Quanto for Speculators

Speculators care about obtaining exposure to risk. How they get that exposure if they can get in and out cheaply is secondary. If BitMEX is able to create a liquid market for Bitcoin quanto’ed derivatives, speculators will flock to them.

As I previously explained in “Why Quanto?”, in order for BitMEX to offer ETH/USD risk, we had to quanto into Bitcoin. This post will explore the concepts speculators care about.

For all the below examples we will use the following assumptions:

Contract: ETHUSD
Multiplier: 0.000001 XBT per 1 USD
Contracts: 10,000

Contract Value

The most important aspect to a speculator is the contract’s payoff function. Since we are speculating on the ETH/USD price, ideally the contract’s Bitcoin value should increase and decrease in a linear fashion with respect to the ETH/USD price.

I assume the speculator denominates their profit in Bitcoin (XBT) terms. Therefore the value of Bitcoin in USD terms at a particular ETH/USD price is irrelevant. Put simply, the speculator wants to use Bitcoin as a margin to earn more Bitcoin.

The above chart illustrates that at different ETHUSD values, the XBT value of the position changes linearly. That is exactly what the speculator desires.

XBT Value = ETHUSD Price * Multiplier * # Contracts

Calculating Margin

How is the amount of Bitcoin margin calculated? The initial margin for the ETHUSD contract is 2%, or 50x leverage.

Initial Margin (IM) = 2% * XBT Value

If you enter the trade at an ETHUSD Price of $500, this is your initial margin requirement:

IM = 2% * $500 * 0.000001 XBT * 10,000 = 0.10 XBT

The next important consideration is what is your liquidation price. That is determined by the maintenance margin. The maintenance margin for the ETHUSD contract is 1%. If the underlying ETH/USD spot price declines by 1%, you will be liquidated.

Calculating Profit and Loss (PNL)

The PNL is denominated in Bitcoin. In Bitcoin terms, the PNL changes linearly with the ETHUSD price. If the contract goes up 1%, your Bitcoin PNL also goes up 1%. The chart above illustrates that.

XBT PNL = (ETHUSD Exit Price - ETHUSD Entry Price) * Multiplier * # Contracts

In the above example, if the ETHUSD price moves from $500 to $600, this is the XBT PNL:

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

Number of Contracts

To get a certain amount of Bitcoin exposure requires a little math.

The following describes how to calculate how many contracts it takes to equal a desired Bitcoin notional.

Contracts = XBT Notional / [ ETHUSD Price * Multiplier ]

If you want 100 XBT of risk, how many contracts of ETHUSD must you trade:

Contracts = 100 XBT / [ $500 * 0.000001 XBT ] = 200,000 Contracts

The quanto structure satisfies the desires of a Bitcoin-based speculator. The major components that speculators care about all vary linearly with respect to the ETH/USD price. The relative rich or cheapness of the contract vs. the underlying is not a major concern if the contract is liquid.

The factors that govern whether the contract will be at a premium or discount will be explored in the subsequent piece. These considerations heavily depend on how to hedge a quanto derivative from first principles. The hedging of the contract is where the non-linear effects matter.

Why Quanto?

The USD is the biggest shitcoin out there. However, all assets are priced against it. Crypto is not immune. The Bitcoin / USD price is the most important cross in the crypto asset universe.

Moving into the altcoin space, the most active crosses are against the USD as well. To replicate our inverse style derivatives on an altcoin / USD cross requires us to accept the altcoin in question as collateral. The next natural altcoin BitMEX could accept is Ether. However, to fit into our multi-sig security process, it requires us to use/code an Ethereum multi-sig smart contract.

Unfortunately, due to various exploits of popular Ethereum multi-sig smart contracts, we never felt comfortable custodying Ether. Rule 1, to infinity minus 1, of operating a crypto trading platform, is don’t lose the crypto. Anything we can do to limit our risk surface area we must do. Therefore, taking Ether as collateral given the current state of the protocol is a non-starter.

