A reserve booked into quarter-end after a 33.05% week and a 98th-percentile move
Should the treasury trim its ETH reserve back to its stated weight after a 98th-percentile week, or keep the full position and accept whatever the quarterly report shows?
The market facts are real; the decision maker is illustrative.
The week and the position
In the week of 3 May 2021, ETH rose 33.05%, from 2,949.33 to 3,923.95, closing in the upper third of the range, 0.95% below its 52-week high. The week ranked in the 98th percentile against 168 weeks of history, volume ran 2.3 times its prior 12-week average, and funding averaged 0.0534% per eight hours. Four prior weeks were all up, including 27.11%. ETH beat BTC by 30.11 percentage points. An illustrative treasury holds ETH as a reserve it marks only in its quarterly report.
Judgment
The treasury cannot act between report dates, so the whole question is what it wants to own through an unhedged quarter. Trim the reserve back to a weight set before this run, not to zero, and accept leaving gains on the table if the climb continues. The gain is unrealised and 122.2% annualised realised volatility means a quarterly report can show it vanish before any review meets.
What would change it
If ETH closes a later week above 3,923.95 with funding below its 0.0534% average and realised volatility falling towards calmer weeks, the trim can be reversed at the stated weight. If the treasury adopts a mark-to-market review cycle, the trim is unnecessary.
What sets this case apart
The binding constraint is the reporting interval: a reserve that can only be judged quarterly must be sized for the worst quarter, not the best week.