Week of 7 June 2021: Bitcoin gains 9.01% while Ether loses 7.47% in the same week
When two assets with an hourly correlation of 0.88 post a 16.48 percentage-point gap in one week, what does the price data show, and what can it not establish about the cause?
BTC rose from 35,796.31 to 39,020.57 (+9.01%), closing at 95.7% of its weekly range, while ETH fell from 2,711.92 to 2,509.33 (-7.47%). The ETH/BTC ratio dropped 15.12%. Hourly correlation stayed high at 0.88 and dollar volume ran below the prior twelve-week average for both.
What the data shows. BTC opened the week with its worst day, -6.27% on Monday 7 June, then set its low of 31,000 at 15:00 UTC on Tuesday 8 June and never returned to it. Its best day, +12.00% on Wednesday 9 June, contained the week's largest hourly move, +4.86% in the hour starting 15:00 UTC. BTC closed at 39,020.57 on Sunday, 95.7% of the way up its 27.03% range, and 39.58% below its 52-week high. ETH took the opposite path: its high of 2,847.55 came Monday at 13:00 UTC, its low of 2,256.22 on Saturday 12 June at 02:00 UTC, and its best day was the final one, +5.85%. ETH closed 42.09% below its 52-week high. The gap between the two weekly returns was 16.48 percentage points, and the ETH/BTC ratio fell 15.12%, the plain measure of one asset against the other.
What it does not show. Correlation of 0.88 shows the two travelled closely together hour by hour, but it cannot establish whether this was one shared path with ETH falling behind or two markets moving on separate terms. The data identifies no cause for the divergence, no buyer or seller, and nothing about what followed. Volume ran below normal — 24.9 billion dollars for BTC (0.86 times the prior twelve-week average) and 17.4 billion for ETH (0.85 times) — so the split did not come with unusual turnover.
What a careful desk would check. BTC's weekly return ranked at the 82nd percentile of the 173 weeks on record, but it followed four weeks of -20.28%, -25.36%, 2.77% and 0.44%. A large up week after two very large down weeks is a rebound within a decline until later weeks say otherwise; the close at 95.7% of the range says nothing about durability. ETH's return sat at the 20th percentile, after prior weeks of -8.71%, -41.47%, 13.80% and 13.67%. Realised volatility, the size of the swings that actually happened scaled to a yearly figure, was 99.1% for BTC and 110.5% for ETH.
Funding. BTC perpetual funding averaged 0.0031% per eight hours, near flat, with a low of -0.0168%. ETH funding stayed positive all week in a narrow band, 0.0087% to 0.0100%, averaging 0.0099%. ETH longs were paying a small running cost through a week in which ETH fell 7.47%.
What would change this reading
- If a later week closes ETH back above its weekly open of 2,711.92 while BTC holds near 39,020.57, the divergence reads as temporary rather than a sustained re-rating of one asset against the other.
- If BTC trades below its weekly low of 31,000, the 12.00% Wednesday gain was a rebound inside a decline rather than a bottom.
- If volume rises well above 0.86 times the prior twelve-week average for BTC, the next move comes with participation this week did not have.
- If ETH funding stays positive while ETH falls again towards its low of 2,256.22, longs keep paying to hold a losing side.
Terms
- close location
- where the closing price sits within the week's high-to-low range, as a percentage; 95.7% means the close was near the top
- ETH/BTC ratio
- the price of Ether expressed in Bitcoin, showing which of the two gained against the other
- realised volatility
- how much the price actually swung over a period, expressed as a yearly percentage