BitMEX Product List Update

Quarterly Bitcoin / USD Futures Contracts

The following quarterly contracts will be listed on or before 15 December 2017 12:00 UTC:

  • BitMEX Bitcoin / USD 30 March 2018 futures contract, XBTH18

We will add the BitMEX Bitcoin / USD 29 June 2018 futures contract, XBTM18, in the near future.

Quarterly Bitcoin / JPY Futures Contracts

No new Bitcoin / JPY quarterly contract will be listed after the BitMEX Bitcoin / JPY 29 December 2017 futures contract, XBJZ17, expires. We will add a Bitcoin / JPY perpetual swap in the near future.

Quarterly Altcoin Futures Contracts

The following quarterly contracts will be listed on or before 15 December 2017 12:00 UTC:

  • BitMEX Ether / Bitcoin 30 March 2018 futures contract, ETHH18
  • BitMEX Dash / Bitcoin 30 March 2018 futures contract, DASHH18
  • BitMEX Litecoin / Bitcoin 30 March 2018 futures contract, LTCH18
  • BitMEX Monero / Bitcoin 30 March 2018 futures contract, XMRH18
  • BitMEX Ripple / Bitcoin 30 March 2018 futures contract, XRPH18
  • BitMEX Zcash / Bitcoin 30 March 2018 futures contract, ZECH18

Please note the fee structure for all altcoin futures contracts will change to maker / taker, -0.05% / +0.25%.

让我来

建立财富是一件容易的事情,守护和保留财富给后人则是非常困难的。

500 年前,富裕的家庭需要一支私人军队来保护自己的土地和财富。如果你不能用暴力来守护你的资产,那么那些机会主义者便会强行夺取。

随着文明的发展,我们进入了国家的时代,社会一致认为,中央集权的政府应该有合法的执照杀死掠夺者,以保障业主的利益。不管政府声称要实行什么样的 “主义”,目标是一致的。保护一小部分资产持有人免受掠夺者的伤害,避免掠夺者牺牲精英来改善自己的生活。

今天,最富有的人不是指挥军人的军官,而他们的财产包括动产和不动产。股票和债券所有权取决于中央机构来确认您确实是所有人。政府契约机构公布一块土地或房地产是否属于你的。

你是否有钱,需要政府允许。财富的回收可以随时随地的发生。如果你的行为扰乱了一个强大的国家领导,你的银行账户将被冻结,资产将被通过法院而没收。

最近沙特腐败事件是个很好的案例。沙特阿拉伯的王储穆罕默德·本·萨勒曼(Mohammad bin Salman)正在执行一项使该国摆脱石油经济的使命。这说起来比做起来困难,特别是因为一般人只是因为慷慨的政府资助而顺从。为了加强政府财政,萨勒曼做了所有政府都会做的事,就是去接触一些有钱的富豪。

萨勒曼肯定不会让自己陷入财政紧缩。去年,他购买了价值超过 5 亿美元的游艇,同时削减了政府开支。

一夜之间,一些最富有的成员被赶到了丽思卡尔顿酒店,并因 “腐败” 指控而被捕。最有名的亿万富翁是阿尔瓦利德·本·塔拉勒(Alwaleed bin Talal)王子。这个王是世界着名的投资者,在全球最大的一些技术宠儿中有很大的股份

在丽思酒店结束了几天的工作之后,萨勒曼向他提供了一个选择。清算你的资产,并给沙特政府高达 70% ,或维持资产被冻结。即使你的财富很大一部分是在海外,由于政府之间的信息共享,萨勒曼很可能知道最大金矿所在。如果他认为你的离岸财富无法唾手可得,那么你可以好好享受一下也门前线的日子。

比特币提供了一种保障财富的不同方式。与其信任反复无常政府职员,比特币的持有者信任的是密码学和去中心化网络的利润驱动的矿工。

比特币从出现到现在还不到十年,这还是一个实验。但是,如果你拥有一笔财富,那么维持一定的网络多样化来保障您的资产是明智的。很多人相信,如果他们遵循“法律”,他们便会相安无事。然而,法律是服务于政府的,它会透过政府的发展和权力不断变化。

委内瑞拉和津巴布韦政府的失败表明,在金融危机时刻比特币可以作为润滑剂来驱动商业的巨轮。不幸的是,大多数情况下,一般经济体系的致命缺陷需要一段时间才能表现出来。而又只有到那个时候,人们才会采取具体的行动,这些行动在不久前和他们所信仰的金融体竟然系截然相反。那时已经太晚了。

 

 

欢迎转载,请注明文章来自

BitMEX (www.bitmex.com)

BitMEX 与 CME 期货指南

比特币正处于分水岭时刻。芝加哥商品交易所(CME)是名副其实的全球最大的交易所,认为比特币值得拥有它自己期货合约。该合约将允许投资者在没有比特币的情况下对比特币/美元价格进行投资。在此合约上架之前,衍生品交易者需要拥有比特币,才能在期货交易平台(如 BitMEX)上进行保证金交易。

由于 BitMEX(个人投资者)和 CME(专业投资者)服务的客户群不同,两个具有相同标的资产的期货合约之间的价格差异将带来巨大的套利收益机会。本指南将帮助交易者了解如何执行这些交易。

 

合约明细

每张 CME 合约价值 5 比特币(XBT),并以美元报价。保证金和盈亏(PNL)是以美元计价。这就是我所提及的线性合约结构。

CME XBT 价值 = 5 XBT * 合约

CME 美元价值 = 5 XBT * 价格 * 合约

每张 BitMEX 合约价值 1 美元的比特币,并以美元报价。保证金和盈亏(PNL)是以 XBT 计价。这就是我所提及的反向合约结构。

BitMEX XBT 价值 = 1 / 价格 * 1美元 * 合约

BitMEX 美元价值 = 1 美元 * 合约

上图显示了每张合约的 XBT 价值。无论现货价格如何,CME 合约在比特币中都有固定的价值。 BitMEX  合约的比特币价值遵循 1 / x 函数。从技术上说,BitMEX 倍数是负的,虽然在图中我们使用了正倍数来获得更好的视觉效果。

 

假设您以 $1,000 的价格买入 10,000 份合约。

XBT 价值 = 1 / $1,000 * - 1 USD * 10,000 = - 10 XBT

假设现在价格下跌到 500 美元。

XBT 价值 = 1 / $500 * - 1 USD * 10,000 = - 20 XBT

价格越低,XBT 价值的负数越大。

XBT 盈亏 = - 20 XBT -(- 10 XBT)= - 10 XBT

这意味着当价格下跌时,比特币的价值下跌的速度更快,随着价格的上涨,比特币价格上涨的速度会较慢。这呈现出负伽玛值,或负凸面。

上图显示了每张合约的美元价值。CME 合约的美元价值随现货价格呈线性变化。 BitMEX 合约的美元价值固定在每张合约 $1 。

CME 合约明细

 

