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Stats › Crypto › Crypto volatility clock

Bitcoin volatility follows a clock, and nobody has shown that returns do

UTC hourWhat the data shows
00:00Volume and volatility spike. A Binance perpetual funding time.
05:00Laagste volatility of the day in both Bitcoin and ether.
08:00A less pronounced volume and volatility spike. A Binance funding time.
10:00Coinbase relative illiquidity peaks, at roughly 80% to 150% of average.
16:00Highest volatility of the day, and the largest of the three spikes. A Binance funding time.
East Asian nightBinance relative illiquidity runs about 30% above average in both assets.

Hour of day patterns in Bitcoin and ether, Binance and Coinbase Pro, January 2019 to May 2021 for the hour-of-day results. The paper uses absolute returns as a volatility measure and does not report mean returns by hour at all.

Bitcoin and ether volatility runs high around 16:00 UTC and lowest near 05:00 UTC, with volume and volatility spiking at the three Binance perpetual funding times. The source paper never tests whether returns differ by hour, which makes this an execution statistic.

16:00UTC hour of highest volatility in both BTC and ETH
05:00UTC hour of lowest volatility
About 30% above averageBinance relative illiquidity during East Asian night hours
Up to about 150% of averageCoinbase illiquidity at its 10:00 UTC peak

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