비트코인 캐시 선물계약 출시

비트멕스 BCHX17 선물계약 전격 오픈!

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

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

비트멕스 비트코인 캐시 홀딩스

2017년 12월 31일 또는 그 이전까지의 주요 시행계획:

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

비트멕스 선물 하드포크 정책

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

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

比特币现金期货已经挂牌

BitMEX BCHX17 期货已经挂牌

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

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

BitMEX 的比特币现金持有量

在 2017 年 12 月 31 日或之前 :

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

BitMEX 未来的硬分叉政策

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

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

Bitcoin Cash Futures Now Live

BitMEX BCHX17 Futures Now Live

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

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

​BitMEX Bitcoin Cash Holdings

On or before 31 December 2017:​

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

BitMEX Future Hard Fork Policy

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

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

德意志银行关系网

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


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

 

其文化是野蛮的。我在香港进行的暑期实习面试表现出了这一点。

 

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


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


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


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


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

 

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


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

 

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


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


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

 

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

 

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

 

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


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

 

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


还有另外两位前德意志银行香港员工不愿被提及。

 

欢迎转载,请注明文章来自

BitMEX (www.bitmex.com)

 

The Deutsche Bank Connection

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

为芝加哥商品交易所(CME)欢呼吧

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

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

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

 

托管风险

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

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

 

流动性

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

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

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

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

 

分散市场

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

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

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

 

大伙儿来点儿ETF?

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

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

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

 

以快打慢

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

 

欢迎转载,请注明文章来自

BitMEX (www.bitmex.com)

 

All Hail The CME

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

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

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

Custody Risk

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

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

Liquidity

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

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

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

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

Market Fragmentation

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

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

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

ETF Anyone?

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

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

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

Slow then Fast

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

矿工卖空挤压策略

仓位已经开始反应出热烈的交易情况。在上一期通讯中,我强调了以SegWit2x 硬分叉为主的BitMEX期货交易策略。三周后,期货基准显示交易员在硬分叉前持有的大量仓位。在这篇文章中,我将研究进阶交易需要考虑的因素和仓位还原的策略。

 

XBTZ17本质

自今年1月份以来,比特币已经涨了7倍多。在这个强势的牛市中,期货应该以正价差交易。多头方必须支付高额的利息来吸引空头方进入与大趋势相反的仓位。

下图列出了XBTM17(6月),XBTU17(9月)和XBTZ17(12月)比特币/美元期货合约的年化溢价百分比。

每个季度合约的价格都在上涨。然而,比特币现金和即将推出的SegWit2x硬分叉别削减了XBTU17和XBTZ17的溢价。

Max % Premium PA Max % Outright Discount
XBTM17 122.30% -2.28%
XBTU17 32.38% -5.62%
XBTZ17 42.47% -7.17%

上图表显示,XBTM17在没有经历过硬分叉的情况下,其溢价和折扣都是最高的。在比特币现金的硬分叉发生时,XBTU17录得其最大价格折扣。

XBTZ17的价格已经反应了即将发生的SegWit2x硬分叉。如果其最大折扣已经超过了XBTU17的话,那么我们可以预期在SegWit2x硬分叉之前会有一个相当大的价格折扣。

折扣反映了交易员对混乱的硬分叉的恐惧及交易员同时出售XBTZ17及买入现货比特币以创造一个没有比特币价格风险的SegWit2x货币的仓位。由于围绕SegWit2x硬分叉风险的宣传力度加大,其硬分叉前的折扣可能高达15%。

 

仓位还原

这一次,大部分精明的交易员都透过卖空XBTZ17基准来达到仓位还原的目的。基准点 = 未来价格 – 现货价格。任何时候基准持平或是为正数的时候,他们便会增加空头头寸。然而,一但硬分叉结束大量的XBTZ17仓位必须被平仓。

许多交易员可能会以大幅折扣的方式来关闭其持有的XBTZ17空头仓位,然后转为多头来紧贴之后的升势。但如果每个人都如此操作的话,很多人在仓位还原的时候便会放弃利润。另外,看涨的投机者将会在硬分叉前做单向多头,预期在硬分叉后价格出现大幅反弹。