合约大小

芝加哥商品交易所的合约在名义价值上比 BitMEX 大得多。如果比特币的价格是 8,000 美元,那么一张 CME 合约价值 4 万美元。在 BitMEX 上实现类似投资需要 40,000 张合约。

当我稍后谈到价差交易时,大得多的 CME 意味着只有具有大量资本的交易者才能进行这些交易。这个限制因素以及 CME 提供的较低杠杆率意味着大多数散户交易者将无法交易 CME 产品。

 

结算

这两个合约之间的主要区别是标的指数。 CME根据 CME CF比特币参考汇率 进行结算。该指数包括Bitstamp,GDAX,itBit 和 Kraken 的价格。 BitMEX 以 BitMEX 指数结算,其中包括了 Bitstamp 和 GDAX 的价格。

持有合约到期的交易者需要熟悉每个指数,并且至少能够在所有四个交易所进行交易。

BitMEX 和 CME 都在合约月份的最后一个星期五到期。但是,BitMEX 在北京时间 20:00 到期,而 CME 在伦敦时间 16:00 到期,即北京时间为 24:00 或 23:00,具体取决于夏令时间。鉴于到期时间仅相差 3 到 4 小时,计算时间价值的差别几乎没有意义。

 

保证金

比特币是一个看涨期权。波动越大,期权价值越高。由于上行空间无限大,下行空间最低为 0 ,保证金交易压力来自多头方。这意味着对价格保持中性态度的做市商通常倾向做空其衍生品。他们愿不愿意做市,取决于购买现货比特币的难度,以及他们所做空的衍生品是如何计算保证金要求。

正如我之前提到的,BitMEX 合约是以 XBT 作为保证金。这意味着空头方可以购买现货比特币,并将其用作为在 BitMEX 卖空的抵押品。如果您购买了 1000 美元的比特币,再存放 XBT 在 BitMEX,然后卖出 1000 张 BitMEX 合约,就算价格上涨你也不会被强平。

由于反向合约结构,BitMEX 空头方在 XBT 计算上属于做多伽马值。这意味着当价格上涨,他们的未实现亏损增加的速度将会减慢。因此,相比线性合约结构,在 BitMEX 上的空头方可以使用更高的杠杆。

与以美元作为保证金的 CME 相反。对于做空的做市商来说,他们用来对冲的现货比特币不能作为 CME 的保证金。随着价格上涨,他们的比特币价值越高;然而,这些未实现的美元收益不能存入交易所作为保证金。 当未实现亏损增加,CME 将要求更多的美元作为抵押品。

这使得做空 CME 合约所需要的资本需求非常大。预先说明,我认为 CME 合约的交易将会比 BitMEX 更昂贵。  CME 做空方需要通过更高的基差来弥补其空头仓位隐含的波动。

CME 打算上架年度期货。由于时间价值较大,刚上架时与即月期货相比流动性会很差,并且将以非常高的基差进行交易。

现在我将介绍两个价差交易。假设你是一个以美元为基础的投资者。

 

价差交易:做多 BitMEX 与做空 CME

假设如下:

杠杆:5 倍 / 初始保证金 20%


现货价格 = $8,000

BitMEX 价格 = $8,000

合约数量 = 做多 200,000 张

CME 价格 = $10,000

合约数量 = 做空 6 张

价差 = $2,000

 

首先计算 XBT 和 USD 的风险。


在 BitMEX 上:

XBT 仓位:200,000 多头合约 / $8,000 = + 25 XBT

美元仓位:200,000 多头合约 * 1 美元 = - 200,000 美元

保证金要求:20% * 25 XBT = 5 XBT

抵押货币风险 vs. 美元:+ 5 XBT / - $40,000(按现货价格计算)

 

在 CME 上:

XBT 仓位:6 个空头合约 * 5 XBT = - 30 XBT

美元仓位:6 个空头合约 * 5 XBT * $10,000 = +$300,000

保证金要求:20% * $300,000 = $60,000

抵押货币风险 vs. 美元 = 0

 

由于您是以美元为基础的投资者,您必须确保您在任何时候都没有 XBT / 美元 风险。由于 BitMEX XBT 保证金要求,您必须另外做空 1 张 CME 合约以对冲 BitMEX 所需的 5 个 XBT 保证金。

 

保证金 XBT / 美元 价格风险:

BitMEX:+ 5 XBT / - $40,000

CME:- 5 XBT / + $50,000(做空 1 张合约)

净额:0 XBT / + $10,000


由于 CME 拥有更高的基差,我们可以赚取 BitMEX XBT 抵押品的利息。

 

XBT / 美元价格价差风险:

BitMEX:+ 25 XBT / - 200,000 美元(做多 200,000 张合约)

CME:- 25 XBT / + $250,000(做空 5 张合约)

净额:0 XBT / + $50,000


正如预测的那样,我们从这个价差交易赚取了 $50,000 利润。下表显示了一个大的涨跌幅度的投资组合。

价格 BMEX XBT 盈亏 BMEX 美元盈亏 CME 美元盈亏
$4,000 -25.00 XBT -$100,000 $150,000 $50,000
$8,000 0.00 XBT $0 $50,000 $50,000
$16,000 12.50 XBT $200,000 -$150,000 $50,000

无论价格如何变动,这个仓位都将赚取 5 万美元。然而,这是一个杠杆交易,视乎价格变动的幅度,在 BitMEX 或 CME 上增加额外的保证金。

下表总结了必须采取哪些措施来确保我们符合保证金要求。

保证金行动 所需货币
价格上涨 买入然后在 BMEX 存入 XBT,卖出 CME 合约 XBT 美元
价格下跌 向 CME 存入美元 美元

因为我们在 BitMEX 上的多仓其实是做空伽玛,所以我们必须存入 XBT 并卖出 CME 合约来对冲 XBT 抵押品。这两个衍生品都需要额外的保证金。它的好处是,我们只需要在芝加哥商品交易所增加额外的美元保证金。根据您的资金成本,若价格长时间的下降没有任何反弹的话,您的交易成本可能会变得非常昂贵。


另一个问题是这个交易的大小。每个 CME 合约价值 5 XBT。如果您希望在您的 XBT 抵押品上保持价格中性,5 XBT 亏损需要占据您交易仓位一个很小的百分比。否则,您的仓位将你将永远处于不完全对冲的情况下。下表说明了这一点。

 

开仓价格:$8,000
倍数:-1 美元(对于反向合约,倍数实际上是负的)

 

