Libra: “扎克”请温柔待我

事件视界已越过,一切都不可返回。Facebook 将携手 Libra 共同进军数字资产行业。在我开始分析之前,让我们先明确一件事;Libra 没有去中心化,也不能抵制审查。Libra 不是加密货币。Libra 会毁掉所有的稳定币,但谁在乎呢? 我并不同情那些不知何故而相信一个由前所未闻的公司创建的打着区块链名号的法币市场基金有价值的项目方。

Libra 可能会对商业银行和央行构成威胁。也许会降低它们作为数字法定货币监管仓库的作用。但这正是在数字时代应该发生在这些机构身上的事情。

商业银行为何存在?

银行在人类社会成员面临巨大危险的时期出现。在封建时期的欧洲,你很可能早出晚归地在农场工作。你或你封建领主积累的任何微薄的积蓄都不断地遭到威胁。鉴于当时钱财的物理性质,如果你或你的领主离开了城镇的保护,便很可能发生盗窃。

资产安全一直是传统银行最重要的价值主张。他们可以将实物资产和记录安全地存放在自己的保险库中。因此,政府和富人把钱和资产存放于银行。过去和现在,银行都在进行一场大规模的信心博弈。这就是银行大厦呈现出某种坚不可摧的气势的原因。在一代人中,您的资产将完好无损地得到保存且随时可用。

通过与政府的合作,银行获得发放信贷和扩大货币供应的许可。他们还依靠合法化的政府暴力来执行合同。不还银行钱,他们会没收抵押资产。如果你藐视法庭,政府执法人员会愉快地采取措施让你服从。

在过去十年中,人类文明的资金和资产很快从等价物转变为数字化。金钱和所有权的象征通过电子方式传播,而不再是实体交换。如果资产和资金现在是数字化的,那么我们是否需要提供实体安全而非数字安全的机构?

正如我们所看到的,商业银行在保护数字信息方面做得非常糟糕。选择一家“庞大到无法倒闭”的银行,你会听到一个关于“泄漏”(直白而言“我们不知道该死的保护您数字财产的方法”)客户数据的故事。

谁拥有客户,谁就拥有价值

过去,银行持有最有价值的客户信息。他们有您全部的财务历史,以及您的住所和采购记录。

在过去的十年中,社交媒体公司通过用户的自愿行为,积累了人类历史上最多的个人信息。我们在 Facebook、Instagram、谷歌、推特、微信,LINE,Kakao Talk 等平台上分享生活的每一个细节。我们还通过这些机构管控的集中聊天程序发送了数十亿条信息。他们现在拥有了客户。

现代消费者科技公司拥有数十亿关于最富有客户的数据。在此之前,这些公司通过广告和销售产品赚钱。但与所有企业一样,一旦您成功赢得客户,就开始向其提供金融服务。

Facebook 每天有近 20 亿活跃用户。完全有理由拥有其动产的金融存在。这就是 Libra。

解构 Libra 

Libra 是受一篮子法定货币支持的稳定币。法定货币存在于某监管不力的商业银行。Libra 允许少数特权人士以其资产净值(NAV)创建和兑换 Libra。Libra 基于区块链,特定机构可操作许可节点。这些机构包括风险投资公司、科技公司、零售商、加密货币交易所,最重要的是商业银行和信用卡处理商。

Libra 可以投资于短期政府债券,或基金会董事会允许的任何事项。所获得的收入并未传递给普通 Libra 用户,而是节点运营商和 Libra 投资代币的投资者。该基金会是 Libra 生态系统的管理机构。对成员的挑选是基于其代表的行业,和其对生态系统的经济投资。 

Libra 不会把真实身份和地址相关联。不过,你可以想到,将资产转换为 Libra 会遇到 KYC。我们还要明确的是,任何来自政府机构有关冻结交易的请求都会得到遵守。因此,不要使用 Libra 来购买改变情绪的物质。

对消费者的影响

Facebook 的许多用户居住在金融服务渗透率较低的地区。想象一下这样的一个世界,一名菲律宾的助手可以用 Libra 购买在欧洲销售的商品。作为一名海外外籍工人,她很可能并没有获得很好的银行服务。所以,很难通过互联网从国外购买商品。有了 Libra,这不成问题。

欧洲商人收到的付款是他们已经在交易的一篮子法定货币。这笔交易完全可以在 Facebook 的 Instagram 或 Whatsapp 等社交媒体上进行。

Facebook 或其创建的新金融服务公司可以在 Libra 销售点发放贷款。用户可以选择允许 Facebook 使用个人的所有数据来计算信用评分。利用该信用评分,Facebook 将以一定利率把 Libra 贷给用户,使其从Facebook 平台上销售的商家那里购买商品。瞧,我们全球社会中最贫穷的成员可以体验到赊购中国大批量生产的小摆设的乐趣。欢迎来到“美式和平”!

对商业银行的影响

商业银行靠贷款赚钱。。他们利用零售存款来发放这些贷款。不幸的是,在这个数字时代,他们不再拥有关于这些零售储户的最佳信息。社交媒体公司却有。

因此,全球的 Facebook、谷歌和阿里巴巴可以比商业银行提供更便宜的贷款和更低的利率。Libra 和众多跟风者允许技术公司在其生态系统中使用数字法定代表来扩展信贷,并以低得多的成本提供所有利润最高的银行产品。这些全球科技巨头的资产负债表上有数十亿美元的自由现金流可供放贷。

商业银行可以成为相关稳定资产的节点运营商或受监管的仓库。这两个垂直领域仍有经济价值,但消费者科技公司现在将自己销售利润最高的金融产品。

任何银行都应该注意,Libra 及其复刻将对他们的商业模式产生威胁。随着银行的利润中心被剔除,许多人会欢呼雀跃。但也许社会是在用一个魔鬼替换另一个魔鬼。

对中央银行的影响

在数字经济中,商业银行不需要像现在这样慷慨解囊。对于 Libra 来说,Facebook 扮演着中央银行的角色。Libra 的储备是由第三方基金会管理的。储备经理选择法定货币权重,以及资金的投资方式。听起来很像央行行长的工作记分卡。

消费者科技公司现在可以从他们自己的资产负债表中直接向消费者发放信贷。这种模式的唯一区别在于,它们目前无法像商业银行那样实际创造资金。流程如下:

  1.     获取留存的合法收益,并与授权的主要交易商交换 Libra。
  2.     将 Libra 借给您的客户以换取您提供的商品或服务。
  3.     从您的客户那里获得 Libra 和对 Libra 的兴趣。
  4.     出售 Libra 以换取授权主要交易商的法定货币。

货币供应不会扩张。这是与央行向经济体发放信贷方式的一个主要分歧。在大多数情况下,中央银行的贷款增加了货币的总供给。

为什么要信任几名脾气暴躁的老年人来管理全球经济的货币健康呢?让我们相信扎克伯格吧!

