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 )。



– XBT7D_D95
– XBT7D_U105
– XBTH19




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 )。



– XBTU18
– XBTZ18





BitMEX (

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:
– 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:

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。




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。



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。


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。





BitMEX (

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。




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。




  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?





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。



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。





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。




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。




BitMEX (

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。





BitMEX (

$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.

Ether, A Double Digit Shitcoin

It all started in Feb 2017 on a beach in southern Thailand. Thailand’s king passed a few months prior, so the party atmosphere was subdued. Accompanied by a good friend of mine and one of the best shitcoin traders in the game, we headed down the beach in search of a party.

One of his big shitcoin positions at the time was Pepe Cash. This was the precursor to Crypto Kitties. For those not in the know, PepeCash is “rare pepe” memes hashed onto a blockchain. The next killer app to be sure. Pepe Cash was on a mini run, and my boy constantly monitored the market.

We didn’t find a poppin’ party, but we did find special shakes. The bartender didn’t think we were sideways enough so he went in the back to get the real stuff. Over the next few hours we walked for miles, met interesting tourists and locals, and waxed philosophical about shitcoins.

On our ride back to our hotel, I noticed something strange. Our Tuk Tuk driver was wearing a trucker hat with a Pepe the Frog logo on it. Not trusting my eyes, I nudged my friend to confirm what I saw. He concurred that our driver was sporting a Pepe hat. My friend immediately whipped out his phone to check the market. Perhaps they saw what we did. Pepe Cash was pumping and he bought some more.

We both looked at each other and knew it was a sign that something special would happen in 2017. What actually happened was far beyond what we could have ever imagined.

The real profit in 2017 was made by Ether holders, shitcoin projects, and promoters. The seed capital for many of the venerated crypto hedge funds emanated from outsized returns on holdings of Ether and token projects.

Jealous traditional VCs transformed portions of their funds into poorly designed hedge funds so that they too could punt shitcoins. Everyone piled info the same deals, all thinking they “got it”. That worked well all of 2017.

Today, Ether slides towards $200. At best, many token projects are down 50% from 2017. At worst, they are slightly above than zero.

This begs the questions:

  1. Did any funds actually realise any of their outstanding 2016 profits?
  2. Can VC-turned-hedge-fund-punters psychologically handle mark-to-market losses?
  3. How many token projects actually sold a large or hedged portion of the Ether they raised?

Big Door In, Small Door Out

One of the first things you learn as an Asia Pacific trader: how you exit a position is more important than how you enter.

My first trading book was the Vietnam certificates book. Our desk issued USD denominated certificates on a basket of Vietnamese stocks. Calling the Vietnamese stock market “Mickey Mouse” would have been a compliment in 2009.

You could only go one way per trading day on a particular stock. If you bought, you could only continue buying intraday, you could not sell. There was a 5% limit up and down each day; any stock in the news would hit either of those limits immediately in the morning auction. That meant you had to fax your orders into the broker and make sure you got in the queue as early as possible. Unfortunately, sometimes your broker front ran you because they knew you had size to trade in a particular stock.

My boss encouraged me to take a view on the market. Given the structure of the market, if I took a position, I was stuck with it for a while. And when I wished to exit, I would have to sell into strength or buy weakness to get out of a long or short position respectively.

When I became an ETF market maker, I routinely traded other “Mickey Mouse” markets like India, Indonesia, and China just to name a few. These markets were and still are marked by snap decisions (often overnight) by regulators which adversely affect traders who aren’t politically connected. I became obsessed with how to get out of any position: a trait which serves me well in the crypto markets.

My first boss taught me that everything was my fault as the trader. Obviously there are many things outside of your control, but if you approach your profession with that mentality you attempt to quantify and mitigate all of the risks within your control.

The point of my sermon is that most VC investors do not approach their investments with this mentality. Due to the illiquidity of their investments, they can mark to fantasy, show amazing returns on paper, and get paid. The only secondary market validation of their investments is the next round of fundraising, which can easily always go up if you get your boys to go in along with you. You pump my bags, I’ll pump yours.