合约 XBT 价值 % 变动 变动百分比
50,000 -6.25 XBT $4,444.44 -44.44% $40,000.00 400.00%
250,000 -31.25 XBT $6,896.55 -13.79% $9,523.81 19.05%
500,000 -62.50 XBT $7,407.41 -7.41% $8,695.65 8.70%
1,000,000 -125.00 XBT $7,692.31 -3.85% $8,333.33 4.17%
2,500,000 -312.50 XBT $7,874.02 -1.57% $8,130.08 1.63%
5,000,000 -625.00 XBT $7,936.51 -0.79% $8,064.52 0.81%

 

变动百分比是价格需要上下移动以产生 5 XBT 的合约价值变化的程度变量。正如你所看到的,要搞就搞大的,不然回家睡吧。

 

价差交易:做空 BitMEX 与做多 CME

假设如下:

杠杆:5 倍 / 初始保证金 20%

现货价格 = $8,000

BitMEX 价格 = $10,000

合约数量 = 做空 250,000 张

CME 价格 = $8,000

合约数量 = 做多 5 张

价差 = $2,000

 

首先计算 XBT 和美元的风险。

 

在 BitMEX 上:

XBT 仓位:250,000 空头合约 / $ 10,000 = - 25 XBT
美元仓位:250,000 空头合约 * 1 美元 = + 250,000 美元
保证金要求:20% * 25 XBT = 5 XBT
抵押货币风险与美元:+ 5 XBT / - $40,000

 

为了对冲所需的保证金 5 XBT,卖出另外 50,000 张 BitMEX 合约。

XBT 仓位:50,000 张空头合约 / $ 10,000 = - 5 XBT
美元仓位:50,000 张空头合约 * 1 美元= + $50,000
净额:0 XBT / $10,000

 

在 CME 上:

XBT 仓位:5 张多头合约 * 5 XBT = + 25 XBT
美元仓位:5 张多头合约 * 5 XBT * $8,000 = - $200,000
保证金要求:20% * 200,000 美元= 40,000 美元
抵押货币风险与美元 = 0

 

XBT / 美元 价格价差风险:

BitMEX:- 25 XBT / + $250,000(做空 250,000 张合约)

CME:+ 25 XBT / - $200,000(做多 5 张合约)

净额:0 XBT / + $50,000

 

正如预测的那样,我们从这个价差交易赚取了 $50,000 利润。下表强调了一个大的涨跌幅度的投资组合。

价格 BMEX XBT 盈亏 BMEX 美元盈亏 CME 美元盈亏
$4,000 37.50 XBT $150,000 -$100,000 $50,000
$8,000 6.25 XBT $50,000 $0 $50,000
$16,000 -9.38 XBT -$150,000 $200,000 $50,000

无论价格如何变动,这个仓位都将赚取 5 万美元。然而,这是一个杠杆交易,视乎价格变动的幅度,在 BitMEX 或 CME 上增加额外的保证金。

下表总结了必须采取哪些措施来确保我们符合保证金要求。

保证金行动 所需货币
价格下跌 向 CME 存入美元 美元
价格上涨 买入然后在 BMEX 存入 XBT,卖出 BMEX 合约 XBT

因为您在 BitMEX 的空头仓位有正伽马值,所以在价格下跌时您不会面对保证金要求翻倍的情况。这种价差交易更有效率;然而,由于以上原因,我不相信 BitMEX 会经常比 CME 交易成本更昂贵。

 

缺口风险

芝加哥商品交易所周末不开放交易。如果在周末的时间持有多头或空头仓位,当美国时间周日晚上交易所重新开放时,可能会被缺口秒爆。

盈透证券(Interactive Brokers),作为 CME 的清算会员之一,由于产品本身的高波动性,对该产品持有保留态度。他们对如何处理亏损空头仓位感到害怕。当有正面的消息剌激,比特币并不是没有可能在几个小时翻倍。想象一下如果 ETF 最终被批准后会发生什么。

BitMEX 通过自动减仓系统来解决缺口风险。目前 CME 不能使用社会化损失制度。相反,结算会员必须支付现金。这就是为什么他们像极了受惊的猫。

根据你的经纪人,空头仓位的保证金要求可能是非常无情的。这将进一步推动 CME 基差上涨,并令上述价差交易更为昂贵。

 

你胆小吗?

进行 BitMEX 与 CME 套利需要对高端的交易技巧以及对细节的关注。不同的保证金货币和政策可能会使确定的利润转化为巨大的亏损。

然而,就是因为困难,这些价差交易的成果将是肥美的。对于向市场学习的学生来说,这是百年难得一遇的套利机会。那些会花时间去改善这些策略的人将会获得丰厚的利润。

 

 

欢迎转载,请注明文章来自

BitMEX (www.bitmex.com)

I’ll Take That

Building wealth is the easy part, securing and storing it for use by subsequent generations is very difficult.

Half a millennium ago, a wealthy family needed a private army to secure its land and wealth. If you couldn’t project violence in the defence of your assets, they would be forcibly taken by an opportunistic person.

As civilisations evolved and we entered the age of the nation state, society agreed that a centralised government should have a legal license to kill in order to secure the interests of property owners. Regardless of the economic “ism” a government claims to practice, the goal is the same. Protect a small group of asset holders against the hoard of commoners who might like to improve their lot at the expense of the elites.

Today the richest humans don’t command standing armies, and their holdings include financial and real assets. Stock and bond ownership relies on a central depository to affirm that you indeed are the owner. Government deed offices proclaim a piece of land or real estate is yours.

You are rich as long as the government allows you to be. The trappings of wealth can be taken at a whim. Should your actions upset a powerful state actor, your bank accounts will be frozen, and assets confiscated through the courts.

The recent Saudi corruption drive is case and point. Mohammad bin Salman (MBS), the crown prince of Saudi Arabia, is on a mission to wean the country off of oil. This is harder said than done, especially since the general population only complies because of generous government handouts. To beef up the government coffers, MBS did what all governments do, go after certain rich people.

MBS certainly wouldn’t subject himself to austerity. Last year he purchased a yacht worth over $500 million while at the same time slashing government spending.

Overnight some of the country’s richest members were herded to the Ritz Carlton, and placed under arrest owing to “corruption” charges. The most famous billionaire ensnared was Prince Alwaleed bin Talal. This Price is a world famous investor and has large stakes in some of the biggest tech darlings globally.

After a few days cooped up in the Ritz, MBS presented his chattel with a choice. Liquidate your assets and give the Saudi government up to 70%, or stay locked up. Even if a large percentage of your wealth is held offshore, due to information sharing between governments, MBS likely knows where the biggest nuggets are held. If he doesn’t think you have been forthcoming enough with the true state of your offshore wealth, well the Yemeni front line is awful fun these days.

Bitcoin presents a different way to secure wealth. Instead of trusting a government staffed with capricious humans, holders of Bitcoin trust cryptography and a decentralised network of profit motivated miners.

Bitcoin is less than a decade old, and is still very much an experiment. But if you possess a sum of wealth, it is prudent to diversify the networks used to secure it. Many people believe if they follow the “law”, they will be alright. However, laws change to serve the growth and power of the government writing them.