我对美国众议员玛克辛•沃特斯 (Maxine Waters) 在美国众议院金融服务委员会 (House Financial Services Committee) 的愚蠢言论和行动没有丝毫好感。但她和其他政府官员爆发的担忧并非出于对其主体的无私情怀,而是出于对金融服务业颠覆的担忧,这给予他们机会谋利,让他们得以留任。政府官员急于告诫 Libra 的速度告诉你,这个项目对人类社会有一些潜在的正面价值。

Libra 和金融隐私

有趣的是,很多人都急于抱怨 Libra 可能造成的财务自由损失。这种担心是错误的,金融隐私已经不存在,在数字法定货币体系中也永远不会存在。无论是 Facebook,美联储还是中国人民银行,集中的电子法定货币即将到来——现金将被取缔。

推出 Libra 的最大好处在于它迫使那些担心失去财务隐私的人去探索替代方案。比特币和其他加密货币将从中受益,因为好奇的民众会思考,在这个新的数字时代,如何确保金融隐私的安全性。

Libra 及其引发的对话,对比特币来说是最好的消息。现在,20 亿人将拥抱并可能会害怕控制其财务状况的企业霸主。好奇心是比特币牛市的最佳食物。

通过对增强和虚拟现实的投资,Facebook 似乎希望创造一个全新的数字世界。Libra 可能是支持这种虚拟存在的金融法术。让我们希望,当我们在触觉豆荚中生长时,我们的物理外壳不会被“扎克”得太难受。请“扎克”温柔地、长久地对待我吧。

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BitMEX (www.bitmex.com)

在台北的 2019 亚洲区块链高峰会

2019 年 6 月 27 日,我们创造了加密货币领域的新交易记录: XBTUSD 未平仓合约总额达 10 亿美元;XBTUSD 交易总额达 130 亿美元;所有 BitMEX 的产品交易总额达 160 亿美元。 然而,Nouriel Roubini 仍然认为加密货币是一场闹剧。 敬请期待观看下周他在台北亚洲区块链高峰会与我们的首席执行官 Arthur Hayes 进行面对面谈话。

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BitMEX (www.bitmex.com)

Libra: Zuck Me Gently



The event horizon has passed. With Libra, Facebook begins its foray into the digital asset industry. Before I begin my analysis, let’s get one thing straight; Libra is not decentralised nor censorship resistant. Libra is not a cryptocurrency. Libra will destroy all stablecoins, but who gives a fuck. I shed no tears for all those projects that somehow believed there was value in a an unheard-of sponsor creating a fiat money market fund that rode on a blockchain.
 
Libra could lay commercial banks and central banks low. It might reduce their usefulness to a dumb regulated warehouse for digital fiat money. And that is exactly what should happen to these institutions in a digital age.

Why Do Commercial Banks Exist?

Banks came about during a time of great danger for members of the human society. In feudal Europe you most likely worked dawn-till-dusk on the farm. Any meagre savings you or your feudal lord amassed were constantly under siege. Given that money was physical in nature, if you or your lord left the protection of the town, theft was likely.
 
Safety of assets has been the most important value proposition for traditional banks. They could store physical assets and records safely in their vaults. Therefore, governments and wealthy individuals stored money and assets with banks. Banks were and are engaged in a massive confidence game. That is why bank building edifices portray a certain fortified grandeur. In a generation, your assets will still be there, intact and ready for use.
 
Through their partnership with the government, banks obtain a license to issue credit and expand the money supply. They also rely on the legalised violence of the government to enforce contracts. Don’t pay the bank back, they will confiscate the encumbered asset. Should you defy the courts, a government goon will happily press boot to neck, and ensure your compliance.
 
In the last decade, human civilisation’s money and assets quickly transitioned from analogue to digital representations. Money and representations of ownership travel electronically rather than on the back of a horse. If assets and money are now digital, do we need institutions that provide physical rather than digital security?
 
As we have seen, commercial banks are terrible at securing digital information. Pick your large too-big-to-fail bank, and there will be a story about the “leakage” (euphemism for “we have no fucking clue how to safeguard your digital property”) of customer data.

Whoever has the customer, has the value

Previously banks held the most valuable information about customers. They had your whole financial history, and information about where you lived and what you bought.
 
In the past ten years, social media companies through voluntary actions of their users, amassed the most amount of personal information in human history. We share every detail of our lives on Facebook, Instagram, Google, Twitter, WeChat, LINE, Kakao Talk etc. We send billions of messages on centralised chat programs controlled by those same institutions as well. They now own the customer.
 
The modern consumer technology companies own billions of the wealthiest customers’ data. Previous to now, these companies made money on advertising and selling a product. But as with all businesses, once you are successful capturing customers, you start offering financial services.
 
Facebook has almost 2 billion daily active users. It makes complete sense to own the financial existence of their chattel. That is Libra.

Libra Deconstructed

Libra is a stablecoin backed by a basket of fiat currencies. The fiat currencies sit in a dumb regulated commercial bank. Libra allows a privileged few the ability to create and redeem Libra at its Net Asset Value (NAV). Libra rides on a blockchain where certain parties operate permissioned nodes. These parties included VC firms, technology companies, retail merchants, cryptocurrency exchanges, and most importantly commercial banks and credit card processors.
 
