Week of 8 June 2020: Bitcoin and Ether fall 4-5% on below-average volume
When Bitcoin and Ether fall together on light volume while longs still pay funding, what does the week say about direction, and what can it not say about why?
BTC fell from 9,746.99 to 9,342.10 (-4.15%) and ETH from 244.57 to 231.77 (-5.23%). Both peaked Wednesday 10 June at 18:00 UTC and bottomed Thursday 11 June at 17:00 UTC. Dollar volume was $3.22 billion for BTC and $0.73 billion for ETH, at 0.64 and 0.63 times their prior twelve-week averages.
What the data shows. The week opened within about 2.5% of its high and closed near its low: BTC finished in the lower third of its range, ETH likewise. Both assets reached their highs at 18:00 UTC on Wednesday 10 June and their lows at 17:00 UTC on Thursday 11 June, so the fall came after the peak rather than before it. The largest hourly move was -4.24% for BTC and -5.30% for ETH, both in the hour starting 16:00 UTC on Thursday, which carried prices into the low. Thursday was also the worst day (BTC -6.12%, ETH -6.97%), and Friday 12 June the best (BTC +2.01%, ETH +3.08%). The two assets moved almost in lockstep (hourly correlation 0.95), a broad move rather than one asset leading. Both still trade roughly a third below their 52-week highs (BTC -33.08%, ETH -35.23%).
What it does not show. Dollar volume was $3.22 billion for BTC and $0.73 billion for ETH, at 0.64 and 0.63 times their prior twelve-week averages, so fewer dollars changed hands than in most recent weeks. Light volume limits what can be inferred: a -4.15% week on thin turnover does not tell us whether sellers were urgent, whether holders were stepping back, or what followed. The data identifies no cause and no participants.
What a careful desk would check. Realised volatility, the size of the swings that actually happened scaled to a yearly figure, was 48.4% for BTC and 59.1% for ETH. The four prior weeks were mostly up for both, so this week sits as a partial reversal, ranked at the 26th percentile for BTC and 29th for ETH out of 121 weeks. A desk would ask whether the Thursday hour would have filled stops and whether sizing based on the prior up-weeks was too generous for a falling tape.
Ether against Bitcoin. ETH fell 1.08 percentage points more than BTC, and the ETH/BTC ratio dropped 1.13%. Small, but ETH's funding averaged 0.0125% per eight hours, with a low of 0.01%, while BTC's average was 0.0085% and its low -0.0038%: on average longs paid shorts on both, and only BTC's funding touched negative territory.
What would change this reading
- If a later week trades below this week's low of 9,113.00 for BTC or 226.20 for ETH, the Thursday drop reads as the start of a leg rather than a pause.
- If volume returns towards its prior twelve-week average while price recovers towards the Wednesday highs of 9,992.72 and 250.28, the fall reads as a low-conviction move.
- If ETH continues to fall faster than BTC and the ratio drops further from its -1.13% weekly change, the broad move is becoming a relative one.
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 26th percentile means 26% of the 121 prior weeks were lower
- funding rate
- the periodic payment between long and short holders of a perpetual futures contract; positive means longs pay shorts