Bitcoin and the Public Markets, 2/15/22: $291mm in YTD Fund Outflows; Inverted Term Structure of BTC Volatility at 11% Realized less Implied

3 min readFeb 22, 2022


This report has four sections: Bitcoin vs broader markets, the public miners, institutional fund flows, and CME Futures. Click here for the full report.

The correlation of Bitcoin to the Nasdaq is ~52%, dropping slightly from last week. As we noted, a large down day in the Nasdaq is a strong predictor of large Bitcoin price declines. We do not expect the relationship to stay uncorrelated when investors need it to be uncorrelated. 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.

BTC drawdowns are deep and prolonged. Slide 7 shows that Bitcoin is only rarely within 20% of all time highs since 2014. In the same period, the S&P and Nasdaq have had only two short-lived bear markets.

The 18 publicly listed mining stocks trade at an average adjusted Enterprise Value per YE 2022 PH/s of planned capacity of $150k, down $10k since last week. 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 3.5x 2022E EBITDA and 7.5x 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. The multiples now look reasonably accommodative of a downward EBITDA recalibration.

Our new institutional fund flow section covers 19 funds with $28B of AUM. GBTC, an ETP, is 75%+ of the group, and has seen no inflows recently. The others are mostly crypto-exposed equity ETFs with a broader innovation focus — ProShares BITO Bitcoin futures fund excepted.

Over the past year, funds have seen a $587mm in net inflows (slide 19), with BITO (+1.7B and BLOK (+675mm) and Others (+941mm) offsetting $2.7B redemptions for ARKW (slide 20). Year-to-date, ARKW had $411mm redemptions, though inflows elsewhere helped the category see just $291mm in outflows (slide 21).

Realized volatility of 69.5% is now 11% above implied volatility (slide 25). While we expect these occasional inversions to occur in the depths of a selloff, the disconnect between a somewhat illiquid, regulated US institutional asset (CME Futures) and a global, liquid, largely retail driven asset (Bitcoin) suggests these inversions are reactive in nature rather than, as yet, predictive of price turning points.

The futures curve is flat through April, and then in backwardation — but with no liquidity (slide 26). Non-commercial net length declined to 189 lots, with Other Reportables shifting to a 288 lot net short position per the 2/8 Commitment of Traders report, vs. 620-lot net long position on 2/1 (slide 27).

Key Takeaways

Bitcoin’s correlation to the Nasdaq dipped to 51%; the relationship is strongest when the Nasdaq is down a lot

On our preferred adjusted EV per PH/s metric, the miners trade at an average of $150k, down $10k from last week

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 3.5x Adj EV / EBITDA multiple should be accommodative

Over the past year, funds have seen $587mm in flows, but $291mm in outflows year-to-date, led largely by ARKW (outflows of $2.7B over 12 months / $411mm YTD)

Implied volatility (100% moneyness for the active contract) is now 11% below realized 30-day volatility, although we don’t view it as predictive of price turning points

Overall non-commercial net length on the CME fell to 189 lots, while Other Reportable investors swung from a 620 lot long to a 288 lot net short position




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