A 14.53% ETH week at 88.2% realised volatility forces a margin decision
Should the exchange raise margin requirements for leveraged ETH clients after this week, or keep current terms and rely on liquidation to absorb a repeat of Wednesday's 4.56% hour?
The market facts are real; the decision maker is illustrative.
The week and the position
In the week of 2 November 2020, ETH rose 14.53% to close at 454.30, in the upper third of a 26.48% range, with realised volatility at 88.2% annualised and 3.50bn dollars of volume, 1.52 times the prior 12-week average. The best day gained 9.40%, the worst lost 4.54%, and the largest hour moved 4.56%. Perpetual funding averaged 0.0399% per eight hours and peaked at 0.103%. The week's return sat in the 89th percentile of 142 weeks, and ETH beat BTC by 2.08 percentage points.
Judgment
The exchange should raise margin for leveraged ETH clients, but modestly and only on new positions. Margin set from calm weeks cannot absorb a 9.40% day or a 4.56% hour. Positive funding means holders of long positions pay holders of short positions, and the 0.103% peak shows that payment was steepest at some point in the week, so a fall would meet leveraged longs that are paying to stay open. Terms should be scaled to the 26.48% weekly range and 88.2% volatility, not to the average week. Accept lower leveraged volume and some client attrition as the cost of surviving a reversal at full size.
What would change it
If realised volatility and 8-hour funding fall back towards their prior 12-week levels for several weeks, the higher margin can be unwound. If price holds above the week's low of 370.23 while funding sits near its 0.01% low, the case for a higher requirement weakens.
What sets this case apart
The decision turns on how a rising, high-volatility week concentrates liquidation risk in leveraged longs, not on any view of ETH's direction.