An 18.81% down week and a 4.36% hour force a two-sided desk to reprice its quotes
Should a market-making desk cut its quote sizes and widen spreads during the middle of the UTC day, or keep tight two-sided quotes to capture volume running 1.25 times its prior 12-week average?
The market facts are real; the decision maker is illustrative.
The week and the position
In the week of 18 November 2019, BTC fell 18.81%, from 8,502.87 to 6,903.28, a return at the 3.0 percentile of 92 weeks of history. The high came in Monday's opening hours and the low, 6,790.0, on Friday afternoon. The worst hour lost 4.36% on Friday morning, mid-UTC day; the worst day lost 5.81% on Thursday. The close sat in the lower third of the 25.24% range, realised volatility was 61.0% annualised, and volume was 1.25 times the prior 12-week average. Funding averaged 0.0029% per eight hours but hit -0.0287%. Ether trailed BTC by 5.05 percentage points, and the ETH-BTC ratio fell 6.22%, at 0.91 hourly correlation.
Judgment
Volume 1.25 times the prior average is worth less than it looks when 4.36% one-hour moves land inside the quoting window. Cut quote sizes and widen spreads during the middle of the UTC day, where both the low and the worst hour occurred, and skew quotes down so fills lean towards the low side rather than accumulating length into a falling tape. The desk accepts lower turnover and forgone spread income during the middle of the UTC day, the window where this week's low and its largest hourly move both fell; it does not accept being run over by a Friday-scale hour on full size.
What would change it
If realised volatility falls well below the 61.0% annualised level and the largest hourly moves shrink for several sessions, sizes and spreads can be restored. If funding turns and stays positive at or above the 0.01% maximum seen this week, the downward skew can be relaxed.
What sets this case apart
The decision is about intraday timing of quote size and skew, not about direction: the high fell at Monday's open, the low at Friday afternoon, and the week's worst hour landed mid-UTC day.