ETHUSD 的掉期合约的价格是合理的吗

永续掉期衍生结构是一件美妙的产品。它使得交易便简单了,因为它模拟了保证金交易的结构。大多数散户交易员都熟悉保证金交易的结构。使用这个模式,任何人都能交易着各式各样的衍生品。

“ Quanto 是衍生产品的一种,其中标的物以一种货币计价,但该工具本身以另一种货币结算。对于希望投资海外资产但却不想冒汇率风险的投机者和投资者而言,此类产品具有吸引力。”- 维基百科

ETHUSD 掉期已成为全球最具流动性的 ETH / USD 交易工具。它允许投资者交易着 ETH / USD 的价格,而不需要持有以太币或美元。与所有 BitMEX 合约一样, ETHUSD 的保证金和结算货币是比特币。从交易的角度来看,这使得事情变得很简单。

当 ETHUSD 产品上市时,我向读者介绍了 Quanto 衍生产品的结构。请阅读为何使用双币种( Quanto )对冲双币种( Quanto )永续合约复习一下。

在 ETHUSD 推出之后,以太币的价格成了下跌了。在这样的熊市中,许多交易员预计资金费率将保持负值。这在逻辑上是有道理的。

市场正在下跌,因此保证金的压力应该在卖方。但是,从产品发布到现在的累积资金费率是正值。正资金费率意味着多头方支付着空头方。

我的假设是,正的资金费率代表了 Quanto 的风险溢价。然后,我委托其中一位 BitMEX 研究分析师进行以下测试:

第一步

从 8 月 9 日到 10 月 22 日,为了获取资金收入,您卖出了 ETHUSD ( 100 XBT 名义价值),并通过以美元购买以太币进行对冲。

第二步

每小时您重新计算您的净比特币仓位盈亏,并以美元对冲该盈亏。

第三步

计算该期间内投资组合的美元净回报。

第四步

把您在此期间内卖出 ETHUSD 掉期所收到(支付)的净收益全部加起来。

 

结果

没有资金流入,您将损失 46,779.73 美元用于对冲比特币收益 。这在预料之中,因为您是“卖出”相关性。在过去的几个月里, XBTUSD 和 ETHUSD 的相关性上升了不少。

 

当收到净资金 46,010.85 美元时,您的交易基本收支平衡。过程中您买入 31.94  ETH 进行 delta 对冲并就盈亏对冲累积了 43.83 XBT 空头仓位 。结论是,尽管资金费率保持正值,但这笔资金需要补偿 Quanto 的风险溢价。


相关性正在上升,因此交易员将通过现货价格推高 ETHUSD 掉期的价格以从 Quanto 的盈亏中获利。这产生正资金费率,并使市场达到平衡。


长期来说都该如此,但有时您的净盈亏可以是正或是负的。上图提供了此交易的累计盈亏的时间序列分析。我们可以看到,市场偶尔会对这种掉期进行错误定价。

令人惊讶的是,在不到六个月的时间里, ETHUSD 掉期价格已经非常完美。但是,比特币和以太币的波动性都在下降。当我们回到正常的波动水平时,我预计恐惧和贪婪的交易员会把 ETHUSD 掉期推离  Quanto 调整后的合理价格。

 

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熊市的阴霾

趋势是您的朋友,直到它成为您的敌人。人类本身就是个不称职的预测者。我们拿着昨天的回报并试图使用线性和非线性的规律来推断未来。我们眼中的世界在完美的线条中运作。

当市场逆转时,就像往常一样,一群悲伤的熊猫会被市场遗下。 2017 年是个欢庆的一年;  2018 年是个忧郁的一年。最糟糕的是当您得知您 2018 年的奖金的时候,如果您还有的话,那奖金几乎买不起一个 Swatch 。

我们加密币交易员现在应该学精明了,但我们从不学乖。市场可能会从 20,000 美元的高位下跌 70% ,但在交易员心态上,比特币可能随时一文不值。

当交易员赔钱时,他们会抨击。他们在 Twitter , Telegram , Reddit 和其他社交媒体平台上大肆宣传。输钱的感触使得他们表现的比那些在知道特朗普当选后的希拉里支持者更糟糕。

这就是熊市的阴霾。

 

我们都经历过

BitMEX 研究的优秀团队就之前的比特币牛市和熊市进行了一些分析。

他们区分了两个测量:

1.峰谷价格:峰值到谷值的下跌是通过将熊市的低点除以之前牛市的高点来衡量的。

2.市场内阶段的增加/减少:这是通过将牛市(熊市)的高(低)点除以该趋势开始时的价格来计算的。

他们的结论是,我们在目前的熊市中还有更多空间。由于比特币价格波动性的降低,我同意这个观点。

 

双重打击

一记左钩拳,再来一记右钩拳。比特币价格及其波动性在今年崩溃了。

交易员讨厌市场横行。交易者可以做多或做多,但无法买入横行的走势。横行市场会让交易员失业。

与主流的看法相反,如果比特币要获得主流采用它非常需要波动性。比特币的价格是传达其生态系统健康的最佳及最透明的方式。它(价格波动)告诉着世界,有着什么正在发生 – 无论是正面的还是负面的都是无关紧要的。

比特币价格波动是刺激生态系统活络的药物。媒体撰写任何有活力的事物;因此没有活力就没有曝光率。死忠交易员和工程师将始终在大众媒体报道之前获得新的资产类别或技术信息。然而,只有更多的人发现埃尔多拉多( El Dorado ),这些交易员和工程师的努力才会被放大。这需要懒惰的主流财经媒体提供的曝光率。

如果波动率保持在低迷水平,价格将慢慢下跌。对于我们这些经历过 2014  – 2015 年熊市的人来说,我们都在等待那能直击公牛灵魂的一鞭。然后,只有这样,波动性和价格才会上涨。

 

混沌时期

我们能走多远?

