Onwards and Upwards

“If you mess with the bull, You get the horns!”

A managing director on the sales trading desk at Deutsche Bank used to scream that out when the market ripped higher. Equities almost makes up for the lack of pay vs. fixed income by employing some of the most colourful characters.

What do you call Bitcoin sans China or an ETF approval? All Time High. Two of the most central bullish tenants have been removed, yet Bitcoin still trades above $1,200.

The next issue that could crater the price is the ongoing scaling debate. The Segwit vs. Bitcoin Unlimited civil war is spoken of not only where internet trolls hide, but also in mainstream financial news outlets such as Bloomberg. No matter, the price continues to slowly grind higher.

With the Mt. Gox all time high surpassed, we are in the beginning stages of a secular rally. This rally will completely re-rate the entire cryptocurrency complex. The Ether market cap is now over $2 billion. DASH continues to rip higher. Three cryptocurrencies with >$1 billion market caps would be something to behold. All hail Shitcoins.

What is encouraging about the 2017 Bitcoin rally is that realised volatility is muted. The above chart displays the 30 day realised volatility and the XBT/USD price. Volatility rose during the initial PBOC crackdown, but then continued to fall as the price surpassed $1,200.

For Bitcoin, this rally was calm. Traders are still in disbelief. While the price continues to crawl higher, haters keep hatin’ because of China, scaling, and or lack of legitimisation by regulators. While they wait, others get rich. As a result, the crack up boom (aka Fomo) phase has yet to begin.

Another encouraging sign is the relatively low basis level exhibited by futures contracts. During the first quarter, the BitMEX Bitcoin / USD 31 March 2017 Futures Contract, XBTH17, traded with a maximum outright basis of 10% – 13%.

During the 2013 bubble, the ICBIT March 2014 quarterly future, featuring only 3x leverage, traded at a 100% outright basis at the end of December 2013. Shortly thereafter, the price crashed below $1,000 then $800 then $600, and finally we entered a nuclear winter for two years.

The market has matured since then. However, the market fomo will manifest itself in a sky high basis for the soon to be listed 30 June 2017 futures contract, XBTM17. Basis even with constant selling pressure from cash and carry arbitrageurs, can and will go substantially high due to 100x leverage engjoyed by longs.

A sustained 30 day realised volatility over 100%, and elevated outright basis levels of over 30% on XBTM17, will provide clues during the second quarter as to whether Bitcoin’s run is nearing completion. As the intensity of price action accelerates, the next upside physiological barrier is $2,000.

No Means No

A retail Bitcoin ETF is proving as elusive as entrance into the Elysian fields. The SEC issued a scathing rebuke as to why they disapproved a Bats exchange rule change that would have allowed the COIN ETF to list. The reasons for denial given by the SEC display a fundamental problem with the market structure of Bitcoin.

After reading the document, it is clear that the SolidX and Greyscale ETF applications are destined for the dustbin as well. Changing the thought process of a regulatory body takes years. A US-listed Bitcoin ETF will not be forthcoming any time soon.

Bitcoin Exchanges and Trading Volume

The COIN ETF daily Net Asset Value is calculated using the daily Gemini Bitcoin auction price. To create and redeem units, Authorised Participants (AP) must trade in the auction.

The SEC’s major issue with the application was that the auction volume was insufficient to support trading.

From the SEC:

Moreover, self-reported statistics from the Gemini Exchange show that volume in the Gemini Exchange Auction is small relative to daily trading in bitcoin and to the number of bitcoin in a creation or redemption basket for the Trust. As of February 28, 2017, the average daily volume in the Gemini Exchange Auction, since its inception on September 21, 2016, has been 1195.72 bitcoins, compared to average daily worldwide volume of approximately 3.4 million bitcoins in the six months preceding February 28, 2017. Also, as of February 28, 2017, the median number of bitcoins traded in the Gemini Exchange Auction on a business day (when a creation or redemption request might be submitted to the Trust) has been just 1,061.99 bitcoins,129 barely larger than the 1,000 bitcoins in a creation or redemption basket.

Gemini’s volumes are so low they barely can transact one creation or redemption basket. Unable to obtain liquidity on Gemini, AP’s would be forced to transact on other exchanges. The location of these “other” exchanges gave the SEC pause.

US-based and regulated exchanges account for a relatively small percentage of global Bitcoin / USD spot trading volumes. The most liquid exchanges are based in Asia or Europe. Bitfinex, the largest Bitcoin / USD spot exchange by volume, is insolvent. These facts are troubling to the SEC.

The agency worries that the majority of trading volume occurs on “unregulated” (read: Non-US domiciled) exchanges and this could endanger ETF investors. The agency cited inadequate surveillance of the major trading centers.

Even though Gemini has a trust license and is overseen by the NYDFS, the SEC found that even Gemini’s exchange was not on par with national exchanges such as the New York Stock Exchange or Nasdaq in terms of trading rules and procedures.

From the SEC:

The Exchange represents that it has entered into a comprehensive surveillance-sharing agreement with the Gemini Exchange with respect to trading of the bitcoin asset underlying the Trust and that the Gemini Exchange is supervised by the NYSDFS. Additionally, the Exchange states in its comment letter that it “agrees that less liquid markets, such as the market for bitcoin, may be more manipulable, but believes that … such concerns are mitigated as it relates to the Shares of the Trust and trading activity on the Gemini Exchange.” As explained below, however, the Commission does not believe this surveillance-sharing agreement to be sufficient, because the Gemini Exchange conducts only a small fraction of the worldwide trading in bitcoin, and because the Gemini Exchange is not a “regulated market” comparable to a national securities exchange or to the futures exchanges that are associated with the underlying assets of the commodity-trust ETPs approved to date.