The government failures in Venezuela and Zimbabwe illustrate that in times of crisis Bitcoin can be used to grease the wheels of commerce. Unfortunately for most, it takes a time of crisis to elucidate the fatal flaws of a particular economic system. Only then will people take concrete actions, which only moments ago, were diametrically opposed to their belief system. At that point it’s too late.

BitMEX vs. CME Futures Guide

Bitcoin is at a watershed moment. The Chicago Mercantile Exchange (CME), the largest exchange globally by notional traded, deemed Bitcoin worthy of a futures contract. The contract will allow investors to speculate on the Bitcoin / USD price without owning Bitcoin. Prior to this contract, derivatives traders were required to own Bitcoin in order to post margin on futures trading platforms such as BitMEX.

Due to the different client bases that BitMEX (retail), and the CME (professional investors) serve, the price discrepancies between two futures contracts with the same underlying will present enormous opportunities to generate arbitrage profits. This guide will walk traders through how to execute such trades.

Contract Specs

Each CME contract is worth 5 Bitcoin (XBT), and quoted in USD. Margin and profit and loss (PNL) are denominated in USD. This is what I refer to as a linear contract structure.

CME XBT Value = 5 XBT * Contracts
CME USD Value = 5 XBT * Price * Contracts

Each BitMEX contract is worth 1 USD of Bitcoin, and quoted in USD. Margin and PNL are denominated in XBT. This is what I refer to as an inverse contract structure.

BitMEX XBT Value = 1/Price * 1 USD * Contracts
BitMEX USD Value = 1 USD * Contracts

The above chart shows the XBT value of each contract. The CME contract has a fixed value in Bitcoin no matter the spot price. The BitMEX contract’s Bitcoin value follows a 1/x function. Technically speaking the BitMEX multiplier is negative, even though in the graph uses a positive multiplier for a better visualisation.

Assume you are long 10,000 contracts at a price of $1,000.

XBT Value = 1/$1,000 * -1 USD * 10,000 = -10 XBT

Now the price falls to $500.

XBT Value = 1/$500 * -1 USD * 10,000 = -20 XBT

At a lower price, the XBT value is a larger negative number.

XBT PNL = -20 XBT - (-10 XBT) = -10 XBT

This means that the value in Bitcoin declines faster as the price falls, and increases slower as the price rises. That is negative gamma, or negative convexity.

The above chart shows the USD value of each contract. The CME contract’s USD value changes in a linear fashion with respect to the spot price. The BitMEX contract’s USD value is fixed at $1 per contract.

CME Contract Specs

Contract Size

The CME contract is much larger in notional terms than BitMEX’s. If the price of Bitcoin is $8,000, one CME contract is worth $40,000. To achieve a similar notional on BitMEX requires 40,000 contracts.

When I touch on spread trades later, the much larger CME notional means that only traders with large amounts of capital can put on these trades. This limiting factor, along with the lower leverage offered by the CME, means most retail traders will be unable to trade the CME product.

Settlement

The first major difference between the two contracts is the underlying index. The CME settles on the CME CF Bitcoin Reference Rate. This index includes prices from Bitstamp, Gdax, itBit, and Kraken. BitMEX settles on the BitMEX Index that includes Bitstamp and Gdax.

Traders who hold either contract to expiry will need to familiarise themselves with each index, and at a minimum be able to trade on all four exchanges.

Both BitMEX and the CME expire on the last Friday of the contract month. However, BitMEX expires at 12:00 UTC, while the CME expires at 16:00 London Time which is either 16:00 UTC or 15:00 UTC depending on daylight savings. Given that the expiry time differs by only 3 to 4 hours, there is little benefit to adjust the time value when computing relative basis.

Margin

Bitcoin is a call option. The more volatile it is, the more valuable the option. Due to an infinite upside, and a capped downside at 0, the trading pressure on the margin comes from longs. That means that market makers who are price neutral will usually be short derivatives. Their propensity to quote an offer depends on how easily it is to purchase spot Bitcoin, and how their short derivative is margined.

As I previously mentioned the BitMEX contract is margined in XBT. That means that shorts can purchase spot Bitcoin and use this as collateral against their BitMEX short. If you buy $1,000 of Bitcoin, deposit the full XBT notional with BitMEX, then short 1,000 BitMEX contracts, you cannot be liquidated if the price rises.

BitMEX shorts, due to the inverse contract structure, are long gamma in XBT terms. That means as the price rises, their unrealised losses increase less quickly. Therefore, BitMEX shorts can use more leverage than they otherwise would if the contract used a linear contract structure.

Contrast that with the CME, which margins the contract in USD. For a market maker who is short, their spot Bitcoin hedge cannot be used as margin at the CME. As the price rises, their Bitcoin is worth more; however those unrealised USD gains cannot be deposited as margin. The CME will demand more USD collateral as the unrealised losses mount.

This makes shorting the CME contract very capital intensive. A priori, I expect the CME contract to trade more expensive than BitMEX. CME shorts need to be compensated via a higher basis for their implicit short volatility position.

The CME intends to list a futures curve out to one year. The backend of the curve, due to a larger time value, will be illiquid when compared to the front months, and will trade at a very high basis.

I will now present two spread trades. Assume that you are a USD based investor.

Spread Trade: Long BitMEX vs. Short CME

Assume the following:

Leverage: 5x / Initial Margin of 20%

Spot = $8,000
BitMEX = $8,000
Contracts = Long 200,000
CME = $10,000
Contracts = Short 6
Spread = $2,000

First compute the XBT and USD exposures.

On BitMEX:
XBT Exposure: 200,000 Long Contracts / $8,000 = +25 XBT
USD Exposure: 200,000 Long Contracts * 1 USD = -$200,000
Margin Requirement: 20% * 25 XBT = 5 XBT
Collateral Currency Exposure vs. USD: +5 XBT / -$40,000 (Valued at the spot price)

On CME:
XBT Exposure: 6 Short Contracts * 5 XBT = -30 XBT
USD Exposure: 6 Short Contracts * 5 XBT * $10,000 = +$300,000
Margin Requirement: 20% * $300,000 = $60,000
Collateral Currency Exposure vs. USD = 0

Because you are a USD based investor, you must ensure that you do not have XBT/USD risk at any time. Due to the XBT BitMEX margin requirement, you must short an additional 1 CME contact to hedge the 5 XBT margin required on BitMEX.

Margin XBT/USD Price Risk:
BitMEX: +5 XBT / -$40,000
CME: -5 XBT / +$50,000 (Short 1 Contract)
Net: 0 XBT / +$10,000

Due to the CME’s higher basis, we earn carry on the BitMEX XBT collateral.