从 9,152 美元下跌 75% 我们将接近 2,000 美元。 2,000 美元到 3,000 美元是我的新的最佳支持预测( Sweet Spot ),但千万不要告诉米歇尔 • 李( Michelle Lee )( Hashed.Asia 的作家)。

是否 “抄底” 要看熊市最后一跌时的价格行为。当您看到它时您便会知道。可最美妙的是,您可能会太怂了而不敢点击那可怕的买入键。

 

 

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稳定币:尽情的诡辩吧

经过 10 年,比特币仍继续存在,但其生态圈仍然存在严重的缺点。对于任何从事与加密币有关的商业活动来说,想要开设和持有可以清算美元的银行账户是非常困难的。这个弱点使得业界对所有稳定币产生需求。

稳定币分为两大派系。其中一个是由 Tether 领头的伪美元货币市场基金。另一个子部分是“代币”( Maker / Dai , Haven , Basecoin 等),试图通过使用花哨数学模型和伪行为经济来持有的美元。

 

美元银行账户

市场诞生的 Tether 彻底体现出了开设和持有美元银行账户的难度。投资者有以美元交易比特币和其他垃圾币的需求。加密币与加密币的交易市场的流动性是很高的,但我们交易时仍然以美元计价。因此,能够提供美元交易的交易所将胜过不能提供这些美元交易的同行。

不可否认, Tether 是一项创新的产品,因为它是一个通过比特币和以太坊区块链转移的美元代币。理论上来说, Tether 团队持有大量的美元,足以以 1 Tether = 1 美元的兑价创造和赎回 Tether 。以前只提供加密币兑换加密币的交易所从此可以提供加密币兑美元的交易兑价给投资者,并将原本需要开设银行账户的麻烦由 Tether 消化掉。

市场需求就在摆在那儿,但困难的部分是您的现金存哪儿。 Tether 在各个司法管辖区收购后又失去了银行业务。其他人看着 Tether 的传奇故事,得出的结论是,利用他们自己的关系,他们可以提供比 Tether 更好的选择。现在市场上各种交易所提供着 Tether 翻版产品,如 Gemini , Circle 和 itBit 。

 

名字不重要,本质上就是货币市场基金

对于良好的银行体系来说,货币市场基金的存在极为重要。散户投资者和机构投资者便能在短期内将多余的现金存放在货币市场基金并提高他们收益率。货币市场基金将投资于高流动性的固定收益投资工具。短期政府债券,信誉良好的企业发行的商业票据和短期银行贷款,都是货币市场基金持有的一些投资产品。

货币市场基金的风险承受能力很低。对他们来说最重要的是他们的投资能始终保持票面价值,例如 1 单位 = 1 美元。在 2008 年全球金融危机期间,一些货币市场基金面临着“跌穿票面价值”的风险。低风险债务成为高风险债务;流动性枯竭,投资者急于退出。

今天, Tether 和它的翻版们承诺每一枚代币都有 1 美元的背书。一些该代币的发起人可以公开与他们合作的银行伙伴,有些则不公开。与传统的货币市场基金相比,透明度水平相形见绌。

另一个加密币货币市场与传统货币市场的关键区别是的是这些稳定币不支付利息。发行稳定币真正的利润是他们能够获得净息差。如果没有巨大的利润空间,为什么他们要为整个加密币生态圈托管美元,为自己带来开设及持有银行账户的麻烦?

随着利率上升,这些对于稳定币的运营商来说这都是纯利润。肆无忌惮的运营商将持有的美元现金投资于风险较高的固定收益产品。最糟糕的营运商将带上乔恩 • 科尔津( Jon Corzine )(加杠杆之意),并购买风险最高的固定收益产品。

如果您持有任何货币市场稳定币,您必须问清楚以下问题:

  • 谁是它们的合作伙伴(哪家银行)?
  • 它们持有的基金能够投资于什么类型的固定收益产品(如果有的话)?
  • 作为一个普通的散户投资者,您能否创造或赎回该代币,而这个过程需要多长时间?

 

想成为中央银行

另一组发起人问了这个问题,您能否制造一枚与美元挂钩的代币但却不用持有任何美元作为支持?