VC investors loved ICOs in the bull market because they could point to an objective and liquid secondary market valuation. They used these eye-popping returns to raise bigger shitcoin funds in 2017, and early 2018. However, objectivity and transparency is undesirable when your shitcoin portfolio is down by a minimum of 50%. Depending on the vintage of the fund, it might be up, however, most money was raised and invested in 2H2017 to 2H2018. That means the suckers who invested recently are most likely down.

The VC investor who has never suffered the vagaries of the market is as green as the noob who thinks he or she can go from 1 to 100 Bitcoin in a few trading days. They don’t have the mental strength to cut positions to limit further losses, or backup the truck and buy opportune dips even though they are down. More importantly, LPs can now see an objective last price for a particular token, and can’t be hoodwinked. They will attempt to be a Monday morning quarterback, and that only adds to the VC investors’ anxiety. At a certain point, they go “fuck it”, and dump everything they can.

It is this moment, that Ether goes from a 3-digit to a 2-digit shitcoin.

Concentration Risk

Before the SAFT and other private token placement monstrosities, the majority of money was raised from retail token punters. Now that projects are scared of federal pound-me-in-the-ass prison, they mostly only accept accredited investors.

Accredited investors always had a way into new technology projects due to their wealth and access. This pool of investors is also highly concentrated. The number of funds that can spray $1 to $5 million into every vapourware project that agrees with their sector thesis is limited. However, these gatekeepers control a vast ocean of institutional money. Softbank’s Vision Fund is $100 billion.

So instead of a more dispersed pool of investors, the number of token holders of projects raising serious money decreased dramatically starting in mid-2017. The liquidation preferences went from dispersed along a price curve, to very concentrated.

VCs all compete with each other for the same pools of capital. These pools of capital all employ professionals from the same schools, and who passed the same financial certification tests. Therefore they will buy together and sell together. The biggest risk in the money management game is career risk. Better to lose money with everyone else, than lose money alone. The latter will cost you your job. And there ain’t no other profession that pays as well as financial services relative to the skills needed to be a practitioner. I remember one of my besties trying to argue he had skills because he could calculate the NAV of an ETF using the sumproduct() function on his excel sheet. #Delusional.

The herd of token VC punters will all decide to sell at the same time. If you don’t sell, and the market continues falling, you lose your job. So everyone sells simultaneously but who can eat all that shit? Retail cannot because the deals would never have gotten so large without institutional money. So we gap lower, first on tokens, then on the mothership Ether.

I don’t know what that tipping point will be, but in hindsight, it will be obvious when the capitulation occurs. There are those who believe that a sustainable token economy can exist. But they won’t be buying at these levels. Sub-$100 takes us back to Spring 2017 levels. At those depressed prices, the carrion is ripe for ingestion.

ETHUSD Perpetual Swap Two Week Update

One of our strengths at BitMEX is financial innovation. We created the XBTUSD perpetual swap, a truly unique product to any financial market. XBTUSD is now the most liquid crypto instrument globally by a factor of 10 and has been emulated by a half dozen crypto markets.

On the back of that success, BitMEX has created a way to replicate the same Bitcoin-margined perpetual swap but on Ether / USD via a quanto pricing model. This product is the ETHUSD perpetual swap. In just under two weeks, this product has become the most liquid Ether / USD (or USD equivalent) pair globally, and has proven to be a vital instrument in speculating or hedging on the ETH/USD price pair.

In the last 24 hours, BitMEX’s ETHUSD swap has traded the equivalent of 800,000 ETH. The next most liquid ETH/USD and ETH/USDT markets, Bitfinex and Binance, traded just under 500,000 ETH each in the same period.

If you are still unsure on the pricing or trading of this instrument, please take a look back at our newsletter from last week where we run through multiple worked examples on hedging and speculating. To aid in your understanding, we have also created a downloadable spreadsheet to work through the math.

