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Quant Daily — 21 Sep 2026

BTC market structure · 2026-09-21 UTC

BTC: $85,273

├ 50MA: $73,637

├ 200MA: $70,603

├ Realized: $52,793 (MVRV 1.62)

├ STH cost basis: $71,262

├ LTH cost basis: $48,787

├ RSI (weekly): 60.8

├ IBIT cost basis: $81,636

├ MSTR cost basis: $75,385

├ Production cost: $87,381

├ BTC/Gold: 19.7 oz

└ Fear & Greed: 70 (Greed)

ETF 5d +6M$ / 20d +1762M$ · CME fwd 2/5 LONG (смешанно) · CLLD 1d -0.97

liq BTC 6m 0.03 3m 0.01 1m 0.02 7d 0.20 (A↓) | ETH 6m 0.03 3m 0.03 1m 0.07 7d 0.18 (A↓) · int BTC↓ ETH↓

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

Week    80000/90000
Month   75000/95000
Quarter 60000/100000

Weekly

Positive gamma, weekly GEX +$233M — dealer hedging dampens swings. Flip sits way down at 72.3k while spot trades right on the 85k call/gamma wall — that's where the gamma mass is, a pin candidate into Sep 25 expiry.

Max pain 74k, but flows matter more: last session built 84k/85k/83k — the board is stacking right at price, though only 26% of OI sits above spot.

Weekly charm −$65.6M — sign simply reflects OI left below spot after the rally, no hedge-direction read.

IBIT runs a higher structure: floor 80.2k, flip 79k, cap 89.5k — its floor sits much closer to price than Deribit's 70k put wall, while both venues agree on the 8590k ceiling.

Total

Book-wide DEX +$10.7B — dealers net long delta, largest of the run (~$3.7B a week ago). Spot is above the 50/200 MAs (73.6k/70.6k), STH basis 71.3k and IBIT basis 81.6k; the only slow-metric level overhead is miner production cost at 87.4k.

Fear&Greed 70; DVOL 37 at the 18th percentile — vol premium is thin, historically the weakest regime for premium sellers.

Big picture: positive gamma across tenors, and the monthly board is building higher — 89% of new OI above spot, concentrated at 95100k. Ceilings are migrating with price.

Week ahead (beta)

79 days of history. Yesterday's upside trigger fired with room to spare — 80,65885,272, through 81.6k and 82.85k straight into the weekly 85k call wall; third impulse leg since the 76.582k range broke.

Base case: consolidation 83,00087,400 around 85k — positive gamma plus the gamma mass at that strike favor pinning; weekly option-implied median (~85.4k) matches spot, and a −10% move by Friday is priced at only ~3%.

Upside trigger: acceptance above 86.5k and the 87.4k production cost opens 90k (monthly gamma wall + heavy OI).

Downside trigger: losing the 83.7k zone points to liq clusters 82.85/82.45k, then 80.5/79.95k.

Caveats: standing liquidation skew is still grade-A to the downside (long leverage below price), and three straight impulse days stretch the pace — beta forecast, moderate confidence.

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Structure derived from deterministic market data. Not investment advice.