Next Steps

In order to be in the running again, an ETF sponsor must demonstrate how the proposed venue for the trading of physical Bitcoin is regulated on-par with large established exchanges such as the NYSE, and has a significant market share globally. That will be almost impossible.

If Bitcoin traders desired heavily regulated exchanges, they wouldn’t prefer trading on an insolvent exchange over one registered with various alphabet letter agencies. Many large Bitcoin traders trade Bitcoin expressly because the trading venues are less regulated. They believe the operators are allowed to focus more on the customer experience and provide exactly what traders desire instead of fluffing regulators.

The absence of margin or other leveraged trading products on heavily regulated US-based exchanges means they will forever play second fiddle to Asian and European exchanges. Given the “America is the best” mentality of its national regulators, convincing them to allow an asset whose price is set by the “shifty Chinese” (insert the international boogiemen of the year) is a tall order.

However, this is not a death sentence. The SEC and other organisations are puppets of the large vested financial players. At the point when Bitcoin is too large to ignore, and daily trading volumes are robust and healthy, the iShares, Vangaurd, and Spdr’s of the ETF fund management industry will sponsor a Bitcoin ETF.

These heavyweights only care about generating fees. The underlying asset is an afterthought. When Bitcoin is large enough to support a healthy AUM that generates large management fees, they will get behind Bitcoin.

Unfortunately the biggest problem with the Winklevoss’ application was their outsider status. The objections put forward by the SEC could easily apply to any number of currently listed ETFs. If the fund manager was one of the good ‘ole boys, the ETF would stand a chance of approval.

The Investors’ Exchange LLC (IEX) applied and was approved to be designated a National Exchange by the SEC. This was not an easy process. IEX, written about in the Michael Lewis’ book Flash Boys, aims to level the playing field by enacting policies that equalise trading between low and high latency traders. The HFT lobby went into overdrive to dissuade the SEC from approving the IEX application.

IEX gives retail investors a level playing field against HFT firms. Who doesn’t favor leveling the playing field for the grannies and grandpa’s. However, this was a very heated and drawn out approval process. The SEC did the right thing in the end, but the big boys brought out all the guns.

Imagine if the big boys wanted a Bitcoin ETF. They would get it.

SEC Ruling

Indefinite Detention

Hedge Fund Brother No. 1 Xu Xiang, pictured above, was once a high flying hedge fund manager who never lost. Then one day he was disappeared. He resurfaced months later, after being convicted of securities fraud and now sits in jail. Some feared Bitcoin exchange heads could face a similar fate; however, the PBOC showed mercy.

Another week, another “meeting” between the PBOC and the heads of large Bitcoin exchanges in China. Shortly after the meeting held on March 7th, the PBOC released a statement reiterating that they have the authority to shut down errant exchanges. A list of actionable offences surfaced a few days later via Caixin. [News.bitcoin.com]

The following activities are prohibited:

  1. Offering leverage and margin trades.
  2. Producing fake volume and manipulating the market using zero fees.
  3. Violating AML laws.
  4. Violating regulations on foreign currency management and cross-border capital transfer with bitcoin.
  5. Replacing fiat by using bitcoin to purchase goods.
  6. Tax Evasion.
  7. Engaging in false advertising or participating in Ponzi schemes.
  8. Providing financial services without a permit, including credit, securities, and futures trading.

After the “friendly” meeting, exchange after exchange announced an indefinite suspension of Bitcoin withdrawals. No further guidance was given as to when Bitcoin withdrawals would resume. The price sagged a bit, then shrugged off the news. By the end of last week, Bitcoin would hit fresh all time highs in USD terms.

Chinese regulators recognise that they cannot shut down the exchanges. Regarding said exchanges, one regulator noted:

If oversimplified measures such as closing them down were taken, [investors] will be led into the underground black market or OTC markets, which are more difficult to control. Therefore, it is necessary to explore the establishment of long-term regulatory mechanisms. [News.bitcoin.com]

The new strategy is to starve the weak, and regulate the strong. This strategy is classic China. The government lets an industry compete unimpeded for a time, then they pick the strongest companies and destroy the rest through denial of critical licenses or enforcement of opaque regulations.

By removing the elixir of leveraged and zero fee trading, only exchanges with diversified business lines will survive. Earnings from spot Bitcoin trading will only be significant for the largest of exchanges (BTCC, Huobi, and OKCoin). Exchanges not on that list, will most likely not exist in 2018.

All three of those exchanges either have mining operations, payment solutions, and or offshore derivatives trading markets. Once the weaklings fold, the PBOC will bless the large incumbents and subject them to rigorous monitoring.

Viewed on a longer time frame, the developments over the past three months are positive. One of the Damocles swords hovering over Bitcoin slowly is being removed. Bitcoin will not be “banned” by the regulators. They recognise the power of the underlying technology and are attempting to rationalise Bitcoin within existing goals for China’s monetary system.

PBOC Governor Zhou in a recent interview stated that China Bitcoin trading platforms are not exchanges but rather only “websites”.

If it (trading platform/website) is called an exchange, it is not allowed unless a relevant department of our country permits it. Many people regard bitcoin online trading platforms as exchanges. These are actually two different concepts. [News.bitcoin.com]

That is encouraging that the PBOC permits mere “websites” to accept deposits like banks, and offer the trading of currency like an exchange. There is a bright future for Bitcoin in China for those who can survive. The PBOC tacitly approves Chinese people trading Bitcoin.

