Week of 26 August 2019: BTC and Ether fall on roughly half their usual volume
When two assets fall for a week on volume far below their twelve-week average, what can that quiet data tell us about direction, and what remains unknowable from it?
BTC fell from 10,142.69 to 9,724.98 (-4.12%) and ETH from 186.54 to 170.74 (-8.47%). Both closed in the lower third of their weekly ranges. Dollar volume was 0.52 times (BTC) and 0.49 times (ETH) the prior twelve-week average.
What the data shows. The week's highs came early: BTC's 10,604.00 was set in the hour starting 00:00 UTC on Monday 26 August, and ETH's 193.70 in the hour starting 01:00 UTC. Lows came on Thursday 29 August, 9,320.00 for BTC at 07:00 UTC and 163.61 for ETH at 14:00 UTC, giving ranges of 13.78% and 18.39%. The largest hourly move fell in the same hour for both, -4.69% for BTC and -6.70% for ETH, starting 18:00 UTC on Wednesday 28 August; that was also the worst day for each (-4.56% and -7.62%). Both closed low in their ranges: BTC's close sat 31.5% of the way up the week's span, ETH's 23.7%. Dollar volume was 2.09 billion for BTC and 0.29 billion for ETH, about half the prior twelve-week average for each. Hourly correlation between the two was 0.89, and the ETH/BTC ratio fell 4.54% over the week.
What it does not show. The candles carry no funding data, so nothing here describes the cost or the size of leveraged positions. Light volume cuts both ways: it can mean selling met little resistance, or that few participants were present to trade at all. The data does not identify who transacted, and it cannot say whether Thursday's low held or why the week sold off.
What a careful desk would check. Realised volatility, the size of the swings that actually happened scaled to a yearly figure, was 49.1% for BTC and 72.0% for ETH. The weekly returns ranked at the 29th and 22nd percentiles of the 80 weeks on record, so both were weak but not extreme. The prior four weeks were mixed for BTC (14.54%, 5.67%, -10.68%, -1.59%) and weaker for ETH (4.83%, -2.42%, -10.2%, -4.0%), so this week continued a softening rather than reversing a strong run. A desk would ask whether the low of 9,320.00 for BTC and 163.61 for ETH is reclaimed before treating the week as more than a drift.
What would change this reading
- If a later week trades below BTC's low of 9,320.00 or ETH's 163.61, the Thursday lows read as a step down rather than a floor.
- If volume returns towards its prior twelve-week average while price stays under this week's close of 9,724.98 for BTC, the decline gains participation it did not have here.
- If the ETH/BTC ratio falls further from its -4.54% weekly change, the two are no longer moving as one market.
- If funding data becomes available and shows sustained positive rates, the leverage missing from this week's picture can be assessed after the fact.
Terms
- realised volatility
- how much the price actually swung over a period, expressed as a yearly percentage
- percentile
- how this week's return compares with the 80 weeks on record; a low percentile means most recorded weeks had higher returns than this one
- close location
- where the week's final price fell between the week's low and high; lower third means it finished near the bottom of the range