实物美元的替代品是数学,行为经济学加上加密货币。这些项目需要大量非稀释现金的原因是因为当风暴来临并且他们的垃圾币交易价格低于单位价格时,发起人必须消费自己持有的美元,比特币或以太币来恢复挂钩。

许多项目希望建立一个基于规则的数字中央银行;然而,他们所做的一切只不过是通过复杂和无聊的白皮书来实现对实物现金的需求。

最重要是,他们筹集资金的目的是让这些投资人作为风暴来临时最后接火棒的人。否则,这些项目根本不需要价值数亿美元的资金来投资。如果数学和行为模型能按计划进行,那这个代币的规模应该会越来越大,并且随着时间的推移,永远保持挂钩。

如果任何项目能返还他们筹集的所有资金,并纯粹基于其数学模型推出他们的代币,我将非常吃惊。我非常怀疑哪个项目能够接受这个挑战。

我敢打赌,有一些加密币圈的乔治 • 索罗斯效仿者正虎视眈眈,等待适当的时机打破这些代币的挂钩兑价。作为观众来说将看到一幕壮举。

格雷欣法则( Gresham’s Law )将成立。货币市场拥有诚实和透明运营商的稳定币将占据绝大多数的资产管理规模。其他那些妄想成为的中央银行的竞争者们只能在伪科学和自负假说的担子下挣扎。

 

 

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Is The ETHUSD Swap Fairly Priced

The Perpetual Swap derivative structure is a beautiful thing. Trading is simple, as it mimics the action of margin trading. Most retail traders are familiar with how to trade on margin. Using this wrapper, we can allow anyone to trade exotic derivatives.

“A quanto is a type of derivative in which the underlying is denominated in one currency, but the instrument itself is settled in another currency at some rate. Such products are attractive for speculators and investors who wish to have exposure to a foreign asset, but without the corresponding exchange rate risk.”Wikipedia

The ETHUSD swap has become the most liquid ETH/USD trading instrument globally. It allows speculators to trade ETH/USD risk, without ever touching Ether or USD. Like all BitMEX contracts, the margin and settlement currency for ETHUSD is Bitcoin. This keeps things simple from a trading perspective.

When the ETHUSD product listed, I walked readers through the mechanics of a quanto derivative. Please read Why Quanto and Hedging a Perpetual Swap for a refresher.

Subsequent to the launch of ETHUSD, the price of Ether took a digger. In such a bear market, many traders expected the funding rate to stay negative. Logically that makes sense.

The market is falling, so the pressure on the margin should be on the sell side. However, the cumulative funding rate from launch till the present is positive. A positive funding rate means longs pay shorts.

My hypothesis was that the positive funding rate represents the quanto risk premium. I then tasked one of the BitMEX Research analysts to conduct a test:

Step 1
Starting on the 9th of August and ending on the 22nd of October, to capture the funding income, you sold ETHUSD (100 XBT notional), and hedged by purchasing Ether with USD.

Step 2
Every hour, you recalculated your net Bitcoin PnL, hedging that exposure into USD.

Step 3
Compute the net returns in USD terms on your portfolio for the period.

Step 4 
Add net total funding you received (paid) from being short the ETHUSD swap over the period.

Results

Absent the positive funding, you would have lost $46,779.73 hedging your Bitcoin PnL. This is expected because you are short correlation. Over the past few months, the XBTUSD and ETHUSD correlation has risen.

When the net funding payments received, $46,010.85, are added, your trade essentially breaks even. Along the way you bought 31.94 ETH to delta hedge and accumulated a 43.83 XBT short position to PnL hedge. The conclusion is that even though the funding rate has stayed positive, this funding compensates for the quanto risk premium.

Correlation is rising, therefore traders will bid up the ETHUSD swap over the spot price to profit from the quanto PnL. A positive funding rate results, and brings the market into equilibrium.

This is true over a long holding period. There were times where your net PnL was positive or negative. The chart above provides a time series of the cumulative PnL from this trade. As we can see, the market does misprice this swap occasionally.

It is quite amazing that in under six months, the ETHUSD swap has been priced to perfection. However, the volatility of both Bitcoin and Ether has fallen. When we return to a normal level of volatility, I expect fearful and greedy traders to push the ETHUSD swap away from the quanto adjusted fair price.

Bear Market Blues

The trend is your friend until it ain’t. Humans are very bad forecasters. We take yesterday’s returns and extrapolate them linear and non-linearly into the future. We believe the world works in perfectly-fitted curves.

When the market reverses, as it always does, a coterie of sad pandas are left in its wake. 2017 was the year of jubilation; 2018 is the year of melancholy. The worst part is knowing your 2018 bonus, should you receive one, will barely buy you a Swatch.

We crypto traders should know better by now, but we never learn. The market may be down 70% from the $20,000 high, but from the mood of traders, Bitcoin might as well be worth bupkis.

When traders lose money, they lash out. They lash out on Twitter, Telegram, Reddit, and other social media platforms. The smallest perceived slight, triggers them worse than a Hillary supporter after the Trump coronation.

This is the Bear Market Blues.

We Have Been Here Before 

The talented individuals at BitMEX Research did some analysis of the previous Bitcoin bull and bear markets.


They made a distinction between two measurements:

1. The peak-to-trough decline:  A peak-to-trough decline is measured by taking the low of a bear market and dividing it by the high of a previous bull market.

2. The intra-market phase increase/decrease: This is calculated by taking the high (low) of the bull (bear) market and dividing it by the price at the start of that market phase.

