Week of 5 November 2018: prices close flat as BTC volume runs at a third of normal
When a week ends almost where it began but trading activity is far below its recent average, what does the quiet read as, and what can it not tell us?
BTC fell 0.56% to 6,449.81 and ETH rose 0.19% to 212.54, on dollar volume equal to 0.34 and 0.47 times their prior twelve-week averages. Both assets stayed well below their 52-week highs: BTC 44.99% below, ETH 81.66% below. The two markets moved in different directions for the week.
What the data shows. BTC opened at 6,485.85 and closed at 6,449.81, a -0.56% week inside a range of 4.09% from a low of 6,355.00 on Sunday 11 November to a high of 6,615.15 on Wednesday 7 November. ETH opened at 212.13, closed at 212.54 (+0.19%), and covered 8.27% between its Monday 5 November low of 207.62 and its Wednesday high of 224.80. The two assets' largest hourly moves were both down: -0.90% for BTC on Friday 9 November and -1.74% for ETH on Thursday 8 November. Both had their worst day on Thursday 8 November (BTC -1.50%, ETH -2.86%). Volume stood out as weak: 0.49 billion dollars for BTC and 0.25 billion for ETH, equal to 0.34 and 0.47 times their prior twelve-week averages.
What it does not show. Low volume records how little was traded, not why. It does not say whether participants were absent, waiting, or trading elsewhere. The flat closes also hide a split: BTC fell while ETH rose, so the ETH/BTC ratio gained 0.75%. The hourly correlation of 0.78 shows the two still moved closely hour by hour, but not identically.
What a careful desk would check. Realised volatility, the size of the swings that actually happened, expressed as a yearly figure, was 19.4% for BTC and 43.3% for ETH. ETH's swings were more than twice BTC's in this week's own data, so a position sized from one asset does not carry the same risk as the same size in the other. The return ranked at the 45th percentile for BTC and the 58th for ETH across the 38 weeks recorded before it, so this week sat near the middle of the available history.
Range. BTC closed at 36.4% of its weekly range and ETH at 28.6%, placing both closes in the lower or middle parts of what the week covered. ETH set its low before its high; BTC did not.
What would change this reading
- If volume stays near 0.34 times its prior twelve-week average for BTC in later weeks, the quiet reading is a condition of the period rather than a one-week pause.
- If ETH keeps rising while BTC falls, the ETH/BTC ratio's 0.75% gain extends into a trend, which changes which asset carries the risk.
- If a later week trades below BTC's 6,355.00 low, this week's tight range reads as a pause before a move rather than stability.
- If realised volatility rises well above 19.4% for BTC, positions sized on this week's swings become too large for the new conditions.
Terms
- realised volatility
- how much the price actually swung over a period, expressed as a yearly percentage
- ETH/BTC ratio
- the price of one Ether measured in Bitcoin, which shows which of the two is gaining or losing relative to the other
- percentile
- the share of past weeks with a lower value; the 45th percentile means 45% of prior weeks were lower