The current purgatory will end once the PBOC right sizes the Yuan. Calm must be maintained up until the October National Congress. After October, Beijing will greenlight the PBOC to relieve the pressure and devalue. After a large devaluation, the PBOC can loosen capital controls because once the damage is done the desire to flee is lessened. At that time Bitcoin withdrawals will be re-enabled.


增长是光荣的,而现实是该死的!中国将继续试图以不可持续的水平增长。这是中国总理李克强在本周二的两会演讲中给出的信息。他指出,年度 GDP 增长目标为+ 6.5%,略低于最近报告的+ 6.7%的增长率。[ZH]


当有疑问时,世界各国政府,不管他们的经济主义是否采取猖獗的货币印刷来增加 “增长” 数字。


中国在过去30年里奇迹般地改变了自己。然而,最近的增长只是金钱打印的结果。党讨论信贷增长放缓的谈判; 然而,在实践中他们无能力阻止它。








下一个“最重要的”美联储利率决定日将讽刺地发生在凯撒大帝被刺死的日子。那是3月15日。各美联储总督表示支持在下次会议上加息。耶伦在最近的演讲中没有对加息谈话作出任何调解。联邦基金期货价格预测了 80% 的机率在3月加息 0.25%。加息将对中国造成毁灭性影响。 [CME]


当投资者认为有 >75% 的加息可能性时,美联储很少会给市场落空。标准普尔500处于强势,投资者似乎愿意忽视现实; 案例来看,Snap 的新股发行。该公司的专业知识是有风格的化钱。狂潮的投资者推动最新的科技从新发行股价格上涨超过50%。



暴走大事件 · COIN ETF 比特币基金


ETF 认可

如果美国证券交易委员会批准美国第四大证券交易所 Bats 改变规则,所有美国入门散户可以通过受管制的交易基金进入比特币市场。能够轻易获得比特币的货币将令比特币价格急剧上升。现在有各种预测散户流入比特币市场的可能性。总之,这笔钱将会是庞大的。

我预计到3月底价格至少涨 100 %。这纯粹是猜测,因为没有实际的现金将流入比特币,直到交易基金在今年年尾的时候开市。价格可能上涨超过 100%。

那些希望梭哈做多的应该购买 BitMEX 比特币/美元 2017年3月31日期货合约 XBTH17。基金何时和如何推出的资讯可能会有莫大的影响。那些怕错过热潮的会到期货做多,给于了做多收取从价格和基差利润的机会。

那些看好中期的投资者应该购买 BitMEX 比特币/美元 2017年6月30日期货合约 XBTM17。 XBTM17将在 2017年3月17日星期五挂牌。在基差或隐含利息做多将支付了三个月头寸的资金成本,合约将会高位开市,并积极上升。

在2013年12月泡沫高峰期间,ICBIT 2014年3月期货合约交易 100% 的基差徘徊。通过卖出期货和买盘,你的美元资金会变成翻倍。 ICBIT 当时只有3倍的杠杆,想象100倍的基差可以走多远。 XBTM17 基差可以在整个合约到期之前在100个百分点基差交易。


证交会为何不应列出交易基金的原因与赞成批准的原因一样多。大量的交易者没有喝了吉姆·琼斯的钱。 BitMEX COIN 预测期货合约,COIN_BH17,将这个概率预测为50%。


比特币取款在中国停止后,价格跌破1,000美元,并迅速恢复到千位。这是 ETF 挂牌失败的基准支持位。
如果规则更改被拒绝,价格将快速考验千元的价位。由于市场看涨,投资者将暴力抄底。如果不是现在砸,普遍的共识将会落于另一个基金申请的批准。市场将重点关注 SolidX 或 Greyscale 基金的申请批准截止日期。



(50%* 100%价格上涨)+(50%* -30%价格下跌)= + 35% 预期价值


BitMEX 提供了一个完整的比特币/法币交易配套,和最流动的合约是比特币/美元掉期合约,XBTUSD。我从来没有看到这么多的关注在一个平凡的交易规则改变。所以下注就要趁早了。因为围绕决定的热潮和炒作只会在这个星期增长,而每个主要的财金出版现在都在谈论这个事件。

COIN ETF, Event Horizon

After the PBOC curtailed Bitcoin trading inside China, America reasserted itself as the most important price setting location. The SEC’s decision on a rule change that could allow the listing of the world’s first Bitcoin ETF is the most anticipated binary outcome of 2017. Traders will make and lose tremendous sums over the next few weeks.

ETF Approval

If the SEC approves the Bats rule change, all manner of American muppet retail investors can yolo into Bitcoin via a regulated ETF. The pool of eligible money that can easily obtain exposure to Bitcoin will dramatically rise. There are various predictions about the amount of money that could flow into Bitcoin. In short, it will be Yuge.

I expect the price to appreciate by at least 100% by the end of March. This is pure speculation as no actual cash will flow into Bitcoin until the ETF begins trading later this year. The price may go up well over 100% only to sharply correct as animal spirits are tamed.

Those wishing to play the initial pump should buy the BitMEX Bitcoin / USD 31 March 2017 futures contract, XBTH17. The nitty gritty of when and how the ETF will be launched may dampen enthusiasm in the medium term. A future that expires during the height of the fomo leaves the best chance for longs to be forced into closing at a profit.

Those bullish over the medium-term, should purchase the BitMEX Bitcoin / USD 30 June 2017 futures contract, XBTM17. XBTM17 will list Friday 17 March 2017. The basis or implied interest longs pay for three month exposure will open high and rise aggressively.

