Week of 1 June 2020: both assets rise as Monday's rally absorbs a Tuesday selloff
When a week opens with a sharp one-day gain and then gives part of it back, what does the path through the week say about the durability of the move?
BTC rose from 9,448.27 to 9,746.99 (+3.16%) and ETH from 231.56 to 244.56 (+5.61%). Monday was the best day for both (BTC +7.96%, ETH +7.20%); Tuesday was the worst (BTC -6.71%). Dollar volume was 0.79x BTC's and 0.85x ETH's prior 12-week averages.
What the data shows. BTC reached its weekly high of 10,380.00 at 23:00 UTC on Monday 1 June, then fell to 9,266.00 by 15:00 UTC on Tuesday, a 12.02% high-to-low range. The largest hourly move was -5.66%, in the hour starting 14:00 UTC on Tuesday, and ETH's largest hourly move (-6.85%) fell in the same hour. Both assets recovered to close positive, with BTC at 43.2% of its weekly range (middle third) and ETH at 67.9% (upper third). Weekly returns ranked at the 62nd percentile for BTC and 68th for ETH against 120 weeks of history. Dollar volume came in below the prior 12-week average for both (0.79x BTC, 0.85x ETH). Both remained roughly 30% below their 52-week highs (BTC -30.18%, ETH -31.66%).
What it does not show. The candles do not explain why Monday rose or Tuesday fell, and dollar volume below average means less changed hands than in recent weeks, not why. Nothing here identifies who traded or whether the Tuesday low held for reasons of demand rather than position liquidation.
What a careful desk would check. A 3.16% weekly gain arrived inside a 12.02% range, so the net result hides a much larger path. Realised volatility, the size of the actual hourly swings scaled to a yearly figure, was 65.7% for BTC and 71.3% for ETH. A desk would compare its stop distances with the 5.66% and 6.85% hourly moves rather than with the average week, and would ask whether the recovery held on thin volume.
Ether against Bitcoin. The two moved together closely (hourly correlation 0.83), but ETH outperformed by 2.45 percentage points and the ETH/BTC ratio rose 2.38%. ETH's close in the upper third of its range, against BTC's middle-third close, shows the relative strength was real within the week.
What would change this reading
- If the ETH/BTC ratio, up 2.38% this week, reverses in later weeks, the outperformance reads as rotation rather than a durable shift.
- If volume returns above the prior 12-week average while prices hold near this week's close, the move gains a firmer base than the 0.79x and 0.85x readings suggest.
- If a later week closes below BTC's weekly low of 9,266.00 or ETH's of 225.00, the Tuesday selloff was a warning rather than a pause.
- If BTC funding, which peaked at 0.0783% per eight hours, stays elevated while price stalls below 10,380.00, longs are paying a rising carry for a stalled position.
Terms
- realised volatility
- how much the price actually swung over a period, expressed as a yearly percentage
- close location
- where the weekly close fell between the week's low and high; the higher the figure, the closer to the high
- hourly correlation
- how closely two prices moved together hour by hour, from -1 to 1