Libra may invest into short term government bonds, or into anything the Foundation board allows. The income earned is not passed onto the pleb Libra users, but the node operators and Libra investment token investors. The Foundation is the governing body of the Libra ecosystem. The members are selected based on the industries they represent, and their economic investment into the ecosystem. 
 
Libra does not connect real-world identities to addresses. However, you can bet that converting assets into Libra will encounter KYC. And let’s be clear, any request from a government agency to freeze a transaction will be met with compliance. Therefore, do not use Libra to buy your mood-altering substance(s) of choice.

Impact on Consumers

Many of Facebook’s users reside in places with low financial services penetration. Imagine a world where a Filipina helper can purchase goods sold in Europe with Libra. She most likely does not have great banking services where she works as an overseas foreign worker. Therefore, purchasing goods from foreign countries over the internet is difficult. With Libra, there is no issue.
 
The merchant in Europe receives payment in a basket of fiat currencies they already deal with. This transaction can happen completely inside of one of Facebook’s social media properties like Instagram or Whatsapp.
 
Facebook or a new financial services company it creates, can issue loans at the point of sale denominated in Libra. A user can opt-in to allow Facebook to use all its data on the individual to compute a credit score. Using that credit score, Facebook will lend Libra at a rate to purchase goods from merchants selling on the Facebook platform. Voila, the poorest members of our global society can experience the joys of purchasing mass-produced Chinese knick-knacks on credit. Welcome to Pax Americana!

Impact on Commercial Banks

Commercial banks make money lending. They use retail deposits to make these loans. Unfortunately, in this digital age, they no longer have the best information set about these retail depositors. The social media companies do.
 
Therefore, the Facebook, Google, and Alibaba’s of the world can originate a loan cheaper and offer a lower interest rate than a commercial bank. Libra and the plethora of copycats to come, allow technology companies to use a digital fiat representation in their ecosystems to extend credit and offer all of the most profitable banking products at a much lower cost. These global tech behemoths have billions of free cash flow on their balance sheets to lend.
 
Commercial banks can become node operators or regulated warehouses for the reserve assets of the stablecoin in question. There is still economic value in both of these verticals, but consumer technology companies will now sell the most profitable financial products themselves.
 
Any bank should be on notice, Libra and its clones are existential threats to their business models. Many will cheer as banks’ profit centers are eviscerated. But maybe society is trading one devil for another.

Impact on Central Banks

Commercial banks are not needed at their current largesse in a digital economy. With Libra, Facebook is assuming the role of a central bank. The Libra reserve is managed by a third-party foundation. The reserve managers choose the fiat currency weights, and how funds are invested. Sounds a lot like the job scorecard of a central bank governor.
 
Consumer tech companies can now issue, from their own balance sheet, credit directly to consumers. The only difference with this model is that they, for now, are not able to actually create money like commercial banks. This is the flow:
 
1.     Take retained fiat earnings, and exchange for Libra with an authorised primary dealer.
2.     Lend Libra to your customer in exchange for a good or service you offer.
3.     Obtain Libra + interest in Libra back from your customer.
4.     Sell Libra in exchange for fiat with an authorised primary dealer.
 
The money supply does not expand. That is the one major divergence from how a central bank issues credit into an economy. Central banks’ lending in most cases increases the aggregate supply of money.
 
Why trust a few crusty old men and women to manage the monetary health of the global economy. Let’s trust Zuck!
 
I have no love lost for US Representative Maxine Waters’ idiotic statements and actions on the US House Financial Services Committee. But her and other government officials’ outbursts of concern are not driven by altruistic feelings towards their subjects, but rather a fear of the upending of the financial services industry that lines their pockets and keeps them in office. The speed at which government officials rushed to admonish Libra tells you there is some potential positive value to human society embedded in the project.

Libra and Financial Privacy

It is amusing to see how many people rushed to complain about the potential loss of financial freedom Libra could represent. This fear is misplaced, financial privacy is already non-existent, nor will it ever exist in a digital fiat money system. Whether it be Facebook, The Fed, or The PBOC, centralised electronic fiat money is coming – cash will be outlawed.
 
The great thing about the launch of Libra is that it forces those concerned about the loss of financial privacy to explore alternatives. Bitcoin and other cryptocurrencies will benefit as curious plebs contemplate how secure financial privacy in this new digital age.
 
Libra and the conversations it sparked, is the best news for Bitcoin. Two billion people will now embrace and potentially be frightened of a corporate overlord controlling their financial wellbeing. Curiosity is the best food for the Bitcoin bull market.

Through their investments in augmented and virtual reality, it appears that Facebook wishes to create a completely new digital world. Libra could be the financial mana that powers this virtual existence. Let’s hope that while we are vegetating in our haptic pods, our physical shells don’t get Zucked too hard. Please Zuck me gently, and Zuck me long time.

凸性——几乎致命

自 BitMEX 于 2014 年 11 月 24 日推出以来,加密货币衍生品交易出现了爆炸式的增长。 我曾试图吸引各种风险投资公司,说服他们相信衍生品交易的未来愿景,但都徒劳无功。 尽管那时他们没有伸出援手,但是在 2019 年的现在回首过去,我对曾有过那段失败的经历感到很欣慰。
 
不管是 BitMEX 的比特币/美元永续掉期合约还是 OKEx 或者 Deribit 上的其他几种合约都是同出一辙。这些合约都能使您可以交易固定金额的比特币。我们称这些为反向衍生品合约。许多大师级交易者听过我详细讲述这种合约结构微妙但深刻的含义。 不过,由于现在出现许多新交易者尝试进行衍生品交易,因此有必要复习课程。
 
和大家想的不一样,当我看到 BitMEX 上出现疯狂爆仓时,我并没有那么开心。 因为我目光长远。 我希望您享受一个能够赚取利润并一直支付 BitMEX 交易费用的长期交易生涯,而不是被强平然后亏掉本金。 因此,充分教育我们的交易者什么是最佳的交易行为,对我以及 BitMEX 都是最好的。