Given these constraints, we cannot launch an Ether margined inverse ETHUSD contract. An inverse style contract is one where the margin and PNL currency is denominated in the home currency (ETH), the quote currency is denominated in the foreign currency (USD), and the contract value is a nominal amount of the foreign currency (USD).

Inverse Contract Example: XBTUSD Swap

Margin Currency: XBT (Bitcoin)
Quote Currency: USD
Contract Value: $1

In order to offer risk on ETH/USD where Bitcoin is used as the margin and PNL currency, the quanto derivative type is necessary.

From Wikipedia:

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.

Quantos are exotic derivatives that can move non-linearly with respect to the underlying. However, they are very beneficial for speculators and hedgers in search of liquidity, where they can post margin in a currency in which they feel comfortable. In my time as a delta one trader, we routinely traded USD quanto derivatives to get exposure to local currency futures contracts in countries that restricted the trading ability of foreigners (e.g. India and Taiwan).

The recently launched BitMEX ETHUSD Perpetual Swap is a quanto derivative. The contract pays out 0.000001 XBT per 1 USD. This means that the Bitcoin multiplier is constant regardless of the nominal USD price of ETH. This is great for speculators, the Bitcoin return varies linearly with respect to the ETHUSD price. For those using this contract to hedge the ETH/USD cross or market makers, it gets a bit trickier. I will get into the mechanics of hedging and market-making later in this newsletter.

Quanto Worked Example Spreadsheet
We have created a spreadsheet for users to download and work through some of the below use cases that can be accessed here.

Announcing the new ETHUSD Perpetual Contract

On the back of the success of the XBTUSD Perpetual Contract, Bitcoin’s most liquid market, BitMEX is proud to launch the all-new ETHUSD Perpetual Contract.

Trading is now live! Full contract specs are available here and summarised below:

Symbol: ETHUSD
Expiry Date: Perpetual
Bitcoin Multiplier: 0.000001 XBT (100 Satoshis)
XBT Contract Value: ETHUSD Price * Bitcoin Multiplier (100 Sat/$1)
Underlying: .BETH (Bitstamp, GDAX, and Kraken equally weighted)
Max Leverage: 50x
Funding Min/Max: -0.75% to 0.75%
Session Interval: 8 hours

ETHUSD 永续掉期已经上线

继 XBTUSD 永续合约的空前成功,成为了比特币最具流动性的市场后,BitMEX 很荣幸推出全新的 ETHUSD 永续合约。


到期日: 永续
比特币乘数: 0.000001 XBT (100 聪)
XBT 合约价值: ETHUSD 价格 * 比特币乘数 (100 聪 / 1 美元)
标的: .BETH (Bitstamp,GDAX 和 Kraken 均为相等权重)
最大杠杆: 50 倍

最低/最高资金费率: -0.75% 至 0.75%

费率间隔: 8 小时




BitMEX (www.bitmex.com)




BitMEX 比特币/美元 2018 年 12 月 28 日定期合约 XBTZ18 最近开始能够交易了。以下交易策略是假设短期内的现货价格将在 2018 年第 3 季度继续下跌,然后在 2018 年第 4 季度大幅反弹。这种情况还需要假设投资者情绪不会消失并假设将进入长期熊市。


  1. 从现在开始做空 XBTU18 ,直到您相信比特币已经触底。
  2. 平仓做空的 XBTU18 ,然后买入 XBTZ18 。

最初做空九月季度合约的原因是由于其较低的时间价值,该合约应该对现货价格的波动更敏感。它也更具流动性,因此恐慌的投机者和对冲交易员将选择该定期合约。其年化基差应以比 XBTZ18 的具有更大的折价。

买入 XBTZ18 等价格反弹的原因是因为它有更多的时间价值。如果市场确实按预期运行,投机者将哄抬曲线的尾端。到 12 月底前,很多事情都有可能发生。鉴于比特币是看涨期权,未来隐含波动率导致价格上涨而不是下跌的可能性更大。您所买卖的合约时间价值越多,长凸度合约就更大机会如你所愿的走。


