  Bitcoin being a safe haven asset is one of the traditional stories in the
cryptocurrency community. However, during its existence and relevant presence,
i.e. approximately since 2013, there has been no severe situation on the
financial markets globally to prove or disprove this story until the COVID-19
pandemics. We study the quantile correlations of Bitcoin and two benchmarks --
S\&P500 and VIX -- and we make comparison with gold as the traditional safe
haven asset. The Bitcoin safe haven story is shown and discussed to be
unsubstantiated and far-fetched, while gold comes out as a clear winner in this
contest.