During the height of the December 2013 bubble, the ICBIT March 2014 futures contract traded at an outright 100% basis. By selling futures and buying spot, you would double your money in USD terms. ICBIT only featured 3x leverage at the time, imagine how high basis could go with 100x. XBTM17 basis could trade into 100’s of percentage points throughout the contract’s life.

The Deny

The number of reasons why the SEC should not list the ETF is as numerous as those in favor of an approval. A significant amount of traders have not drank the Jim Jones koolaid. The BitMEX COIN Prediction Futures Contract, COIN_BH17, places the probability at 50%.

China took a backseat in this first quarter rally due to the actions by the PBOC. Since Bitcoin withdrawals were shut in February, hope of an ETF approval became the bullish narrative.

After Bitcoin withdrawals ceased in China, the price fell below $1,000 and quickly recovered to the kilo mark (who isn’t in love with the CoCo). That is the baseline support level sans an ETF approval.

If the rule change is denied, the price will quickly test $1,000. Due to the underlying bullishness of the market, traders will BTFD. If not now, the general consensus is that one of the many ETF applications will be approved. The market will focus on the next application approval deadline for the SolidX or Greyscale ETF.

One Week Expected Value (EV)

Assuming a 50% probability of approval, traders must compute the EV of the looming decision.

(50% * 100% Price Appreciation) + (50% * -30% Price Depreciation) = +35% EV

The EV is positive, meaning it behooves traders to be net long Bitcoin into the decision.

BitMEX offers a complete Bitcoin / Fiat trading suite. The most liquid option is to buy the Bicoin / USD Swap, XBTUSD. Be early. The enthusiasm and hype surrounding the decision will only grow throughout the week. Every major financial paper is covering this event. I have never seen so much interest in a mundane exchange rule change before.

Hallelujah, Glory Be To Growth

Glory be to growth. Reality be damned, China will continue attempting to grow at unsustainable levels. That is the message from the Chinese Premier Li Keqiang given this Sunday during his Two Sessions speech. He decreed that annual GDP growth target is +6.5%, which is slightly lower than the recently reported growth of +6.7%, [ZH]

China is not alone in its adherence to the gospel of growth. Real growth can only be achieved by productivity and population gains. These two factors are very difficult to predict or command and control with success over a long period of time. Many have tried, all of have failed.

When in doubt, governments world-wide regardless of their economic “ism” resort to rampant money printing to goose up “growth” numbers. GDP measures of the flow of goods, it is a poor yardstick for the real health of an economy. With more money, more goods flow. Voila, growth!

China did miraculously transform itself over the last 30 years. However, recent growth is merely the result of aggressive money printing. The Party talks the talk about reining in credit growth; however, in practice they are impotent to stop it.

Xi Jinping is one of the most powerful Chinese leaders since Mao. However, even he cannot politically stop the expansion of bank credit. If he were confident in his ability to, he would proclaim a more realistic growth target.

Michael Pettis, professor at Peking University and former Bear Stearns bond trader, argues that real growth over the next 10 years cannot rise above 3% to 5% without a financial crisis. The financial crises is predicated on too much credit chasing too few positive yielding investments.

Beijing knows this. The PBOC continues to slay paper tigers by removing liquidity on hand, and increasing it in other ways. For Bitcoin traders, it means that one of the main drivers of global monetary policy will continue to act as they have done in the past.

Yuan liquidity and loans will continue to be provided to zombie state owned enterprises (SOE). The iron rice bowl must hold, or peasants will reassert their displeasure with immense wealth big city elites amassed by depressing wage growth and financially repressing savers.

Excessive Yuan liquidity will push up inflation. The escape valve will be a devaluation of the Renminbi. Premier Li implicitly confirmed that arguments I have been presenting for almost two years will continue to be relevant.

The Ides of March

The next “most important ever” Federal Reserve rate decision will ironically occur on the Ides of March. That is March 15th. Various Fed governors voiced support of a hike at the next meeting. Grandma Yellen in her recent speeches has done nothing to temper the rate hike talk.

Fed Funds futures price in an 80% chance of a March 0.25% rate hike. A rate hike would be devastating to China. [CME]

Beijing refuses to use political capital to put forward economic policies to rebalance growth. They refuse to drastically curtail banks’ issuance of credit. From Queen Victoria to Chairwoman Yellen, China is once again at the mercy of an old white lady.

The Fed rarely disappoints the market when traders price in a >75% probability of a rate hike. The S&P 500 is strong, and investors seem willing to ignore reality; case and point, the Snap IPO. The company’s expertise is losing money with style. Masochistic investors propelled the latest tech darling up over 50% from the IPO price.

The Fed has perfect rate hike cover. The amount of balance sheet pain the PBOC endures to save face internationally is unimaginable. Calm must remain before the October National Congress. The lack of a pressure releasing devaluation in the face of a market assured rate hike, means when it comes it will be enormous.

The Bitcoin angle is well known. USD up, CNY down, Bitcoin moon!