Spread XBT/USD Price Risk:

BitMEX: +25 XBT / -$200,000 (Long 200,000 Contracts)
CME: -25 XBT / +$250,000 (Short 5 Contracts)
Net: 0 XBT / +$50,000

As predicted, we earn $50,000 PNL from this spread trade. The below table stresses the portfolio on a large up and down move.

Price BMEX XBT PNL BMEX USD PNL CME USD PNL Total
$4,000 -25.00 XBT -$100,000 $150,000 $50,000
$8,000 0.00 XBT $0 $50,000 $50,000
$16,000 12.50 XBT $200,000 -$150,000 $50,000

The trade continues to return $50,000 regardless of the price movement. However, this is a leveraged trade, we must post additional margin on either BitMEX or the CME depending on the price move.

The below table summarises what actions must be taken to ensure we meet margin requirements.

Margin Action Currency Needed
Price Falls Buy then deposit XBT on BMEX, sell CME contracts XBT & USD
Price Rises Deposit USD to CME USD

Because we are short gamma on our long BitMEX position, we must post XBT and sell CME contracts to hedge the XBT collateral. Both of these derivatives require additional margin. On the upside, we only need to post additional USD with the CME. Depending on your cost of capital, a prolonged down move without any recovery could become very expensive.

Another issue is the sizing of this trade. Each CME contract is worth 5 XBT. If you wish to remain price neutral on your XBT collateral, a 5 XBT loss needs to be a small % with respect to your trade notional. Otherwise you will always be over and under hedged. The below table illustrates this point.

Entry Price: $8,000
Multiplier: -1 USD (for inverse contracts the multiplier is actually negative)

Contracts XBT Value Down % Move Up % Move
50,000 -6.25 XBT $4,444.44 -44.44% $40,000.00 400.00%
250,000 -31.25 XBT $6,896.55 -13.79% $9,523.81 19.05%
500,000 -62.50 XBT $7,407.41 -7.41% $8,695.65 8.70%
1,000,000 -125.00 XBT $7,692.31 -3.85% $8,333.33 4.17%
2,500,000 -312.50 XBT $7,874.02 -1.57% $8,130.08 1.63%
5,000,000 -625.00 XBT $7,936.51 -0.79% $8,064.52 0.81%

The % Move is a measure of how far the price needs to move up or down to generate a contract value change of 5 XBT. As you can see, go big or go home.

Spread Trade: Short BitMEX vs. Long CME

Assume the following:

Leverage: 5x / Initial Margin of 20%

Spot = $8,000
BitMEX = $10,000
Contracts = Short 250,000
CME = $8,000
Contracts = Long 5
Spread = $2,000

First compute the XBT and USD exposures.

On BitMEX:
XBT Exposure: 250,000 Short Contracts / $10,000 = -25 XBT
USD Exposure: 250,000 Short Contracts * 1 USD = +$250,000
Margin Requirement: 20% * 25 XBT = 5 XBT
Collateral Currency Exposure vs. USD: +5 XBT / -$40,000

In order to hedge the 5 XBT of margin required, sell an additional 50,000 BitMEX contracts.

XBT Exposure: 50,000 Short Contracts / $10,000 = -5 XBT
USD Exposure: 50,000 Short Contracts * 1 USD = +$50,000
Net: 0 XBT / $10,000

On CME:
XBT Exposure: 5 Long Contracts * 5 XBT = +25 XBT
USD Exposure: 5 Long Contracts * 5 XBT * $8,000 = -$200,000
Margin Requirement: 20% * $200,000 = $40,000
Collateral Currency Exposure vs. USD = 0

Spread XBT/USD Price Risk:
BitMEX: -25 XBT / +$250,000 (Short 250,000 Contracts)
CME: +25 XBT / -$200,000 (Long 5 Contracts)
Net: 0 XBT / +$50,000

As predicted, we earn $50,000 PNL from this spread trade. The below table stresses the portfolio on a large up and down move.

Price BMEX XBT PNL BMEX USD PNL CME USD PNL Total
$4,000 37.50 XBT $150,000 -$100,000 $50,000
$8,000 6.25 XBT $50,000 $0 $50,000
$16,000 -9.38 XBT -$150,000 $200,000 $50,000

The trade continues to return $50,000 regardless of the price movement. However, this is a leveraged trade, we must post additional margin on either BitMEX or the CME depending on the price move.

The below table summarises what actions must be taken to ensure we meet margin requirements.

Margin Action Currency Needed
Price Falls Deposit USD to CME USD
Price Rises Buy then deposit XBT on BMEX, sell BMEX contracts XBT

Because you have positive gamma on the short BitMEX position, you will not face a doubling of margin requirements when the price falls. This spread trade is more capital efficient; however, I doubt whether BitMEX will frequently trade more expensive than the CME for reasons described above.

Gap Risk

The CME does not trade over the weekend. Longs or shorts depending on the price action over the weekend, could be insta-rekt when the exchange reopens Sunday night US time.

Interactive Brokers, one of the CME’s clearing members, expressed severe reservations about this product due to the high volatility. They are scared shitless about how to deal with underwater shorts. It is not impossible for Bitcoin to gap up 100% in a matter of hours on positive news. Imagine what will happen when an ETF finally is approved.

BitMEX deals with gap risk via Auto-Deleveraging. The CME at the present moment cannot employ a socialised loss feature. Instead, clearing members must pony up the cash. That is why they are being such scaredy cats.

Depending on your broker, margin requirements for short positions could be extremely unforgiving. This will push CME basis up even further, and make putting on the spread trade described above, even more expensive.

Are You Yellow?

Arbitraging BitMEX vs. the CME requires a high level of trading sophistication and attention to detail. The different margin currencies and policies present many opportunities to transform what is a sure profit into a massive loss.

However, owing its the difficulty, these spread trades will be juicy. For students of markets, this is an arbitrage opportunity of a lifetime. Those who put in the time to perfect these strategies, will profit handsomely.

비트코인캐시 선물계약 출시

비트멕스 BCHX17 선물계약 전격 오픈!

비트멕스가 2017년 11월 24일 만기 기준의 비트코인캐시 / 비트코인 선물계약을 공식적으로 오픈 했습니다.

  • 기호: BCHX17
  • 만기일: 2017년 11월 24일 12:00 UTC (한국시간: 오후 9시)
  • 계약 금액: 1 BCH
  • 기초 지수: 폴로닉스 비트코인캐시 / 비트코인 환율
  • 레버리지: 최대 20배

비트멕스 비트코인캐시 홀딩스

2017년 12월 31일 또는 그 이전까지의 주요 시행계획:

  • 사용자의 비트코인캐시 보유량의 경우, 478,588 블록 이후인 2017년 8월 1일 (13:17 UTC) 기준의 사용자 마진 밸런스로부터 결정됩니다.
  • 사용자들이 직접 비트코인캐시를 지급받는 대신, 비트멕스에서 사용자들을 대신하여 비트코인캐시를 매도하고 해당 비트코인 수익을 비트멕스 지갑으로 입금 할 예정입니다.

