A flat week inside a 25.13% range: a quarterly reserve report meets 116.3% realised volatility
Should a treasury keep its ETH reserve at full size through quarter-end reporting, or convert enough of it to cover near-term obligations and cap the reported swing?
The market facts are real; the decision maker is illustrative.
The week and the position
In the week of 21 February 2022, ETH closed at 2,616.79, down 0.2% from its 2,621.99 open, after a 25.13% range between 2,878.00 and 2,300.00. Realised volatility was 116.3% annualised, volume was above its prior 12-week average, and the close sat in the middle third of the range. The asset was 46.01% below its 52-week high, with prior four weeks mixed at 2.47%, 17.42%, -6.02% and -8.68%. Eight-hour funding averaged 0.0035%, near zero. An illustrative treasury holds ETH as a reserve and reports at quarter-end.
Judgment
A near-zero weekly return disguises the range the reserve must survive; the 0.2% figure will not describe what a quarterly report shows. Keep the reserve, but convert enough ETH to cover obligations due before the next report rather than funding them from a quarter-end sale inside a 116.3% volatility regime. Set the remaining size so a repeat of the 25.13% range stays within the reportable tolerance the treasury has already accepted. Average eight-hour funding of 0.0035% is positive, so the long reserve pays shorts a small carry that should be counted as a holding cost.
What would change it
If realised volatility stays well below this week's 116.3% for several weeks and the price closes back above the week's open of 2,621.99, the buffer can be reduced. If funding turns persistently negative, shorts pay longs and the reserve earns carry, easing the case for trimming.
What sets this case apart
The decision is not about direction: a flat weekly return paired with a 25% range makes the reporting tolerance, not the price forecast, the binding constraint.