2021-2022 – US Financial Indicators vs SPY & Bitcoin
October 2021 – October 2022
📉
SPY: -18.62%
💰
Bitcoin: -57.87%
📊 VIX Peak
36.45
March 2022
📈 MOVE Peak
164.30
Bond volatility spike
💵 MMF Growth
+34%
$4.4T → $5.9T
🏦 Bank Reserves
-12%
Liquidity drain
📊 RRP Growth
+240%
$1.6T → $5.5T
💹 Fed Funds Rate
0% → 3.1%
Aggressive tightening
SPY vs Bitcoin
Both assets declined significantly during the Fed tightening cycle
Key Insights from the Period
📉 Market Performance
- • SPY fell 18.62% as Fed aggressively raised rates
- • Bitcoin crashed 57.87%, showing higher volatility than equities
- • Peak declines occurred in May-June 2022
- • Both assets moved in tandem (correlation: 0.93)
😰 Volatility Surge
- • VIX peaked at 36.45 in March 2022 (Ukraine invasion)
- • MOVE Index hit 164.30, showing bond market stress
- • Both equity and bond volatility elevated throughout
- • VIX strongly negatively correlated with SPY (-0.87)
💰 Flight to Safety
- • Money Market Funds surged 34% ($4.4T → $5.9T)
- • Investors fled to cash as markets declined
- • Rising rates made MMFs attractive (3%+ yields)
- • Strong negative correlation with SPY (-0.95)
🏦 Liquidity Crunch
- • Bank Reserves fell 12% as Fed tightened
- • RRP ballooned 240% ($1.6T → $5.5T)
- • Quantitative Tightening (QT) drained liquidity
- • Reserves positively correlated with SPY (0.83)
📈 Fed Tightening
- • Fed Funds Rate: 0% → 3.1% in just 12 months
- • Most aggressive tightening cycle since 1980s
- • SOFR rose from 0.05% to 3.78%
- • Higher rates pressured both stocks and crypto
🔗 Strong Correlations
- • SPY & Bitcoin moved together (0.93)
- • Both assets inversely correlated with VIX
- • Liquidity metrics (Reserves) predicted performance
- • RRP growth signaled risk-off sentiment