They conclude that we have more to go in this current bear market. Due to the collapse in Bitcoin price volatility, I agree with this sentiment.

The Double Whammy

Wham, bam, thank you ma’am. Bitcoin volatility and price collapsed this year.

Traders hate sideways markets. Traders can go long and short, not sideways. The chop will eat you alive in a sideways market.

Contrary to popular belief, Bitcoin requires volatility if it is ever to gain mainstream adoption. The price of Bitcoin is the best and most transparent way to communicate the health of the ecosystem. It advertises to the world that something is happening–whether that is positive or negative is irrelevant.

The Bitcoin price volatility is the gateway drug into the ecosystem. The media writes about things that move; therefore no movement, no coverage. The diehard traders and engineers will always hear about a new asset class or technology in advance of popular media outlet coverage. However, their efforts will only be amplified if many more people discover El Dorado. That requires the lazy mainstream financial press to write.

If volatility stays at these depressed levels, the price will slowly leak lower. For those of us who lived through the 2014-2015 bear market, we all await that nasty ass candle that breaks the soul of the bulls. Then, and only then, will volatility and the price ratchet higher.

Limbo Time

How low can we go?

A 75% fall from $9,152 takes us close to $2,000. $2,000 to $3,000 is my new sweet spot but don’t tell Michelle Lee just yet.

The key consideration to “calling the bottom” is the price action around the last gasp of the bears. You will know it when you see it. And the best part is, you probably will be too chicken to click that oh so scary Buy button.

Stablecoins: Sophistry At Its Best

After 10 years, Bitcoin lives on, but the ecosystem still suffers from a critical weakness. Obtaining and maintaining a bank account that can process and clear USD is very difficult for any crypto-related business. The outcrop of this weakness is the industry’s clamour for all things Stablecoin.

Stablecoins fall into two camps. One subsect, of which Tether is the leader, are thinly- disguised USD money market funds. The other subsect are “coins” (Maker / Dai, Haven, Basecoin, etc.) that attempt to do an end runaround holding actual USD by using fancy math and pseudo behavioural economics.

USD Banking

The ongoing Tether melodrama highlights the difficulties of obtaining and maintaining USD banking facilities. Traders want to trade Bitcoin and other shitcoins vs. the USD. The crypto- to-crypto pairs are liquid at times, but we all still think in dollar terms. Therefore, exchanges that can offer these pairs will outperform their peers who cannot.

Tether is novel because it is a USD money market token transferred across the Bitcoin and Ethereum blockchain. The Tether organisation supposedly holds sufficient USD such that 1 Tether = 1 USD for those who can create and redeem Tether. Exchanges that previously only offered crypto-to-crypto pairs could offer a Coin to USD pair and externalise the hassle of dealing with banks onto Tether.

The demand was there, but the hard part is where to stash the cash. Tether acquired and lost banking relationships in a variety of jurisdictions. Others looking in at the Tether saga, concluded that using their connections they could offer a better alternative. Now we have Tether clones offered by various exchanges such as Gemini, Circle, and itBit.

Money Market Funds In All But Name

Money market funds are extremely important to a well functioning banking system. Individuals and institutions park their excess cash on a short-term basis and pick up yield. The money market funds invest in highly-liquid debt instruments. Short-dated government bonds, commercial paper issued by creditworthy corporates and short-dated bank loans, are some of the securities that a money market fund will hold.

Money market funds aim to be very low risk. Their most important aspect is they maintain a par value at all times, such that 1 unit = 1 USD. During the 2008 GFC, some money market funds were at risk of “breaking the buck.” Low risk debt became high risk; liquidity dried up, and investors rushed for the exits.

Today, Tether and clones thereof promise there is 1 USD for one coin in a bank somewhere. Some promoters are able to name their banking partners, some are not. The level of transparency pales in comparison to traditional money market funds.

The other key difference in the crypto sphere is these Stablecoins do not pay interest. The real profit driver of money market Stablecoins is their net interest margin. Why go through all the hassle of hosting USD banking for the crypto ecosystem if there wasn’t a massive future profit potential?

As interest rates rise, that becomes pure profit to the Stablecoin operator. Unscrupulous operators will claim to hold USD cash, while investing in riskier debt instruments. The worst scallywags will pull a Jon Corzine, lever up, and purchase the dodgiest credits to be had.

If you hold any of these money market Stablecoins, you must ask the following:

  • Who is the banking partner?
  • What types of debt instruments, if any, is the fund allowed to hold?
  • Can you as an ordinary individual create and redeem at par, and how long does that process take?

Wannabe Central Bankers

Another group of promoters asked the question, can you create a coin pegged to the dollar without holding any dollars as a backstop?

The substitute for physical dollars is math, behavioural economics, and cryptocurrencies. The reason why these projects need a shit-ton of non-dilutive suckers’ cash is because when shit hits the fan and their shitcoin trades less than par, the promoter must spend hard dollars, Bitcoin, or Ether to restore the peg.

Many of these projects wish to create a rules-based digital central banker; however, all they have done is obfusticate the need for physical cash by using complicated and boring whitepapers.

The central fact is that they are raising funds to act as the buyer of last resort. Otherwise, there is no need for hundreds of millions of dollars worth of investor money into any of these projects. If the math and behavioral modeling goes to plan, the coin should slowly accrue AUM and over time the peg should hold.