  1. 从现在开始买入 XBTU18 同时卖空 XBTZ18,持仓至您认为比特币已经触底 。
  2. 利用 XBTUSD 空仓代替以上的 XBTU18 空仓。

因为您预计抛压将发生在曲线的短端,所以期限结构将变得陡峭,导致 XBTU18 空仓的收益抵消了 XBTZ18 多仓的亏损。上面的期限结构图显示了 BitMEX 比特币/美元定期合约市场的当前曲率。它的幅度较平,这表明现在是开展这种价差交易的好时机。

这是一个价格中立的交易; 但请注意,每个仓位的保证金都是单独计算。 XBTU18 空仓的未实现收益不能用于抵消 XBTZ18 多仓的未实现亏损。







BitMEX (www.bitmex.com)


全球的交易员们在价格由 20,000 美元下滑至 6,000 美元期间所经历的痛苦进一步证明,最近经历的损失比以往经历的收益更显得 “重要”。财经媒体和许多交易员似乎忘记了 18 个月前其价格仅仅为 1,000 美元,然后在 2015 年秋季价格仅为 200 美元。


那其比特币的实际应用性呢?妨碍比特币被市场广泛采用的一个主要原因是其价格波动太大。在单纯的比特币经济体系中,如果比特币的价值时常剧烈波动,人们如何将比特币与真实商品进行交易?这些差劲的交易员并没有真正了解这个新交易网络的 “核心” 价值。根据您过往的经验,有什么交易网络的代币可以在一年内价格增幅达到 20 倍?没有。因此,价格的驱动力不是在于当前应用,而是对未来应用价值的投机。

改变人们使用钱的方式是一个非常漫长而艰难的过程。这个过程本质上必然是混乱的。 金钱及其使用方式是根据个人习惯而不同的,有时受宗教影响。如果您向一个社会公告,明天的处事方法将与过去 200 年的方法不同,该社会对此改变会产生一种强烈的对抗性。暴力变革是必要的。因此,如果要使比特币成为有效的广泛应用货币,那么走向这个新时代的时期必定是极不稳定及波动的。

比特币是新货币体系的看涨期权。期权定价最重要的因素是标的资产的隐含波动率。如上图所示,实现的 30 天年化波动率与价格一起下跌。当波动率回升时,价格便会回升。


2015 年的超级熊市始于该年 1 月,当时价格跌破 300 美元。在接下来的 10 个月里,价格在 200 美元到 300 美元之间。 虽然这范围在 50% 区间,但每日波动非常小。

没有波动,许多交易员,投资者和市场评论员都不再关注比特币。为什么人们要关注一个已经从最近的历史最高点跌了 80% 且没有波动性的资产?

交易员因为波动性重现而重返市场。如果比特币在 30 天内可以达到年化波动率 100% ,那么就投资者便可以拥有快速获利的工具。害怕踏空的 “投资者” 觉得在很短的时间内价格从 200 美元到 20,000 美元,他们认为可以用很少的努力改善他们未来的生活。从 2015 年到 2017 年,比特币在实际商业中的应用从根本上看来并没有太多变化。

重回 20,000 美元

在波动性大幅上升之前,回到历史高位之路不会真正开始。人们需要再次被振奋。一天 10% 的价格波动将带来好日子。真正的问题是哪一个催化剂能为派对鸣起前奏,以及它需要多长时间。

在 2017 年牛市期间,全球宏观事件对比特币的影响被遗忘了。 2018 年下半年,全球宏观事件证明了比特币是一种避险资产。 2015 年,希腊几乎告诉了弗劳·默克尔该怎么做,但他在十字路口退缩了。当市场认为希腊可以得到实际解放时,比特币的价格反应是积极的。如果在今年晚些时候发生类似的恐慌,比特币会重新获得避风港地位吗?


