Market cases

A real market week and the decision it posed for an illustrative desk, with a conditional judgment.

189 notes, newest week first

Market case · ETH, week of 21 February 2022A flat week inside a 25.13% range: a quarterly reserve report meets 116.3% realised volatilityShould 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?Market case · ETH, week of 24 January 2022A 26.08% range and a 4.99% best day: does a reserve that reports quarterly chase the rebound?Should the treasury raise its ETH reserve allocation after this week's 2.47% gain, or hold the existing size and wait for its quarterly reporting date?Market case · BTC, week of 17 January 2022A -15.85% week at the 4th percentile asks whether a signal failed or was tested outside its regimeShould the research team score this week as evidence that the signal failed, or reclassify it as an out-of-regime week and keep the signal at reduced size pending a test in ordinary conditions?Market case · ETH, week of 17 January 2022A hedged ETH position earning 0.0043% per eight hours through a 24.14% weekly fallShould a basis trader keep a full-size spot-long, perpetual-short ETH position earning near-zero funding through a 115% volatility week, or cut it until carry can pay for the margin it consumes?Market case · ETH, week of 3 January 2022Near-zero funding pays for a hedge that just rode a -17.66% weekShould the basis trader keep the spot-plus-perpetual position at full size on 0.0076% eight-hour funding, or cut it until carry can pay for the margin this volatility demands?Market case · BTC, week of 29 November 2021A -5.41% hour inside a 40.90% weekly range tests BTC loan liquidation triggersShould a lender widen the collateral margin it requires on BTC-backed loans, or keep its current trigger and rely on liquidation fills during Saturday's fast hour?Market case · ETH, week of 29 November 2021A 0.0107% eight-hour carry that must survive a 36.39% range and a -4.28% hourShould the basis trader keep the spot-plus-equal-perpetual-short position at full size for the carry, or cut size so the short leg can absorb another hour like Saturday's -4.28% move?Market case · ETH, week of 27 September 2021Carry of 0.0056% every eight hours meets a 10.31% dayShould the basis trader keep the spot-plus-perpetual-short position at full size for 0.0056% of funding every eight hours, or cut it until the short leg's margin can absorb another day like Friday's?Market case · ETH, week of 20 September 2021A daily ETH conversion schedule meets a 26.24% weekly rangeShould the payments company keep converting receipts once a day at a fixed time, or spread and time the conversions to avoid single-hour moves like Sunday's 7.00% swing?Market case · ETH, week of 6 September 2021A 116.7% realised-vol week and an -8.87% hour test a desk that sold volatilityShould the desk cut the size of its sold-volatility exposure after a 13.82% down week, or hedge it dynamically and keep collecting the premium?Market case · ETH, week of 30 August 2021Converting receipts daily after a 22.55% week, 8.83% below the 52-week highShould the payments company keep converting each day's receipts into ETH at one fixed time, or hold receipts in USD longer after a 22.55% weekly gain to avoid buying into a crowded, funding-supported rally?Market case · ETH, week of 2 August 2021Ordinary volume, 92% volatility: a daily conversion batch meets a 30.61% rangeShould the payments company keep converting customer receipts into ETH in one daily batch, or split that batch across the session while liquidity stays at its ordinary level?Market case · ETH, week of 26 July 2021A 16.71% weekly gain inside a 25.44% range tests a once-daily conversion scheduleShould the payments company keep converting each day's receipts in a single batch at a fixed time, or split the day's receipts into smaller tranches so no one hour prices the whole day?Market case · BTC, week of 19 July 2021One 11.34% week on thin volume asks a trend fund whether the downtrend has turnedAt the weekly rebalance, should the fund close its short BTC exposure and add a modest long, or keep the position flat until a second week confirms the turn?Market case · ETH, week of 19 July 2021A +15.76% week with three losing weeks behind it tests a fund's re-entry ruleShould the fund rebuild ETH exposure at