中国人民银行积极关闭资本逃避的明显方式。徘徊USDCNY 7.00后,中国人民银行开始加强美元兑人民币。以逃避的方式,他们直接指导金融分析师:不讨论未来的人民币贬值。




Pepe Escobar对此说了一下特朗普的真正处理程序:



做波动投资的Artemis Capital,有这样的说法:












中国人民银行什么时候会释放压力? 中国新年,从本周五开始,持续到2月2日,提供了一个完美的机会。 银行关闭一周。 中央银行喜欢在公共假期耍弄政策。

新年期间的一次性贬值可让中国有10个月的缓冲期。 如果美元走强,中国人民银行则不会贬值。

如果他们延迟,那么在10月全国代表大会之前则不会有任何行动。 对于那些通过数字货币表达观点的人来说,人民币汇率波动的缺乏可能会抑制比特币的价格。

10月到年底,比特币在2015年和2016年的价格表现分别为+ 70%和+ 84%。 在这情况下,中国人民银行都把收割机带到自己的货币。 如果中国人民银行延迟不能避免,2017年秋季将让比特币再次爆发。


如果玛丽娜·勒庞在法国四月总统选举中取得胜利,那么风险将会受到限制。 她厌倦了法国在德国经济袭击面前举白旗。 她发誓要举行关于欧盟成员国的公民投票。 如果进行投票,有一个不少可能性,他们会跳到另一个自己做出来的困局。

该地区第二大经济体发动的欧盟分裂的真正风险将使美元飙升。 如果中国人民银行延迟贬值,他们将面临因为欧洲局内困境而衍生的风险。


没有保证金和零交易费的推动下肯定会打击中国投资者交易比特币的欲望。 然而,如果国内货币继续下跌,这些行动都不会阻碍比台北的牛市延续。


要做空一个贬值资产有一个问题:在无杠杆情况下,最大利润是 100%。但当你做多的时候,最大利润可以是无限。对于牛市的一大利好是比特币的供应有限。杠杆投机者更倾向于做多比特币。因此,比特币季度期货通常都会在溢价 (正基差)于现货价格来交易。

很多人都疑惑,为什么三月到期的 BitMEX 比特币/美元期货合约 (XBTH17)  现在是折价于现货来交易。同样地, OKCoin 的季度合约也是如此。这个现象叫逆价差。考虑到比特币在去年的惊人牛市,这更让人奇怪,为何会出现逆价差呢?

为什么季度期货会出现逆价差呢?何时 K 线才会变得正常?我会尝试解答这些问题,但我的解释只是一些猜测。我只是用常识和逻辑来得出以下的假说。





为了满足这个需求,精明的创业者建立了一些提供保证日利率的基金给比特币投资者。这些基金完全是基于彼此的信任的。它们在中国很流行。币圈大佬甚至会利用自己的名声吸引币民投资他们的基金。我通常见到这些基金每天提供 0.01% 利息。

如果你有关系,你也可以向一些大的矿工或者币民借比特币并付给他们利息。如果你做的规模很大,你甚至可以付少于每天 0.01% 的利息。

有什么安全的投资可以每天赚取多于 0.01% 的回报呢?在这个星期以前,我认为大部分的基金都投资在采矿业务上,但我现在有另外一个理论。

主要的国内交易所 (BTCC, 火币和 OKCoin)都曾运营人气很高的 P2P 融资融币平台。平台上用户会互相借给对方人民币和比特币,令交易所可以提供杠杆交易。这些借贷者可以收取一个颇高的回报,而不需要承受任何比特币的币价风险。

最赚钱的是人民币借贷。做多的投机者会借人民币来买比特币。平均利率是每天 0.10% 。

投资者会付比特币给基金,然后基金运营者会每天付给他们 0.01% 的比特币。以下是基金运营者接下来会做的事情:





在以前,XBTH17 跟其他季度期货合约都是以对现货溢价来交易的。假设你是以年化溢价 20% 来买,这意味着你每天实际要付 0.055%的利息。以一个混合基金来说 (你要记得你只使用了一半的资产),你每天会付 0.0275%的利息。

你的基金每天欠客人 0.01%, 你又每天付了 0.0275% 来做多期货合约作对冲。你每天的总开支是 0.0375%。


在一个杠杆交易平台上借出那些人民币,假设你可以以每天 0.1% 的利率在国内三大平台借出你的人民币。以混合基金来说,你每天收取 0.05% 的利息。

你每天的净收益为 0.05% – 0.0375%, 即是 0.0125%。

如果你有一万个比特币,你每天就能赚 1.25 个币。你也可以通过多卖一点比特币资产成为人民币以提升每天的收益。如果你卖出 75% 的资产,你每天的净收益就是 0.02375%。






假设一个运营者他筹了 2 个币。他卖出 1 个币并获得 1000 美元。然后把余下的一个币在一千美元的价格买 1000 张 XBTH17 (2017年3月)期货合约。

比特币价格升到 2000 美元,投资者要求取回贷款。运营者就必须退还 2 个币给他们。

那一千张做多的 XBTH17 期货有 0.5 XBT 的利润:(1/$2000 – 1/$1000) * -$1 * 1000。他还在做空 0.5 个币。他现在收到一开始借出的 1000 美元本金。连同他在二千美元价格所购买的 0.5 个币,他现在可以交还完整的 2 个币。

反向期货盈亏 = (1/P1 – 1/P0) * -$1 * 合约数量




从 2016 年 12 月 24 日到 2017 年 1 月 5 日,比特币在中国的价格从 800 美元升至 1200 美元。交易量大幅上升,多军借取所可用资金来做多比特币。我不认为交易所会为了满足庞大的融资需求而再抵押客户的人民币余额。我相信那些借贷大户通过我刚才提及的方法已经可以满足上升的人民币需求了。那些大户的对冲压力以及比特币的多头行情令 XBTH17 的溢价在 1 月 5 日升至年化 54%。

一夜之间,央行开始打压了。面对监管机构的压力,国内的交易所从 1 月 11 日开始停止提供保证金交易。而在第二日,XBTH17 就开始进入了逆价差。已有的借贷会保留到到期日,但再没有新的借贷可以申请。