비트멕스 선물 하드포크 정책

비트멕스는 항상 논쟁의 여지를 남기는 하드포크 이슈에 대해 전적으로 동의하거나, 이를 지지하지 않으며 비트코인캐시에 대한 하드포크에 대해서도 허용하지 않는 입장임을 표명합니다. 비트멕스는 이것이 사용자들과 거래소 자체에 허용될 수 없는 비용을 부과하는 위험한 행위라고 판단하기 때문입니다. 자세한 내용은 당사의 비트코인 하드포크 정책 및 방침을 참조하시기 바랍니다.

하지만, 몇 달이 지난 현재까지도 이 코인은 여전히 대중적인 수요 및 가치를 가지고 있는 것으로 파악되기에 비트멕스에서는 비트코인캐시 가격에 비트코인 신용거래 (입금)를 허용하기로 결정했습니다. 추후, 다른 코인들도 동일한 방식으로 인용 또는 입금되지는 않을 것입니다. 이에 대한 권한은 전적으로 비트멕스에서 보유하고 있으며, 비트멕스는 의심의 여지가 있는 상황에서는 언제나 출금을 우선으로 합니다.

比特币现金期货已经挂牌

BitMEX BCHX17 期货已经挂牌

我们很高兴宣布 BitMEX 比特币现金 / 比特币 期货合约已经挂牌,到期日为北京时间 2017 年 11 月 24 日。

  • 代号: BCHX17
  • 到期日: 北京时间 2017 年 11 月 24 日晚上 8 点
  • 合约价值: 1 BCH
  • 标的: Poloniex 比特币现金 / 比特币 价格
  • 杠杆: 20 倍

BitMEX 的比特币现金持有量

在 2017 年 12 月 31 日或之前 :

  • 用户有权获得的比特币现金的金额取决于北京时间 2017 年 8 月 1 日晚上 21:17 时的保证金余额,即在区块 478,588 之后的几秒钟。
  • 用户将不会收到比特币现金,BitMEX 将出售所有用户的比特币现金,并把对应的比特币收益存入用户的钱包。

BitMEX 未来的硬分叉政策

BitMEX 不认同具争议性的硬分叉,并不接受这次比特币现金分叉的方式,以及它在分叉前没有足够的准备或通知的做法;我们认为这是一个危险的行为,给终端用户和企业带来不可接受的成本。关于可接受的硬分叉标准,请阅读我们 关于比特币硬分叉的政策

然而,在分叉后的几个月,很明显这个币仍然存在价值和广泛的需求,所以我们决定将比特币现金卖成比特币并进行分发。请不要期望未来的币也会以这种方式被分发。BitMEX 保留是否分发分叉币的权利 – 为了避免争议,我们建议用户在分叉前提现。

Bitcoin Cash Futures Now Live

BitMEX BCHX17 Futures Now Live

We are pleased to announce that the BitMEX 24 November 2017 Bitcoin Cash / Bitcoin futures contract is now live.​

  • Symbol: BCHX17
  • Expiry Date: 24 November 2017 12:00 UTC
  • Contract Value: 1 BCH
  • Underlying: Poloniex Bitcoin Cash / Bitcoin exchange rate
  • Leverage: 20x

​BitMEX Bitcoin Cash Holdings

On or before 31 December 2017:​

  • The amount of Bitcoin Cash a user is entitled to is determined by their Margin Balance at 1 August 2017 13:17 UTC, a few seconds after block 478,588.
  • Users will not receive Bitcoin Cash, rather BitMEX will sell all users’ Bitcoin Cash, and credit their wallet with the Bitcoin proceeds.

BitMEX Future Hard Fork Policy

BitMEX does not agree with contentious hard forks, and does not accept the manner in which Bitcoin Cash was forked, or the lack of preparation or notice before the fork; we consider this a dangerous action that imposes unacceptable costs on end-users and businesses. Please read our Policy on Bitcoin Hard Forks for acceptable hard-fork criteria.

However, months after the fork, it is clear this coin still has value and popular demand, so we have decided to credit Bitcoin at the prevailing Bitcoin Cash price. Do not expect future coins to be credited in this way. BitMEX reserves the right to credit forks or not – in the presence of doubt, always withdraw first.

德意志银行关系网

作为负责人或员工,基金经理或个人交易员,银行家们以不同身份涌向了加密货币这个行业。面对未来十年的金融蓝海市场,一家银行机构脱颖而出,那就是德意志银行(香港)有限公司。


德意志银行进军投资银行首先是收购了信孚银行(Bankers Trust)。该公司随后放弃了其保守的德国传统作风,并招聘了业内的一帮先锋。一群美林银行家被招了进来,他们的领导人则是安舒耆亚(Anshu Jain)。

 

其文化是野蛮的。我在香港进行的暑期实习面试表现出了这一点。

 

第一轮面试是在费城。在我的第二次2对1面试中,我遇到了那个夏天实习的队伍的领导。我当时刚刚从香港学习回来。他问我为什么爱香港,我说我喜欢去夜店。然后,我喋喋不休地列出了我最喜欢的场所。他后来告诉我,这就是他脑海中给我工作的理由。


那天晚上,我把整个德意志代表团队带到了我最喜欢的费城电音夜店。当晚都玩嗨了。


2007年,金融家认为他们是上帝。香港从来没有恢复到那个夏天我所感受到的那种活力。我在股权衍生品销售部门实习。因为那个部门极具的侵略性,人力资源部为我们取了个外号叫“蛇窦”。


伦敦2008年毕业生培训计划也具有类似这种野心勃勃的本质。德意志银行为所有毕业生提供了伦敦培训的所有费用,为期三个月。日本的毕业生是最夸张的。有一个毕业生喝醉了,吐得厉害,还把肋骨摔断入院了。


这就是德意志银行训练年轻人的口味。该公司培育了一个积极的文化,“认真赚放开玩“。不像其他羞涩的的银行,在德银的员工们从不害怕其他人知道他们参与这个游戏的目的是什么。赚钱就是我们的目标,没有人会因为浮夸而被谴责。

 

随着2008年金融危机后金融服务业进入了长期的下行趋势,德银的前员工去了不同的地方落脚。为了避免被纳税人重新资本化,德银向德国监管机构谎称其资产的价值。现在看来,这是有史以来最愚蠢的举动。与其竞争激烈的美国银行高兴地拿走了不良资产救助计划资金(TARP Funds),获得巨额年终奖金,并修复了他们资产负债表。德银一路走来,成为危机后表现最差的银行之一。


德银香港团队的聚会被比特币点燃了。出于某种原因,这个特定的团队在比特币行业中是非常具有代表性的。我将列出的经历了研究生培训计划的人,我们曾经都在德银一起工作过。

 

