A 31.82% range and a -5.82% hour force a two-sided quote sheet to shrink
Should the desk widen its spreads and cut quote sizes through hours like Monday's early 00:00-07:59 UTC window, or keep tight quotes to capture the 31.87bn dollar volume at 2.5 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 11 January 2021, BTC fell 6.08%, from 38,150.02 to 35,828.61, after four straight up weeks (22.32%, 12.05%, 25.56%, 15.61%). The week's range was 31.82%, with a 30,420.00 low on Monday 16:00 UTC and a 40,100.00 high on Thursday 15:00 UTC. The largest 1-hour move was -5.82%, early in the UTC day on Monday; the worst day was -7.20% and the best day +9.76%. Realised annualised volatility was 154.1%, funding averaged 0.0529% per eight hours (max 0.1182%), and the close sat mid-range. An illustrative desk quotes both sides and needs small inventory.
Judgment
Keep quoting both sides, but scale size down to what one adverse hour can absorb, and widen spreads most in the early UTC hours where the -5.82% move landed. The mid-range close and low-before-high pattern give no directional edge, so inventory from filled one-sided flow should be unwound quickly rather than held into the next session. Accept lower volume share; the 2.5x volume comes with a 154.1% realised volatility that makes tight quotes expensive.
What would change it
If hourly moves shrink well below the -5.82% print for several weeks and funding falls back towards its 0.01% minimum, spreads can be tightened. If the desk's fills show one side persistently winning, quoting skew can be adjusted instead of sizes cut.
What sets this case apart
For a market maker the question is not direction but how much inventory one hour can create, so the -5.82% hour sets the size limit while volume only sets the prize.