我爱我们的交易者,但是当听到人们在被强平依然欢笑时,却让我非常难堪。 真正的交易者会实行适当的风险管理,这意味着永远不会被强平。
 
失败乃成功之母
 
凸性或 gamma 是合约价值相对于价格的二阶导数。 正确使用凸性可以增加投资组合的回报。 但是,如果您不理解凸性如何影响您交易的衍生品,您将反复被爆。
 
对于反向合约,保证金和本币使用相同货币。在这篇文章中,我会使用比特币/美元合约作演示。
 
本币: XBT(比特币)
外币: 美元
保证金货币: 比特币
美元价值: 1 美元
比特币价值: 1 美元/价格(比特币/美元汇率或 .BXBT 指数)
 
我将详细说明多头 100,000 张合约持仓的比特币风险敞口相对于价格( .BXBT 指数)如何发生变化。

首先,让我们看看多头。不管在牛市还是熊市,他们更多可能是投机者。这样说的原因是,做多比特币和做空比特币所能获得的收益是不对称的。 比特币可以上涨至无穷大,但下跌至多只能到零。 从股本回报率的角度来看,最好是在底部做多,然后在顶部做空。 那些在以太坊低于 100 美元买入的人感受最为深切。因为可以在保证金基础上运用杠杆,所以在大多数的市场环境中多头主要都是投机者。

第一个图表显示比特币的盈亏状况和曲率。直线代表线性合约所能获得的盈亏 %,而曲线代表反向合约持仓所能获得的盈亏 % 。您马上可以注意到,当市场下跌时您将损失更多资金,而当市场上升时赚得更少。 在这种不理想的情况下,你需要增加 XBT 保证金。 因此,您的保证金要求以非线性方式增加,这就是多头在市场下跌时迅速爆仓的原因。 

现在让我们来看看空头。不管在牛市还是熊市,他们更多可能是对冲者和做市商。 在这两种情况下,这些市场参与者都希望锁定比特币的美元价值。 通过反向合约,持有实物比特币加上等值的空头比特币/美元持仓形成了合成美元持仓。 如果 100% 的实物比特币在 BitMEX 以全仓进行对冲,您是不会被强平。

与多头不同,空头受益于正比特币凸性。随著价格下跌,空头获得越来越多比特币,而随着价格的上涨,空头损失也越来越少。

从这两个例子中可以看出,多头投机者在下跌过程中会更快地被强平。 这就解释了为什么现在在这些衍生品主导的市场中砸盘比拉盘更加极端,并且只要反向式衍生品仍然主导加密货币衍生品市场,这种情况将继续。

无论价格如何,芝商所合约的比特币风险敞口都是固定的,而美元风险敞口与价格呈线性关系。 虽然这对美元本位的投资者来说非常有利,但对于那些对冲其风险敞口的人来说,这会成为问题。为对冲芝商所持仓而购买的比特币不能用作芝商所的抵押品。这给持有实物比特币的对冲者,以及必须将宝贵的资本分散在不能交叉抵押衍生品和现货市场的做市商带来了一些挑战。

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BitMEX 杠杆统计数据,2019 年 4 月

BitMEX 声名鹊起的一个原因是客户在交易比特币/美元价格时能够使用 100 倍杠杆。 我们经常被问到交易者有多经常使用所提供的最高杠杆。 我让我们的数据科学团队提取从 2018 年 5 月到 2019 年 4 月的 XBTUSD 永续合约的杠杆率使用历史数据。

第一张图表和表格组合显示了 XBTUSD 多头和空头的月底加权有效杠杆。

看来交易者非常 “负责”,因为他们平均没有使用最大杠杆率。

定义
按月、方向和交易品种分组的总数

计算百分位数的方法

  • 选择前 12 个月中每个月的最后一个可用时间戳(即 “月末快照” ),并计算所有账户中每个仓位的有效杠杆,四舍五入到最接近的整数
  • 从结果值中创建一个排序列表,并通过按持有的合约数量扩展每个仓位的有效杠杆来展平(例如,如果仓位数量为 4 的账户使用了 3 的有效杠杆,则对该列表的贡献是 '3 3 3 3'
  • 通过获取由下式给出的索引处的值,可以找到此列表的任何给定百分位数: (列表计数)*(所需百分位数)

使用均值是粗略的,因为持有大仓位的交易者使用的杠杆必须少于较小仓位交易者。 这是由于 BitMEX 的风险限额功能。 交易者可以使用 100 倍杠杆,最大仓位为 200 XBT。 之后,初始和维持保证金要求逐步按每 50 XBT 增加 0.5% 。

为了了解各自合约数量的杠杆分布,我们查看了从 2018 年 5 月到 2019 年 4 月的 12 个月末快照的平均 XBTUSD 多头和空头直方图。 上面两个图表显示了这些数据。 正如我们所料,仓位最大的交易者使用最少的杠杆。 

虽然允许对 XBTUSD 开仓的最大杠杆率为 100 倍,但有效杠杆可以增加到 200 倍(即维持保证金要求的 0.50% 的倒数),此时会进行强平。

创建直方图的方法

  • 计算所有 12 个月末快照的每个有效杠杆的合约总数,然后将每个总数除以 12(即平均月末快照)

我希望这些数据可以让交易者更好地理解 BitMEX 市场的微观结构。 我将在不久的将来继续定期发布回溯统计数据。

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Convexity: Rektum? Damn Near Killed ‘Em

Since BitMEX launched on 24 November 2014, cryptocurrency derivatives trading exploded. I tried in vain to seduce various venture capital firms with the vision of the future that was all about derivatives trading. At that time, succour was not forthcoming; however, I could not be more pleased with my failures now standing in 2019.
 
The BitMEX XBTUSD perpetual swap and various other contracts traded on OKEx and Deribit are of the same ilk. These contracts all allow you to trade a fixed USD amount of Bitcoin. We call these inverse derivatives contracts. Many OG traders have heard me speak at length about the subtle yet profound implications of this contract structure. However, as many new traders now try their hand at derivatives trading, a refresher course is necessitated.
 
