Cointegration vs Correlation

Coin X rises 3% on every up day and coin Y rises 1.5%; on down days they fall 3% and 1.5%. What happens to their correlation and their gap?

• Correlation is low and the gap is stable
• Correlation is close to +1 and the gap drifts away whenever the market trends
• Correlation is close to +1, so the gap must be stable

A cointegration test reports p = 0.02, and its null hypothesis is "no cointegration". At a 0.05 threshold, what does that mean?

• The pair is certainly cointegrated
• The data give evidence against "no cointegration", so the gap looks stationary on that window
• There is a 2% chance the pair makes money