I challenge any project to return all the money they raised, and launch their coin purely based on its mathematical merits. I highly doubt I will have any takers.

I bet there are crypto George Soros imitators licking their lips at the chance to break the peg of these coins at the opportune moment. It will be glorious to watch.

Gresham’s law will hold. Money market Stablecoins with honest and transparent operators will accrue the vast majority of the AUM. Their wannabe central banker cousins will flounder under the weight of pseudoscience and hubris.

.BXBT 指数变动生效了

BitMEX .BXBT 指数更改现已生效。

 

请注意,该指数组成成分如下:( *  Bitstamp + * Coinbase Pro + *  Kraken )。

 

受影响的产品:

– XBTUSD 
– XBT7D_D95
– XBT7D_U105
– XBTH19

 

现有定期合约过渡指数

 

BitMEX .XBT 指数与旧的 .BXBT 指数相同:( ½ * Bitstamp + ½ * Coinbase Pro )。仍未结算的定期合约将沿用该指数,直至到期(北京时间 2018 年 12 月 28 日 20:00 )。

 

受影响的产品:

– XBTU18
– XBTZ18

 

 

 

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XBT/USD Index Change Announcement

As a market leader in the crypto trading space, we are constantly looking at ways to improve and innovate new and existing products.

To further strengthen the trading of our XBT/USD products, BitMEX is proud to announce an introduction of Kraken’s XBT/USD price feed into the BitMEX .BXBT Index.

This change will take place on 16 September 2018 at 12:00 UTC on the XBTUSD Perpetual Swap product, new Futures products and on our Option products. Existing XBT/USD futures products that have not settled will remain under the existing index.

New Index Change
.BXBT will change from (0.5 * Bitstamp + 0.5 * Coinbase Pro) to (⅓ * Bitstamp + ⅓ * Coinbase Pro + ⅓ * Kraken).

Products Affected:
XBTUSD
XBT7D_D95
XBT7D_U105
– XBTH19

 

Old Index Change
A new index, .XBT will be created that will be based on the old .BXBT index: (0.5 * Bitstamp + 0.5 * Coinbase Pro).

This new index will be phased out after the settlement of the affected products (28 Dec 2018 12:00 UTC).

Products Affected:
XBTU18
XBTZ18

比特币 5,000 美元,局部见底

 

比特币现在从历史最高点 20,000 美元下跌近 70% 。熊市来了。谷底到时在哪儿?将什么时候到来?

 

我的预感告诉我,与 2015 年的熊市类似,当矿工们关闭其 ASIC 矿机时,表示比特币价格已经局部见底。


在上一次熊市期间,该范围为 200 美元至 250 美元。价格萎靡不振的同时,各种知名矿工陷入了困境。 KnC 和 Spondoolies 便是两个受害者。最令人惊讶的是,在 2015 年 3 月,难度实际上下降了。这还是在价格上涨 7 个月前,它说明了矿工面临的痛苦有多大。


现在假设在没有正面市场消息拯救我们的情况下,比如美国证券交易委员会批准 ETF ,什么价格才算见底?我相信关键的参照点是矿工们将在何时关闭他们的机器;因此核心问题是,比特币的边际成本到底是多少?

 

几天前,我与全球最大的采矿设施运营商之一聊天。他告诉我,中国矿工的平均电费是每 KwH 6 到 7 美分。在那个级别,他估计当比特币价格为 5,000 美元时的矿工便会开始改变运营地点并将机器转移到电费更便宜的地方。而当价格为 3,000 美元至 4,000 美元之间,这些矿工将会完全关闭机器。


然而,这些粗略的轶事是假设 7nm 芯片要么效率不高,要么直到 2019 年才会正式推出。比特大陆, Dragonmint 和 GMO 都在竞相打造这样的矿机。成功将 7nm 矿机推出市场的公司将降低采矿的边际成本,并摧毁老一代采矿设备。

 

价格带动哈希值,而最终盈亏平衡水平将由采矿难度来决定。而矿工们只会在价格疲软并持续一段时间后的才会关闭矿机并使哈希值下降。

 

有不确定性,IPO 吧

 

每个人都在谈论比特大陆的 IPO 。除了感觉自我良好外,经营一家上市公司往往不是最优的选择。其中一个公司上市的主要原因之一是便于长期投资者,员工和管理层以高倍数的价值兑现。公司也会利用上市时筹来的大量资金,帮助公司进一步发展扩张。


作为一家上市公司,监管机构对运营的审查永无止境。一说错话,您可能需要在法庭上赔上多年光阴。您认为马克扎克伯格喜欢被无知的国会议员和妇女公开抨击吗?如果特斯拉不需要通过在公开市场出售股票来筹集这么多钱,我相信埃隆会宁愿不将特斯拉上市。

 

比特大陆是加密市场最有价值且最赚钱的公司。如果公布的经营数据被视为投资的有效依据,它在 2017 年可是产出了超过 20 亿美元的利润。与许多制造商不同,比特大陆的客户是预先支付它们费用的。比特大陆唯一需要提前支付的费用是比特大陆支付芯片代工厂的前期订金。