MSM 依然喜爱比特币

值得庆幸的是,主流财经媒体喜欢谈论加密币。领导人物的个性大于生命。即使在比特币 6,000 美元和以太币 400 美元的情况下,大批富裕的人正在做出有趣的决定,媒体无法不报道他们。在 2015 年没有人在留意,而在 2018 年每个人都在留意。

为了证明自己的先见之明, MSM 将试图在比特币市场抄底。愚蠢的大众如果相信这些权威人士可以预示未来的话便会在刀口舐血。许多人会失败,但如果尝试的足够多次,有些人会成功。这些成功的散户将成为交易之神并在电视中播报着。这将进一步增加市场害怕错过的情绪,提高市场波动性和使得价格升值。






BitMEX (www.bitmex.com)

Calling the Curve

The BitMEX Bitcoin / USD 28 December 2018 futures contract, XBTZ18, recently began trading. The following trade ideas assume that spot in the short term will continue to fall and bottom in 3Q2018, and then aggressively rebound into 4Q2018. This scenario also assumes that trader sentiment will not fall out and enter a protracted bear market.

However, if you have very high conviction in that scenario, the riskiest and potentially most profitable strategy would be to:

  1. Go short XBTU18 from now until you believe Bitcoin has bottomed.
  2. Cover the short XBTU18, and then go long XBTZ18.

The reason to go short the 3m initially is that it should be more responsive to spot movements due to its lower time value. It is also more liquid so panicked speculators and hedgers will use that futures contract. Its annualised basis should trade at a steeper discount than XBTZ18.

You go long XBTZ18 on the rebound because it has more time value. If the market does perform as you expect, speculators will bid up the backend of the curve. A lot of things can happen by the end of December. Given that Bitcoin is a call option, the future implied volatility has a greater probability of causing the price to rise rather than fall. The more time value housed in the instrument you are trading, the better change the long convexity can work in your favour.

If you believe this a credible sequence of events, but want to reduce risk, a spread trade is advisable. The reduced risk comes at a the cost of reduced profit potential.

  1. Go short XBTU18 vs. long XBTZ18 from now until you believe Bitcoin has bottomed.
  2. Replace the above short XBTU18 with a short on XBTUSD

Because you expect the sell pressure to happen at the short-end of the curve, the term structure will steepen causing the profit made on the short XBTU18 position to offset losses on the long XBTZ18 position. The term structure chart shown above shows the current curvature of the BitMEX Bitcoin / USD futures markets. It is relatively flat, which indicates now is the time to enter into this spread trade.

This is a price neutral trade; however, be aware that each position is margined separately. Unrealised profit from the short XBTU18 position cannot be used to offset unrealised losses from the long XBTZ18 position.
The second trade is a funding plus long 6m basis trade. As the market rebounds, the swap will be pushed into a premium which means shorts will receive funding. The long end of the curve will also get bid up in annualised basis terms due to the greater time value. You earn money from the swap funding, and futures basis appreciation. Again this trade is price neutral, and you must be cognizant of each positions’ margin.
The reason why I prefer the use of spread trades to express directional moves is that if my prediction is wrong, it does not destroy my capital base. The more conviction around the prediction, the more leverage I employ on each leg to juice up my return on equity.

The Volatility Blues

The anguish experienced by traders worldwide during the $20,000 to $6,000 slide further proves that recently experienced losses matter more than gains. The financial media and many traders forget that 18 months ago the price was $1,000 and then in the fall of 2015 the price was $200.

Jonny-come-lately traders / investors were eviscerated by the recent moves. To make matters worse, the volatility collapsed alongside the price. For crypto, this is deadlier than white wine and painkillers.

But what about adoption? One of the major facets of Bitcoin preventing further adoption is its high volatility. In a pure Bitcoin economy, how can people trade Bitcoin against real goods if its value violently fluctuates? The underwater trader laments that the market just doesn’t get the “fundamental” value of this new transaction network. Well, what transaction network’s monetary token do you know increased 20x in value in under one year? None. Therefore, the driving force is not about current utility but intense speculation on future utility.