对冲双币种 (Quanto) 永续合约




乘数: 0.000001 XBT
ETHUSD 价格: 500 美元
.BETH (ETH/USD 现货指数): 500 美元
.BXBT (XBT/USD 现货指数): 10,000 美元


情景一:做空 ETHUSD 并对冲

您做空了 10 万张 ETHUSD 合约。



XBT 价值 = $500 * 0.000001 XBT * -100,000 = -50 XBT
ETH 价值 = XBT 价值 / [ .BETH / .BXBT ] = -1,000 ETH


接下来,您通过以现货价格购买 1,000 ETH 来对冲您的 ETH/USD 仓位。假设您可以用与 .BETH 的指数匹配的价格购买。

您已经为标的货币进行了对冲。此时,您的仓位是完全对冲的。但是,随着 ETHUSD 价格的变化,您在 ETHUSD 的盈亏为 XBT,而您的 ETH 对冲仓位的盈亏则为美元。让我们看看下列两个极端的例子。


例一: .BETH 涨而 .BXBT 跌

.BETH 和 ETHUSD 涨至 750 美元

.BXBT 跌至 5,000 美元


ETHUSD 盈亏 =( ETHUSD 平仓价格 -  ETHUSD 开仓价格) * 乘数 * 合约数量 = -25 XBT ,美元价值:-125,000 美元

ETH 现货美元盈亏 =( .BETH 平仓价格 - .BETH 开仓价格) * ETH 数量 = 250,000 美元

净美元盈亏 = ETHUSD XBT 美元盈亏 + ETH 现货美元盈亏 = +125,000 美元


在这个例子里面, XBT 和 ETH 的美元价值之间的相关性是 -1 。当他们的价格在一种完全负相关的方向移动时,您就赚了钱。


例二: .BETH 涨而 .BXBT 也涨

.BETH 和 ETHUSD 涨至 750 美元

.BXBT 涨至 15,000 美元


ETHUSD 盈亏 = -25 XBT,美元价值:-375,000 美元
ETH 现货美元盈亏 = 250,000 美元
净美元盈亏 =  -125,000 美元


在这个例子里面, XBT 和 ETH 的美元价值相关性是 +1 。当他们的价格在一种完全正相关的方向移动时,您就亏钱了。

当相关性下降时,做空 ETHUSD + 对冲仓位会录得收益,而当相关性上涨时,该仓位便会录得损失。由于 ETHUSD 与 .BETH 的基差是平坦的,开仓价格已经假设了两个加密币之间的相关性为零。

情景二:做多 ETHUSD 并对冲

您做多了 100,000 张 ETHUSD 合约。



XBT 价值 = $500 * 0.000001 XBT * 100,000 = 50 XBT
ETH 价值 = XBT 价值 / [ .BETH/.BXBT ] = 1,000 ETH


接下来,您通过以现货价格卖空 1,000 ETH 来对冲您的 ETH/USD 仓位。假设您可以用与当前 .BETH 指数价格匹配的价格购买,并且无需付出 ETH 的借贷成本。

您已经对冲了标的货币的风险,您的仓位也是完全对冲的。但是,随着 ETHUSD 价格的变化,您在 ETHUSD 的盈亏为 XBT ,而您持有的 ETH 对冲的盈亏则为美元。



例一: .BETH 涨而 .BXBT 跌

.BETH 和 ETHUSD 涨至750美元

.BXBT 跌至 5,000 美元


ETHUSD 盈亏 = 25 XBT,美元价值:125,000 美元
ETH 现货美元盈亏 = -250,000 美元
净美元盈亏 = -125,000 美元


在这个例子中, XBT 和 ETH的美元值之间的相关性是 -1 。他们的价格以一种完全负相关的方向移动,您就亏钱了。


例二: .BETH 涨而 .BXBT 也涨

.BETH 和 ETHUSD 涨至 750 美元

.BXBT 涨至 15,000 美元


ETHUSD 盈亏 = 25 XBT,美元价值:375,000 美元
ETH 现货美元盈亏 = -250,000 美元
净美元盈亏 = 125,000 美元


在这个例子中, XBT 和 ETH 的美元价值之间的相关性是 +1 。他们的价格以一种完全正相关的方向移动,您就赚了钱。

当相关性上涨时,做多 ETHUSD + 对冲仓位将获利,而当相关性下降时,它便会录得损失。由于 ETHUSD 与 .BETH 基差是平坦的,开仓价格已经假设了两个加密币之间的相关性为零。





