A quarterly-reporting reserve meets a 32.91% week and a 15.96% Monday
Should the treasury keep ETH at its full reserve size through the reporting quarter, or trim it to a smaller tranche after a week that lost 11.64%?
The market facts are real; the decision maker is illustrative.
The week and the position
In the week of 21 June 2021, ETH fell from 2,243.49 to 1,982.28 (-11.64%), with a 15.96% loss on Monday and a 1700.48 low at 13:00 UTC Tuesday. Realised annualised volatility was 142.8%, the range 32.91%, and the largest hourly move was +6.51% on Sunday at 22:00 UTC. ETH also underperformed BTC by 9.11 percentage points, and volume ran at 0.65 of the prior 12-week average. An illustrative treasury holds ETH as a reserve it marks quarterly.
Judgment
A quarterly mark cannot be defended by daily trading, so the reserve size must be set so that a week like this one is absorbable without an off-cycle trim. Keep an ETH tranche, but cut it and keep the bulk of the reserve in BTC, which fell far less against the pair. Do not add on Sunday's 8.33% best day. Accept the 11.64% loss and the 9.11-point shortfall to BTC as the price of the allocation.
What would change it
If realised volatility stays near 142.8% for several more weeks while ETH continues to lose ground to BTC, the tranche should be cut further at the quarter's close. If ETH stabilises against BTC for a full quarter, the tranche can be restored.
What sets this case apart
The constraint is the reporting calendar, not the price forecast; a reserve that must be marked once a quarter sizes its risk before the week starts, not during it.