 

卖空挤压策略

我在德意志银行工作的时候,有一位法国期权交易员每每在市场高开高走的时候,都会发出了一个高频刺耳的“卖空挤压”嘶吼声。 XBTZ17是一个卖空挤压的绝佳市场,我相信追求利润最大化的矿工们会触发更高的价格上扬。

签署了“纽约协议”(NYA)的矿工们为了挽回面子,默许将会启用SegWit,同时确保未来区块链能有大区块。由于UASF的缘故,“纽约协议”启动了硬分叉,导致比特币现金的出现。

比特币现金的区块大小达到8MB却没有SegWit。就目前来看,分叉出SegWit2x比特币是没有必要的。然而,大部分矿工仍继续发出支持“纽约协议”的信号。

发出支持“纽约协议”的信号是没有任何成本的,同时也不意味着这些矿工们会用哈希算力来支持这个硬分叉。

如果在最后一分钟,所有的大矿工都停止发出支持“纽约协议”的信号并且硬分叉没有发生,市场将如何应对?答案就是市场大跌。另一个结果是XBTZ17基准的暴力重置。所有那些为了得到B2X股息的空头方都会在同一时点急于还原他们的交易仓位。

BitMEX不会派发B2X货币。因此,XBTZ17空头方将在硬分叉前一天将保证金从BitMEX中提取,并存入会派发B2X的交易所。这意味着空头杠杆将进一步增加,在卖空挤压中导致其仓位暴露在清算的风险中。

 

如果我是一个追求利润最大化的矿工我的策略是:

  1. 买入现货比特币。
  2. 以很大的折扣价格买入XBTZ17期货。
  3. 在硬分叉截止日前一刻停止发送支持“纽约协议”的信号。
  4. 享受通过保证金和期货消灭卖空方的乐趣。

 

如果您相信这个思想实验可能成为现实,那么您的策略应该是:

  1. 如果您是以做空为主(卖空XBTZ17及以现货价格买入),那么在获利的情况下还原交易仓位。
  2. 在基准是负值的情况下买入(买入XBTZ17及以现货价格卖空比特币)。
  3. 如果您的风险偏好大,那么在XBTZ17基准是负值的情况下单向买入。

 

SegWit2x比特币不是股息的概念

B2X与BCH的不同之处在于,B2X的支持者不希望他们的货币成为竞争币(“Altcoin”)。它将成为比特币或变得一文不值。所以他们拒绝实施可以令到交易所安全地支持B2X的重复交易保护。

如果交易所推迟B2X的上市,即便只推迟一天,可能您在可以卖出B2X的时候,它已经一文不值,因为它没有成功取代传统的比特币。

如果您在持平到正价格区间卖空XBTZ17基准,那么您便在价内。由于B2X和比特币之间的本质区别,早一些将获利平仓是比较谨慎的做法。

 

 

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The Miner Short Squeeze

Positioning has begun in earnest. In the last newsletter, I highlighted BitMEX futures trading strategies centered around the SegWit2x hardfork. Three weeks hence, the futures basis indicates aggressive positioning by traders heading into the hard fork. In this post, I will examine advanced trading considerations and unwind strategies.

XBTZ17 In Context

Bitcoin is up over 7x since January this year. Given this aggressive bull market, futures should trade in contango. Longs must pay a substantial amount of interest to entice shorts to position themselves against the trend.

The below charts list the annualised % premium for the XBTM17 (June), XBTU17 (September), and XBTZ17 (December) Bitcoin / USD futures contracts.

Each quarterly contract existed during a price rally. However, the Bitcoin Cash and upcoming SegWit2x fork dampened the premium for XBTU17 and XBTZ17 respectively.

Max % Premium PA Max % Outright Discount
XBTM17 122.30% -2.28%
XBTU17 32.38% -5.62%
XBTZ17 42.47% -7.17%

The above chart illustrates that XBTM17, which experienced no hard fork during its existence, had the highest premium and discount. XBTU17 experienced its max discount during the Bitcoin Cash hard fork.

