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Quant Daily — 27 Aug 2026

BTC market structure · 2026-08-27 UTC

BTC: $79,484

├ 50MA: $66,467

├ 200MA: $69,259

├ Realized: $52,557 (MVRV 1.51)

├ STH cost basis: $69,423

├ LTH cost basis: $48,992

├ RSI (weekly): 58.5

├ IBIT cost basis: $81,701

├ MSTR cost basis: $75,385

├ Production cost: $74,921

├ BTC/Gold: 17.4 oz

└ Fear & Greed: 71 (Greed)

ETF 5d +1798M$ / 20d +3233M$ · CME fwd 0/5 LONG (все нейтральны) · CLLD 1d -0.53

liq BTC 6m 0.26 3m 0.07 1m 0.12 7d 0.28 (C↓) | ETH 6m 0.08 3m 0.08 1m 0.12 7d 0.31 (B↓) · int BTC↓ ETH↓

CSP / CC(where selling puts / calls is structurally favourable)

Week    75000/82000
Month   70000/90000
Quarter 60000/100000

Weekly

Dealers long gamma on both venues, weekly GEX +81M — moves get dampened, and this pin is real: gamma wall 80,000 lines up with the 80k call wall directly overhead, spot wedged just beneath.

Weekly flip 67,232, put wall 60k and max pain 69k sit deep below; the board keeps clearing its bottom — 84k OI unwound on the session, concentrated at 6975k strikes — though no fresh build above spot today.

Weekly charm −28.1M — ninth straight negative day: decay flow keeps dragging toward the board's center into tomorrow's expiry, the main structural headwind.

IBIT agrees: same regime, its call/gamma wall at 79.4k sits right at price, and the session's heavy build landed at 75.9k below (+19k OI) — the ETF book laid down a near floor; no venue divergence.

Total

Full-book DEX +8.14B — dealer net delta strongly positive, hedges lean with the trend; VEX +27.2M — a vol drop adds a hedge bid. Both constructive.

Spot 79,484 trades above realized (52.6k), the 50/200DMA (66.5k/69.3k), STH cost basis (69.4k), production cost (74.9k) and MSTR basis (75.4k); nearest overhead marker is IBIT cost basis at 81.7k.

Book-wide max pain 70k and flip 64,966 sit far below — price still runs ahead of structure, though the weekly slice has caught up.

Fear & Greed 71 (greed), weekly RSI 58.5 — constructive but stretched.

Week ahead (beta)

54 days of history. Honest check: the chop call is playing out for a ninth straight day — 78,54979,484, dips keep getting bought, spot pressing the 80k wall again without a break.

Base case into the Aug 28 expiry (1 DTE): pin 78,00080,250 inside the gamma-mass node — long gamma on both venues dampens swings, negative charm drags toward the board's center; the board prices near-zero odds of a deep flush by Friday. Post-expiry the monthly board is stretched between the 78k gamma wall and the 85k call wall — the range can widen.

Upside trigger: acceptance above 80.080.25k opens 81.781.9k (IBIT cost basis 81.7k + fresh zone 81,850 + liq 81,800), then 82,850.

Downside trigger: losing the 78,300/77,500 liq clusters (weight 100) slides price to the 74.274.8k shelf (liq 74,150/74,500 + fresh zone 74,810 + production cost 74.9k).

Uncertainty stays above normal: greed at 71 and standing liquidation skew pointing down (grade C — context, not a signal) keep the tape shock-sensitive either way.

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Structure derived from deterministic market data. Not investment advice.