A 40.00% range and a -5.23% hour test a trigger set in a rallying week
Should the lender widen the required margin on BTC-backed loans now, or keep its existing cushion because the week closed 28.77% higher?
The market facts are real; the decision maker is illustrative.
The week and the position
In the week of 12 February 2018, BTC rose 28.77%, from 8,063.82 to 10,383.43, inside a 40.00% range, with realised volatility of 114.3% annualised. The best day, 14 February, gained 10.72%. The worst day, 18 February, lost 5.94% and contained the week's largest one-hour fall of -5.23% at 05:00 UTC, three hours after the weekly high of 11,274.00. An illustrative lender holds BTC-backed loans and sells collateral below a fixed trigger. ETH lost 16.1 percentage points against BTC.
Judgment
A rising week does not lower the trigger risk. Sunday proved it: within hours of the weekly high, collateral fell 5.94% in a day, which can carry a position straight through a trigger and the cushion behind it. Keep the trigger and set the required margin from the -5.23% hour and the 5.94% day rather than the 28.77% weekly gain, holding a cushion wide enough that the liquidation sale completes. Accept slower loan origination while volatility stays near 114.3% annualised.
What would change it
If realised volatility and the worst hourly and daily moves stay well below these levels for several consecutive weeks, the margin and trigger can be reviewed downward. Records showing liquidations this week filled close to the trigger price would weaken the case for a wider cushion.
What sets this case apart
The lender's exposure appears in the hours after a weekly high, not in the weekly gain; ETH's 12.5% fall against BTC argues for different margins per collateral asset.