Block Scholes <> Quant Insight Bitcoin’s Sensitivity Shift

Key Insights

• There are emerging signs that Bitcoin's relationship with US equities Bitcoin is undergoing a regime shift. While previously Bitcoin traded in close alignment with equities—reacting positively to dollar strength and negatively to higher equity volatility—it is now beginning to diverge from this tech-stock-like behavior. Could we see Bitcoin become a distinct asset class that offers investors the benefits of diversification?

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• This paper sets out to evaluate the changing relationships between macro fundamentals and crypto sentiment. Quant Insight’s unique quantitative macro framework firstly identifies and then measures the macro "DNA" of any asset. Block Scholes Senti-Meter provides a way to track the degree to which crypto derivative technicals are driving price action. As Bitcoin increasingly moves into the TradFi space, all crypto investors need to adopt an investment framework that covers macro, technical, positioning & sentiment factors.  

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• Bitcoin’s sensitivity to major macroeconomic and sentiment indicators has diminished. Positive sensitivity to dollar strength has decreased (from 2.5% to 1.5%) and negative sensitivity to VIX volatility expectations become weaker (from -2.4% to -0.8%). Reactions to sentiment changes (as measured by the Block Scholes Senti-Meter) dropped from 3.3% to just 0.65%. since the tariff announcement.

Driven like a Tech Stock

Following the launch of Spot BTC ETFs in the US in early January 2024, Bitcoin rekindled the strong relationship with US equities that it had held in the post-Covid recovery period. That relationship was further strengthened during the 2024 presidential election campaign, as both crypto and equities enjoyed a post-election rally at the end of 2024 in a basket of well-performing “Trump trades”.

The strong relationship between the two is firmly supported by the Quant Insight model too.  The advantage of Qi’s approach is that their PCA framework provides the orthogonal relationship between Bitcoin & a broad universe of macro factors. The macro environment includes various factors – all of which are interrelated. That fact makes traditional two-factor correlations unfit for purpose. Qi identifies the independent patterns of association between asset prices like Bitcoin & a wide array of factors that speak to economic fundamentals (growth & inflation), financial conditions (real yields, credit spreads, Fed expectations) and risk appetite (VIX, gold/silver).

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Both the VIX and dollar strength (against a basket of trade-weighted currencies) rank as the two macroeconomic factors with the highest impact on the model’s fair value price, with Bitcoin price responding positively (all else held equal) to a stronger dollar and lower volatility in US equities – just as we’d expect US equities to themselves.

However, we’re seeing signs in spot prices that this relationship could be changing. Since early April, and the onslaught of Trump’s tariff uncertainty proper, BTC price has eschewed its near-linear post-election relationship to the S&P 500 and recovered to $95K, despite a plunge back below 5k for the S&P.

So if BTC is no longer moving in lock-step with equities with a strong beta – what does the model tell us about its changing relationship to macro factors?

Sensitivity to the Dollar

US exceptionalism and market excitement for the Trump administration 2.0 saw gold and risk-on assets rally alongside the dollar in late 2024. That relationship continued, as both bitcoin and all US equities have this positive sensitivity in 2025. We interpret this as an "America First" sentiment: tariff uncertainty has impacted US-based assets almost unilaterally – hurting stocks, the dollar, and even treasuries. 

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However, the fallout of Trump’s April 2, 2025 “Liberation Day” tariff announcement in the White HouseRose Garden broke that idea for Bitcoin – see that in the chart below – and not equities. Before thatdate, a 1 std dev shock higher in dollar strength was (all else equal) consistent with Bitcoin rallying 2.5%.Now, that same sensitivity figure is close to 1.5%.

While  that  is  certainly  a  significant  step  change,  it’s  not  yet  a  return  to  the  weaker-dollar,  stronger-bitcoin relationship that we’d expect for an idiosyncratic digital commodity whose value is measuredagainst the dollar.

