700美元以上的比特币


图1.

在过去的一个月里,随着人民币的贬值,比特币也获得了较大的上涨助力。上一篇博客文章(当人民币兑美元为七,比特币价格将报一千美元 和 人民币国际化与比特币)我们已经讨论了为什么人民币当前正在经历贬值过程,未来的走向以及贬值对于比特币的意义。出于节约时间考虑,参见图1。

上图1展现了比特币/美元比价(由Bitstamp,Coinbase和OKCoin USD组成的平均价格),交易量,离岸CNH和在岸人民币汇率。往右看,趋势是向上的。人民币在10月10日经历了第一次大幅贬值(此前一周CNH已大幅上涨),在不到20天的时间里,价差达到10分或约1.5%。比特币的价格则从月初的605美元,跨过了不详的666美元价格线,甚至突破680美元触摸700美元价格线。

下图2展现了同期比特币现货价格,波动率及中国溢价(杠杆15倍)。对比这些参数,比特币美元价格出现了同样的向上趋势。下表是我们观察到的相关性表格。

相关性 CNY 交易量 波动性
现货USD 0.25 0.16 0.71

图2.

比特币之外的世界正在发生什么?尽管人民币继续贬值,但金融市场仍处于风险中。 相对于过去一个月强劲增长了3.6%的美元指数,人民币仍然相对估值过高。[WSJ]

旧金山联邦储备银行总裁约翰·威廉姆斯表明12月是美联储升息的最佳时机。[WSJ] 美国选举的大戏也将在两周内揭晓。此外,美国经济数据也在持续改善。 这就是为什么加息的几率在70%以上。

如果中国人民银行于12月将人民币贬值至7.00以上,金融市场是否会崩溃? 这次可能需要更多的力量来迫使奶奶耶伦屈服。

为了利用这一点,可买入2016年12月30日12:00 UTC 到期的期货合约XBTZ16。 目前交易的溢价年化率在28%。 参照历史标准,这个比例对于剩余2个月时间价值的合同来说是相当低的。 如果我们预期比特币价格还会因为人民币贬值而持续上涨,未来比特币价格可能爆发。

再“叉”我一次吧

以太坊基金会成功完成了另一个以太坊(ETH)的硬分叉,在2466000块,在2016年10月18日星期二发生。第二(技术上是第三此)的分叉将在本月晚些时候发生。原来的和“不可变的”以太坊经典(ETC)链也将会在10月25日硬叉。

又是怎么回事的分叉?

自9月18日以来,以太坊网络一直遭受一个人或组的尝试的断阻式(DoS)攻击以太区块链。这导致网络变得拥挤并且充满了大量未决事务,增加了网络确认时间。他们能够通过引入操作代码(opcode)来实现这一点。 EXTCODESIDE操作码是最知名的,它使矿工和节点花费更多的能量来处理块,但是獲得的回報卻比付出的少。

以太坊合同在网络上执行的每个操作都支付费用(称为燃气费)。攻击者使用高消耗的操作码,同时支付低气费。看看這裡的一些交易。

以太坊基金会的Geth正受到网络膨胀的阻碍。这就是为什么硬叉被认为是必要的。这个叉被称为以太坊改进项目150或EIP150。下一个分叉将尝试删除攻击者用来泛洪网络的空帐户。

由于以太坊经典具有与以太坊相同的代码,相同的攻击也在ETC发生。 ETC开发人员还引入了一个修复方案,提出了关于區塊鏈链的不变性的问题,以及硬分叉的底線在哪裡。在什么情况下,一个硬分叉能夠被界定是非必要?

