Week of 17 August 2020: Bitcoin slips 2.21% after four rising weeks as Ether falls 9.89%
When four consecutive rising weeks end with a small Bitcoin loss but a much larger Ether loss, what does the week say about where the risk was concentrated, and what can it not say?
BTC fell from 11,910.99 to 11,648.13 (-2.21%) and ETH from 433.61 to 390.71 (-9.89%). Both assets set their weekly high on Monday 17 August at 16:00 UTC and their low on Saturday 22 August at 01:00 UTC. Perpetual funding stayed positive, averaging 0.0357% per eight hours for BTC.
What the data shows. The week began at its strongest. BTC's high of 12,468.00 and ETH's high of 446.00 both arrived at 16:00 UTC on Monday 17 August, one hour after the week's largest hourly moves in magnitude (BTC 2.11%, ETH 2.18%). From there both prices declined, reaching their lows at 01:00 UTC on Saturday 22 August (BTC 11,376.81, ETH 379.92). Both closed in the lower third of their weekly range: BTC's close sat at the 24.9% mark of the week's range and ETH's at the 16.3% mark. Trading ran above the prior twelve-week average for both assets (1.35 times for BTC, 1.50 times for ETH), on dollar volumes of 5.06 billion for BTC and 2.14 billion for ETH. ETH's worst single day, Friday 21 August, took 6.72% off, while BTC's worst day, Tuesday 18 August, took 2.74% off.
What it does not show. Prices record the path, not the reason. Nothing here identifies who was selling or whether selling was forced. Four prior weeks were up (BTC +7.85%, +11.48%, +5.51%, +1.96%), and this week's return sat at the 30th percentile of the 131 weeks recorded, so the data cannot say whether this was a pause or the start of a longer decline.
What a careful desk would check. Realised volatility, the size of the swings that actually happened scaled to a yearly figure, was 39.7% for BTC and 61.5% for ETH. Positive funding means holders of long perpetual positions were paying holders of short ones; at an average of 0.0357% per eight hours for BTC and a peak of 0.1199%, that is a running cost a leveraged long carries into the following week.
Ether against Bitcoin. Both assets fell in the same direction with close hourly correlation (0.81), but ETH fell far more, so the ETH/BTC ratio dropped 7.86%. The gap (ETH minus BTC return) was -7.68 percentage points, meaning the week's risk sat more in Ether than in Bitcoin.
What would change this reading
- If BTC trades back above this week's open of 11,910.99 in a later week, the decline reads as a pause after a strong run rather than a turn.
- If funding stays positive while prices stop rising, longs keep paying to hold positions that are no longer gaining.
- If ETH continues to fall faster than BTC and the ratio drops further, the relative move has become the main story rather than a broad one.
- If a later week closes below this week's low of 11,376.81 for BTC, the Saturday low was a step down rather than a floor.
Terms
- realised volatility
- how much the price actually swung over a period, expressed as a yearly percentage
- perpetual funding
- a regular payment between long and short holders of a perpetual futures contract; positive means longs pay shorts
- percentile
- the share of past weeks with a lower value; the 30th percentile means 30% of past weeks were lower