XBT 和 ETH 之间的相关性不是静态的。持有对冲掉期仓位的时间越长,所预期的相关性变化的可能性就越大。

与定期合约不同, ETHUSD 的掉期没有到期日。因此,您的双币种风险是根据持有的投资期限来定的。对于快速进入和撤出市场的做市商而言,双币种风险可以忽略不计。对于将持有仓位较长一段时间的做市商来说,双币种的影响则可以破坏整个交易的盈亏。



许多做市商不会愿意不对冲共变风险。他们将不断的在 BitMEX 上对冲他们的盈亏 。根据 XBT 和 ETH 波动率及其相关性,协方差将决定盈亏的对冲是否对您的整体利润产生正面或负面影响。如果两种资产都是高度不稳定的,并且相关性正在向您所想或您所不想的方向发展,那么对冲 盈亏 的收益或损失就会被放大。

我们目前还没有历史数据。在未来几个月里,我将继续观察过去的数据并尝试计算出哪些部分资金是属于做市商在双币种风险中所进行的定价,以及哪些部分是属于 ETH 和美元之间的利率差异。





BitMEX (

投机者使用双币种 (Quanto)

投机者最关心的是能够持有仓位,他们是否能够廉价地买入和卖出是相对次要的。如果 BitMEX 能够为比特币双币种衍生品创造一个流动市场,那么投机者们将会蜂拥而入。

正如我之前在上文 “为什么使用双币种?” 中解释的, BitMEX 为了提供 ETH/USD 产品,我们不得不使用比特币双币种。这篇文章将进一步探讨投机者所关心的重点。



乘数:每 1 美元 0.000001 XBT
合约数量: 10,000



对投机者来说最重要的一点是合约的收益函数。由于我们正在就 ETH/USD 价格进行投机,理想情况下,合约的比特币价值应以线性方式根据于 ETH/USD 的价格来增加或减少。

我假设投机者用比特币( XBT )作为表示他们的收益结算货币。那么比特币兑美元的价格对于 ETH/USD 的仓位来说是无关紧要的。简而言之,投机者希望透过使用比特币作为保证金来赚取更多比特币。

上图说明了在不同的 ETHUSD 价格下,仓位中 XBT 的收益呈线性变化。这正是投机者所要的。

XBT 价值 = ETHUSD 价格 * 乘数 * 合约数量



如何计算比特币保证金金额? ETHUSD 合约的初始保证金为 2% ,即 50 倍杠杆。

初始保证金( IM )= 2% * XBT 价值

如果您以 500 美元的价格进入 ETHUSD 的仓位,您的初始保证金要求如下:

初始保证金 = 2% * $500 * 0.000001 XBT * 10,000 = 0.10 XBT

下一个重要的考虑因素是您的强平价格,这将取决于维持保证金需求。 ETHUSD 合约的维持保证金为 1% 。如果 ETH/USD现货价格下跌 1% ,您将被强平。


计算收益( 盈亏 )

盈亏是以比特币计价。在比特币价值方面,盈亏随 ETHUSD 价格呈线性变化。如果合约上涨 1% ,您以比特币计价的 盈亏 也会上涨 1% 。上图说明了这一点。

XBT 盈亏 =( ETHUSD 平仓价格 – ETHUSD 开仓价格)* 乘数 * 合约数量

在上面的例子中,如果 ETHUSD 价格从 500 美元变为 600 美元,那么 XBT 盈亏 如下:

XBT 盈亏 =( $600 - $500 )* 0.000001 XBT * 10,000 = 1 XBT





合约数量 = XBT / [ ETHUSD 价格 * 乘数]

如果您想要持有 100 XBT 的仓位,您必须交易的 ETHUSD 合约数量:

合约数量 = 100 XBT / [ $500 * 0.000001 XBT ] = 200,000 张合约

双币种的产品结构可以满足以比特币本位投机者的需求。投机者关注的主要交易点与 ETH/USD 价格呈线性关系。如果合约是具有流动性的,合约价格相对于标的资产的价格便不是主要问题。

影响合约是以溢价还是折价的交易的因素将在后续文章中进行探讨。这些因素在很大程度上取决于双币种 衍生品的第一对冲原则。若要进行该合约对冲是则要留意其非线性的影响了。






BitMEX (