攻击的意义是什么?有人发送成千上万的空交易,支付气费,只是为了他们可以得到以太坊基金会增强网络?除非他们打算摧毁网络(并没有想到开发人员会修复它),那么我认为下面的图表说明了主要原因。

自攻击开始以来,ETH和ETC都下降了20%以上。 在这段时间内的任何短路已经变得极其有利可图,或许比攻击者支付的燃气费更多。

这提供了一个有趣的机会。 让我们假设攻击导致价格下降,并且随后的叉子解决了底层问题。 这使得ETH和ETC向上急剧上升。
交易建議: 通过做多掉期合約 ETHXBT並做空 ETC7D。持有套利交易,直到10月25日的ETC硬叉。

你能不能在加息的时候生存呢?

这周我参加了一个在香港的比特币会议,一位比特币及区块链的天使连续投资者在发表演讲。 他的投资框架包括投资于利润率低但容易扩张的公司。

一个观众问他在利润率为零或甚至负数的情况下他会做什么。 许多区块链应用程序业务属于这一类。 而他的回答的一部分是,由于量化宽松(又名货币印刷)钱是免费的,所以投资在零或负毛利率的企业变得可行。 如果利率比公司的现金流更加低,在我们的竞争世界,实际上是比原本更好的。

然后我跟进了一个问题,他的理论如果在利率上升就会受到影响。他回答说这个事件在短期内不会发生。即使真的加息了,政策制定者会意识到他们的错误,并迅速恢复到原有的印钱模式。

每当有人完全否认他们的投资理论的核心原则失效的可能性,警号就响起了。在2003年至2007年美国次级住房泡沫期间,共同的忧虑是房价绝不下跌。到2008年,信仰的中心原则被证明是严重错误的。

过去25年的中央银行制约了投资者预期,在每次出现财务萧条时投资者都期望会降低利率。 1990年,美国10年期国债收益率为7.94%,今天收益率为1.75%。利率下降的影响已经推动投资者进一步冒险,以产生稳定的收入。

比特币/区块链初创公司主要通过向投资者出售股权,通过初始投资产品(ICO)发行令牌或通过留存收益(假设公司盈利)为自己提供资金。大多数初创公司在早期阶段就卖出股权。

 

一个思想实验

假设你是一个天使投资者,你分享我刚才谈到的世界观。你投资了可扩展的比特币/区块链业务,希望更大的傻瓜会出现,让你退出你的投资。这压根就是第四次工业革命;你不想错过。你有一个资本池,你会分散在各种创业公司。以下是您的投资策略的一些假设:

初始的货币后估值:500万美元

退出年份:7

您的投资组合的表现是相对于高收益的美国公司债券。虽然许多人认为金钱是“自由流动”,但除非你是投资一个AAA级的发达市场公司,否则就不是了。

我选择了BofA Merrill Lynch美国高收益有效收益率作为投资者可以赚取购买风险公司债券的代理。投资创业公司比购买高收益公司债券风险更大,因为这些公司能够产生实际的现金流。

联邦 圣路易斯储备银行 公布的历史有效的年化收益率如下。下面的表列出了当前和历史的索引年收益率。

年度化收益率 7年复合回报率
当前 6.14% 51.76%
最低 5.16% 42.22%
最高 23.26% 332.27%
平均 9.28% 86.12%

你投资的大多数创业公司将在7年内死亡,你将失去100%的投资额。小百分比将以高出倍数的估值退出。 你的表现取决于你选择获胜者的能力。

收支平衡成功率=(1 +机会成本)/(1 +退出回报)

收支平衡成功率:对比买入高回报的公司债卷投资初创企业的成功率

成功率:定义为完成成功退出的投资组合中的初创企业百分比

机会成本%: 高收益指数的7年复合回报

退出回报: 初创企业投资的回报率

退出回报 =(初始估值/最后估值) – 1

下表列出了不同情景下收支平衡的成功率

 

现在 最低 最高 平均
对比高回报产品平均离场价值 6.14% 5.16% 23.26% 9.28%
5000万 15% 14% 43% 19%
1亿 8% 7% 22% 9%
2.5亿 3% 3% 9% 4%
5亿 2% 1% 4% 2%
10亿 1% 1% 2% 1%