比特大陆有只能生金蛋的金鸡,但现在却想要首次公开发行股票。该公司不需要资金来资助或扩展其业务。他们有足够的现金流来进行研发。他们不需要通过削减价格来获得分销渠道,因为他们拥有最大的市场份额。唯一的可能的结论是,他们认为采矿的中期盈利会急剧下降。


虽然比特大陆试图通过他们的 AI 芯片战略布局来向市场推销他们的股票,但事实是他们是彻头彻尾的加密币公司。加密币公司的股价与其他可比较行业公司的股价比较时需要打个折扣。


我推测今年出售的加密交易所 Poloniex 和 Bitstamp 的市盈率为 4 倍至 6 倍。 [ Bitstamp 出售尚未确认,但根据各种加密市场新闻媒体报道称,应该发生在 2018 年初]。 ICE 和 CME 等公共交易所的市盈率为 20 倍至 30 倍。在像 2017 年第四季度这样加密币牛市期间,市场投资人可能会支付这么高的 PE ,但他们不会在比特币下跌 70% 时支付这个价格。

 

我进一步推测,在采矿业盈利能力大幅下滑之前,比特大陆正试图跑在市场前面。管理层认为价格可能会继续下跌至 5,000 美元,甚至可能低于 5,000 美元。在这些价格下,他们的旗舰矿机 S9 的销量将直线下降。 IPO 能够使他们现在套利,并在熊市期间变得现金充裕。在战争中有了足够多的子弹,他们便可以在市场上并购一些资金没有他们充裕的竞争对手。当市场转向时,他们将处于领先地位,一骑绝尘。


上行风险 – 美国证券交易委员会批准 ETF

 

在9月底,美国证券交易委员会将对许多 ETF 申请作出判决。他们会因为民众的压力而妥协吗?加密币,即使在跌了 70% 的情况下,也比任何其他资产类别更令人兴奋。交易所,资产管理公司和华尔街投行都希望分一杯羹,而唯一的抑制因素则是监管机构。

 

聘请足够多游说者,您可以说服美国国会议员,世界是平的,地球是宇宙的中心。如果加密币游说者在美国证券交易委员会上占优势,并且 ETF 获得批准,持有卖空仓位的小伙伴们要注意了。

 

 

 

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以太币,一个只值 2 位数的垃圾币

 

这一切都始于 2017 年 2 月泰国南部的一个海滩上。泰国国王几个月前过世了,所以派对的举办有些低调。在我的两位好朋友陪同下,其中一个是最好垃圾币交易员之一,我们沿着海滩寻找着派对。

 

他当时重仓持有其中的一个垃圾币是 Pepe Cash ,它是 Crypto Kitties 的前身。对于那些不知情的人来说, PepeCash 是网络爆红的青蛙哥加区块链的商业模式。下一个杀手级应用程序。 Pepe Cash 正处于运行状态时我这个兄弟就已经不断在留意其市场动向。

 

我们没有找到一个舞池派对,但我们确实发现了其他有趣的派对。酒保并不认为我们喝到位了,所以他在后面去找存酒让我们喝嗨。在接下来的几个小时里,我们走了几英里,遇到了有趣的游客和当地人,并发起了对垃圾币的哲学讨论。

 

在我们回到酒店的路上,我发现了一件奇怪的事情。就是我们 Tuk Tuk 司机戴着的安全帽上有着青蛙哥的标志。我不相信我的眼睛,我轻推我的朋友确认我所看到的。他确认我们的司机戴着一顶青蛙哥的帽子。我的朋友马上拿出手机看看他的垃圾币价格如何。没错, Pepe Cash 正在涨,他又另外再买入了一些。

 

我们俩互相看了看,知道 2017 年将会发生一些特别事情。然而实际发生的事情却远远超出了我们的想象范围。

 

2017 年真正获得利润是当时持有以太币的人,垃圾币项目和推广这些项目的人。许多今天被受尊敬的加密币对冲基金的第一桶金便是源于当时以太币和投资有关项目的超额回报。

 

嫉妒的传统风险投资公司将部分资金投入到设计糟糕的对冲基金,这样他们也可以在垃圾币市场分一杯羹。每个人都根据相同的信息交易相同的垃圾币,都认为他们 “成功了”。这在整个 2017 年都运作的挺好。


至今,以太币滑向 200 美元。许多代币项目从 2017 年起下跌了50%,而这算好的。坏的情况是,有些代币项目价格已经接近零。

 

这引出了一下问题:

 

  1. 这些基金到底有没有真正实现他们在 2016 年所产生的未实现利润?
  2. 风险投资转向对冲基金投资者能否承受每天价格波动带来的心理压力?
  3. 有多少代币项目实际上卖掉了或对冲了他们所筹集而来的大量以太币?