没有人知道央行的下一步动作,由此引起的市场恐慌 (The Fear Uncertainty and Doubt,FUD) 促使投机者通过期货去做空比特币,由于没有保证金交易,期货成为唯一可以做空的工具。直至今天,央行还没有公布他们在 “检查“ 之后会采取什么措施。


保证金仓位的清空 + 市场恐慌 = 期货逆价差





随着多军恢复信心并开始抄底,溢价将会缓缓上升。如果以下任何一个黑天鹅的事件在 2017 三月期货到期前发生的话,比特币价格就可能暴涨,出现逼空行情:

  • 央行暴力贬值人民币。比特币价格将会上升,因为老百姓都需要一种资产去保留他们的购买力。
  • 现在玛丽娜·勒庞在法国大选里被看好。如果她当选,欧盟就很可能会解体,全球的恐慌情绪将会极速蔓延。
  • 特朗普通过庞大的基建开支。这会构成巨大的通货膨胀以及美国利率上升,进一步促使央行贬值人民币。

如果任何一个情境发生,对比特币而言都是利好的。如果你相信这些事件,你应该趁着负溢价的情况下慢慢建立 XBTH17 的多仓。

Bitcoin Backwardation

The problem with shorting a deflationary asset: unlevered, the maximum you can make is 100%. When longing, the maximum you can make is infinity. Helping the case for bulls is the fixed supply of Bitcoin. Leveraged speculators prefer to go long Bitcoin rather than short. As a result, quarterly Bitcoin futures usually trade at a premium (positive basis) to the spot price.

It is puzzling to many why BitMEX March 2017 Bitcoin / USD futures contracts, XBTH17, currently trade at a discount to the spot price. The same has been true of OKCoin quarterlies. This phenomenon is called backwardation. It is even stranger considering the impressive bull-run Bitcoin has experienced over the last year.

Why are quarterly futures are in backwardation? When will the curve normalise? I will attempt to answer these questions, but the result is speculative; I am using only publicly available information and logic to arrive at this hypothesis.

What Is Bitcoin Good For?

What can one do with Bitcoin after it is purchased? If you don’t use it as collateral to gamble or place speculative trades, most Bitcoin lies dormant in a wallet. Bitcoin as a means of payment is still in its infancy.

Holders constantly search for ways to earn a return on their Bitcoin. No sovereign governments, banks, or companies borrow in Bitcoin yet. Therefore there are no “safe” fixed-income Bitcoin products.

To meet this need, savvy entrepreneurs have set up funds that pay a guaranteed daily rate of interest if you invest Bitcoin. These funds are based purely on trust. They are especially popular in China. Figures well known in the industry would leverage their personal brand to get holders to invest in their funds. I commonly saw 0.01% per day offered.

Depending on your personal network, you could also borrow Bitcoin from large miners or holders and pay them interest as well. If you are able to take down a large size, you may borrow cheaper than 0.01% per day.

What safe investment pays out a daily nominal return in Bitcoin over 0.01%? Prior to this week, I assumed that most funds invested in mining operations. But now I have another theory.

The major Chinese exchanges (BTCC, Huobi, and OKCoin.cn; aka The Big Three) operated popular P2P margin platforms. Users lent each other Bitcoin and CNY, allowing the exchange to offer margin trading. The lenders would earn a healthy return without taking any Bitcoin price risk.

The most profitable trade was lending CNY. Speculators going long borrowed CNY to purchase Bitcoin. Interest rates averaged 0.10% per day.

Investors in the fund gave Bitcoin, and the fund operator paid them 0.01% in Bitcoin per day. This is what the fund operator did next:

Step 1

Sell a portion of the Bitcoin for CNY. I will assume 50% of Bitcoin assets are sold.

Step 2

Use the 50% of Bitcoin remaining as margin to buy quarterly futures contracts to cover the 50% short Bitcoin exposure. You don’t convert 100% of Bitcoin into fiat-cash so that you have sufficient Bitcoin-denominated margin to buy futures contracts. USD denominated futures contracts are the most liquid, so it’s likely that most simply bore the USDCNY currency risk.

In the past, XBTH17 and other competing quarterly futures contracts have traded at a premium to spot. Assume that you buy at an annualised premium of 20%, this then means that you effectively pay 0.055% per day. On a blended fund basis (remember you only used 50% of assets), you pay 0.0275% daily.

Your fund owes 0.01% per day to clients, and you pay 0.0275% per day on your long futures contract hedge. Your total cost is 0.0375% per day.

Step 3

Lend the CNY on a margin trading platform. Assume you can lend your CNY at 0.1% per day on one of the big three Chinese exchanges. On a blended fund basis, you receive 0.05% per day.

Your net carry is 0.05% minus 0.0375%, or 0.0125% per day.

If you have 10,000 Bitcoin under management, you earn a profit of 1.25 Bitcoin per day. You can increase daily earnings by increasing the amount of Bitcoin assets sold for CNY. If you sold 75% of assets, your net carry would be 0.02375% per day.

Step 4

After three months, the futures contracts will expire. At that point, you must long roll your contracts into the next quarterly. The spread between the two contracts represents the cost of carry for the next three months.


It is necessary to understand the mechanics that fund-operators must undertake when they pay back investors.

Suppose an operator raised 2 XBT. He sold 1 XBT and received $1000. He took the other Bitcoin and bought 1000 XBTH17 (March 2017) futures contracts at $1000.

The price of Bitcoin rises to $2000 and at that point the investor recalls his loan. The operator must return 2 XBT.