很难确定创业公司的全球平均离场估值。 从我读过的各篇文章,平均起来,创业公司的估值在5000万到1亿之间。 如果我们假设债券收益率每年接近10%的分布,则代表9%至19%的初创企业必须成功退出。 即使在目前的“低”利率环境下,你仍然必须是一个非常熟练的投资者,以获得盈亏平衡(8%到15%的成功率)。

实现5000万以上的退出估值是不容易的任务。 最有可能的是在你的天使/种子投资之后,公司随后将尝试A轮投资,然后进入B轮的投资来达到高回报的退出。 但每轮后你的股权将被稀释。

下表重现了盈亏平衡成功率,假设每个成功的初创有两个后续融资轮次,现有投资者在每轮中被摊薄20%。

 

现在 最低 最高 平均
对比高回报投资立场估值 6.14% 5.16% 23.26% 9.28%
5000万 24% 22% 68% 29%
1亿 12% 11% 34% 15%
2.5亿 5% 4% 14% 6%
5亿 2% 2% 7% 3%
10亿 1% 1% 3% 1%

 

如果考虑利率正常化,您现在必须达到15%至29%的成功率,而不是实现9%至19%的成功率。记住,你只是刚好到打和点。所有的努力工作,识别有前途的初创公司和指导他们,但却不能产生超额的回报。那么直接投资高收益债券ETF不就会更容易吗?

因为你投资毛利率低至零的公司,你唯一的希望是将热土豆传递给更冒险的投资者。您没有预期的股息收入。随着利率上升,产生高回报且风险降低的资产总体增加。愚笨的投资者将会越来越少,您的投资组合将难以达到盈亏平衡,倒不如投资一篮子高收益公司债券。

有许多比特币/区块链企业和商业模式可以产生真正的收入,并且是可论证的。只需要看看Bitfinex,看看“正确”运行比特币交易是多么有利可图。在2015年,Bitfinex产生了730万美元的净收入,或935万美元的收入。

 

扭一扭

日本央行是第一个明确地以斜度高收益曲线为目标的中央银行。在最近的一次讲话中, 美联储理事罗森格伦埃里克表示,美联储应该设计一个陡峭的收益率曲线。许多金融分析师呼吁收益率曲线针对“反向扭曲操作”这种新形式。原来的“扭曲操作”涉及美联储购买长期债券和售出短期债卷,以降低长线债卷利率。

银行需要一个陡峭的收益率曲线来赚钱。自印钞来避开商业银行破产之后,央行现在必须使用陡峭的收益率曲线,使他们的利益相关者可以扭亏为盈。其实陡峭的收益率曲线已经有所成效。摩根大通,美银美林和高盛都发布了一个客观的16年第三季收入报告。

随着长线收益率上升,将更容易找到正向收益投资,而这些投资更不会像没有计划产生利润的创业公司那么危险。

 

币界新闻择要 – 十二月二十八日

从成熟市场返回发展中市场: 澳元和加币

image (9)
年初至今增长

澳大利亚和加拿大是两个依赖商品提炼脱颖而出的成熟市场(DM)。中国的崛起和大宗商品的超级周期在过去30年为这两个国家带来不少的增长。而突出的是他们都能够在发展时避过中等收入陷阱,成功成为发达国家。

中国大批输入原材料来用于促进工业化,并将成品输出。而加拿大受益于油价上涨并出口到如阿尔伯塔等高成本地区。澳大利亚则向中国提供工业商品原材料,例如铁矿石。中国的新富豪为了保值就开始购入大量房地产,推使商品、住房等的资产价格上涨。

然而,中国经济放缓和商品价格的下降令上述这两个地区的房地产价格大幅下跌,与此同时,中国继续加强资金管制。可见澳元和加币与中国有大幅关联。以澳元及加币报价的比特币从年初资金的升幅为140%

