Week of 31 August 2020: Bitcoin falls 12.42% and Ether 17.75% in one week
When a week rises to an early high, then falls to close in the lower third of its range on above-average volume, what does the price record show and what does it leave unsettled?
BTC fell from 11,711.17 to 10,256.20 (-12.42%) and ETH from 428.94 to 352.80 (-17.75%). Both highs came on Tuesday 1 September and both lows on Saturday 5 September. BTC dollar volume was 1.65 times and ETH 3.38 times their prior 12-week averages.
What the data shows. The week opened within 2.90% of its BTC high of 12,050.85, set at 16:00 UTC on Tuesday 1 September, then closed in the lower third of its range. The low of 9,825.00 arrived at 18:00 UTC on Saturday 5 September, four days after the high. Thursday 3 September was the worst day for both assets (BTC -10.96%, ETH -13.22%) and carried BTC's largest hourly move (-4.88% in the hour starting 23:00 UTC). The week's total range was 22.65% for BTC and 58.50% for ETH, with ETH's largest hourly move a gain of 6.04% on Saturday. Realised volatility, the size of the swings that actually happened scaled to a yearly figure, reached 74.4% for BTC and 140.2% for ETH. Both weekly returns sat near the bottom of the 133 weeks recorded (11th percentile for BTC, 10th for ETH).
What it does not show. Price candles record how far and how fast the market moved, not why. Nothing here identifies who was selling or whether the selling was forced. The Saturday low does not tell us whether it was final, and the 133 weeks of history used for the percentile ranking say nothing about what came next.
What a careful desk would check. ETH fell 5.33 percentage points more than BTC and its volume was 3.38 times the prior 12-week average against BTC's 1.65, so the larger move came with proportionally heavier activity. A desk would compare its stop distances and margin buffers with the -4.88% BTC hour and the +6.04% ETH hour rather than with an average week, and ask whether exits could have been filled inside those hours.
Funding. BTC perpetual funding averaged +0.0182% per eight hours and never went below +0.01%, so longs paid shorts throughout a week that fell 12.42%. ETH funding averaged +0.0179% with a high of +0.06%.
What would change this reading
- If BTC trades back above its weekly open of 11,711.17 in a later week, this week reads as a shock absorbed rather than the start of a longer decline.
- If ETH continues to fall faster than BTC, the ETH/BTC ratio change of -6.08% marks a relative move rather than a shared one.
- If funding turns negative while prices stay below this week's lows, the payment between longs and shorts has flipped with the trend.
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; a low percentile means most past weeks were higher
- perpetual funding
- a regular payment between long and short holders of a perpetual futures contract that keeps its price close to the spot price; positive means longs pay shorts