The 1000 long XBTH17 futures have a profit of 0.5 XBT: (1/$2000 – 1/$1000) * -$1 * 1000. He is still 0.5 XBT short. He receives the $1000 principle back from the margin loans he made. With that he purchases 0.5 XBT at a price of $2000. He can now return the full 2 XBT.

Inverse Futures PNL = (1/P1 - 1/P0) * -$1 * Contracts

The important fact is that he must sell futures and buy spot, which at the margin causes basis to fall. If too many investors unwind at the same time, the falling basis will move a futures contract into backwardation.

The Great Unwind

From 24 December 2016 to 5 January 2017, the price of Bitcoin went from $800 to over $1,200 equivalent in China. Volumes spiked and bulls were borrowing everything in sight to go long Bitcoin. To satisfy the demand the CNY need to come from somewhere. I don’t believe exchanges were re-hypothecating customer CNY. I believe the increased CNY demand was met by credit whales operating in the manner I describe above. The hedging pressure from credit whales and Bitcoin bulls caused the XBTH17 premium to reach 54% annualised on January 5th.

All of a sudden, the PBOC turned on the lights at the club. In response to pressure from regulators, Chinese exchanges ceased offering margin trading on January 11th. The very next day, XBTH17 entered backwardation. Existing loans were allowed to expire, but no new loans could be taken out.

Margin loans had 2 to 30 day terms. As loans expired, credit whales need to unwind their trades. That meant selling futures and buying spot with released CNY. This helped move the futures’ basis into backwardation.

The Fear Uncertainty and Doubt (FUD) surrounding what the PBOC would or wouldn’t do prompted speculators to short Bitcoin via futures. There was no more margin trading therefore futures were the only bearish instrument available. Even today, the PBOC has released no statement as to what policy actions will be undertaken as a result of their “investigations”.

In short:

Margin Book Unwind + FUD = Futures Backwardation

Curve Normalisation

By mid-February all margin loans will expire. Afterwards, selling pressure will be removed.

If the PBOC does not say anything directly pre or post Chinese New Year, it will be safe to assume the exchanges heard and heeded the intended message. The FUD selling pressure will cease.

The basis will slowly creep higher as longs regain confidence and bargain hunt. A violent short squeeze could happen, should one of these three following black swan events transpire before the expiry of March 2017 futures:

  • The PBOC aggressively devalues the Yuan. Bitcoin will catch a bid again as comrades look to preserve what purchasing power they have remaining.
  • Marine Le Pineapple Pen is polling well in French elections. If Le Pen becomes the favourite, global contagion fears will skyrocket as an EU breakup will look more likely.
  • Trump passes a massive infrastructure spending bill. This is “bigly” inflationary and will cause US rates to rise which will exacerbate the pressure on the PBOC to slice the Yuan.

Bitcoin will respond positively if any of these scenarios come to pass. If you believe these situations are remotely possible, it behooves you to begin building a long XBTH17 position and take advantage of the backwardation.

All Quiet on the Eastern Front

In October of this year, China will hold the 19th National Congress of the Communist Party. During this rocking party, new members of the Politburo Standing Committee will be chosen. The Committee is the nation’s highest governing body.

The number one goal of the Chinese Communist Party (CPC) is the continuation of the one-party rule. In the months preceding the conference it is paramount that China not lose face, internally or externally. No issue is allowed to overshadow this important jamboree.

Unfortunately, 2017 appears to be the year when tough economic decisions cannot be delayed any longer. China must rebalance its economy by growing household wealth. This comes at the expense of the previous “winners”, such as credit-intensive heavy industry companies.

Everyone knows what must be done, but it is proving very difficult to disenfranchise the wealthy and connected. To date, the PBOC has engineered a slow but steady depreciation of the CNY. Depreciation is the escape valve that must be activated to export the money being printed onshore; new money must be printed to help engineer a soft landing during the economic rebalancing. In reaction, citizens fearing future weakness are attempting to spirit their capital out of the country.

The PBOC aggressively closed the obvious ways that capital fled. After tickling 7.00, the PBOC began strengthening USDCNY. In Orwellian fashion, they combined this with a direct instruction to financial analysts: refrain from discussing future Yuan depreciation.

The word from Zhongnanhai was stability and above all else, silence. In any other year the PBOC might stand a chance to achieve the holy monetary trinity. That is, having a closed capital account, a fixed exchange rate, and independent monetary policy. Unfortunately for China, Trump won the 2016 election.

Jobs For The Boys

America and China are more alike than many would like to believe. Trump and the CPC both received a mandate to rule by creating an iron burrito and rice bowl. While Minnie’s Haberdashery don’t allow no Mexicans, the current demographics of America leave Trump no choice.

Trump will put the good ‘ole boys back to work by building roads, bridges, and airports. He will also coerce American companies to onshore production of products intended for the American market through punitive taxation.

Pepe Escobar had this to say about Trump’s true handlers:

The Masters have decided to reindustrialize the United States and want to take jobs back from China. This is advisable from the Chinese viewpoint; for why should they sell their work to the US for a dollar that has no intrinsic value and get really nothing back for the work.

These policies if enacted will be highly inflationary. The secular bond bull market that began with Reagan will end with Trump. Trump has shown it is fatal to campaign against providing middle-class jobs. Regardless of their hemming and hawing, his inflationary spending proposals will be approved by a so-called deficit conscious Republican Congress. [Sputnik]

Artemis Capital, whose pieces on volatility investing are excellent, had this to say:

He [Donald Trump] will lever, and lever, and lever, and lever… and lever… and then restructure his way to success, or whatever success is defined as by the broadest measure of popularity at any given time. Trumponomics, if it delivers, will be a supply side free for all: massive tax cuts, deficit spending to create jobs, financial and energy deregulation, business creation, and trade protectionism all driving inflation. More importantly, Trump sees bankruptcy as a tool and not an obligation and will have no problem pushing the US to the limits of debt expansion.