Contrary to popular belief, I don’t delight when I see the BitMEX Rekt twitter feed going bananas. I’m long-term greedy. I would rather you enjoy a long trading career earning a profit and paying BitMEX trading fees along the way, than blow up your equity capital during a liquidation. Therefore, it is in mine and BitMEX’s best interest that our traders are sufficiently educated about best trading practices.
 
I love our traders, but when I hear people smile and laugh about getting liquidated it makes me cringe. A real trader practices proper risk management, and that means never being liquidated.
 
You Gotta Go Down, To Go Up
 
Convexity or gamma is the second derivative of a contract’s value with respect to price. Used correctly convexity can supercharge your portfolio’s returns. However, if you do not understand how convexity affects a derivative you trade, you will get rekt repeatedly.
 
With inverse contracts, the margin currency is the same as the home currency. I will use the XBTUSD contract throughout this post.
 
Home Currency: XBT (Bitcoin)
Foreign Currency: USD
Margin Currency: XBT
USD Value: 1 USD
XBT Value: 1 USD / Price (XBT/USD exchange rate or .BXBT index)
 
I will dwell on how the XBT exposure of a long 100,000 contract position changes with respect to the price (.BXBT Index).

First, let’s look at the long side. In bull and bear markets, these will most likely be speculators. This makes sense because being long Bitcoin offers asymmetric returns. Bitcoin can rise to infinity, but can only fall zero. It is better from a return on equity perspective to go long the bottom, then go short the top. Those who picked up ETH below $100 know this acutely. Therefore, coupled with leverage, on the margin, longs in most market environments will be predominately speculators.

The first chart shows XBT PNL profile and curvature. The straight line is the PNL %  return if the contract moved in a linear fashion, the curved line is the long inverse contract position’s PNL % return. What you immediately notice is that you will lose more money when the market falls, and make less money as the market rises. This is suboptimal as you must post margin in XBT. Thus, your margin requirements increase in a non-linear fashion, and this is why longs get rekt quickly in a falling market. 

Now let’s examine the short side.  In bull and bear markets, these will most likely be hedgers and market makers. In both cases, these market participants want to lock in the USD value of Bitcoin. With inverse contracts, a long physical Bitcoin position coupled with an equivalent short XBTUSD position creates a synthetic USD position. If 100% of the physical Bitcoin is placed at cross-margin with BitMEX, you cannot be liquidated.

Unlike the long side, shorts benefit from positive XBT convexity. Shorts make more and more XBT as the price falls, and lose less and less as the price rises.

The take away from these two examples is that long speculators will be liquidated faster on the way down. This explains why dumps in these derivatives dominated markets are now more extreme than pumps and will continue so long as inverse style derivatives dominate the cryptocurrency derivatives markets.

The CME contract has a fixed XBT exposure regardless of the price, and the USD exposure varies linearly with respect to price. While this is great for USD benchmarked investors, it becomes problematic for those hedging their exposure. Bitcoin purchased to hedge a short CME position cannot be used as collateral with the CME. This presents some challenges for hedgers who hold physical Bitcoin, and market makers who must divide precious capital between derivatives and spot markets with no cross-collateral relief.



 

BitMEX Leverage Statistics, April 2019

One of BitMEX’s claims to fame is the ability for clients to use 100x leverage while trading the Bitcoin / USD price. We often get asked to what extent traders use the maximum leverage offered. I asked our data science team to pull up historical data on leverage usage for the XBTUSD perpetual swap from May 2018 to April 2019.

The first chart and table combo shows the weighted effective leverage at month end for XBTUSD longs and shorts.

It appears traders are quite “responsible” in that they do not on average use the maximum amount of leverage.

Definitions
aggregation grouped by month, side, and symbol

Methodology for Calculating Percentiles

  • Pick the last available timestamp for each of the prior 12 months (i.e. ‘month-end snapshot’), and calculate the effective leverage for every position across all accounts rounded to the nearest integer
  • Create a sorted list from the resulting values, flattened by expanding each position’s resulting effective leverage by the number of contracts held (e.g. if an effective leverage of 3 was used by an account with a position quantity of 4, it’s a contribution to the list is '3 3 3 3')
  • Any given percentile of this list can be found by taking the value at the index given by: (Count of the list) * (Desired percentile)

Using the mean is crude because traders who hold large positions must use less leverage than smaller traders. This is due to the risk limit feature of BitMEX. Traders may use 100x leverage up to a position size of 200 XBT. After that, the initial and maintenance margin requirements step up 0.5% per 50 XBT.

To understand the distribution of leverage respective to the number of contracts, we looked at a histogram of XBTUSD long and shorts averaged over the 12 month-end snapshots from May 2018 to April 2019. The above two charts display this data. As we expected, the largest traders use the least amount of leverage.

While the maximum leverage allowable for opening a position in XBTUSD is 100x, the effective leverage can then increase to 200x (i.e. the reciprocal of the 0.50% maintenance margin requirement), at which point liquidation occurs.

Methodology for Creating Histogram

  • Calculate the sum total number of contracts at each effective leverage for all 12 month-end snapshots, then divide each total by 12 (i.e. average month-end snapshot)

I hope this data allows traders to better understand the BitMEX market microstructure. I will continue to periodically post backward looking statistics in the near future.

The Road to $10K

Did you take your losses like a champ, or bottom tick the market with your market close order? The first quarter of 2019 witnessed depressed volumes, volatility, and price. The local lows of late 2018 have not been retested; however the market chop makes me feel like I’m at the Saudi embassy.

The repair of crypto investors balance sheets is not done yet. Losses must be digested, and the unlucky masses must wage cuck a bit longer to get back in the game.

All is not lost; nothing goes up or down in a straight line. 2019 will be boring, but green shoots will appear towards year end. The mighty central bank printing presses paused for a while, but economic sophists could not resist the siren call of free money. They are busy inventing the academic crutches (here’s looking at your MMT), to justify the next global money printing orgy.

Do not despair. CRipple is still worth more than zero. And Justin Sun’s new age religion TRON, paired with the Pope CZ, tells us there are those still willing to eat shitcoins with a smile.