面对着经济下滑,加拿大和澳大利亚的央行会继续减息。加拿大银行的隔夜利率为0.5%而澳大利亚储备银行现金利率为2.00%。预计这些数字在不久的未来都会变成0利率,在美国加息的环境之下,这两个国家所面临的危机更会比扩大。

这俩国家的情况与其他发展中国家如巴西类近,觉得身家缩水的市民会寻找方法来保值,虽然他们对比特币的影响力并没有中国这么大,但是聚沙成塔,或有一天他们的恐慌就成为推动比特币的燃料。

中国不相信圣诞老人

image (10)

许多人都认为圣诞老人的拉盘表议案将会带领比特币在圣诞突破$ 480。然而看似果盘就在圣诞节后一天来个大砸盘,令原本溢价的人民币盘变为负溢价。有人推测,这是庞氏骗局MMM的经营者提现导致。有传言说,MMM在1月5日前暂停取款。这可能是真的,但一个更合理的解释是,在大家都在轻松过节的时候何尝不是熊袭的最佳时机呢?

当比特币在中国负溢价,看来这证明推翻我假设的人民币弱势导致比特币溢价的理论,然而我认为基于没有宏观经济改变,人民币必须继续贬值来增强竞争力。短期的负溢价是一个极佳的买入机会。对于不希望有任何净头寸的投资者可以考虑在国盘买入比特币现货,并卖空BitMEX周交割对冲性合约 XBU7D。

第一步:

用在岸人民币买入比特币,如果你不是居住在中国,BTCC可以提供兑换服务

第二步:

售出XBU7D周交割对冲性期货合约,每张合约代表$100等值的比特币

第三步:

等待溢价上升并平仓

比特币现货

Screen Shot 2015-12-28 at 10.31.27 pm

希望持币拿到庄主派的圣诞礼物看来最后就亏大了,圣诞盘从$460暴跌了$60,$400成为了支撑点并上试$430。

在年末25号到1月4号期间大盘都比较冷淡,支撑和阻力在$400和$475下,突破点位后的波动将大幅上升以爆杠杆仓位。上年同一时间,我们在新年见证了币价在两日内暴跌了50%。今年同样时间波动应该少不免,而结果则有待揭晓。

交易建议

BitMEX100倍日交割期货 XBT24H: 做多,上行目标$440

BitMEX 50倍周交割期货, XBT7D: 做多,上行目标 $460.

Crypto Trader Digest – Dec 28

From DM To EM: AUD & CAD

image (9)

Australia and Canada are two Developed Markets (DM) that stand out in their reliance on commodity extraction to fuel their growth. The rise of China and the commodity super cycle over the past 30 years has proved a blessing for these two Commonwealth realms. Unlike many of HM’s past fiefdoms, these two countries were able to escape the middle income trap and become developed nations.

China imported raw commodities in size to fuel industrialisation, and then exported the finished knick-knacks to the world. Canada benefited from higher oil prices and expanded production into high cost per barrel regions like the Alberta tar sands. Australia provided China with raw industrial commodities like iron ore. The wealthy Chinese who wanted to safeguard their newfound riches started buying property in droves in marquee cities like Vancouver and Sydney, which sparked a housing boom. Rising commodity and housing prices made everyone feel like a winner.

Unfortunately the slowdown in Chinese economic activity and falling commodity prices landed a heavy blow to both countries in 2015. The eager Chinese property buyers are fading quickly. The enforcement of capital controls and a worsening business climate in China, has cooled investors desire for expensive Canadian and Australian property. Their currencies became a proxy bet on China, and as such received the stick. Bitcoin in AUD and CAD terms is up 140% from the beginning of 2015.

Faced with a deteriorating economy, the central banks of Canada and Australia will continue cutting interest rates. The Bank of Canada overnight rate is 0.50% and the Reserve Bank of Australia’s cash rate is 2.00%. These policy rates will be zero in to no time if there is no rebound in the Chinese economy and or commodity prices. With USD rates rising, CAD and AUD have much more pain ahead.