the week's close, or wait for a second confirming week before lifting its loss-limit cut?Market case · ETH, week of 21 June 2021A quarterly-reporting reserve meets a 32.91% week and a 15.96% MondayShould 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%?Market case · ETH, week of 14 June 2021A fixed daily loss limit met by a -3.01% hour: shrink size or loosen the rule?Should the mean-reversion desk keep its daily loss limit unchanged and trade smaller, or raise the limit so one violent hour does not stop the day?Market case · BTC, week of 7 June 2021A 9.01% recovery week at 99% volatility meets a quarterly reserve reportShould the treasury add to its BTC reserve during this recovery week, or hold the reserve size fixed until its next quarterly report?Market case · ETH, week of 7 June 2021A -4.87% hour after a -41.47% week sets the margin for ETH collateralShould the lender raise the collateral margin it requires on ETH-backed loans now, or keep its terms and rely on automatic liquidation at the existing trigger?Market case · ETH, week of 24 May 2021A once-a-day converter meets a 26.32% day and a 12.04% day in the same weekShould a payments company keep converting customer receipts into ETH once a day at a fixed time, or lengthen the interval to batch receipts across several days while volatility is this high?Market case · BTC, week of 17 May 2021A reserve marked in the worst week of 170, with a quarterly report still weeks awayShould the treasury rebalance the BTC reserve after a -25.36% week, or keep the policy size and let the quarterly report mark it where it lands?Market case · ETH, week of 17 May 2021The collateral lost 27.74% in a day while the loan terms assumed a slower marketShould the lender raise the collateral margin it requires on ETH-backed loans now, or keep its terms and rely on automatic liquidation at the existing trigger?Market case · ETH, week of 10 May 2021A -9.69% hour and a +9.6%/-10.51% day pair test a fixed daily loss limitShould an intraday mean-reversion desk keep trading ETH at its normal size behind a fixed daily loss limit, or cut size so that one -9.69% hour cannot exhaust the limit before a reversal arrives?Market case · BTC, week of 3 May 2021Collecting 0.0488% every eight hours, a basis trade meets a 7.95% rebound dayShould the basis trader keep the spot-and-perpetual-short position at full size for the funding, or cut it so the short leg's margin survives a day like Wednesday's 7.95% rise?Market case · ETH, week of 3 May 2021A reserve booked into quarter-end after a 33.05% week and a 98th-percentile moveShould 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?Market case · ETH, week of 19 April 2021A 28.68% range and a -5.32% hour at 20:00 UTC test a fixed daily loss limitShould the desk cut per-trade size so one late-day hour like Thursday's cannot exhaust the daily loss limit, or keep size and accept that the limit ends re-entry for that day?Market case · BTC, week of 12 April 2021A -6.44% hour that set the weekly low breaks a dip-buying ruleShould an intraday mean-reversion desk keep entering on drops during the early UTC hours, or shift its size out of the 00:00-07:59 window where this week's extremes concentrated?Market case · ETH, week of 12 April 2021A sold-volatility book meets a 30.90% range and a 4.23% hour at the Sunday lowShould the desk buy back part of its sold volatility to hedge this week's realised moves, or keep collecting premium with the position fully exposed?Market case · BTC, week of 5 April 2021Funding averaged 0.0599% per eight hours; a 3.11% hour tested the short legShould a basis trader keep the spot-plus-perpetual short at full size for the 0.0599% average funding, or cut size so the short's margin survives another week's 10.86% range?Market case · ETH, week of 5 April 20210.07% per eight hours of funding against a short leg tested by a 2,200 highShould the basis trader keep the spot-plus-perpetual-short pair at full size to collect funding averaging 0.07% per eight hours, or cut it so the short leg's margin survives another week like this one?

Research notes on real market weeks, not investment advice. Sources: Binance spot BTCUSDT and ETHUSDT 1-hour candles and USD-M perpetual funding rates; weekly figures computed by WSTiger.

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