Electric Cars and Sand Schmucks

While Bitcoin is an innovative technology, the technical merits of the protocol do not exist in a vacuum. The world’s monetary situation is very important. It determines how willing investors are able to suspend disbelief and believe crypto fan boys and girls.

Throughout 2018 the omnipotent Fed began reducing the size of its balance sheet and raising short term interest rates. The world still beats to the tune of the USD. Financial institutions and governments require cheap dollars, and the Fed happily obliged since the 2008 GFC.

Tech VC funds won’t admit it, but cheap dollars are key to their business. How else can you convince LPs to continually fund negative gross margin businesses, until they “scale” and achieve profitability? Everyone wants to become the next Facebook.

When investing in government bonds yields zero or negative, desperate investors will do whatever it takes to obtain yield. Tesla is a perfect example. Lord Elon is a master at creating open-faced pits, and torching his investors’ money in them. Tesla does not belong on the Nasdaq, but rather as a speciality flavour at the New York Bagel Co.

The market disagrees with my Tesla melancholy, investors continue to line up to eat Elon’s sexy Tesla hot shit cakes. Can you blame them, after you are fully invested in the S&P500 where else will you be able to show alpha to your investors?

Another example of this free money folly is the Vision Fund.

  1. Top tick the “Value” your investments while still on the Softbank’s books.
  2. Find a group of schmucks from the sand (That’s where the former Deutsche credit boys come in, “Be Bold”)
  3. Sell your mark-to-fantasy private Unicorns into the vehicle populated by your sand schmucks
  4. Take your cash and payout to your Japanese investors as dividends.

These entities thrived while the Fed held rates at 0% and reinvested their treasury and MBS roll off. TSLA hit its all-time high in mid-2017. Since then Elon has struggled to generate enough buzz to keep his stock elevated. I’m sure he isn’t thrilled that bondholders are due close to $1 billion in cash because the stock price failed to scale $360.

The Vision Fund’s sand schmucks also got cold feet. They baulked when the fund proposed to invest an additional $20 billion into the We-Broke company. The check size got sliced down to $2 billion.

When dollars get scarce suddenly investors discover value investing all over again.

The height of crypto silliness in December 2017 occurred just before the Fed embarked on its quantitative tightening. The 2018 pain train spared no crypto asset or shitcoin.

But things are a changin’. The Fed couldn’t stomach a 20% correction in the SPX. In the recent Fed minutes, the dot plot now shows no rate increases for the rest of 2019. The Fed will start reinvesting its runoff in the third quarter. We are only a hop, skip, and a jump away from an expanding Fed balance sheet.

Beijing knows China must rebalance its economy away from credit-fueled fixed asset investment. However, Xi must not have the political cojones to push this sort of painful change through. Therefore, the PBOC said “fuck it” to any attempt to reign in credit growth. The two most important central banks are creepin’ back into a super easy credit regime.

Easy money will manifest itself in other higher profile and more liquid dogshit before crypto. 2019 will feature an IPO beauty pageant of some of the best cash destroying businesses. Uber, Lyft, AirBnB, and possibly the We company all are rumoured to IPO this year.

Lyft is apparently oversubscribed for its upcoming IPO. Oh baby, this is going to be a fun year.

If these beauties can price at the top of the range, and trade above the IPO price, we know that party time is back. Crypto will be the last asset class to feel the love. Too many people lost too much money, in too short a time period, to immediately Fomo back into the markets.

Get Excited

Green shoots will begin to appear in early Q4. Free money and collective amnesia are powerful drugs. Also after two years of wage cucking, punters should have a few sheckles to rub together.

The 2019 chop will be intense, but the markets will claw back to $10,000. That is a very significant psychological barrier. It’s a nice round sexy number. $20,000 is the ultimate recovery. However, it took 11 months from $1,000 to $10,000, but less than one month from $10,000 to $20,000 back to $10,000.

Melissa Lee peep this. $10,000 is my number, and I’m stickin’ to it.

一体两面:不久后走向分叉的货币

数字社会需要数字货币。加密货币这个词大家都不陌生。但真正去中心化的加密货币(比如比特币)和所谓的中心化的 电子货币” 之间,存在着巨大的差异。

随着比特币现在正式步入其存在的第二个十年,对现代资金的一些根本性变化进行梳理的时机已经成熟,包括人们储存和传输价值的方式,预期在不远的将来他们都会发生变化

 

得寸进尺

我认为第一种新型资金是中心化的电子货币。这直接来源于当前的体系,采用政府(法定)货币并对其进行更新,用于数字时代。这是一个自然而然的过程——我认为不可避免,它将现有中央银行体系和我们日益企业化的经济体进行综合。 

让电子货币成为可能的主要现象是,随着社会的发展,我们已经逐渐适应了将我们的整个私人生活交给企业的这种方式。这么做可以换取便利和轻松,这两方面我们当然都获得了充足的供应。但现在,我们接受(或被迫接受)企业发行的货币,往往意味着隐私的进一步减少。

对电子货币走向的最清晰的展示可能来自微信支付,在中国,微信支付的使用几乎已经消除了现金。它的运行方式如下:使用二维码和移动电话,商家从您的微信钱包中扣除信用,而该钱包直接连接到您的银行账户。在您身处市场摊位的同时,人民币(CNY)被立即从您的账户中扣除,并记入商家的账户。商户得到资金,你取走饺子,使用实物现金的烦恼烟消云散。

作为经常在中国各地旅行的人,其实我很喜欢微信支付。但作为一名在银行业从业,而且现在以比特币为生的人,我也知道中心化支付系统的隐私局限性。

现在世界各地的主要参与者提供的各种移动支付系统在细节上是有所不同的。但在某些情况下,他们几乎了解关于您的一切:您购买的商品和服务,还有您发生购买的位置和时间,而且这可能与他们所拥有的所有其他数据相关联。 

