Week of 27 September 2021: Bitcoin and Ether rise about 12% on below-average volume
When two assets rally in near-lockstep after several down weeks, but on light volume, how much of the move can a week of price data actually explain?
BTC rose from 43,160.90 to 48,200.01 (+11.68%) and ETH from 3,059.36 to 3,417.73 (+11.71%). Both lows came on Wednesday 29 September and both highs on Sunday 3 October. Dollar volume ran below the prior twelve-week average for both (0.81x BTC, 0.80x ETH).
What the data shows. Both assets fell first, then recovered. BTC set its weekly low of 40,753.88 at 00:00 UTC on Wednesday 29 September and its high of 49,228.08 on Sunday 3 October, so the low preceded the high and the week closed 11.68% above its open. ETH followed the same order: low 2,782.00 on Wednesday, high 3,488.00 on Sunday, +11.71% for the week. The best day for both was Friday 1 October (BTC +9.86%, ETH +10.31%), and the largest hourly moves fell in the same hour, starting 10:00 UTC: +4.84% for BTC, +2.92% for ETH. The close sat in the upper third of each week's range (BTC 87.9%, ETH 90.0%). Hourly correlation was 0.88 and the ETH/BTC ratio changed just 0.03%, so the two moved almost in step. The BTC return ranked at the 85th percentile of the 189 weeks before it, ETH's at the 79th, after a mixed stretch: BTC's prior four weeks were 6.13%, -11.07%, 2.64% and -8.64%.
What it does not show. Dollar volume was 12.98 billion for BTC (0.81 times its prior twelve-week average) and 10.45 billion for ETH (0.80 times). A double-digit gain on below-average volume cannot say whether new buying or the closing of short positions drove it. The data carries no open interest, no order-book depth, and no information about who traded. Nothing here establishes whether the recovery continues.
What a careful desk would check. Realised volatility, the size of the swings that actually happened scaled to a yearly figure, was 65.6% for BTC and 76.2% for ETH, against weekly ranges of 20.79% and 25.38%. After two down weeks for BTC and three for ETH, a high-percentile weekly gain on light volume is a signal to verify rather than a confirmed change of trend, and stops sized on the 4.84% hourly move rather than on the average week would be the relevant test.
Funding. BTC perpetual funding averaged 0.0068% per eight hours (high 0.01%, low -0.0027%) and ETH 0.0056% (high 0.01%, low -0.013%). Slightly positive rates mean longs paid shorts on average, though the weekly averages sat close to zero and ETH's minimum dipped negative.
What would change this reading
- If volume in later weeks returns to or exceeds its prior twelve-week average while price holds above this week's close of 48,200.01, the low-volume reading weakens.
- If a later week trades below the Wednesday low of 40,753.88, the recovery reads as a rebound inside a decline rather than a turn.
- If the ETH/BTC ratio moves well beyond this week's 0.03% change, the two assets have stopped moving together and pair hedges need to be re-sized.
- If funding stays near zero while price stalls, neither side is paying meaningfully to hold, which says little about positioning either way.
Terms
- 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 85th percentile means 85% of the 189 prior weeks were lower
- perpetual funding
- a regular payment between long and short holders of a perpetual futures contract that keeps its price close to the spot price