 

大门进来,小门出去


作为亚太地区交易员,您学习的第一件事就是:如何平仓比如何开仓更重要。

 

我的第一本交易手册是越南的证券。我们的交易团队以一篮子越南股票作为底层资产并发行了美元计价的证券。“米老鼠” 这个越南股票市场的外号在 2009 年看来却是对它的一个恭维。

 

对于每一只股票,每天您只能进行单向交易。如果您选择买入,在同当天您只能选择在继续买入,您不能卖出。每天价格上下浮动限制为 5% ;任何在新闻播报中出现的股票都会在早盘拍卖中立即触及 5% 的上下线。这意味着您必须将您的委托传真给经纪人,并确保您尽早上排队。不幸的是,有时您的经纪人会偷偷跑在您前面交易,因为他们知道有您的大额买单在后面接货。

 

我的老板鼓励我培养自己对市场的独到看法。鉴于市场结构,如果我一旦建仓位,我将需要坚持一段时间。当我想要退出时,我将不得不在市场走强时卖出或在市场走弱时买入来平掉我本身的多头或空头仓位。


当我成为 ETF 做市商时,我经常交易其他“米老鼠”市场包括印度,印度尼西亚和中国。这些市场一直以来都有着快速监管机构决策出台(通常是一夜之间)的盛名,这些决策对那些没有政治背景和政府关系的交易员有着不利影响。我因此开始沉迷于研究如何摆脱持有的仓位:这习惯使我在加密市场中获益良多。

 

我的第一个老板告诉我,作为一个交易员,一切的错误都来源自您自己。很明显,您可以控制的事情有限,但如果您保持这种将错误归咎自身的心态来对待您的工作,那您便会尝试量化并降低您控制范围内的所有风险。

 

我的这些道理的重点是想表达,我认为大多数风险投资者们并不会以这种心态来对待他们的投资。他们的主要投资都是在流动性较低的市场,他们可以记录未实现的纸上收益沉醉其中并获得报酬。他们的投资需要经过二级市场的唯一试炼便是当下一轮融资来临时,但如果都是一帮兄弟参与其中,价格很容易上涨。你拉高我的估值,我拉高你的。


风险投资者喜欢牛市中的 ICO ,因为他们可以依赖所谓客观和流动性的二级市场估值。他们利用这些令人瞩目的回报在 2017 年和 2018 年初筹集大量“垃圾币基金”。但是,当您的垃圾币投资组合下跌至少 50% 时,客观和透明度都未必是好事。根据基金的年份,基金的资产可能会上涨,但是,大部分资金都是在 2017 年下半年到 2018 年下半年筹集和投资的。这意味着最近才进入的投资者们的很可能是输钱的。

 

从未遭遇过市场变幻莫测的风险投资者就像那个认为他或她可以在几个交易日内将 1 个比特币变成 100 个比特币那样天真。他们没有能够承受强平止损的心理素质,或者在浮亏时仍使用最后的资金抄底的勇气。更重要的是,现在 LP 可以随时看到特定代币的市场价格,不被蒙在鼓里。他们将试图成为星期一早上的投资圣手,这只会增加风险投资者的焦虑。在某个时刻,他们会顶不住的喊道 “妈的,老子不干了”,并抛售他们所持有的所有代币。

 

就在这一刻,以太币将从价值 3 位数的代币跌成 2 位数的垃圾币。

 

风险集中

 

在 SAFT (Simple Agreement for Future Tokens)和私人代币配售公司出现前,大部分资金来自散户代币销售。然而现在这些项目都怕被警察抓,他们大多数只接受来自专业的投资者的资金。


专业投资者因其财富总是能够找到新技术相关的投资项目。这个投资者群体也高度集中。虽然可以向未投产项目投入 100 万至 500 万美元的基金数量有限的。然而,这些守门人控制着巨大的机构资金。软银的远景基金规模达 1,000 亿美元。

 

因此,从 2017 年年中开始,市场虽然增长了但投资者群体并没有更加分散,反而大规模筹集而来的资金项目的代币持有人数量大幅下降。从价格曲线来说,强平偏好的价格从分散变得非常集中。

 

风险投资公司都在同一个资本池中相互竞争抢夺资源。这些资金池都聘用了来自同一所学校、通过了相同的财务知识考试的专业人士。因此,他们将一起购买并一起出售投资标的。资金管理游戏中最大的风险是职业风险。最好是与其他人一起赔钱,而不是单独赔钱。后者将会让您再也找不到工作。并且,其他工作都不像金融从业员一样,可以在有限的技能里赚取这么多的钱。我记得我的一个好朋友试图和我争辩说他有特别的技能,那就是他可以使用他的 excel 表上的 sumproduct() 函数来计算 ETF 的资产净值,他是疯了吧。


VC 投资者们将全部同时出售。如果您不卖,市场继续下跌,您就会失去您的工作。所以每个人都会同时卖,但是谁能承接这么多垃圾?散户肯定不可能,因为如果没有机构的资金,交易规模根本就不会变得如此庞大。所以我们先从小的开始,首先是小头代币,然后是大头以太币。

 

我不知道那个转折点会是什么,但估计投降时会很明显。便是那些认为代币经济是可持续存在的人。但他们不会在这些价格购买。低于 100 美元将我们带回 2017 年春季的价格水平。若回到那个低迷的价格,将尸骸遍野。

 

 

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ETHUSD 永续合约两周状况

BitMEX 的优势之一就是金融创新。我们设计了 XBTUSD 永续合约,这是一个独特的产品,适用于任何金融市场。 XBTUSD 的交易量是全球流动性最高的加密币投资工具交易量的 10 倍,而且已被 6 个加密市场所效仿。

