A -15.93% Sunday forces a reserve's quarter-end reporting call
Should the treasury keep its ETH reserve at full size through the quarter's reporting date, or trim it now given ETH's 2.61-point underperformance of BTC and a -15.93% Sunday?
The market facts are real; the decision maker is illustrative.
The week and the position
In the week of 2 March 2020, ETH fell 8.44% from 217.81 to 199.43: a 7.22% gain on 6 March, then a -15.93% day on 8 March, closing in the lower third of a 28.86% range. Realised annualised volatility was 74.8% and volume ran 1.71 times the prior 12-week average, 44.27% below the 52-week high. ETH lost 2.61 points against BTC at 0.83 correlation. Eight-hour funding stayed positive, averaging 0.0237%, peaking at 0.0458%. An illustrative treasury holds ETH as a reserve and reports at quarter-end.
Judgment
Keep the reserve at its current size through the reporting date. Holding accepts this week's 8.44% fall in an asset with 74.8% realised volatility, whose low of 195.50 and largest one-hour move of -2.87% both fell late in the UTC day, after the best day of 7.22% on 6 March, while eight-hour funding averaged 0.0237%, peaking at 0.0458% and bottoming at 0.01%, paying short holders throughout. Trim only the share the treasury cannot carry through another double-digit single day. Accept that the quarterly report shows the drawdown and that ETH's weight fell relative to BTC.
What would change it
If the ETH/BTC ratio keeps falling for further weeks, or the next quarter's reporting date falls below this week's low of 195.50, trim the reserve. If eight-hour funding turns negative, the leveraged-long pressure is gone and the case for trimming weakens.
What sets this case apart
The choice is a reporting-date reserve decision, not a trade: trimming books a loss into this quarter, while holding risks another -15.93% day before the report.