与此同时,我们看到西方政府在受到这种推动时,很难让我们的企业朋友给出我们的个人信息。 不出所料,公司倾向于遵守这些要求。而私营部门支付网络和众筹平台,则可以因为人们的冒犯性观点或言论,或者是不良行为而将他们逐出。当然并非全都一定不合理,但是谁来划定界限?是他们自己。

此外,从货币方面来看,你可以看看:在某个时间点,央行和政府会根据这些货币的性质,开始以更实际的方式对企业货币的功能进行指导是逐步发生还是突然进行的? 我预计,他们采取的方式是委托将成为支付网络节点的商业银行和大型社交媒体公司,授权他们参与电子货币系统和赚取交易费用。

值得注意的是,支付网络的规则可以通过代码立即完美地实施。 系统中唯一留给低效或腐败人群参与的地方将是网络的顶端,当局可以直接向人们发放信贷,立即对每笔交易征税,并决定参与网络的人。 理论上,您在金融层面全部的存在都可以用这种方式管理。

 

而这就是比特币存在的意义

虽然我刚刚描述的这样一种货币体系可能会也可能不会存储在区块链之上,但不要误解:它是中心化的,自上而下及接受审查(这意味着如果你与中心化的力量产生冲突,您可能被禁止使用它)。

相比之下,比特币是去中心化的,是点对点的及可以抵抗审查。比特币通过由自愿、独立和利己的行动者组成的网络运行,他们既不需要也不要求任何好处或许可;交易费用的几个基点就是他们想要的——而且所有人都可以收取。虽然任何比特币钱包的公共地址及其交易历史记录都是可见的,但所有交易中都不含有任何个人身份信息。

这意味着比特币或类似货币,可能是社会在私人电子货币形式上的最佳希望。我认为,隐私是一个运行良好的社会的重要组成部分。出于道德甚至心理的原因,公民应该有能力将自己的生活的某些细节保留给自己。

总而言是:长期以来,实物现金一直是隐私方面的最佳形式。但为了获得更有效和透明的电子货币形式,各届政府将逐步淘汰实物现金。也许比你想象得更快,现金将不再是满足隐私或其他任何事物的选项。普通公民将领会到比特币的内在价值,因为一旦现金成为了一种低效而麻烦的方式,他们谨慎保持和转移价值的能力就会消失。

 

总体乐观的理由

比特币在很大程度上还是一个实验。然而,经过 10 年的运行之后,尽管在软件史上提供了实际上最大的 漏洞赏金” ,但比特币协议没有遭受过黑客攻击。比特币是一个惊人的成就,不同的私人个体为共同的目标而努力。 

在我考虑一个社区的人群如何共同创建一个替代性货币体系时,我对于通过集体的、去中心化的努力可以改善我们全球社会的其他层面是非常乐观的。 

即使面对正在集结的各种集中化力量,我也会这样说:人类分叉货币的未来将好于我们货币被垄断的过去,因为一些货币只是变得更加方便,而另一些货币则变得私密得多。

 

 

 

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Two sides of the coin: the bifurcated near-future of money

 

A digital society requires digital cash. You hear the word cryptocurrency a lot. But there’s a very big difference between a truly decentralised cryptocurrency like Bitcoin and what could be called centralised ‘e-money.’

As Bitcoin today officially heads into its second decade of existence, this is a ripe moment to familiarise yourself with some of the fundamental changes in modern money, including the ways people store and transmit value, that I think you can expect to see in the near future

We Gave Them an Inch, Now They’re About to Take a Mile

The first type of new money I believe we’re going to see is centralised e-money. This descends directly from the current system, taking government (fiat) currency and updating it for the digital age. It’s a natural — and I imagine inevitable — synthesis of the existing central bank system and our increasingly corporatised economy.

The keystone phenomenon that makes e-money possible is the way in which we as a society have grown accustomed to handing over our entire private lives to corporations. We’ve done so in exchange for entertainment and convenience, and we’ve certainly received ample supplies of both. It’s only a small step now, however, to our accepting (or being forced to accept) the corporate issuance of money and the further diminution of privacy that comes with that.

The clearest glimpse into where e-money is heading is probably WeChat Pay, which has now practically eradicated cash in China. The WeChat Pay system works like this: using QR codes and mobile phones, merchants deduct credits from your WeChat wallet, which is connected directly to your bank account. Instantly, while standing at a market stall, Chinese renminbi (CNY) is debited from your account, and credited to the merchant’s account. They get their money, you take your dumplings, and the friction and annoyance of using physical cash evaporates.

As someone who travels around China frequently, I actually love WeChat Pay. However, as someone who built a career in banking and now makes his living in Bitcoin, I also know the privacy limitations of centralised payment systems.

The various mobile payment systems now offered by major players in different parts of the world differ in their details. But in some cases, they know almost everything about you: what goods and services you purchase, as well as where and when you purchase them, which can presumably be linked to all the other data they have on you.

At the same time, we’ve seen our governments in the West, when the spirit moves them, lean hard on our corporate friends to cough up our personal information. Unsurprisingly, the corporations tend to comply with these requests. We have also witnessed private sector payment networks and crowdfunding platforms kick people out for having too close an association with offending ideas or speech, or for being bad actors. Not all of this is necessarily unreasonable, but who gets to draw the line? They do.

Furthermore, monetarily, you can see where this leads: whether it happens gradually or suddenly, at some point central banks and governments, in accord with their nature, may start directing the monetary functions of corporations in a more hands-on way. The way they would do it, I expect, is by deputising commercial banks and large social media companies, who shall become nodes on a payment network, with the authority to participate in the e-money system and earn transaction fees.

Significantly, the payment network’s rules can be enforced instantly and flawlessly via code. The only place left in the system for inefficient or corruptible humans to participate will be at the apex of the network, where the authorities can issue credit directly to people, tax every transaction immediately, and determine who can and can’t be part of the network. In theory, your entire financial existence can be governed this way.

Thankfully, That’s Where Bitcoin Enters the Conversation

Although such a monetary system as I’ve just described may or may not be warehoused on a blockchain look-alike, make no mistake: it is centralised, top-down, and censored (meaning you can be barred from using it if you fall afoul of the centralised powers).

