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Quant Daily — 11 Sep 2026

BTC market structure · 2026-09-11 UTC

BTC: $79,042

├ 50MA: $70,685

├ 200MA: $70,062

├ Realized: $52,734 (MVRV 1.50)

├ STH cost basis: $71,168

├ LTH cost basis: $48,800

├ RSI (weekly): 55.3

├ IBIT cost basis: $81,661

├ MSTR cost basis: $75,385

├ Production cost: $86,087

├ BTC/Gold: 18.0 oz

└ Fear & Greed: 56 (Greed)

ETF 5d +456M$ / 20d +3191M$ · CME fwd 1/5 LONG (mild long tilt) · CLLD 1d +0.14 · 1d driver: spot ↓

liq BTC 6m 0.30 3m 0.19 1m 0.30 7d 0.84 (C↓) | ETH 6m 0.21 3m 0.21 1m 0.34 7d 0.75 (C↓) · int BTC 7d↑ ETH 1m↓

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

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

Weekly

Long gamma: spot 79,042 sits just above the weekly flip at 77,360 — dealers dampen moves, but the buffer is under 2%.

Sep 18 board: call/gamma wall 82k, put wall dropped to 72k post-expiry; max pain 78k — board re-centered just below price. OI split is near-even (49% above spot), and the session's build leaned higher: 83k (+538) and 78k.

Weekly charm is positive — time decay in near-dated series acts as support.

IBIT agrees on the 81.8k cap; its put anchor sits higher at 72.7k, and a large 72.7k block was closed and rolled up into 8085.5k — the ETF book is actively building above price.

Total

Book-wide DEX +5.7B — dealers net long delta; in long gamma their hedging leans against sharp moves both ways. Vega mass (~25M) mostly reflects board size, no directional read.

Spot trades above every slow anchor: MA50 70.7k, MA200 70.1k, realized 52.7k, STH basis 71.2k, MSTR basis 75.4k. Overhead: IBIT basis 81.7k and mining cost 86.1k.

Fear & Greed 56, DVOL 38.9 mid-range — vol premium is unremarkable. Structure is orderly: upper half of the range, dense cap, deeper floor than usual.

Week ahead (beta)

69 days of history. Honest check: yesterday's floor fight resolved with a bid again — 77,05279,042, the reclaim trigger above 77.277.5k fired, and the Sep 11 expiry passed without a flush, as the board priced. The 76.582k range holds for a 24th day.

Base case: chop 77,00082,000 — new weekly board is centered (max pain 78k), long gamma, positive charm; a liq cluster at 79,950 (weight 100) sits right overhead, then the 81.782.85k node (82k call/gamma wall + IBIT basis 81.7k + score-4 zone + liq 82,450/82,850) as the main cap.

Upside trigger: acceptance above 79,950 opens 81.782k; this node has repelled every test this run.

Downside trigger: losing the 77.36k flip and liq 77,850/77,550 opens a slide to 76,000 (liq + fresh zone); below that the floor thins out to the 72k put wall, though the board prices only ~3% odds of −10% by Friday. Caveat: the weekly put wall dropped from 76k to 72k — if the flip goes, the swing could run wider than usual.

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Structure derived from deterministic market data. Not investment advice.