Week of 11 October 2021: Bitcoin and Ether both gain about 12.6% with positive funding all week
When two assets rise by nearly the same amount in one week while trading only loosely together, what does the week say about breadth, and what does it leave unresolved?
BTC rose from 54,659.01 to 61,528.33 (+12.57%) and ETH from 3,414.22 to 3,846.85 (+12.67%), a difference of 0.1 percentage points. Both returns sit at the 86th and 82nd percentiles of 191 recorded weeks. Funding was positive throughout, averaging 0.0206% per eight hours for BTC and 0.0252% for ETH.
What the data shows. BTC set its low of 53,879 on Tuesday 12 October and its high of 62,933 on Friday 15 October, a 16.8% range with the low preceding the high. Friday was BTC's best day (+7.54%) and also carried its largest hourly move, +3.19% in the hour starting 02:00 UTC. Both assets closed in the upper third of their weekly ranges (BTC 84.5%, ETH 79.3%), so the week ended near its own highs. BTC dollar volume was 1.24 times its prior twelve-week average; ETH volume was 0.84 times, below its own average. Realised volatility, the size of the swings that actually happened scaled to a yearly figure, reached 64.3% for BTC and 69.2% for ETH.
What it does not show. The two assets moved in the same direction with almost the same weekly gain, but their hourly correlation was 0.62, which is loose. Similar weekly totals therefore came from partly different paths, and the data does not say why. Nothing identifies who was buying or whether the move reflects new demand, closing of shorts, or position rolling. The prior four weeks were mixed: three up and one down for BTC, three down and one up for ETH.
What a careful desk would check. BTC finished 4.72% below its 52-week high and ETH 11.22% below, so the same weekly return sat against very different distance from prior peaks. Funding is a periodic payment between long and short holders of a perpetual contract; positive rates mean longs pay shorts. At an average of 0.0206% every eight hours with a maximum of 0.0481%, a leveraged long held for weeks pays a running cost, and a desk would test whether that cost is included in its expected return.
Ether against Bitcoin. The ETH/BTC ratio changed by just 0.09%, so ETH's 12.67% gain over BTC's 12.57% leaves the cross essentially flat. On this week's evidence neither asset led the other in a way a relative-position trader could have relied on.
What would change this reading
- If BTC trades below its weekly low of 53,879 in a later week, the 16.8% range becomes a level that failed rather than a base.
- If funding stays positive near 0.0206% while price stalls, longs keep paying for a position that is no longer rising.
- If the ETH/BTC ratio moves well beyond this week's 0.09% change, the two assets stop reading as one move and start reading as two.
- If ETH volume recovers from 0.84 times its twelve-week average while BTC volume falls back from 1.24, the breadth of this week deserves a second look.
Terms
- realised volatility
- how much prices actually swung over the 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
- percentile
- the share of past weeks with a lower value; the 86th percentile means 86% of the 191 recorded weeks were lower