Week of 30 September 2019: Bitcoin falls 2.35% while Ether edges up 0.50%
After a week in which both assets fell about 20%, what does a week of divergence between Bitcoin and Ether tell us, and what does it not tell us?
BTC fell from 8,043.04 to 7,854.25 (-2.35%) while ETH rose from 169.26 to 170.10 (+0.50%). Both hit their lows on Monday 30 September, early in the UTC day, then rebounded to Tuesday highs. BTC volume was 0.62 times its prior twelve-week average, and its return ranked at the 33rd percentile of 85 recorded weeks.
What the data shows. Both assets bottomed in the same hour: BTC at 7,710 and ETH at 165.01 at 04:00 UTC on Monday 30 September, where BTC also posted its largest hourly move (-1.87%). Both then rose to highs at 03:00 UTC on Tuesday 1 October (BTC 8,500, ETH 185.53) before drifting lower for the rest of the week. The two markets moved closely hour by hour (correlation 0.87), but ETH held up better, so the ETH/BTC ratio gained 2.91%. Both closed in the lower third of their weekly ranges. BTC's weekly range was 10.25% and ETH's 12.44%.
What it does not show. Prices record where and how far the market moved, not why the two assets diverged or who was trading. ETH finishing slightly positive against BTC's loss is a relative fact, not evidence that either market found a floor. The prior week's falls of 19.79% (BTC) and 19.87% (ETH) set the context, but this week's data cannot say whether the decline has ended.
What a careful desk would check. BTC's realised volatility was 52.0% annualised and ETH's 65.6%, so a position sized on calmer weeks could be too large here. BTC's largest hourly move came early in the UTC day, at 04:00 UTC, while ETH's largest hourly move (+3.11%) came at 09:00 UTC, in the middle of the UTC day, which matters for where liquidity sat. BTC's dollar volume of 1.95 billion was below its prior twelve-week average, so the week's moves came on lighter activity.
Funding. BTC perpetual funding averaged -0.003% per eight hours, close to zero on average, but the readings ranged from -0.0525% to 0.01%, meaning holders of short positions paid holders of long ones at the week's extreme. No funding data is available for ETH.
What would change this reading
- If BTC trades back above its weekly high of 8,500, this week reads as a pause after the prior week's fall rather than a continuation.
- If BTC holds below its weekly low of 7,710, the divergence favouring ETH was temporary.
- If the ETH/BTC ratio keeps rising while BTC volume stays below its twelve-week average, the relative shift is being driven by weakness in BTC rather than strength in ETH.
Terms
- realised volatility
- how much the price actually swung over a period, expressed as a yearly percentage
- percentile
- the share of past weeks with a lower value; the 33rd percentile means 33% of the 85 recorded weeks were lower
- perpetual funding
- a regular payment between long and short holders of a perpetual futures contract that keeps its price close to the spot price