Arthur Hayes,BitMEX首席执行官,2008年毕业生培训计划的一员。我曾在Absolute Strategies Group工作,然后任职Global Prime Finance delta one ETF,期货和掉期交易员。


Greg Dwyer,BitMEX业务开发主管,2009年毕业生培训计划的一员。他在新加坡的商品结构部门工作,然后和我一起去了Global Prime Finance delta one ETF从事做市商的工作。


Nick Andrianov,BitMEX风险管理部门,2007年毕业生培训计划的一员。他曾在Flow and Exotic Index Volatility交易部门工作。

 

Andrew Rizkalla,Paycase交易部主管,2008年毕业生培训计划的一员。他曾在程序化交易部门工作。

 

Kayvon Pirestani,Coinbase机构销售总监,2005年毕业生培训计划的一员。他曾在股权衍生产品销售部门工作。

 

Gavin Yeung,Cryptomover首席执行官,2010年毕业生培训计划的一员。他曾在程序化交易部门工作。


Neelabh Dixit,Cryptomover联合创始人,2013年毕业生培训计划的一员。他曾在投资组合交易部门工作。

 

Donald Day,Bletchy Park资产管理公司首席技术官,2009年毕业生培训计划的一员。他曾在Absolute Strategy Group担任量化策略师。


还有另外两位前德意志银行香港员工不愿被提及。

 

欢迎转载,请注明文章来自

BitMEX (www.bitmex.com)

 

The Deutsche Bank Connection

Bankers are flocking to the cryptocurrency industry as both principals and employees of related companies, fund managers, and as individual traders. Amid the rush towards this decade’s green financial pastures, one office of one bank stands out, Deutsche Bank Hong Kong.

Deutsche Bank’s foray into investment banking began with its acquisition of Bankers Trust. The firm then proceeded to ditch its conservative German roots, and import the biggest swingers in the industry. A clique of Merrill Lynch bankers were brought in. Their ring leader was Anshu Jain.

The culture was cowboy. My Hong Kong summer internship interviews in 2007 illustrates this point.

The first round of interviews was in Philadelphia. In my second 2-on-1 interview I met the man who’s team I would intern on that summer. I had just returned from my semester abroad in Hong Kong. He asked me why I loved Hong Kong, and I said I loved clubbing. I then rattled of a list of my favourite establishments. He would later tell me, that’s what sealed the deal for me in his mind.

That night I took the whole Deutsche contingent to my favorite dingy Philly late night EDM club. It got messy.

In 2007, financiers thought they were gods. Hong Kong has never regained the energy I felt that summer. I interned on the Equity Derivatives sales desk. HR nicknamed this desk the Snake Pit, because of the aggressive personalities that worked there.

The 2008 graduate training program in London featured similar aggressiveness. Deutsche offered an all expense paid trip to London for three months for all incoming graduates. The Japanese grads were the most intense. One grad got so drunk, and vomited so hard, he was hospitalised with a broken rib.

That is a taste of how the youngins were trained at Deutsche. The firm fostered an aggressive culture focused on partying hard, and making money. Unlike more demure banks, no one at Deutsche was shy as to why they were in the game. Making money was the goal, and no one was censured for being too flashy.

As the financial services industry entered a secular decline after the 2008 GFC, Deutsche people scattered to the wind. Deutsche lied to the German regulators about the value of its assets in an effort to avoid becoming recapitalised by the taxpayers. In hind side, that was the dumbest move ever. Their competing American banks gladly took TARP funds, paid huge bonus, and repaired their balance sheets. Deutsche limped along, and is one of the worst performing banks since the crisis.

The Deutsche Hong Kong reunion was ignited by Bitcoin. For some reason, this particular office is very well represented in the Bitcoin industry. The individuals I will list all went through the graduate training program, and our Deutsche stints all overlapped.

Arthur Hayes, CEO of BitMEX, member of the 2008 graduate class. I worked in Absolute Strategies Group, and then Global Prime Finance as a delta one ETF, futures, and swaps trader.

Greg Dwyer, Head of Business Development at BitMEX, member of the 2009 graduate class. He worked on the commodity structuring desk in Singapore, and then worked with me on the delta one ETF market making desk.

Nick Andrianov, Risk Management at BitMEX, member of the 2007 graduate class. He worked on the Flow and Exotic Index Volatility trading desk.

Andrew Rizkalla, Trading Lead at Paycase, member of the 2008 graduate class. He worked on the Program Trading and Facilitation desks.

Kayvon Pirestani, Director of Institutional Sales at Coinbase, member of the 2005 graduate class. He worked on the Equity Derivatives Sales desk.

Gavin Yeung, CEO of Cryptomover, member of the 2010 graduate class. He worked on the Program Trading and Facilitation desk.

Neelabh Dixit, co-founder of Cryptomover, member of the 2013 graduate class. He worked on the Portfolio Trading desk.

Donald Day, CTO Bletchy Park Asset Management, member of the 2009 graduate class. He worked as a quant strategist for the Absolute Strategy Group.

The are two other Deutsche Bank HK former employees who did not wish to be mentioned.

为芝加哥商品交易所(CME)欢呼吧

由于金融监管的咄咄逼人和适得其反的监管条例,创新往往得到的是一堆罚款和被吊销牌照。一家拥有数十亿美元营业收入的企业无法承担交易比特币的监管和声誉风险,除非有其他企业先开始做。

搜索LedgerX您会了解到,四年多来该公司为了让CFTC允许他们就比特币期货和期权进行结算业务而烦恼着。当他们推出市场时,所做的努力应该就能得到回报了。怎么知道在不到两个星期之后,CME宣布他们也会参与这个市场。在技术上CBOE是第一个宣布将推出美元比特币期货合约结算的传统交易所;然而,CBOE将于二季度上线,而CME计划在今年底推出。

一些大型金融机构(FI)参与数字货币生态系统的唯一原因是他们不能忽视一个在十年内从0美元升到近2000亿美元的资产类别。大型金融机构因交易方风险的考量而限制了他们部署大量资本在这个资产类别,因为这些交易方风险不符合其特定地区的监管条例。一个他们认可的交易所,CME能够提供比特币交易产品正是他们目前迫切需要的。

 

托管风险

美元结算的比特币期货合约对于不能或不会储存比特币的大交易者来说是个完美的投资产品。这个期货合约满足了他们的需求,一种以法定货币结算的加密货币投资产品。

从CME的角度来看,他们也免除了丢掉客户比特币的风险。这个新产品几乎不需要任何技术创新。

 

流动性

BitMEX XBTUSD掉期合约是全球流动性最高的比特币/美元交易产品。 XBTUSD的交易量比相关成分指数,GDAX和Bitstamp的总交易量多5倍-10倍。 XBTUSD的每日交易量通常超过10亿美元,并接近20亿美元。

