Replays · US CPI · 10 Feb 2022, 13:30 UK

Down 3.9%, then back in an hour

By early 2022 the Fed had promised to start raising rates in March. The January inflation report raised a sharper question: how fast? Crypto's answer in the first half hour was a steep sell-off. Its answer an hour later was to undo it.

Release: Thursday 10 February 2022, 13:30 UK
Headline CPI: +0.6% m/m, 7.5% y/y (December: 7.0%)
Core CPI: +0.6% m/m, 6.0% y/y
BLS context: Biggest 12-month rise since February 1982
Bitcoin at release: $44,951

The drop

1 14:00 UK: low, about 3.9% down
2 15:00 UK: back above the release price

Bitcoin, 5-minute candles around the 13:30 UK release, % from the release price.

Bitcoin fell 2.2% on the first candle and kept going for half an hour, reaching about 3.9% below its release price at 14:00 UK. At the hour it was -3.06%, #9 of 117 CPI releases in our data and 5.7 times a normal hour. Chainlink was -4.9% and Litecoin -4.1%.

The rebound

Then the selling stopped. By 15:00 UK, ninety minutes after the release, Bitcoin was above where it started, and at four hours it was +1.77%. The altcoins recovered most of their losses but not all: Ether was still -0.5% at four hours.

US stocks rose in the first hour, with the Nasdaq 100 ETF +1.4%, but drifted back to roughly flat by four hours, at +0.2%.

Bitcoin's first-hour move after every CPI release in our data, by size. This release is highlighted.

The speed of the rebound is the striking part. Between its 14:00 low and 15:00 UK, Bitcoin climbed more than 4%, with no new data in between, much of it after US stocks opened at 14:30, and the Nasdaq 100 ETF was positive from its first minutes.

Bullard, and the next day

The same day, St Louis Fed President James Bullard told Bloomberg he wanted "100 basis points in the bag by July 1", a full point of hikes over three meetings. Reuters reported that rate futures moved to match his view within minutes, and the 10-year Treasury yield hit 2% for the first time since August 2019.

Crypto's rebound didn't survive the following day. Bitcoin was -2.6% at 24 hours and -5.3% after a week, and Litecoin was -13% over the week. The first-hour shock and the recovery both turned out to be short-lived. The longer trend was set by what the report meant for Fed policy.

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.