Changing the way in which humans use money is an extremely long and difficult process. This process by its nature must be chaotic. Money and the means by which it is handled is personal and sometimes religious. If you tell a society that tomorrow things will be done differently than how they were done over the past 200 years, there will be an intense reticence to change. A violent upheaval is necessary. Therefore, if Bitcoin is to be used in any productive manner, the period leading up to this new epoch must be extremely volatile.

Bitcoin is a call option on a new monetary system. The most important option pricing input is the underlying asset’s implied volatility. As the above chart illustrates, the realised 30-day annualised volatility crashed alongside the price. When volatility returns, the price will go higher.

We Have Been Here Before

The nuclear bear market of 2015 started in January when the price broke $300. For the next 10 months, the price traded between $200 and $300. While that is a 50% range, the daily movements were very slight.

Without volatility, many traders, investors, and market commentators wrote off Bitcoin. Why should one care about an asset that has crashed over 80% from its recent all-time high, and has barely moved since?

Traders returned to the market because the volatility re-emerged. If Bitcoin can gyrate 100% in annualised volatility terms in a 30-day period, then quick gains can be made. The FOMO “investors” who believe they can change their lot in life with little effort and in little time took us from $200 to $20,000. There were not many things that fundamentally changed about the adoption of Bitcoin in real commerce from 2015 to 2017.

Return to $20,000

The path to parity will not begin in earnest until volatility rises materially. People need to be excited again. 10% pump & dumps in one day will bring back the good times. The real questions are what catalyst will start the party again, and how long will it take.

During the 2017 bull market, the effect of global macro events on Bitcoin was forgotten. For 2H2018, a global macro event will have to prove that Bitcoin is a safe-haven asset. In 2015 Greece almost told Frau Merkel to do one, but chickened out at the crossroads. Bitcoin responded positively when the market believed Greece could actually liberate itself. If a similar type scare happened later this year, would Bitcoin regain its safe haven status?

With the Fed, ECB, and BOJ effectively flatlining or outright reducing their balance sheets, cracks in the financial markets will show later this year. Money printing has never led to prosperity in the long run, and when you shut off the tap the ghosts and ghouls of the financial markets will play.

The MSM Still Loves Bitcoin

Thankfully the mainstream financial press loves talking about crypto. The personalities of the leading figures are larger than life. Even at Bitcoin $6,000 and Ether $400 a whole cadre of individuals are generationally wealthy, and are making interesting life choices the media can’t stop covering. In 2015 no one was watching, in 2018 everyone is.

In order to prove their prescience, MSM outlets will fall over themselves attempting to call the bottom in Bitcoin.  The foolish many who believe these pundits actually can divine the future will attempt to knife catch. Many will fail, but if enough try, some will succeed. These successful retail punters will be paraded on the airwaves as trading gods. This will further increase the FOMO, volatility, and price appreciation.

Nothing goes up or down in a straight line. I still haven’t seen enough pain and anguish to believe we are done bloodletting. In true Bitcoin fashion, the price will go to the level no one thinks is possible and rebound faster than traders can work up the nerve to BTFD.

TRON 定期合约

更新于北京时间 6 月 26 日 17:30:由于目前的币安系统处于停机状态,BitMEX TRXU18 的上架将被推迟。 我们会在上架前发布另一个更新。

更新于北京时间 6 月 26 日 20:50 :币安已经重新上线。 由于现在已经很晚了,上架时间已顺延至北京时间 6 月 27 日 16:30。

基于广泛的需求,我们已经在北京时间 2018 年 6 月 27 日 16:30 上架 BitMEX 波场币 / 比特币 2018 年 9 月 28 日定期合约 TRXU18。




BitMEX (www.bitmex.com)




