Week of 12 October 2020: both assets gain about 1% on below-average volume
When Bitcoin and Ether rise about 1% together but trade on below-average volume, what can this week of price data establish about the move's strength?
BTC rose from 11,369.02 to 11,503.14 (+1.18%) and ETH from 374.17 to 378.11 (+1.05%), both closing in the middle third of their weekly range. Dollar volume ran at 0.72x the prior twelve-week average for BTC and 0.60x for ETH. Funding stayed near flat and positive all week.
What the data shows. BTC and Ether moved in the same direction and closely (hourly correlation 0.92), with the ETH/BTC ratio changing only -0.13%. BTC ranged 4.91% between its low of 11,172.00 (Monday 12 October, 10:00 UTC) and its high of 11,720.01 (Monday, 21:00 UTC); ETH ranged 9.31%, between 361.18 (Friday 16 October, 09:00 UTC) and 394.80 (Monday, 22:00 UTC). Both assets had their best day on Monday and their worst on Friday. Both closes sat in the middle third of the week range (BTC 60.4%, ETH 50.4%), and the weekly return ranked at the 51st percentile of the 139 weeks of history recorded. Trading activity was light: BTC dollar volume of 3.19 billion was 0.72 times its prior twelve-week average, and ETH's 1.49 billion was 0.60 times.
What it does not show. Below-average volume does not explain itself. The data cannot say why participation was light, who was trading, or whether the gains would hold. The two assets also sat at different distances from their 52-week highs, BTC 7.39% below and ETH 21.68% below, and the week's shape differed: BTC made its low before its high, while ETH made its low on Friday, after Monday's high.
What a careful desk would check. Realised volatility, the size of the actual hourly swings scaled to a yearly figure, was 34.5% for BTC and 55.9% for ETH. ETH's 9.31% weekly range was nearly twice BTC's 4.91%, so equal-sized positions carry different risk. A desk would compare its sizing and stop distances with those ranges rather than with the headline returns of +1.18% and +1.05%.
Funding. BTC funding held at 0.0100% per eight hours on average and at both extremes. ETH averaged 0.0106%, with a high of 0.0219% and a low of 0.0100%. Long positions paid short ones mildly and steadily; the flat BTC range suggests no shift in positioning pressure across the week.
What would change this reading
- If dollar volume rises back towards its prior twelve-week average while BTC holds above its close of 11,503.14, the quiet gain gains support.
- If a later week trades below BTC's low of 11,172.00 or ETH's low of 361.18, this week's mid-range close reads as a pause rather than a base.
- If ETH funding rises above its weekly high of 0.0219% while price stalls below 394.80, longs are paying more for a market that is not rising.
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
- volume vs prior 12-week average
- this week's dollar trading volume divided by the average of the previous twelve weeks; 0.72 means the week's volume was lower than that average