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Quant Daily — 3 Sep 2026

BTC market structure · 2026-09-03 UTC

BTC: $78,880

├ 50MA: $68,430

├ 200MA: $69,587

├ Realized: $52,680 (MVRV 1.50)

├ STH cost basis: $69,980

├ LTH cost basis: $48,918

├ RSI (weekly): 56.8

├ IBIT cost basis: $81,676

├ MSTR cost basis: $75,385

├ Production cost: $84,366

├ BTC/Gold: 17.7 oz

└ Fear & Greed: 65 (Greed)

ETF 5d +122M$ / 20d +2761M$ · CME fwd 1/5 LONG (mild long tilt) · CLLD 1d -0.90

liq BTC 6m 0.32 3m 0.19 1m 0.29 7d 0.73 (—) | ETH 6m 0.19 3m 0.19 1m 0.30 7d 0.87 (B↓) · int BTC 1m↓ ETH 7d↑ 1m↓

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

Week    75000/82000
Month   70000/85000
Quarter 60000/100000

Weekly

Dealers long gamma on both venues, weekly GEX +41M — the cushion rebuilt from yesterday's run-low (+7M), swings get dampened again. The weekly flip climbed to 76,873 — now right under spot: the regime boundary is close.

Weekly walls: 82,000 call/gamma wall overhead, 75,000 put wall below, max pain 72k deep down. Session OI −24.5k with unwinds at 82k/70k/75k/80k, yet 83% of fresh adds landed above spot — the top keeps getting built.

Weekly charm +69M — fifth straight positive day and the run's high: decay flow supports price into tomorrow's Sep 4 expiry.

IBIT agrees on regime but holds a closer lid — call wall 79.4k right above price, max pain 75.1k, and the session build laid a floor at 74.275.1k. Level divergence, not regime.

Total

Full-book DEX +5.76B — dealer net delta strongly positive, hedges lean with the trend; VEX +26.3M — a vol drop adds a hedge bid. Both constructive.

Spot 78,880 trades above realized (52.7k), the 50/200DMA (68.4k/69.6k), STH basis (70.0k) and MSTR basis (75.4k); overhead sit IBIT cost basis 81.7k and production cost 84.4k — a dense lid stacked on the 82k node.

Book-wide max pain 72k and flip 66.7k far below — price still runs ahead of structure, though the weekly slice has caught up.

Fear & Greed 65 (greed), weekly RSI 56.8; DVOL in the low tercile — vol premium is thin.

Week ahead (beta)

61 days of history. Honest check: yesterday's floor fight at 75.577k got bought — 77,18978,880; the 78.779k reclaim trigger is firing right now, spot sits exactly on the 79,300 liq (weight 100). The 76.582k corridor holds a sixteenth day.

Base case into the Sep 4 expiry (1 DTE): chop 76.880.7k with a mild upward lean — the cushion rebuilt (+41M) and charm is at the run's high; acceptance above 79.380.25k opens 80.75k, then the 81.682.85k node (82k call/gamma wall + IBIT basis 81.7k + zone 81,838 + liq 82,850), with production cost 84.4k stacked above as a fundamental lid.

Downside trigger: losing 76.976.75k means losing the weekly flip — gamma turns negative below it and the move can accelerate to 76,000 liq, then the 75.075.2k shelf (put wall + fresh zone). The board prices only ~5% odds of closing below 76.8k by tomorrow — no flush implied.

Post-expiry the monthly board is stretched between max pain 70k and the 85k call wall — the range can widen.

Uncertainty is moderate: greed at 65 and the flip sitting close under price keep the tape shock-sensitive both ways.

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Structure derived from deterministic market data. Not investment advice.