Week of 5 October 2020: Bitcoin and Ether rise about 6% on below-average volume
When both assets gain roughly 6% and close near their weekly highs but on lighter volume than usual, what does the week's shape say about the move's strength?
BTC rose from 10,666.62 to 11,369.02 (+6.59%) and ETH from 352.34 to 374.16 (+6.19%). Both assets set their weekly highs on Saturday 10 October at 03:00 UTC after their lows came earlier in the week. Dollar volume ran below the prior twelve-week average for both (BTC 0.72 times, ETH 0.55 times).
What the data shows. Both assets bottomed first and rose into the close. BTC's low of 10,525.00 came at 20:00 UTC on Tuesday 6 October and its high of 11,491.00 at 03:00 UTC on Saturday 10 October, in the same hour as ETH's high of 378.40. The largest hourly moves came in the hour starting 02:00 UTC on Saturday 10 October, one hour before those highs (BTC +2.7%, ETH +2.04%). Both closed in the upper third of their weekly ranges, at 87.4% for BTC and 90.8% for ETH of the way up from the week's low to its high. ETH's worst day, 6 October (-3.64%), was deeper than BTC's (-1.78%), and its weekly range was wider (13.91% versus 9.18%), so ETH led on the way down but finished 0.4 percentage points behind. Hourly correlation was 0.82 and the ETH/BTC ratio changed -0.37%, making this a shared move. BTC's return ranked at the 79th percentile of the 138 weeks before it, ETH's at the 71st.
What it does not show. Lighter volume does not tell us whether buying was weak or selling simply absent, and the data cannot say who traded. A close near the weekly high says where price stopped, not whether the level would hold. Nothing here identifies why the prior four weeks split evenly, two up and two down, for either asset.
What a careful desk would check. Realised volatility, the size of the swings that actually happened scaled to a yearly figure, was 32.1% for BTC and 45.6% for ETH. A move of this size with volume at 0.72 and 0.55 times the prior average is worth testing against liquidity: an order sized for an average week could find thinner fills. A desk would also compare this week's close of 11,369.02 with the 52-week high reference, since BTC still sat 8.47% below it and ETH 22.49%.
Funding. BTC perpetual funding averaged 0.0039% per eight hours and ETH 0.008%, with highs of 0.01% and 0.0279%. Positive funding means long positions paid short ones, but the averages are small relative to the price gain.
What would change this reading
- If later weeks show volume returning towards the prior twelve-week average while price holds near 11,369.02, the light volume reads as quiet participation rather than a weak advance.
- If BTC trades below its weekly low of 10,525.00, the Saturday high becomes a failed test rather than a resumed uptrend.
- If ETH's return again trails BTC's while funding stays positive, the cost of holding leveraged ETH longs begins to matter more than the price gain.
- If funding moves materially above its 0.01% and 0.0279% weekly highs, long-side crowding becomes a larger part of the risk picture.
Terms
- close location
- where the closing price sits within the week's high-to-low range, expressed as a percentage of that range; higher means the close was nearer the top
- 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 that keeps its price close to the spot price; positive means longs pay shorts