XBTZ17 is already pricing in the SegWit2x hard fork. If the max discount has already exceeded XBTU17’s, then we can expect a substantially larger discount directly preceding the SegWit2x hard fork.

The discount is a combination reflecting traders’ fears of a disorderly hard fork, and traders selling XBTZ17 vs. buying spot to create SegWit2x coins with no Bitcoin price risk. Due to the heightened risk and publicity surrounding the SegWit2x hard fork, the discount could reach up to 15% pre-fork.

The Unwind

This time around most savvy traders are short XBTZ17 basis. Basis = Future Price – Spot Price. Any time the basis trades flat to positive, they increase their short position. However, once the fork is over large percentage of the XBTZ17 open interest must close their positions.

Many traders might close their XBTZ17 short at a mega discount pre-fork, then switch to long basis to play the relief rally. But if everyone is the same way, many will give up profits during the unwind. Additionally, bullish speculators will jump in pre-fork to take naked longs anticipating a sharp rally after the fork occurs.

SHORT SQUEEEZZE

During my time at Deutsche Bank there was a certain French options trader that emitted a high pitched squeaky yell of “Short Squeeze” any time the market gapped higher into the close. The XBTZ17 market is primed for a short squeeze, and I believe profit maximising miners could initiate an even sharper rally higher.

The miners signed the New York Agreement (NYA) in an effort to save face and acquiesce to activating SegWit, while at the same time securing larger blocks in the future. The NYA headed off a chain split due to UASF, but Bitcoin Cash was launched as a direct result.

Bitcoin Cash has an 8MB block size without SegWit. As it stands now, there is no need for SegWit2x Bitcoin. However, the majority of miners continue to signal for the NYA.

Signaling for the NYA costs them nothing, and it does not mean they actually will support the hard fork with hash power.

What would happen to the market if at the last minute all the large miners stopped signalling for NYA and the hard fork didn’t happen? You know the answer, Pump City. The other consequence is a violent resetting of XBTZ17 basis. All those who went short basis to collect the B2X dividend would rush to unwind their trades at the same time.

BitMEX will not credit B2X coins. Therefore, XBTZ17 shorts will remove margin from BitMEX the day before the fork and deposit on an exchange that will credit B2X. That means the leveraged used by shorts will increase further putting their positions at risk of liquidation during a short squeeze.

If I were a profit maximising miner here is what I would do:

  1. Buy Bitcoin Spot
  2. Buy XBTZ17 futures at a large discount.
  3. Shortly before the hard fork deadline, stop signalling for NYA.
  4. Bask in the glory of the annihilation of shorts on margin and futures.

If you believe this thought experiment might become reality here is what you should do:

  1. If you are short basis (short XBTZ17 vs. long spot), unwind that trade at a profit.
  2. Go long basis while it is negative (long XBTZ17 vs. short spot).
  3. If your risk appetite is large, go naked long XBTZ17 at a negative basis.

SegWit2x Bitcoin Is Not a Dividend

B2X is different than BCH in that B2X supporters do not want their coin to be an altcoin. It will either become Bitcoin or nothing.That is why they refuse to implement replay protection which allows exchanges to safely support B2X.

In the event exchanges delay the listing of the B2X by even a day, by the time you theoretically could sell B2X, it might be worthless because it failed at supplanting legacy Bitcoin.

If you went short XBTZ17 basis at a flat to positive level, you are in the money. Closing the trade early and earning the expected dividend is prudent due to the fundamental differences between B2X and BCH.

闻到味儿了吗?

比特币空头方尸体的腐朽气味变得更加刺鼻。比特币价格在一个月内从3000美元涨到近6000美元是非常惊人的。

在这段时间内,中国禁止了三个世界上最大的交易平台。 “纽约协议”签署方进一步推动了SegWit2x硬分叉。大银行机构的负责人甚至称比特币为一个骗局。

未来的路在哪?比特币价格可以到多高?难道这些风光只是昙花一现,之后带来的是一个世纪的苦难深渊吗?

