Week of 23 November 2020: Bitcoin slips 1.24% while Ether gains 2.91% on a 29.52% range
When two large crypto assets swing more than 20% within one week but finish in opposite directions, what does the week say about shared versus separate risk?
BTC fell from 18,413.88 to 18,184.99 (-1.24%) while ETH rose from 560.03 to 576.30 (+2.91%). Both hit their weekly low at 17:00 UTC on Thursday 26 November, inside a 20.36% BTC range and a 29.52% ETH range. Trading volume ran about 2.1 times the prior 12-week average for BTC and 2.2 times for ETH.
What the data shows. BTC reached 19,484.21 at 13:00 UTC on Wednesday 25 November, then fell to 16,188.00 at 17:00 UTC on Thursday 26 November, a swing of 20.36% from high to low. Thursday was the worst day for both assets (BTC -8.38%, ETH -8.70%), and it also held the largest BTC hourly move (-4.21%). Ether peaked earlier, at 623.00 on Tuesday 24 November 08:00 UTC, and fell to 481.00 in the same Thursday hour as BTC. The two moved together hour by hour with a correlation of 0.82, close but not identical. Because ETH recovered further, the ETH/BTC ratio rose 4.20%, and ETH finished the week in the upper third of its range while BTC finished in the middle third.
What it does not show. Divergent weekly returns do not identify a cause. The data records prices and volume, not who traded or why one asset held its rebound better than the other. The Thursday low does not tell us whether it was a turning point or a pause, and nothing here shows what came after Sunday's close.
What a careful desk would check. Realised volatility, the size of the swings that actually happened scaled to a yearly figure, was 85.1% for BTC and 107.7% for ETH. Both closed about 6-7% below their 52-week highs after four prior weeks that were positive for BTC every time (5.62%, 12.45%, 3.11%, 15.40%). A desk would compare stop distances and margin buffers against the 4.21% BTC hour and the 20.36% BTC weekly range rather than against calmer weeks, and would treat the correlation of 0.82 as high but not reliable in the largest hours.
Funding. Perpetual funding stayed positive all week: BTC averaged 0.0402% per eight hours with a high of 0.1084%, ETH averaged 0.0501% with a high of 0.1582%. Positive funding means long positions were paying short ones, a running cost for leveraged longs even in a week where BTC ended lower.
What would change this reading
- If the ETH/BTC ratio continues rising after this week's 4.20% gain, the divergence reads as a lasting shift rather than one week's noise.
- If BTC trades below its weekly low of 16,188.00 in a later week, the Thursday selloff was a warning rather than a shakeout.
- If funding stays near 0.0402% for BTC while price stops advancing, longs are paying carry for a position that is no longer rising.
- If hourly correlation drops well below 0.82, hedges pairing the two assets become less effective.
Terms
- realised volatility
- how much the price actually swung over a period, expressed as a yearly percentage
- hourly correlation
- how closely two prices moved together hour by hour, from -1 to 1
- 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