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Quant Daily — 30 Sep 2026

BTC market structure · 2026-09-30 UTC

BTC: $84,386

├ 50MA: $77,285 ✅

├ 200MA: $71,297 ✅

├ Realized: $53,093 (MVRV 1.59)

├ STH cost basis: $72,798

├ LTH cost basis: $48,778

├ RSI (weekly): 59.7

├ IBIT cost basis: $81,705

├ MSTR cost basis: $75,385

├ Production cost: $74,382

├ BTC/Gold: 20.1 oz

└ Fear & Greed: 71 (Greed)

ETF 5d +769M$ / 20d +2797M$ · CME fwd 1/4 LONG (mild long tilt) · CLLD 1d -0.96

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

Week    80000/88000
Month   70000/95000
Quarter 60000/100000

Weekly

Weekly board (Oct 2 expiry, 2 DTE) sits in positive gamma: net GEX +$21.2M vs +$15.2M yesterday — pinning regime, moves get faded by hedging. Weekly flip 82,956, creeping toward 83k (82.5→82.8→82.9→83.0k over the week). Put wall 82k (3,236 OI, largest strike on the slice), call wall 88k, max pain 83k. Gamma mass at 86k — 53% of GEX sits above spot vs 35% of OI. Session build was modest (+154 net): +374 at 85.5k, +201 at 83k, with 85k/86k unwound — the board is compressing around spot, not migrating.

Weekly charm −$9.1M (gross Σcharm·OI; sign reflects OI sitting below spot).

IBIT (same Oct 2 expiry) lines up: flip 82.5k, put support 81.1k, max pain 83.8k, call wall 89.2k; built 85.6k and 81.1k, unwound 89–93k. Weekly wings: calls slightly richer than puts (1.04 vs 0.98) — descriptive, not a signal.

Total

Book DEX +$5.60B (yesterday +5.38B; whole week in the 5.0–6.0B band after the 11.3B peak on Sep 22) — dealer hedge flat, not building. Total flip 76.3k and max pain 79k sit far below; DVOL 35.6 at the 9th percentile of the year — thin premium for vol sellers.

Week ahead (beta)

Day 88 of the log. Scorecard: yesterday's 82,000–85,500 chop held — 83,900 → 84,386, spot in the upper half, no trigger fired; sixth straight day pinned on this shelf, quiet session with no taker driver.

Base case: into Friday's Oct 2 expiry (2 DTE) a pin in 82,500–86,000 around max pain 83k and the board median ~84.5k — positive gamma strengthened, the 84,745 zone (score 3, tested) sits right on spot, gamma mass at 86k plus fresh OI at 85.5k overhead, and the 82k node below (put wall + 83.0k flip + fresh 81,852 zone + IBIT support 81.1k). A −10% by Friday is priced at ~0.06%. Backdrop supports the pin: ETF +$0.77B over 5d, liquidations flipped to short squeezes (CLLD −0.96).

Upside trigger: holding above 85.5–85.9k (fresh 85,911 zone) opens 86–88k (gamma mass + call wall); beyond that the week runs into 89–90k, where IBIT and the monthly gamma wall sit.

Downside trigger: losing 82.0–82.5k targets 80.0–80.5k (fresh zone + 80k OI), then 78.8k (flip + max pain zone).

Caveats: the weekly slice expires Friday and the 83–85k pin loses its anchor — next week trades on a new board where monthly mass sits at 90–95k above and 70k below, and −10% over a month is already ~13%. Sixth day of chop: odds of a range break rise, but structure isn't giving a direction yet.

← 29 Sep 2026

Structure derived from deterministic market data. Not investment advice.