Week of 28 May 2018: Bitcoin gains 5.11% and Ether 8.56% on below-average volume
When both assets rise for a week but trade below their twelve-week average volume, how much confidence should a desk place in the rebound?
BTC rose from 7,338.99 to 7,714.26 (+5.11%) and ETH from 570.81 to 619.66 (+8.56%), with both closing in the upper third of their weekly ranges. Both set their lows early in the week and their highs on Sunday 3 June. Dollar volume was 0.74 times the prior twelve-week average for BTC and 0.85 for ETH.
What the data shows. Both assets set their lows before their highs and climbed from there. BTC's low of 7,032.95 came at 01:00 UTC on Tuesday 29 May, in the early hours of the UTC day, and its high of 7,786.69 at 06:00 UTC on Sunday 3 June, also early in the UTC day. ETH's low of 506.11 came at 22:00 UTC on Monday 28 May, late in the UTC day, and its high of 628.81 at 08:00 UTC on Sunday. Monday was the worst day for both (BTC -3.27%, ETH -10.39%), and Tuesday the best (BTC +5.10%, ETH +10.92%). The two moved closely hour by hour (hourly correlation 0.81), but ETH gained more, so the ETH/BTC ratio rose 3.28%. BTC closed at 90.4% of its weekly range and ETH at 92.5%.
What it does not show. The data records the path, not the reason. Dollar volume was 0.74 times the prior twelve-week average for BTC and 0.85 for ETH, so the rise came on lighter turnover than the weeks before. It cannot show whether the buying was broad or whether it will hold. No funding data is available for this week, so the state of leveraged positioning is unknown. The sample holds only 15 weeks of history, too little to place this return in a distribution.
What a careful desk would check. Realised volatility was 51.2% annualised for BTC and 91.1% for ETH, and ETH's weekly range was 24.24% against BTC's 10.72%. Monday's single hour at 05:00 UTC carried a -5.04% move for ETH, so a position sized on the BTC range would sit differently in ETH. With three of the prior four weeks down, a desk would treat this week as a turn to be tested rather than a trend to be assumed.
Ether against Bitcoin. ETH outperformed BTC by 3.45 percentage points, on a weekly range of 24.24% against BTC's 10.72% and realised volatility of 91.1% against 51.2%. The data records one week, so it cannot say whether that combination is typical.
What would change this reading
- If BTC holds above its weekly close of 7,714.26 in later weeks, the low of 7,032.95 reads as a durable floor rather than a pause.
- If volume returns towards the prior twelve-week average while price stalls, this week's rise reads as a light-liquidity move.
- If the ETH/BTC ratio gives back the 3.28% gain, the outperformance was a bounce within a broader decline.
- If a later week sets a low before a high again, the pattern repeats; if not, this week's shape was situational.
Terms
- realised volatility
- how much the price actually swung over a period, expressed as a yearly percentage
- close location
- where the weekly close sits between the week's low and high, as a percentage
- ETH/BTC ratio
- the price of one Ether expressed in Bitcoin, showing which asset gained more