Week of 15 June 2020: both assets end slightly lower on below-average volume
When a week of trading ends almost where it began, with volume well under its recent average, what does the flat price actually tell a desk about positioning and risk?
BTC fell from 9,342.10 to 9,294.69 (-0.51%) and ETH from 231.74 to 228.04 (-1.60%). Dollar volume for both ran at roughly 0.64 and 0.65 times their prior twelve-week averages. Both closed in the middle third of their weekly ranges, and funding stayed near zero.
What the data shows. Both assets set their weekly lows early on Monday: BTC fell to 8,910.45 at 06:00 UTC on 15 June, with the opening price sitting 4.84% above that low, and ETH fell to 218.27 in the same hour, with its open 6.17% above the low. The highs followed in mid-day UTC — BTC 9,589.00 on Tuesday 16 June, ETH 237.30 on Wednesday 17 June. The total range was modest: 7.62% for BTC and 8.72% for ETH. Both assets had their best day on Tuesday and their worst on Thursday 18 June. BTC's largest hourly move was -1.61% and ETH's was +1.86%. The two traded closely, with hourly correlation at 0.91, though ETH fell slightly more, pulling the ETH/BTC ratio down 1.09%. Both assets closed in the middle third of their weekly ranges.
What it does not show. A flat weekly return with low volume says little about direction. The data does not identify who was trading or whether the quiet week reflected balance or indifference. Nothing here indicates whether the next move is up or down. The four prior weeks were mixed for both assets — two down, two up — so the flat week does not continue or reverse a visible trend.
What a careful desk would check. Dollar volume of 3.03 billion for BTC and 0.72 billion for ETH stood at 0.64 and 0.65 times their prior twelve-week averages. Realised volatility, the size of the swings that actually happened scaled to a yearly figure, was 34.8% for BTC and 41.5% for ETH. A position sized for a more active week may be unnecessarily large in conditions like these, and limits set during quieter weeks would be tested as soon as volume returns.
Funding. BTC perpetual funding averaged 0.0011% per eight hours, with a low of -0.0182% and a high of 0.01%. ETH's funding was fixed at 0.01% across all readings. Neither rate indicates meaningful pressure in either direction.
What would change this reading
- If volume rises towards its prior twelve-week average in a later week, the quiet of this week reads as a pause rather than a settled market.
- If BTC trades below its low of 8,910.45 or above its high of 9,589.00, this week's range becomes a level to test rather than a bound.
- If ETH falls faster than BTC again, the -1.09% ratio move becomes the start of a trend rather than a one-week divergence.
Terms
- realised volatility
- how much the price actually swung over a period, expressed as a yearly percentage
- funding rate
- the periodic payment between long and short holders of a perpetual futures contract; positive means longs pay shorts
- hourly correlation
- how closely two prices moved together hour by hour, from -1 to 1