基于该产品的成功, BitMEX 创造了一种方法来复制比特币永续合约,便是通过双币种 (Quanto) 定价模型在以太币/美元上使用。该产品为 ETHUSD 永续合约。在短短两周内,该产品已成为全球最具流动性的以太币/美元(或美元等值)产品,并已被证明是投机或对冲 ETH/USD 价格的重要工具。

在过去的 24 小时内, BitMEX 的 ETHUSD 掉期交易量相当于 800,000 ETH 。在其之后下一个最具流动性的 ETH/USD 和 ETH/USDT 市场为 Bitfinex 和 Binance ,它们的同期交易量分别不到 500,000 ETH。

如果您想进一步了解该工具的定价或交易,可以回顾上周我们发出的时事通讯,其中我们了介绍有对冲投机的多个实例。为了帮助您理解,我们还创建了一个可下载的电子表格并附上数学模型。

 

 

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$5,000 Bitcoin, A Local Bottom

Bitcoin is now down close to 70% from the $20,000 all time high. The bear market is here. What level is the bottom, and when?

My hunch tells me that similar to the 2015 bear market, the price at which the average miner turns off their ASICs will be the local bottom.

During the last bear market that range was $200 – $250. While the price languished, various high profile miners went under. KnC and Spondoolies were two casualties. Most surprisingly, in March of 2015 the difficulty actually dropped. That was 7 months before the price ticked up, but it illustrates the amount of pain that miners faced.

Now assuming there is no positive catalyst, like an SEC approved ETF to save us, at what price do we bottom? I believe the key consideration will be when miners begin to shut off their machines; and hence the question, what is the marginal cost of a Bitcoin?

A few days ago I chatted with one of the largest mining facility operators globally. He told me that the average electricity cost of Chinese miners all-in is 6 to 7 cents kWh. At that level, he estimated that at a price of roughly $5,000 is when miners would begin altering operations and look to move machines to cheaper areas. At $3,000 to $4,000, these miners would begin to shut off machines completely.

However, these rough anecdotes assume that miners using 7nm chips either do not work efficiently well, or will not be sold until 2019. Bitmain, Dragonmint, and GMO are all racing to build such miners. The firm that successfully brings a 7nm miner to market, will absolutely lower the marginal cost of the average mining farm, and decimate the older generation mining rigs.

Price leads the hashrate and the final confirmation of the breakeven level will be whether difficulty actually drops. That would require a sustained period of price weakness to shutter enough miners for the hashrate to fall.

When in Doubt, IPO

Everyone is talking about the Bitmain IPO. Running a public company once you get past the initial ego boost is sub-optimal. One of the main reasons why companies IPO is for long-term investors, employees, and management to cash out at a high multiple. Companies also IPO to raise large amounts of capital to fund expansion efforts.

As a public company, the scrutiny on operations is never ending. Say the wrong thing and you could be in court for years. Do you think Mark Zuckerberg likes being publicly lambasted by know-nothing congressmen and women? If Tesla didn’t need to raise so much money by selling equity in the public markets, I’m sure Elon would have kept it private.

Bitmain is crypto’s most valuable and most profitable company. If the figures publicised are taken as gospel, then they generated over US$2 billion of profit in 2017. Unlike many manufacturers, Bitmain’s clients pre-pay their orders. The only pre-sale outlay is their down payment for chips with their main foundry.

Bitmain has a cash cow business but now wants to IPO. The company does not need capital to fund or expand its business. They have plenty of free cash flow to direct towards R&D. They don’t need to acquire distribution channels by slashing prices since they hold the largest market share. The only conclusion is that they believe the medium-term profitability of mining will decline sharply.

While Bitmain attempts to sell the market on their AI chip growth strategy, the truth is they are a crypto company through and through. Crypto companies trade at massive price to earnings discounts against similar companies in comparable industries.

I speculate that the crypto exchanges that sold this year, Poloniex and Bitstamp, traded at 4x to 6x P/E. [The Bitstamp sale has not been confirmed, but various crypto news outlets reported that a sale likely happened in early 2018]. Public exchanges like ICE and the CME, trade 20x to 30x P/E. During a massive crypto bull market like in 4Q2017, the public markets might pay up, but not when Bitcoin is down 70%.

I further speculate that Bitmain is attempting to top-tick the market before mining profitability slides dramatically. Management takes the view that the price will likely continue down towards $5,000, and possibly below. At these prices sales of their flagship S9 miner will plummet. An IPO allows them to crystallise gains now, and become cash-rich during a bear market. With this war chest, they can acquire some of their less financially well-endowed competitors. When the market turns, they will be in pole position with no challengers in sight.

Upside Risks – SEC Approved ETF

In late September, the SEC will rule on a number of ETF applications. Will they cave to popular pressure? Crypto, even while down 70%, is way more exciting than any other asset class. The exchanges, asset managers, and white-shoe investment banks all want in. The only inhibiting factor is regulators.

With enough K-street lobbyists, you can convince a US member of congress that the world is flat and the earth is the center of the universe. If the crypto lobby prevails on the SEC, and an ETF is approved, watch out for the mother of all short squeezes.