Sensitivity to the VIX

Throughout late 2024, and as recently as Feb 2025, Bitcoin’s fair value was highly sensitive to low volatility expectations for US equities – at the end of January (every other factor left unchanged) Quant Insight’s macro model for the fair value of BTC indicated that a 1 std dev increase in VIX was consistent with Bitcoin falling 2.4%.

That dependence on lower volatility expectations has decreased too – at the same time that we saw a weakening in its positive dependence on dollar strength. The VIX spiked above 50% as equities tumbled, before BTC rallied back above $90K and then $95K, in a strong rejection of the risk-off sentiment that had seen it lead Monday morning opening bell selloffs in SPX.

However, despite flashing an early warning sign, the data shows that an equivalent 1 std dev move today would push Bitcoin down by (“just”) 0.8%. We would likely need to see this relationship flip sign (and Bitcoin responds positively to risk-off moments) for definitive evidence of crypto decoupling from risk-on assets like US equities and behaving more like a safe-haven asset.

Senti-Meter Sensitivity

The VIX is a metric that measures market sentiment, where higher readings indicate expectations of higher volatility in the S&P 500 over the upcoming 30 days. Block Scholes’ Senti-Meter Index aggregates various measures of sentiment from crypto-currency derivatives markets, not just options markets, in order to get a better understanding of market positioning. Think of it as a weighted average of positioning across BTC futures, options, and perpetuals*. Market sentiment is strongly correlated with spot price moves (as we might expect) with rallies in spot backed by improvements in derivatives sentiment and selloffs causing the unwind of bullish positions in favour of bearish protection.

By adding this metric as an input to the Quant Insight model, we can evaluate the impact that sentiment has had on Bitcoin’s price. Apart from moderating its behaviour as a tech stock, Trump’s uncertain tariff plans have also reduced Bitcoin’s sensitivity to changes in sentiment. Despite a 3.3% rally response to a 1 std dev change in the Senti-Meter at the beginning of the year, the same move would inspire just a 0.65% move today.

* perpetual swaps (or perpetual “futures”) are derivative instruments whose value is intended to track a given index price, such as the spot price of BTC. The contract’s value is kept close to the via the periodic exchange of a “funding rate” between long and short positions. When the mark price of the perpetual swap is above the tracked index price, the funding rate is charged to long positions and collected by short positions, incentivising the closure of the contract. The same is true in reverse when the perpetual swap’s mark price is below the index price.

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Also, note that the impact is always positive: a higher Senti-meter value implies a higher BTC price, but with varying strength over time. How are we to interpret this? The drop in sensitivity to derivatives market sentiment indicates that much of BTC’s recent price action cannot be well explained by changes in sentiment. Instead, Bitcoin may have been driven more by exogenous macroeconomic factors.

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However, instead of increasing its correlation to equities and the dollar in its response to these exogenous shocks, we instead find that BTC has changed its reaction to risk-off sentiment on both fronts.

Conclusion

Bitcoin’s recent price dynamics underscore a notable shift away from its previously strong correlation with US equities. Earlier patterns, which showed that BTC closely mirrored sensitivity profiles typical of tech stocks—including positive reactions to dollar strength and negative sensitivity to a rising VIX—have noticeably weakened, driven largely by developments since Trump's tariff announcement in April 2025.

The post-announcement environment has revealed Bitcoin’s reduced responsiveness to a stronger dollar (from 2.5% to 1.5%) and diminished sensitivity to equity market volatility (from -2.4% to -0.8%), suggesting an evolving role for Bitcoin in the broader financial landscape. Furthermore, analysis through the Block Scholes Senti-Meter highlights a significant decline in Bitcoin’s sensitivity to cryptocurrency derivatives market sentiment—from an early 2025 rally-response of 3.3% down to just 0.65%. This reduction indicates that Bitcoin’s recent price movements have been less sentiment-driven and more influenced by external macroeconomic forces.

Rather than reinforcing correlations to traditional risk-on assets, these shifts may indicate the emergence of Bitcoin as a distinct asset class, potentially offering diversification benefits as its sensitivities to both traditional market indicators and sentiment dynamics evolve.