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Quant Daily — 28 Aug 2026

BTC market structure · 2026-08-28 UTC

BTC: $78,834

├ 50MA: $66,803

├ 200MA: $69,309

├ Realized: $52,628 (MVRV 1.50)

├ STH cost basis: $69,733

├ LTH cost basis: $48,944

├ RSI (weekly): 58.4

├ IBIT cost basis: $81,686

├ MSTR cost basis: $75,385

├ Production cost: $77,335

├ BTC/Gold: 17.3 oz

└ Fear & Greed: 73 (Greed)

ETF 5d +1434M$ / 20d +3243M$ · CME fwd 1/5 LONG (mild long tilt) · CLLD 1d +0.71

liq BTC 6m 0.24 3m 0.07 1m 0.12 7d 0.30 (C↓) | ETH 6m 0.08 3m 0.08 1m 0.12 7d 0.26 (B↓) · int BTC↓ ETH 1m↓

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

Week    74000/82000
Month   70000/85000
Quarter 60000/100000

Weekly

Dealers long gamma on both venues, weekly GEX +37.8M — but the cushion shrank 3x post-expiry (+81M+38M): the pin is looser, swings can widen.

Fresh weekly board (Sep 4): call wall 82,000 lines up with the gamma wall directly overhead; the put wall migrated 60k74,000 — first time this run the board's floor sits near spot. Max pain 71k deep below.

Weekly charm −2.8M — tenth straight negative day, but the drag has faded an order of magnitude (−28M yesterday): the pull to center is nearly spent.

Session OI −20k with unwinds at 82k/80k/73k/70k — post-expiry cleanup, little fresh build yet.

IBIT aligned: same regime, call wall ~82.3k matches, and 84% of its session OI build landed above spot (8286k) — the ETF book is stacking upside.

Total

Full-book DEX +5.86B — dealer net delta strongly positive, hedges lean with the trend; VEX +27M — a vol drop adds a hedge bid. Both constructive.

Spot 78,834 trades above realized (52.6k), the 50/200DMA (66.8k/69.3k), STH basis (69.7k), production cost (77.3k — now right under price) and MSTR basis (75.4k); nearest overhead marker is IBIT cost basis 81.7k.

Book-wide max pain 70k and flip 64.6k sit far below — price still runs ahead of structure, though the weekly slice has caught up.

Fear & Greed 73 (greed), weekly RSI 58.4 — constructive but stretched.

Week ahead (beta)

55 days of history. Honest check: the pin call played out a tenth straight day — 79,48478,834, the 80k wall still unbroken, and the Aug 28 expiry passed without a flush, as the board priced.

Base case: chop 76,50082,000 — the fresh board shifted the corridor up (put wall 74k, call wall 82k); the 80.682k node (call/gamma wall 82k + IBIT basis 81.7k + fresh zone 81,843 + liq 82,850) is the week's main magnet and cap.

Upside trigger: acceptance above 80.2580.6k opens 81.782k, then the 82,850 liq cluster.

Downside trigger: losing the 77,500 liq (weight 100) and production cost 77.3k slides price to 76.1k, then the 74.575.55k shelf (put wall 74k + liq 74,500/75,550 + MSTR basis).

Uncertainty above normal: the post-expiry cushion is thinner, greed at 73 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.