A 41.86% range and a -6.91% hour test margin set during four rising weeks
Should the exchange risk team raise minimum margin and intraday buffers for leveraged ETH clients, or keep current terms because ETH still closed the week only 1.74% lower?
The market facts are real; the decision maker is illustrative.
The week and the position
In the week of 11 January 2021, ETH fell 1.74% to 1,232.45 but ranged 41.86%, from a low of 915.00 on Monday to a high of 1,298.00 on Saturday. Monday lost 13.33% and included a -6.91% hour at 03:00 UTC, then Thursday gained 9.01%. Realised annualised volatility reached 185.8%, dollar volume was 3.03 times the prior 12-week average, and 8-hour perpetual funding averaged 0.0602%, peaking at 0.1775%. The four prior weeks had all risen. An illustrative risk team must set margin for leveraged ETH positions priced on this past week.
Judgment
Set the margin from the intraday extremes, not the weekly return. A -6.91% hour and a 13.33% day can carry a leveraged position through any liquidation trigger, and dollar volume reached 3.03 times the prior 12-week average, so any liquidation is executed in a market that moved at that scale this week. Raise the initial margin and the maintenance buffer for ETH, and require clients to cover the 0.1775% funding peak in their margin, since funding runs while positions are held. Accept that some clients reduce leverage or move elsewhere.
What would change it
If hourly and daily moves stay far below 6.91% and 13.33% for several consecutive weeks, the higher margin can be lowered. If liquidation records show positions closed near trigger prices despite the volatility, the current terms were adequate and the increase should be reversed.
What sets this case apart
The case turns on a week that was nearly flat yet violently wide, so the margin question is about intraday reach, not weekly direction.