000 fewer March contracts open today than Feb contracts pre-expiry last week.

The Bitcoin Futures ETF BITO has seen $28mm inflows in the past week. Although it is only one instrument, as the largest easily accessible regulated ETF, it is a proxy for main-street individual and institutional sentiment, in our view. Thus, we see the inflows as a positive signal. BITO represents over 40% of all CME open interest, by our assessment.

The Commitment of Traders data from 1/25/22 shows that net length expanded to 478 lots from 22 lots a week ago. Commercial players reduced long positions while expanding short positions considerably.

Key Takeaways

  • Bitcoin’s correlation to the Nasdaq is about 58%, but the relationship is strongest when the Nasdaq is down a lot
  • Bitcoin acts as a high-beta risk-on asset

Public Miners

  • Unsurprisingly, public miners have underperformed Bitcoin as earnings expectations deleverage with margin compression
  • On our preferred adjusted EV per PH/s metric, the miners trade at an average of $130k, up $10k from last week
  • Low-cost miners like Riot and Greenidge, balanced hosting — self mining models like Core Scientific, and low-growth miners like Hive trade at a premium to the group
  • The less miner growth is in the future, the higher the multiple (R2 = 33%); this is quite unlike most traditional equities
  • Our YE network Hashrate estimate of 327 EH/s implies that either BTC price needs to accelerate, or that consensus EBITDA estimates need to be recalibrated down — but a modest 2.9x Adj EV/ EBITDA multiple should be accommodative


  • Realized volatility of 55% is below 61% at-the-money implied vol, as is common
  • The CME futures open interest fell 15% to 9,787 lots, with speculative net length of long 478 lots
  • Bitcoin Futures ETF BITO saw inflows of ~$28mm. BITO represents over 40% of total CME open interest



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