The largest debtor and creditor nations cannot both embark on the same economic policies. The world must soak up both USD and CNY paper. Unfortunately, most of the world would rather look at Ben Franklin than Chairman Mao.

The Dot Plot from Hell

Grandma Yellen and Trump will become fast enemies. In the minutes of the latest meeting, Fed governors explained their fears about inflationary fiscal policies. Many believe this prompted the Fed to forecast three 0.25% rate hikes in 2017, versus previous expectations of only two.

The Fed even floated a trial balloon that it may begin to unwind its portfolio. They rightly fear massive mark-to-market losses should rates spike higher in anticipation of the enactment of Trumponomics.

For China to suppress CNY currency volatility, they cannot have the USD continue surging higher. If the Fed actually raises rates as per schedule, China will be in a very bad predicament. Not only will China’s portfolio of US Treasuries decline in value as rates rise, unpatriotic comrades will find new and more imaginative ways to turn Yuan into stable USD assets.

The measure to watch for is CPI food inflation: especially the oink oink flavour. The PBOC continues to bail out local governments and SOE banks through monetary liquidity injections via Reserve Ratio Requirement cuts and reverse-repo operations. If this new CNY paper cannot be exported abroad because of tightening capital controls, the pressure will show up in food prices.

If there is a piece of data that doesn’t paint a pretty picture of China, authorities silence the messenger. Recently Beijing instructed the meteorological agency to stop producing smog alerts. Pollution in north-eastern cities such as Beijing and Tianjin has hit records this winter.

When the inflationary pressures present themselves in accelerating CPI inflation, the government may decide to omit this crucial economic statistic from publication. That is when you know something big will happen.

To alleviate the pressure, the PBOC will aggressively depreciate the Yuan.

Before or After

When will the PBOC release the pressure? Chinese New Year, which starts this Friday and lasts until February 2nd, presents a perfect opportunity. Banks are closed for a week. Central banks love to impoverish their citizens over bank holidays.

A one-off devaluation during New Year gives China breathing room leading up to October. If the USD strength continues and the PBOC does not devalue, the PBOC might be forced to rock the boat just a little too close to the big dance.

If they delay, then no action will likely happen before the October National Congress. For those expressing a view through digital currencies, the absence of CNY currency volatility may dampen the price of Bitcoin in the interim.

The October to end of year Bitcoin price performance was +70% and +84% in 2015 and 2016 respectively. In both cases, the PBOC took the scythe to the Yuan. Fall 2017 will see similar stellar price performance if the PBOC delays the inevitable.

Marine Le Pineapple Pen

Risk-off will rule if Le Pen claims victory in the April French presidential elections. She is tired of France waving the white flag in the face of German economic onslaught. She has vowed to offer a referendum on EU membership. Should a vote be held, there is a non-zero probability that the frogs will leap into a new boiling cauldron of their own making.

A real risk of an EU breakup launched by the zone’s 2nd largest economy will send the USD soaring. The rush to safety will decimate emerging market currencies. If the PBOC delays the devaluation, they run a real risk of emergency cuts in the summer due to European contagion.

Make Bitcoin Boring Again

The absence of margin and zero trading fees will certainly temper the desires of Chinese punters to trade Bitcoin. However, these actions by themselves do not preclude a bullrun, should the domestic currency continue to stumble.


门罗币(XMR)是2016年表现最好的数字货币,涨幅超过2745%。 即使你没有在年初进入,如果在最后一个月抄,你都能够翻倍。 上周兑美元涨幅超过30%。 门罗币的市值在过去一年增长了40倍。 门罗币最近打败了莱特比和瑞波币,成为山寨币圈中第三位的虚拟货币。

噢~ 慢着 – 看看以太币之父拿着的猫包包啊,好可爱哟~

好吧,咋们回正题吧。 为什么Monero现在这么热? 几个月前,一些暗网市场,AlphaBay和Oasis Market开始使用Monero。 这突出表明需要比比特币更匿名的数字货币。 实际用户群的采用使Monero比其他匿名货币(如Dash和Zcash)有明显的优势。

Kraken补充说,Monero投资者注意到“Monero建立在隐私,分散,开放发展,可扩展性和可替代性的核心原则。 Coinbase收到许多添加Monero的请求。 然而考虑到Coinbase的监管限制,如果他们支持一个完全匿名的数字货币交易,我会十分惊讶。

Monero通过使用环形签名实现匿名交易。 该过程类似于比特币混合器,但是包括在门罗币协议中,并且默认使用。 这样做的结果是使区块链分析更加困难。


Zcash挖掘奖励是一个争论点。 20%的奖励分拨到创始人就是引发了Zcash经典链分叉的原因。 Zcash Classic消除了创始人奖励和缓慢的开采。

Monero和Zcash具有几乎相同的挖礦率(60 MH / s)。然而,从长期来看,由于Monero的後期釋放(无需增加交易费用或讨论区块规模的讨论,Monero将是比Zcash更好挖的电子货币,遵循比特币协议进行采矿奖励。此外,假设z地址较大,那些在交易中请求匿名的用户将需要在Zcash上对矿工更多地支付给非匿名交易。

图1:  XMR / ZEC 价格比例


从这个礼拜的星期五1月6日20:00 中国时间起,XMR7D的杠杆将会从 20x 增加到 25x.