比特币未来发展的线索取决于全球货币和债务市场的发展。允许中央银行透过印钞票将政府和大型公司的债务货币化为比特币创造了蓬勃发展的环境。因此,货币供应量及政府债务总额可以在某种程度上为比特币的未来价格提供一些线索。

转载自 Investopedia:

“M2 is a measure of the money supply that includes all elements of M1 as well as “near money.” M1 includes cash and checking deposits, while near money refers to savings deposits, money market securities, mutual funds and other time deposits.”

“M2是用来衡量货币供应量的,其包括M1的所有存量以及“近货币”。 M1包括现金和支票户口的存款,而近货币是指储蓄存款,货币市场证券,共同基金和其他定期存款。”

下方关于政府债务统计数据(十亿美元为单位)来自于国际结算银行报告。数据截至2017年6月30日。

货币不仅仅是M2的供应。在我们存在的金融化世界,主权信用是一种非常重要的货币工具。这是为什么许多经济学家把现今的货币制度定义为一个基于债务的货币体系。

其他债务工具如企业债务,省政府或市政府的债务也是货币供应的一部分。每个国家对于每种债务类型作为货币供应的运用方式是不同的。为了保持本文的一致性,笔者以政府发行的债务作为本文讨论的基础。

黄金(XAU)可被视作为“我不相信政府”的货币工具。比特币(XBT)似乎是它的数码版本。对于黄金和比特币,我取其目前供应量所对应的价值作为M2值。对于政府债务,每个债务的价值为0。

上图显示了最重要的四种货币(美元,欧元,日元和人民币),黄金和比特币的M2加上政府债务的相对规模。第一个明显点是比特币的市值与这些图表上的货币相比几乎看都看不见。

债务必须在某些时候以基础货币M2偿还。因此,一个国家的债务与基础货币比例越高,他们的金融体系用的杠杆越大。政府通常不用担心债务在未来将如何偿还,因为他们可以继续发行新的债务来偿还旧债务。

但是,当市场拒绝就可负担利率的负债做续贷时,债务必须被偿还。其中一个理论提到,过度负债的政府可以透过提高债务货币对应真正货币(如黄金)的价格来降低债务/ M2杠杆比率。保罗·布罗德斯基(Paul Brodsky)在 “Apropos of Everything I, II and III” 中提出了一个很好的论点,说明中央银行为什么要把债务货币相对黄金给淘汰。我不相信中央银行会把比特币加到其资产池中。更可能发生的情况是,对通货膨胀较敏感的投资者会把手上债务货币投向相对便宜及真实的数字货币工具,如比特币。

比特币应该得到此待遇的唯一的原因是在思想实验中,它挑战了所有失败的可能性,9年的时间里,其价格在从2013年的高点跌了80%至2015年的低点后,现在比去年同期价格高位高出5倍。另一个正面因素是,经过多年忽视比特币后,许多金融机构正在研究他们可以如何参与这个游戏。

上述的四种法定货币的政府债务总额为383.34亿美元。按现货市价计算,黄金和比特币分别占政府债务总额的20%和0.25%。

如果比特币是数字黄金,那在理论上它的价格可以达到黄金相对于政府债务总额的相同价格比例。这意味着比特币价格可达到 461,333 美元,或近80倍的涨幅。

谦虚是种美德。保守假设比特币市值达到政府债务总额的1%。比特币的价格将达到23,065美元或当前水平4倍的回报。

10,000美元关口是一种概念。鉴于其价格波动相对较大,比特币仍然不是一种非常理想的交易媒介。然而,作为保值资产,如果储户将比特币视为主要的数字货币,那么他们会将手中的债务货币转为比特币。这种心理转型正在发生。比特币的价格在这个水平上停留的时间越长,人们越会相信比特币将来未来的几十年都将存在着。

 

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Smell That?

The putrid smell of Bitcoin shorts’ carcasses just became more pungent. The Bitcoin price pump from below $3,000 to almost $6,000 in under one month is truly astounding.

In that span of time China shut down three of the world’s largest exchanges. The New York Agreement signatories proceeded further with the scheduled SegWit2x hard fork. And heads of large banking institutions called Bitcoin a fraud.

