As of 17 January 2018 the long-term* trend value of Bitcoin is $4605.
So Bitcoin would have to fall approx 49% from its current level to revert to its trend value.
*”long-term” in this case meaning from 2012.
The United Kingdom used to have have two annual Budgets (what the UK Treasuary calls “fiscal events”), one in the Spring and the other in the Autumn. But from 2017 it is switching to having just one Budget in the year – in the Autumn. The reason is to allow major tax changes to occur annually, before the start of the fiscal year. (Further info on the new Budget timetable can be found on the Treasury web site.)
So, 2017 saw the last Spring Budget, and the Autumn Budget will take place on Wednesday 22 November 2017.
Below we look at the immediate effect of the Budget on three asset classes in the three days around Budget Day:
The following chart plots the daily returns for the FTSE 100 Index for the three days around Budget Day for the years 2000-2017. For example, in year 2000 the Budget was on 21 March, the day before the Budget the FTSE 100 rose 1.04%, on Budget Day the index fell 0.13%, and on the day after the index fell 0.12%.
Similar to the above, the following chart plots the daily returns of GBPUSD around Budget Day from year 2000.
And, finally, the performance of gilts (the 8% Treasury 2021 is taken as a representative gilt) around the budget.
The following chart shows the average returns for the period 2000-2017 for each respective asset class for the three days around the Budget.
And the following chart shows the proportion of positive returns for the three asset classes in three days around the Budget.
On average since 2000 the equity market has seen mildly positive daily returns on the day before the Budget and on Budget Day itself. But the most significant observation is that equities have been weak on the day after the budget.
On average the pound against the dollar has seen little change on the day before the Budget and on Budget Day itself, but has been strong on the day after the budget.
While, on average, gilts have been weak for all three days, with the weakest day being the day after the Budget.
The following table gives the contract specifications for the proposed cash-settled CME Bitcoin futures.
|Contract Unit||5 bitcoin, as defined by the CME CF Bitcoin Reference Rate (BRR)|
|Minimum Price Fluctuation||Outright: $5.00 per bitcoin = $25.00 per contract
Calendar Spread and Basis Trade at Index Close (BTIC): $1.00 per bitcoin = $5.00 per contract
|Trading Hours||CME Globex and CME ClearPort: 5:00 p.m. – 4:00 p.m. CT Sunday – Friday
BTIC: 5:00 p.m. – 10:00 a.m. or 11:00 a.m. CT (4:00 p.m. London Time) Sunday – Friday
|Product Code||Outright: BTC
|Listing Cycle||Nearest 2 months in the March Quarterly cycle (Mar, Jun, Sep, Dec) plus the nearest 2 “serial” months not in the March Quarterly cycle.
Contract months for initial listing: Dec 2017, Jan 2018, Feb 2018, Mar 2018.
|Termination of Trading||Last Day of Trading is the last Friday of contract month.
Trading in expiring futures terminates at 4:00 p.m. London time on Last Day of Trading.
|Position Limits||Spot Position Limits are set at 1,000 contracts. A position accountability level of 5,000 contracts will be applied to positions in single months outside the spot month and in all months combined. The reportable level will be 25 contracts.|
|Block Minimum||5 contracts|
|Price Limits||Price limits for a given Business Day are made by reference to the most recent Bitcoin Futures settlement price, settled at 4:00 p.m. London time each Business Day.
Special price fluctuation limits equal to 7% above and below prior settlement price and 13% above and below prior settlement price and a price limit of 20% above or below the previous settlement price. Trading will not be permitted outside the 20% above and below prior settlement price.
|Settlement||Cash settled by reference to Final Settlement Price, equal to the CME CF Bitcoin Reference Rate (BRR) on Last Day of Trading.|
Further info on Bitcoin futures at the CME web site.
The following chart gives the changes in currency rate for the UK pound for the third quarter 2017. For example, the UK pound increased 2.8% against the US Dollar in 3Q 2017.
The following chart gives the changes in currency rate for the US dollar for the third quarter 2017. For example, the US dollar fell 302% against the Euro in 3Q 2017.
The following chart gives the changes in currency rate for the UK pound for the third quarter 2016. For example, the UK pound fell 9.1% against the South African Rand in 3Q 2016.
The following chart gives the changes in currency rate for the US dollar for the third quarter 2016. For example, the US dollar increased 1.1% against the Canadian dollar in 3Q 2016.