CME指数还将包括itbit和Kraken的指数。对于必须交易所进行对冲的做市商来说,两个高流动性的衍生品合约交易所将会增加现货市场的波动性。这也会给现货交易所的系统配套带来巨大的压力。这四个交易所能否想Citadel一样站得住脚,具有承受每分钟提交,修改和取消数千个交易的能力?时间会证明,但CME即将成为比特币速成班的一员。

这些问题可能影响了指数构建的方式。对于主流现货交易所面临的流动性预测和该技术问题方面,这指数的构成方法还是过于复杂。

比起CME,BitMEX能承受得起更为自由的比特币市场。每个财经记者都会留意大型交易所的任何失误,头条新闻也将突出强调这些问题。

 

分散市场

由于不同的监管制度和来自各地不同交易员之间的文化差异,比特币市场是高度分散的。可以与CME进行交易的交易员不一定能与参考定价的许多其他交易所进行交易。

这为套利基金提供了终生的交易机会,若这些套利基金可以连接受监管和不受监管的交易所,并且可以跨越多个司法管辖区进行交易。分歧将会日趋剧烈,由于越来越多的大额头寸将会进驻芝加哥商品交易所和芝加哥期权交易所(CBOE)。

受监管的衍生产品是否会跟随或带领发生于亚洲北方的野蛮交易?从微观的市场角度来看,这将是一个非常有趣的实验。

 

大伙儿来点儿ETF?

在不赞成Winklevoss ETF COIN的同时,美国证券交易委员会(SEC)表示,缺乏具有流动性而又受监管的衍生品市场是一个他们担心的因素。如果CME不失败的活,它们将为ETF铺平道路。美国证券交易委员会的派对是顺着大型金融机构的音乐节奏来的。如果CME从衍生产品中获得巨额利润,那么资产管理公司就会想通过一个上市的ETF来分一杯羹。

像LedgerX一样,Winklevii可能会被一个像贝莱德(Blackrock)或先锋集团(Vanguard)这样的大型ETF经理打败,现在他们已经有了申请自己的比特币ETF的监管优势。贝莱德与Winklevii相比,谁又有更多的能力为前SEC员工提供工作机会?

虽然期货将允许富有的个人投资者和大型金融机构轻松交易比特币,但吸引全球散户投资者的ETF将彻底改变这种模式。从明年开始,我们可以预计市场会有越来越多的噪音要求美国证券交易委员会批准更多的ETF进入市场。

 

以快打慢

我没有预料到机构对比特币的接受程度会增长如此迅速。创业公司所赚的钱太多了,大型金融机构的不可能不涉足。当然,随着越来越多的监管和声誉风险疑虑被消除,机构将继续增加参与度和投资风险敞口。

 

欢迎转载,请注明文章来自

BitMEX (www.bitmex.com)

 

All Hail The CME

Due to overbearing and counterproductive financial regulations, innovation is often rewarded with heavy fines and loss of licenses. An institution with billions of dollars of revenue at stake cannot take the regulatory and reputational risk dealing with Bitcoin unless someone else does it first.

Enter, LedgerX. For over four years, the firm pestered the CFTC to allow them to clear Bitcoin settled futures and options. The hard work paid off this fall when their markets launched. Less than two weeks later, the CME announced they too would join the club. The CBOE technically was the first legacy exchange to announce the impending launch of a USD settled Bitcoin futures contract; however, the CBOE will go live 2Q2018 and the CME plans to launch theirs by year end.

The only reason why some large financial institutions (FI) participate in the digital currency ecosystem is they cannot ignore an asset class that went from $0 to almost $200 billion in value in under a decade. Large FIs are severely constrained in their ability to deploy large amounts of capital due to counterparty risk on exchanges not compliant with their specific jurisdictional overseers. An exchange who they can already trade with, the CME, that offers Bitcoin trading products is exactly what they need to seriously get involved.

Custody Risk

A USD-settled Bitcoin futures contract is perfect for large traders who cannot or will not custody Bitcoin. This futures contract gives them exactly what they desire, a product that pays them fiat currency to speculate on a crypto currency.

From the CME’s perspective, they also absolve themselves of the risk of losing customer Bitcoin. This product requires almost zero technical innovation on their part.

Liquidity

The BitMEX XBTUSD swap is the most liquid Bitcoin / USD trading product globally. XBTUSD trades 5x – 10x more volume than the underlying index constituents, GDAX and Bitstamp, combined. XBTUSD’s daily trading turnover routinely exceeds $1 billion, and approaches $2 billion.

The CME index will include itbit and Kraken as well. For market makers who must hedge flow on the underlying exchanges, two seriously liquid derivative contracts will increase the volatility in the spot markets. It will also place immense strain on the spot exchanges’ infrastructure. Can these four exchanges stand up to the likes of Citadel submitting, amending, and cancelling thousands of orders per minute? Time will tell, but the CME is about to get a crash course in Bitcoin.

These issues probably influenced the way in which their index was constructed. The index methodology is overly complex in an attempt to deal with the forecasted liquidity and technological issues the leading spot exchanges face.

BitMEX takes a more laissez-faire attitude about the Bitcoin markets than the CME can afford. Every financial reporter will be watching for any misstep, and the headlines will come hard and fast highlighting any issues.

Market Fragmentation

The Bitcoin markets are highly fragmented due to different regulatory regimes and cultural differences between traders from different domiciles. The type of trader who can trade with the CME cannot trade with many of the exchanges where the reference pricing occurs.

This presents a trading opportunity of a lifetime for arbitrage funds who can straddle the regulated and unregulated exchanges, and who can trade across multiple jurisdictions. The divergences will become more acute as large positions are placed on CME and CBOE products.

Will the regulated derivatives follow or lead vs. the cowboy trading occurring in North Asia? From a market microstructure perspective, this will be a very interesting experiment.

ETF Anyone?

In the disapproval of the Winklevoss ETF COIN, the SEC stated that the absence of a liquid regulated derivatives market concerned them. If the CME doesn’t face plant, this will pave the way for the ETF. The SEC dances to the beat of large FIs. If the CME is reaping immense profits from a derivative, asset managers will want in on the racket via a listed ETF.

Much like LedgerX, the Winklevii might be bested by a large ETF manager like Blackrock or Vanguard, who now has the regulatory cover to apply for their own Bitcoin ETF. Blackrock vs. the Winklevii; who has more capacity to provide push jobs for ex-SEC staffers?

While futures will allow wealthy individual traders and large FIs to comfortably trade Bitcoin, an ETF that appeals to retail investors globally will completely change the paradigm. Starting next year, expect more noise about an ETF approval emanating from the SEC.

Slow then Fast

I did not expect institutional take-up of Bitcoin to grow this quickly. There is too much money being made by startups in the space for large FIs not to get involved. As more and more of the regulatory and repetitional risk is removed, institutions will continue to increase their involvement and exposure.