Where to from here? How high can Bitcoin go? Is this just a flash of greatness to be followed by a century of misery?

The clues to the future of Bitcoin lie in the global currency and debt markets. The money printing orgy that allows central banks to monetise the debt of governments and large corporates created the environment for Bitcoin to thrive. Therefore, an examination of the total stock of money and government debt could give clues to the future price of Bitcoin.

From Investopedia:

M2 is a measure of the money supply that includes all elements of M1 as well as “near money.” M1 includes cash and checking deposits, while near money refers to savings deposits, money market securities, mutual funds and other time deposits.

The government debt statistics are in USD billions were obtained from a Bank of International Settlements report. The data is as of 30 June 2017.

Money is not just M2, but in our financialised world, sovereign-credit acts as a very important monetary instrument. It is why many economists label the currency system a debt-based monetary system.

Other debt instruments such as corporate debt, provincial or municipal debt also function as money. Each country is different in the ways in which other types of debt function as money. To remain consistent I only considered government issued debt.

Gold (XAU) is the analogue “I don’t trust the government” monetary instrument. Bitcoin (XBT) appears to be the digital version. For gold and Bitcoin I used the current value of the total supply of each currency as its M2 value. For government debt, each has a value of 0.

The above chart depicts the relative size of M2 + Government Debt for the four most important fiat currencies (USD, EUR, JPY, and CNY), Gold, and Bitcoin. The first salient observation is that Bitcoin’s market value barely registers on the graph vs. these larger currencies.

Debt must be paid back at some point with base money, M2. Therefore the more debt a country has vs. it’s base money, the more leveraged their financial system. Governments usually don’t worry about how debt will be repaid because they can continue to issue new debt to pay off old.

However, when the market refuses to roll over debt an affordable interest rate, debt must be extinguished. One theory of how overly indebted governments could reduce the Debt / M2 leverage ratio is to tender debt-backed money at higher and higher prices for real money such as gold. Paul Brodsky in Apropos of Everything I, II, and III lays out an excellent argument for why central banks would extinguish debt-money vs. gold. I don’t believe it is likely that central banks will add Bitcoin to their pool of assets. The more likely scenario is that inflation sensitive investors will tender their debt-money for a relatively cheap real digital monetary instrument such as Bitcoin.

The only reason Bitcoin deserves treatment in is this thought experiment is that against all odds, it is still here after 9 years. The price after falling 80% from 2013 highs to 2015 lows, is now almost 5x higher than the previous 2013 all time high. The other positive aspect is that after years of ignoring Bitcoin, many financial institutions are investigating how they can play the game.

The aggregate amount of government debt outstanding for the four fiat currencies listed is $38,334 billion. At current prices, gold and Bitcoin are worth 20% and 0.25% of the aggregate government debt respectively.

If Bitcoin is digital gold, than theoretically it could reach the same ratio as gold relative to aggregate government debt. That implies a Bitcoin price of $461,333 or an 80x increase in price.

Modesty is a virtue. Assume that Bitcoin achieves a 1% valuation relative to aggregate government debt. That results in a price of $23,065 or a 4x return from current levels.

The battle for $10,000 is one of perception. Bitcoin is still not very useful as a pure monetary transaction instrument given its price volatility. However as a store of value, if savers view it as a hard form of digital money, they will diversify out of debt-money into Bitcoin. This psychological transformation is underway. The longer the price stays at these levels, the more people will believe Bitcoin will exist decades in the future.

