A 12.26% rebound week, 81% below the high, against a reserve the treasury must mark each quarter
Should the treasury keep its ETH reserve at its current size through the quarterly report, or trim it now while the market is up 12.26% and closing in the upper third of its range?
The market facts are real; the decision maker is illustrative.
The week and the position
In the week of 10 September 2018, ETH rose 12.26%, from 196.13 to 220.17, after a prior week that had dropped 33.74% and with three of the prior four weeks down. The week's range was 35.92% (low 167.32 Wednesday, high 227.42 Saturday), annualised realised volatility was 120.3%, volume ran 1.45 times its prior 12-week average, and the close sat in the upper third of the range. ETH was still 81.01% below its 52-week high, and it outperformed BTC by 8.22 percentage points. An illustrative treasury holds ETH as a reserve it marks in quarterly reports.
Judgment
One strong week inside a four-week sequence of net losses is not evidence that the reserve's volatility problem has resolved. Keep the reserve but cap it at the size the treasury can carry through a quarter without a forced sale, given that a 35.92% range and 120.3% realised volatility can reappear inside a reporting period. Trim only the portion above that cap, transacting at the week's upper-third close of 220.17, so that quarterly reporting does not depend on the next week's direction.
What would change it
If two or three further weeks close with reduced range and volatility well below 120.3%, the cap can be raised. If a quarter closes with ETH below the week's low of 167.32, the cap should be tightened again regardless of the interim rebound.
What sets this case apart
A quarterly reporter's problem is not direction but the size of the mark it must publish; the cap is set by the worst recent range, not by the best recent week.