Bitcoin, by contrast, is decentralised, peer-to-peer, and censorship resistant. Bitcoin runs via a network of voluntary, independent, and self-interested actors, who neither demand nor require any favours or permissions; a few basis points in transaction fees is literally all they want from anyone — and all they’re allowed to take. And while the public address of any Bitcoin wallet, and its transaction history, are visible to all, no personally identifiable information is contained in any transaction.

Which means that Bitcoin, or something like it, is perhaps society’s best hope for a private form of electronic money. And privacy, I argue, is an important part of a well-functioning society. For moral and even psychological reasons, citizens deserve the ability to keep certain details about their lives to themselves.

To sum up: for a long time, physical cash has been the best form of money with respect to privacy. But armed with a more efficient and transparent form of e-money, government after government will gradually make physical cash obsolete. Sooner than you think, cash will not be an option for privacy, or for anything else. And private citizens will come to appreciate the inherent value of Bitcoin, as their ability to discreetly hold and transfer value evaporates once cash goes the way of the dodo.

Grounds for Optimism in General

Bitcoin is still very much an experiment. However, after 10 years of operation, the Bitcoin protocol has not been hacked — despite offering what’s effectively the biggest ‘bug bounty’ in software history. Bitcoin is an amazing achievement of disparate private individuals working together towards a common goal.

As I consider how a community of people collectively created an alternate monetary system, I am greatly optimistic about what other aspects of our global society we can improve through a collective, decentralised effort.

And I say this even in the face of the various centralising forces currently being marshalled: humanity’s bifurcated monetary future will be better than our monopoly monetary past, as some money becomes more convenient while other money becomes far more private.

BlockMEX STO

还记得 BlockMEX 吗?那家公司已经表现不佳好几年了。他们尝试了各种商业模式也没成功。 但这并不重要,风险投资公司继续投以大额资金,其估值继续上升。首席执行官现在有一个新想法。 让我们来听听他在最近的董事会会议是怎么说的。

 

比利( Billy )- 比利是该公司的首席执行官。他刚刚加入,因为前一个家伙被辞退了。公司的主要的风险投资人 The Blind Fund 辞退了前任首席执行官,并支持比利上位,因为他们认为比利能更好的带领公司走出困局。

 

凯撒索泽( Kaiser Soze )- The Blind Fund 的合伙人之一。

 

凯撒 – 比利,你觉得我们要做些什么来吸引客户?已经超过四年, BlockMEX 仍然零收入。你们需要想些新的模式。

 

比利 – 嗯,我有一个新主意。 ICO 是有毒的。这些项目是垃圾,监管机构讨厌它们。 你觉得证券型代币发行( STO )怎么样?

 

凯撒 – 你解释一下。

 

比利 – 好的,想象你想买某一房地产的一小部分。然后您可以交易属于您的少数权益,该权益由一个代币表示。

 

 

凯撒 – 恕我不够新潮,但这不就是房地产投资信托( REIT )吗? 世界上大多数股票市场都有这些产品。

 

比利 – 但房地产投资信托基金有用区块链技术吗?他们有用分布式分类记账技术来保存档案吗?

 

凯撒 – 不,但他们已经每天以数十亿美元的规模在进行著交易,你可以轻松地与世界各地的经纪人交易。

 

比利 – 你不明白。 如果代币应用了区块链技术,例如以太坊,那么投资人可以随时随地的交易。就像那些可怜的朝鲜投资者,现在他们也可以拥有一个代币。

 

凯撒 – 任何人都可以交易?!! 很明显这些产品都是证券,对吗?

 

比利 – 是的。

 

凯撒 – 这意味著这些产品将受到监管,在大多数地方,交易所需要持有许可证。

 

比利 – 是的,这是正确的。

 

凯撒 – 就和现在的交易所持有的牌照一样吗?

 

比利 – 正确。

 

凯撒 – 那么运营撮合引擎的技术栈也必须得到监管机构的批准,对吧?

 

比利 – 正确。

 

凯撒 – 所以你复制相同的技术,获取相同的许可证后,针对追求相同的客户群?

 

比利 – 正确。

 

凯撒 – 好吧,听起来值得一试。我们可以继续投钱,并按体量增加。 [ The Blind Fund 一直以来都喜欢投资些负毛利率的业务。]

 

比利 – 这正是我的想法。每个人都在谈论 STO 以及它们是如何成为未来的。另一种类型的 STO 是创业公司的股权发行。

 

凯撒 – 那么与首次公开募股有何不同?

 

比利 – 现在很多公司都想维持 私有化,进行首次公开​​募股的成本以及所有监管和合规成本都是令人生畏的 – 特别是对于小公司而言。小型科技公司应该有办法通过出售某种类型的股权来筹集资金。

 

凯撒 – 这些公司能够支付股息吗?我假设这些都是仍未盈利的公司。

 

比利 – 他们不仅不会支付股息,也不会有经审计的账目,或者有任何义务向投资者解释任何事情。

 

凯撒 – 哇,太棒了。这个 STO 的东西如何体现在资产负债表上?

 

比利 – 我们还不确定。

 

凯撒 – 传统的金融理论会认为这种资产毫无价值,因为没有未来现金流。

 

比利 – Kaiser 别天真了。我们之前不是讨论过吗。传统金融已经死了。我们处于一种新的时代。别当一个逆趋势而行的人。

 

凯撒 – 我知道,我知道。但如果您出售这些和证券一样的资产,那么不需要在国家监管机构注册吗?

 

Billy – 小声点。。。别告诉任何人。我们低调行事。因为我们使用区块链和/或分布式分类帐技术,这些规则都不适用。最好的是,我们可以通过告诉投资者购买这些东西时实际上没有任何权益来免除我们所需要承担的任何法律责任。哈哈哈哈哈。

 

凯撒 – 拜托这个区块链太刺激了!你想怎么玩都行。

 

比利 – 是吧!也许我们唯一不能做的就是赚到收入。

 

凯撒 – 别担心。我很多住沙漠里的好朋友们,他们用钱现金不经大脑。他们不会让我们失望的。

 

 

 

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