Week of 1 February 2021: Bitcoin gains 17% and Ether 23% while longs pay elevated funding
When a week ranks at the 94th and 95th percentiles of 155 weeks while funding stays positive in every print, what does that say about momentum, and what does it leave unmeasured?
BTC rose from 33,092.97 to 38,795.69 (+17.23%) and ETH from 1,312.45 to 1,611.62 (+22.79%), ranking at the 94th and 95th percentiles of 155 weeks. Both lows came at the Monday open and highs late in the week. BTC funding averaged 0.0707% per eight hours, never negative.
What the data shows. The lows came early: BTC's 32,296.16 and ETH's 1,269.99 were both recorded at 00:00 UTC on Monday 1 February, and price rose from there. BTC reached 40,955.51 at 16:00 UTC on Saturday 6 February, ETH's high of 1,760.49 came on Friday 5 February. Both closed in the upper third of their weekly ranges (BTC at 75.1%, ETH at 69.6%). Both assets posted their best day on Wednesday 3 February (BTC +6.05%, ETH +10.09%) and their worst on Thursday 4 February (BTC -1.82%, ETH -4.14%). Dollar volume was 1.24 times the prior twelve-week average for BTC and 1.78 times for ETH. The moves ranked at the 94th and 95th percentiles of the 155 weeks recorded before them. The two assets moved together loosely (hourly correlation 0.64), and the ETH/BTC ratio rose 4.74%, so ETH led.
What it does not show. Weekly returns at the 94th percentile describe how unusual the move was, not whether it continues. Nothing here identifies who was buying or whether the buying was leveraged. The correlation of 0.64 means the two assets shared direction more than path, but the data cannot attribute the gap between them.
What a careful desk would check. Realised volatility, the size of the swings that actually happened scaled to a yearly figure, reached 76.3% for BTC and 106.4% for ETH. The open sat only 2.47% above the week low for BTC and 3.34% above the low for ETH, so the week's entire range was built above that opening level. A desk would compare funding as a running cost against these realised swings before sizing a leveraged position.
Funding. BTC funding averaged 0.0707% per eight hours, with a high of 0.1555% and a floor of 0.0139% — positive in every print. ETH funding averaged 0.1182%, peaking at 0.1764%. Positive rates mean long positions were paying short ones throughout, and the ETH rate was the higher carry.
What would change this reading
- If BTC closes a later week below this week's low of 32,296.16, the week's gain reads as a spike that reversed rather than a trend.
- If funding stays above the 0.0707% BTC average while price stalls, the cost of holding longs rises without a rising market to pay for it.
- If the ETH/BTC ratio stops rising after its 4.74% weekly gain, the leadership that produced the 5.56 percentage-point return gap has ended.
Terms
- funding rate
- a periodic payment between long and short holders of a perpetual futures contract; positive means longs pay shorts
- 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; the 94th percentile means 94% of prior weeks were weaker