交易垃圾币 2x

 

BitMEX交易平台上比特币/美元和比特币/日元期货和掉期合约基本指数不会将SegWit2x币(B2X)纳入在内。理论上来说,期货和掉期合约的交易价格应该存在着折让,以反映Bitcoin持有人在除息日将收到的B2X股息。我的交易看法是这将与比特币现金硬分叉情况雷同,期货和掉期合约的价格走势将和预期一样。


精明和不受感情所影响的交易员通过利用市场混乱来获得无价格风险的巨额利润。以下交易理念将集中探讨XBT/USD 现货市场,XBTUSD掉期合约和XBTZ17期货合约。

 

分叉前交易

鉴于市场知道BitMEX不会调整其基本指数,XBTZ17的基础价格将会在一个较低的交易区间,以反映B2X的隐含价值。幸运的是,由于目前是牛市,XBTZ17 在正溢价交易。这是进行以下交易策略的完美切入点。

 

卖出XBTZ17与买入现货比特币

数家交易平台(包括Coinbase&Bitfinex)已经宣布,在除息日会以1:1的比例将B2X发给比特币持有人。因此,一旦蔓延开来,作为对冲所购买的现货比特币应该存放在到任何将分发B2X货币给你的交易平台。这时你便可以立即出售任何收到的B2X。谁先卖,谁卖得价格就最好。


在除息日(预计将在11月20日左右),你将以1:1的比例收到B2X。你应该立即出售这些B2X货币以换取美元。同一时间,期货应该正在以折价或负溢价交易。空头的期货必须平仓,并卖出对冲的现货比特币以换取美元。

 

初始交易:

空头 XBTZ17

多头 XBT

 

硬分叉发生时:

收到B2X

 

交易逆回程序:

平仓XBTZ17,透过:

卖出XBT

卖出B2X

 

交易损益

因为你以正溢价锁定期货与现货交易,所以你卖出的B2X是纯利。另外,由于您能够以负溢价来平仓期货合约,您将获得额外的利润。

如果在您进入交易时期货价差是以折价交易,则您必须预测其折价是否低于所预期的B2X /比特币比例。或者您必须对B2X的价格持有更长期及正面的态度 。

 

问题在哪

如果你进入期货与现货交易时是在正溢价交易,即便硬分叉不发生,你仍然会盈利。但是,您将必须持有该交易到12月底合约到期。根据您的资本最低回报率,这个机会成本可能会超过收到的利润。

如果您在进入交易时期货与现货交易是以负溢价交易而硬分叉又没有发生,您将损失该负溢价。

当您就期货与现货价差平仓时,期货合约可能在以一个较大的正溢价。如果发生这种情况,您必须持有差价直到合约到期。你唯一损失的就是被套住的资金的机会成本。

 

硬分叉前和硬分叉时的交易策略

在比特币硬分叉前的几个小时内,XBTUSD掉期在一个较大的折价上交易,其资金费率为负数。负资金费率意味着空头需支付多头利息。这个折价是由于交易员在除息日前一刻卖出XBTUSD同时买入现货比特币。这样,他们可以在没有任何价格风险的情况下 “创造” B2X。

或者交易员担心由于比特币硬分叉锁定了对美元价格,这将对比特币产生负面影响。XBTZ17期货合约也将被交易员抛售,从而出现负溢价的情况。

交易员可以通过这些对冲交易以获得B2X 合成美元价值。

 

买入XBTUSD vs 卖出现货比特币

有两种方式来赚取利润。首先,XBTUSD的资金费率将在硬分叉后的几个小时内从负往持平的方向摆动。你持有看涨的仓位,所以你可以获取利润。其次,交易呈现负资金费率,在负资金费率的情况下您每8个小时可以获得比特币利息。

 

买入XBTZ17 vs 卖出现货比特币

XBTZ17价格也应该呈现负溢价。交易员可以购买期货合约,并在除息日几个小时后利率反弹时卖出。

这些交易的一个症结在于在哪个交易平台卖空现货比特币。这是一个非常重要的考虑因素。如果交易平台要求在卖空比特币时存入现货B2X,那么您就不应该交易。此外,比特币的借款利率在除息日前将飙升。借款费用有可能完全蚕食掉买入看涨XBTUSD仓位所获得的利息和资本所带来的利润。

大多数提供保证金交易的交易平台不会强制要求空头方交付B2X或以B2X来覆盖此交易。在B2X现货市场流动性不足的情况下强制要求空头方交付B2X很可能带来灾难性后果。因此,大多数交易平台不会以B2X来支付比特币贷款方也不会强制要求比特币空头方交付B2X。

 

 

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