Canada and Australia’s situation is not different from EM countries like Brazil. Citizens who find themselves less wealthy, should look for alternative ways to protect what they have left. The fundamentals behind Bitcoin ownership in DM countries is no different than from EM ones. The incremental demand from Canada and Australia for Bitcoin won’t be on par with China, but every little bit counts.

China Doesn’t Believe In Santa

image (10)

Many thought a Santa rally would take Bitcoin over $480 on Christmas day. China said no and took the hammer to Bitcoin over the next two days, culminating in the XBTCNY rate trading at a discount. Some speculated that the ponzi scheme MMM’s operators were cashing out. There is a rumour that they halted withdrawals until January 5th. That might be true, but a more plausible explanation is that savvy traders chose a perfect time to execute a bear raid whilst the Christian world was singing Jingle Bells.

When Bitcoin trades at a discount in China, it surely points to an invalidation of my trade thesis of a weakening CNY pushing money into Bitcoin. However, I counter that nothing changed in terms of monetary policy over the weekend. The CNY is must depreciate vs. other currencies for the China to increase export competitiveness. And the economic climate in China is not improving, nor are capital controls getting looser.

The temporary dislocation in China is an excellent buying opportunity. If one doesn’t want to take an outright position, a China premium spread trade is a good strategy. Buying Bitcoin spot in CNY, and selling BitMEX weekly hedging contracts, XBU7D, is the appropriate expression of the trade thesis.

Step 1:

Buy Bitcoin / CNY onshore in China. If you are located outside of China, BTCC offers the ability to wire USD and convert into onshore CNY for the purpose of trading Bitcoin.

Step 2:

Sell BitMEX XBU7D futures contracts. These futures contracts are great for spread trades vs. spot because each contract represents $100 of Bitcoin at any price.

Step 3:

As Bitcoin / CNY trades at a larger and larger premium to Bitcoin / USD, the spread will widen and the trade will show a profit.

XBT Spot

Screen Shot 2015-12-28 at 10.31.27 pm

Those hoping for a Christmas miracle were witness to an epic dumpfest this past weekend. From $460, the market crashed with fury over a few hours and almost touched $400. $400 held and the market is now testing $430.

The period from December 25 to January 4th is a trading dead zone. Trading volumes globally will be thin as the world’s Bitcoin trading hubs, save Shanghai and Beijing, are effectively closed for business. Expect extreme market action in short bursts as traders run bear raids and short squeezes to inflict max pain on weak hands.

The relevant support and resistance levels are $400 and $475. A break below or above will usher in a flood of market volatility.

Last year, the Bitcoin price dropped 50% in the two days following the New Year. Expect extreme volatility as traders return with fresh eyes and a clean balance sheet.

Trade Recommendation:

BitMEX 100x Daily Bitcoin / USD Futures, XBT24H: Go long with an upside target price of $440.

BitMEX 50x Weekly Bitcoin / USD Futures, XBT7D: Go long with an upside target price of $460.

Crypto Trader Daily – 26 April 2015

Price Action

Another push was made for $210 today. The price reached a low of $213 on Bitfinex before rallying back to $220. The retrace was a weak attempt at a rally. A renewed fade to $210 will begin shortly, and expect a hard fought battle. The overall downward trend remains, and the market awaits the all-important retest of $200.

 

Trade Idea

Sell XBUK15 above $215 with a $210 target price.

 

In the News

Capital Controls Arrive: Greece Begins Confiscating Deposits Of “Small Debtors” (Zerohedge)

The “War on Cash” Migrates to Switzerland (Contra Corner)

Crypto Trader Digest – 24 April 2015

Price Action

The $230 seal has been broken. The price dipped below $230 for a few moments on Bitfinex during the China evening session. $230 has not be definitively broken. While China is revelling, traders will make another stab at $230. This recent rally lacked sufficient vigour as $240 was not punctured on the upside move. If $230 falls, a retest of $216 will happen in short order.

