Week of 24 June 2019: Bitcoin swings 32.73% inside the week but closes 0.48% lower
When a week holds a 32.73% range yet ends almost flat, what does the path inside that range reveal about risk that the weekly return alone hides?
BTC went from 10,905.95 to 10,854.10 (-0.48%) and ETH from 308.42 to 292.70 (-5.10%), yet both ranged about 31-33%. BTC's high of 13,970 came at 20:00 UTC on Wednesday 26 June, its low of 10,525.10 a full day later. Dollar volume ran 3.80 times the prior twelve-week average.
What the data shows. BTC's high of 13,970 and its largest hourly move, -7.79%, share the same hour: the hour starting 20:00 UTC on Wednesday 26 June. The week's best day was that same Wednesday (+10.76%) and the worst day was Thursday 27 June (-13.50%), when the low of 10,525.10 printed at 20:00 UTC. Both the high and the low fell late in the UTC day. The close sat at 9.60% of the week's range, in its lower third, and the week's return ranked at the 38th percentile of the 71 weeks of history recorded before it. Three of the four prior weeks had been up (+17.38% and +21.81% in the latest two), so the flat weekly return followed a strong run rather than a long decline.
What it does not show. A weekly return of -0.48% records only the start and end points; it says nothing about the 32.73% distance between the week's high and low. The data cannot identify who traded at the top or the bottom, whether positions were closed under pressure, or what followed this week. No funding figures are available, so the cost of holding leveraged positions cannot be read here.
What a careful desk would check. Realised volatility, the size of the swings that actually happened scaled to a yearly figure, reached 155.90% for BTC and 110.60% for ETH. A desk would compare its stop distances and margin buffers with the -7.79% hourly move rather than with the -0.48% weekly return, and ask whether exits could have been filled inside that hour. The 3.80-times volume reading confirms heavy activity but does not separate buying from selling.
Ether against Bitcoin. ETH fell further (-5.10% against -0.48%) and the ETH/BTC ratio dropped 4.64%, so Bitcoin held up better despite its larger hourly swing. Hourly correlation was 0.86, close but not locked, and ETH's largest hourly move was positive (+4.53% at 03:00 UTC on Wednesday) while BTC's was negative.
What would change this reading
- If BTC trades back above its weekly high of 13,970 in a later week, this week's retreat reads as a pause inside a continuing rise.
- If BTC closes below its weekly low of 10,525.10, the lower-third close at 9.60% reads as a warning rather than a round trip.
- If volume falls back towards its prior twelve-week average while price holds near 10,854.10, the heavy 3.80-times turnover looks like a one-week event.
- If the ETH/BTC ratio keeps falling after a 4.64% weekly drop, the relative weakness is becoming a trend rather than a single week.
Terms
- realised volatility
- how much the price actually swung over a period, expressed as a yearly percentage
- close location
- where the closing price fell within the week's high-to-low range, as a percentage from the low
- percentile
- the share of past weeks with a lower value; the 38th percentile means 38% of the prior 71 weeks were lower