A 42.05% weekly range and an 8.99% hour force a margin rethink
Should the exchange risk team raise margin requirements on leveraged BTC positions to match this week's realised volatility, or hold current levels because funding stayed near zero?
The market facts are real; the decision maker is illustrative.
The week and the position
In the week of 21 October 2019, BTC rose 15.89%, from 8,223.35 to 9,529.93, after a 42.05% range between a low of 7,300.00 on Wednesday and a high of 10,370.00 on Saturday. Realised annualised volatility reached 118.9%, with an 8.99% hourly move and volume 1.76 times the prior 12-week average. Three of the four prior weeks were down. Funding stayed near zero (average 0.0097% per eight hours, maximum 0.0309%, minimum -0.0147%). ETH underperformed BTC by 11.0 percentage points despite a 0.86 correlation.
Judgment
Set new margin tiers from this week's realised volatility and hourly moves rather than from the weekly return of 15.89%, since an 8.99% hour can carry a leveraged account through any liquidation cushion priced off the average. Keep existing positions at their original terms and apply the higher requirement only to new positions and added leverage. Separately, do not let the 0.86 correlation justify diversification credit: ETH lost 11.0 percentage points against BTC in the same week.
What would change it
If hourly moves and realised volatility fall back for several consecutive weeks, the new tiers can be relaxed. If eight-hour funding rises far above the 0.0309% maximum 8-hour reading of this week, indicating crowded leverage, the requirements should be raised further regardless of price direction.
What sets this case apart
Near-zero funding says leverage was not crowded, yet volatility alone still requires higher margin; the two signals point opposite ways in one week.