Week of 17 October 2022: BTC and ETH rise on volume well below the twelve-week average
When both assets close the week higher near their highs but trade on below-average volume, how much of the move can a desk treat as a change in trend?
BTC rose from 19,262.98 to 19,570.40 (+1.60%) and ETH from 1,305.96 to 1,364.20 (+4.46%). Both assets made their weekly low at 12:00 UTC on Friday 21 October and closed at 87.1% and 93.8% of their weekly range. Dollar volume was 0.78 times the prior twelve-week average for BTC and 0.46 for ETH.
What the data shows. Both assets set their weekly lows in the same hour, 12:00 UTC on Friday 21 October (18,650.00 and 1,252.65), and both recovered into Sunday. Both assets posted their best day on 23 October (BTC +1.91%, ETH +3.85%), and ETH's high of 1,371.55 and largest hourly move (+2.16%) arrived in the same hour, starting 22:00 UTC. BTC's largest hourly move was +1.55%, also on Sunday. The two assets moved together but not evenly (hourly correlation 0.84), and ETH gained 2.82% against BTC on the ratio. Both closed at the top of their weekly ranges (close location 87.1% for BTC, 93.8% for ETH), which measures where the close sat between the week's low and high. Realised volatility, the size of the swings that actually happened scaled to a yearly figure, was 28.5% for BTC and 39.1% for ETH.
What it does not show. A rising week on thin volume is a description, not an explanation. The data does not say whether the Friday low was a turning point or a pause, and low dollar volume (0.78 times the prior twelve-week average for BTC, 0.46 for ETH) does not by itself tell us whether few participants were present or whether buyers and sellers simply agreed. Both assets remain more than 71% below their 52-week highs (-71.49% BTC, -71.85% ETH).
What a careful desk would check. A close near the top of the range with weak volume reads differently from the same close on heavy volume. A desk would compare the Sunday hour's +1.55% (BTC) and +2.16% (ETH) moves with the week's average hourly range, and ask whether the Friday low held on later retests. Weekly returns sat at the 52nd percentile for BTC and 63rd for ETH across 244 weeks of history, so neither was unusual by this sample's standards.
Funding. BTC perpetual funding averaged 0.0056% per eight hours, with a high of 0.01% and a low of -0.0009%. ETH averaged 0.0038%, with a low of -0.0052%. Near-flat funding means longs and shorts paid each other very little, consistent with a market without crowded positioning.
What would change this reading
- If a later week trades below the Friday low of 18,650.00 for BTC and 1,252.65 for ETH, the Friday turn reads as a pause inside a decline.
- If volume returns towards or above the prior twelve-week average while prices hold these gains, the week reads more like a trend change than a thin drift.
- If ETH continues to gain against BTC on the ratio (+2.82% this week), the outperformance is a relative move rather than a broad one, which changes which hedge matters.
Terms
- realised volatility
- how much the price actually swung over a period, expressed as a yearly percentage
- close location
- where the weekly close sat between the week's low and high, as a percentage; a high value means the close sat near the week's high
- funding rate
- the periodic payment between long and short holders of a perpetual futures contract; positive means longs pay shorts