Recaps · US CPI · 18 Jan 2017, 13:30 UK
Volatile before, volatile after
In January 2017 Bitcoin was a small market that swung several percent in an hour with or without news. This inflation report showed the highest annual rate in two and a half years. Bitcoin moved sharply after it, in both directions, while stocks barely reacted.
- Release
- Wednesday 18 January 2017, 13:30 UK
- CPI
- +0.3% m/m, 2.1% y/y, highest since June 2014 (BLS, IBD)
- Core CPI
- +0.2% m/m, 2.2% y/y
- Same day
- Yellen speech in San Francisco (Fed)
- Bitcoin at release
- $870.68
The numbers
Prices rose 0.3% in December and 2.1% over the year, the largest annual increase since June 2014. Later that day, Janet Yellen told the Commonwealth Club in San Francisco that inflation was beginning to move toward the Fed's 2% goal as the job market improved and the effect of earlier oil price falls faded (Fed). The report fitted that story, and the S&P 500 ETF was -0.03% after its first hour.
Both ways in two hours
- 1 13:30 UK: first candle about +0.6%
- 2 14:05 UK: low, about 2.2% down
- 3 15:30 UK: high, about +1.3%
Bitcoin rose +0.61% on the first candle, then fell to about 2.2% down at 14:05 UK. It was -1.96% at the hour, #17 of 117 CPI reports at 3.7 times a normal hour. By 15:30 UK it was about 1.3% up, and it ended four hours at +0.42%. It had also fallen about 3% in the hour before the release, so the market was already moving fast.
| Market | 5m | 15m | 1h | 2h | 4h | 24h | × normal hour |
|---|---|---|---|---|---|---|---|
| Bitcoin | +0.61% | −1.23% | −1.96% | +0.14% | +0.42% | +2.45% | 3.7× |
| S&P 500 ETF (SPY) | −0.22% | −0.07% | −0.03% | 0.00% | −0.10% | – | – |
| Nasdaq-100 ETF (QQQ) | −0.11% | +0.04% | +0.11% | −0.01% | −0.15% | – | – |
Change from the 13:30 UK release. The ETFs are measured from the 14:30 UK open.
Noise or reaction?
A 3% move in the hour before the data and swings of 2% after it look more like a thin market than a reaction to inflation. In early 2017, Bitcoin's normal hour was already large, so even a 3.7 times move did not need a macro cause. Stocks, which did care about inflation, hardly moved.
The next two reports point the same way. In February 2017, Bitcoin moved less than 0.1% in the first hour after CPI. In September 2017, it fell 4.1%, on a day dominated by news from China's crypto crackdown. The useful check for any early-era recap is the hour before the release: if the market was already swinging, the release-time move tells you little about the data. Bitcoin was +2.5% a day later.
Sources: release time and figures from the U.S. Bureau of Labor Statistics (public domain), first-print values via ALFRED, Federal Reserve Bank of St. Louis. Crypto: Bitstamp 5-minute candles; SPY/QQQ: IEX. No consensus forecasts are shown because they are proprietary; comparisons are with the previous release. “× normal hour” compares the first-hour move with the median move in matched quiet hours. How we measure it.