– 塞缪尔·贝克特,等待戈多


加密社区自创立以来一直在等待各种各样的戈多。对于交易员来说,我们的戈多是神话般的机构投资者。当他们涉足越来越大的时候,我们的行李箱会变成兰博基尼,我们会从此过上幸福的生活。当他们参与其中时,流动性会神奇地改善,市场将 “按照预期的走势”。

包括我自己在内的许多加密评论员认为 2018 年是机构投资者大举进入市场的一年。这笔大量的新资金将有助于支持比特币价格高于 10,000 美元; 并在短时间内带我们去美丽的圣域 – 瓦尔哈拉。


CME 和 CBOE 的比特币期货合约交易量是最好的判断方法。这两份合约都是用美元作为保证金和结算货币。任何交易这些合约的人均可承受比特币价格收益及风险,又不需要持有比特币,而在 BitMEX ,我们的合约及保证金都是用比特币结算。这意味着您必须拥有比特币才能交易。大多数机构投资者都喜欢比特币这个市场,但又很害怕实际购买,持有和交易比特币。



上面的图表显示了 CME , CBOE 和 BitMEX 比特币/美元年初至今的美元交易量。

可以观察到的第一重点是 BitMEX 仍占据主导地位。 BitMEX 的散户客户群的交易量是 CME 和 CBOE 的机构客户群的数倍。大部分 BitMEX 散户投资者会发现很难在和 CME 及 CBOE 有合作的经纪商那儿开设账户。这些经纪商要求相对较高的账户最低限额。 CME 和 CBOE 所提供的合约具有较低的杠杆率和较高交易门槛,即使一般 BitMEX 的客户在 CMB 和 CBOE 有交易权限,也未必能达到这些合约的交易门槛。

从这些数据中可以清楚地看到,散户投资者仍然支配着这些流量。有趣的是,如果您在 Telegram , 微信 , Reddit 等地方呆了足够长的时间,您会听到交易员谈论由衍生品市场的特定行为引发的现货价格变动。周五 OKEx 合约结算可能会导致砸盘。交易行为也受到 BitMEX 比特币/美元掉期即将发生的大额资金支付所影响。但您很少会听到,市场会因为 CME 或 CBOE 合约即将到期而被影响。



CME 和 CBOE 的交易量都表明机构投资者参与市场的积极性有限。 1 月– 5 月同期相比的年复合增长率为 3.94% 。但是,这将会改变。随着银行在接下来的 6 至 12 个月内交易行为加剧,他们将开始为他们的客户进行加密市场的洗礼。如果一家银行公开宣布创建交易团队,他们将承担某程度的声誉风险,他们也将尽其所能的创造相关业务来证明其承担的风险合理性。其中最容易交易的产品便是不需要实际接触标的资产的金融产品。

使得新成立的交易团队先拔头筹的最简单方式是为 CME 和 CBOE 挂牌的期货提供风险定价。客户想要立即进行大笔金额的交易;卖方服务可以进行双向报价并在交易日当天清除其仓位风险。客户可以即时获得流动性,并且银行可以针对有实际交易的流量设定合理的买卖差价。

随着交易量和持仓量增长,美元结算和比特币结算衍生品市场之间的相互作用将导致市场获利扭曲。在此发生之前,有兴趣的投资者应该阅读 BitMEX 和 CME 期货指南。 BitMEX 产品的非线性使事情更复杂了,但最终意味着两个宇宙之间将出现有利可图的套利和差价交易。




BitMEX (www.bitmex.com)

新的 EOS 定期合约

在过去的一个月中,我们对 BitMEX 交易引擎进行了显著的性能改进,提高了平台的整体容量并减少了系统超负荷响应。 我们将很快发布 BitMEX 的成长系列的第二部分,在里面将详细说明我们最近所做的改进以及我们目前的工作。 点击这里阅读第一部分。

由于容量的提高和广泛的需求,我们已经在北京时间 2018 年 6 月 7 日下午 3 点挂牌了 BitMEX EOS 代币/比特币定期合约 EOSM18,到期日为 2018 年 6 月 29 日。




BitMEX (www.bitmex.com)