 

Trade Idea

Position for a possible break below $230 by accumulating a short position in the $230-$235 range using XBUK15.

 

In the News

Largest Bank In America Joins War On Cash (Zerohedge)

itBit Files For Banking License in New York (Business Insider)

Dogecoin Founder Exits Crypto Community Citing ‘Toxic’ Culture (CoinDesk)

Crypto Trader Daily – 23 April 2015

Price Action

The price hovered around $235 for the majority of the trading day. Traders are waiting on the side lines until either $230 or $240 is retested. Although the overall trend is bearish, a rally to $240-$250 cannot be ruled out. Given the rapid decline from $300 to $216, there is room for a sustained dead cat bounce before $200 is retested.

 

Trade Idea

If you have some bullish bones left in you, accumulate a long position in XBUK15 positioning for a breakout above $240.

 

In the News

Margin Call: How It Works (BitMEX Blog)

MIT to Take Over Funding of Three Bitcoin Core Developers (CoinTelegraph)

Brock Pierce Elected Bitcoin Foundation Board Chairman (CoinDesk)

Crypto Trader Daily – 22 April 2015

Price Action

Wednesday seems to be the day of the week that things start moving. The price shot up through $230 to a high of $237. $240 looks likely to be retested. A failure to retake $240 could lead to a swift return to $230 and possibly below.

 

Trade Idea

Sell XBUK15 as the price retests $240, with a target price of $230.

 

In the News

“Not-So-Decentralized” Ripple Freezes $1m in User Funds (Inside Bitcoins)

Rand Paul Chides ‘Naysayers’ Who Want to Regulate Bitcoin (American Banker)

Mt. Gox Customers Can Now File Claims For Their Lost Bitcoins (TechCrunch)

Crypto Trader Daily – 21 April 2015

Price Action

All quiet on the trading front. The price range was $222 to $227 on a light volume day. The market is in another holding pattern awaiting a sudden move higher or lower. $230 looks to be a formidable level to punch through. Expect the market to drift lower and retest $218.

 

Trade Idea

Accumulate short positions in XBUK15 in the high $220s looking with a downside target price of $218.

 

In the News

The Bankster War on Cash; JPMorganChase Begins to Prohibit the Storage of Cash in Its Safety Deposit Boxes (EPJ)

Tsipras to Seize Public-Sector Funds to Keep Greece Afloat (Bloomberg)

US Police Officer Charged with Receiving Stolen Bitcoin Miners (CoinDesk)

Crypto Trader Daily – 19 April 2015

Price Action

The range today was $222-$227. During the afternoon a $5 spike took the price to $227. The momentum has stalled and it is slowly fading lower. Bitcoin is in a holding pattern, expect a decisive move in the early morning China session.

 

Trade Idea

With less than one week until expiry, sell XBTJ15 and buy spot to capture the $2 premium.

 

In the News

The Missing MtGox Bitcoins (WizSec)

Is Ethereum Vaporware? (CoinTelegraph)

Bitcoin Will Become National Currency in the New State of Liberland (forklog)

Crypto Trader Daily – 16 April 2015

Price Action

Levitation from the lows began during the China morning session. The price rose $8 to $228. Consolidation around $226 has begun, and it looks as if a run at $230 will be made possibly in the next few hours. This relief rally could top $240; beware of the squeeze.

 

Trade Idea

Buy XBTJ15 and take advantage of the USD gamma during this rally.

 

In the News

The Next Generation of Currency (Wired)

Buttercoin CEO Reveals ‘Tactical Mistake’ that Lead to Company Closure (CoinDesk)

CoverYou: The First European Insurer to Accept Bitcoin for Premium Payment (CoinTelegraph)