ETHUSD 的掉期合约的价格是合理的吗

永续掉期衍生结构是一件美妙的产品。它使得交易便简单了,因为它模拟了保证金交易的结构。大多数散户交易员都熟悉保证金交易的结构。使用这个模式,任何人都能交易着各式各样的衍生品。

“ Quanto 是衍生产品的一种,其中标的物以一种货币计价,但该工具本身以另一种货币结算。对于希望投资海外资产但却不想冒汇率风险的投机者和投资者而言,此类产品具有吸引力。”- 维基百科

ETHUSD 掉期已成为全球最具流动性的 ETH / USD 交易工具。它允许投资者交易着 ETH / USD 的价格,而不需要持有以太币或美元。与所有 BitMEX 合约一样, ETHUSD 的保证金和结算货币是比特币。从交易的角度来看,这使得事情变得很简单。

当 ETHUSD 产品上市时,我向读者介绍了 Quanto 衍生产品的结构。请阅读为何使用双币种( Quanto )对冲双币种( Quanto )永续合约复习一下。

在 ETHUSD 推出之后,以太币的价格成了下跌了。在这样的熊市中,许多交易员预计资金费率将保持负值。这在逻辑上是有道理的。

市场正在下跌,因此保证金的压力应该在卖方。但是,从产品发布到现在的累积资金费率是正值。正资金费率意味着多头方支付着空头方。

我的假设是,正的资金费率代表了 Quanto 的风险溢价。然后,我委托其中一位 BitMEX 研究分析师进行以下测试:

第一步

从 8 月 9 日到 10 月 22 日,为了获取资金收入,您卖出了 ETHUSD ( 100 XBT 名义价值),并通过以美元购买以太币进行对冲。

第二步

每小时您重新计算您的净比特币仓位盈亏,并以美元对冲该盈亏。

第三步

计算该期间内投资组合的美元净回报。

第四步

把您在此期间内卖出 ETHUSD 掉期所收到(支付)的净收益全部加起来。

 

结果

没有资金流入,您将损失 46,779.73 美元用于对冲比特币收益 。这在预料之中,因为您是“卖出”相关性。在过去的几个月里, XBTUSD 和 ETHUSD 的相关性上升了不少。

 

当收到净资金 46,010.85 美元时,您的交易基本收支平衡。过程中您买入 31.94  ETH 进行 delta 对冲并就盈亏对冲累积了 43.83 XBT 空头仓位 。结论是,尽管资金费率保持正值,但这笔资金需要补偿 Quanto 的风险溢价。


相关性正在上升,因此交易员将通过现货价格推高 ETHUSD 掉期的价格以从 Quanto 的盈亏中获利。这产生正资金费率,并使市场达到平衡。


长期来说都该如此,但有时您的净盈亏可以是正或是负的。上图提供了此交易的累计盈亏的时间序列分析。我们可以看到,市场偶尔会对这种掉期进行错误定价。

令人惊讶的是,在不到六个月的时间里, ETHUSD 掉期价格已经非常完美。但是,比特币和以太币的波动性都在下降。当我们回到正常的波动水平时,我预计恐惧和贪婪的交易员会把 ETHUSD 掉期推离  Quanto 调整后的合理价格。

 

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熊市的阴霾

趋势是您的朋友,直到它成为您的敌人。人类本身就是个不称职的预测者。我们拿着昨天的回报并试图使用线性和非线性的规律来推断未来。我们眼中的世界在完美的线条中运作。

当市场逆转时,就像往常一样,一群悲伤的熊猫会被市场遗下。 2017 年是个欢庆的一年;  2018 年是个忧郁的一年。最糟糕的是当您得知您 2018 年的奖金的时候,如果您还有的话,那奖金几乎买不起一个 Swatch 。

我们加密币交易员现在应该学精明了,但我们从不学乖。市场可能会从 20,000 美元的高位下跌 70% ,但在交易员心态上,比特币可能随时一文不值。

当交易员赔钱时,他们会抨击。他们在 Twitter , Telegram , Reddit 和其他社交媒体平台上大肆宣传。输钱的感触使得他们表现的比那些在知道特朗普当选后的希拉里支持者更糟糕。

这就是熊市的阴霾。

 

我们都经历过

BitMEX 研究的优秀团队就之前的比特币牛市和熊市进行了一些分析。

他们区分了两个测量:

1.峰谷价格:峰值到谷值的下跌是通过将熊市的低点除以之前牛市的高点来衡量的。

2.市场内阶段的增加/减少:这是通过将牛市(熊市)的高(低)点除以该趋势开始时的价格来计算的。

他们的结论是,我们在目前的熊市中还有更多空间。由于比特币价格波动性的降低,我同意这个观点。

 

双重打击

一记左钩拳,再来一记右钩拳。比特币价格及其波动性在今年崩溃了。

交易员讨厌市场横行。交易者可以做多或做多,但无法买入横行的走势。横行市场会让交易员失业。

与主流的看法相反,如果比特币要获得主流采用它非常需要波动性。比特币的价格是传达其生态系统健康的最佳及最透明的方式。它(价格波动)告诉着世界,有着什么正在发生 – 无论是正面的还是负面的都是无关紧要的。

比特币价格波动是刺激生态系统活络的药物。媒体撰写任何有活力的事物;因此没有活力就没有曝光率。死忠交易员和工程师将始终在大众媒体报道之前获得新的资产类别或技术信息。然而,只有更多的人发现埃尔多拉多( El Dorado ),这些交易员和工程师的努力才会被放大。这需要懒惰的主流财经媒体提供的曝光率。

如果波动率保持在低迷水平,价格将慢慢下跌。对于我们这些经历过 2014  – 2015 年熊市的人来说,我们都在等待那能直击公牛灵魂的一鞭。然后,只有这样,波动性和价格才会上涨。

 

混沌时期

我们能走多远?

从 9,152 美元下跌 75% 我们将接近 2,000 美元。 2,000 美元到 3,000 美元是我的新的最佳支持预测( Sweet Spot ),但千万不要告诉米歇尔 • 李( Michelle Lee )( Hashed.Asia 的作家)。

是否 “抄底” 要看熊市最后一跌时的价格行为。当您看到它时您便会知道。可最美妙的是,您可能会太怂了而不敢点击那可怕的买入键。

 

 

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稳定币:尽情的诡辩吧

经过 10 年,比特币仍继续存在,但其生态圈仍然存在严重的缺点。对于任何从事与加密币有关的商业活动来说,想要开设和持有可以清算美元的银行账户是非常困难的。这个弱点使得业界对所有稳定币产生需求。

稳定币分为两大派系。其中一个是由 Tether 领头的伪美元货币市场基金。另一个子部分是“代币”( Maker / Dai , Haven , Basecoin 等),试图通过使用花哨数学模型和伪行为经济来持有的美元。

 

美元银行账户

市场诞生的 Tether 彻底体现出了开设和持有美元银行账户的难度。投资者有以美元交易比特币和其他垃圾币的需求。加密币与加密币的交易市场的流动性是很高的,但我们交易时仍然以美元计价。因此,能够提供美元交易的交易所将胜过不能提供这些美元交易的同行。

不可否认, Tether 是一项创新的产品,因为它是一个通过比特币和以太坊区块链转移的美元代币。理论上来说, Tether 团队持有大量的美元,足以以 1 Tether = 1 美元的兑价创造和赎回 Tether 。以前只提供加密币兑换加密币的交易所从此可以提供加密币兑美元的交易兑价给投资者,并将原本需要开设银行账户的麻烦由 Tether 消化掉。

市场需求就在摆在那儿,但困难的部分是您的现金存哪儿。 Tether 在各个司法管辖区收购后又失去了银行业务。其他人看着 Tether 的传奇故事,得出的结论是,利用他们自己的关系,他们可以提供比 Tether 更好的选择。现在市场上各种交易所提供着 Tether 翻版产品,如 Gemini , Circle 和 itBit 。

 

名字不重要,本质上就是货币市场基金

对于良好的银行体系来说,货币市场基金的存在极为重要。散户投资者和机构投资者便能在短期内将多余的现金存放在货币市场基金并提高他们收益率。货币市场基金将投资于高流动性的固定收益投资工具。短期政府债券,信誉良好的企业发行的商业票据和短期银行贷款,都是货币市场基金持有的一些投资产品。

货币市场基金的风险承受能力很低。对他们来说最重要的是他们的投资能始终保持票面价值,例如 1 单位 = 1 美元。在 2008 年全球金融危机期间,一些货币市场基金面临着“跌穿票面价值”的风险。低风险债务成为高风险债务;流动性枯竭,投资者急于退出。

今天, Tether 和它的翻版们承诺每一枚代币都有 1 美元的背书。一些该代币的发起人可以公开与他们合作的银行伙伴,有些则不公开。与传统的货币市场基金相比,透明度水平相形见绌。

另一个加密币货币市场与传统货币市场的关键区别是的是这些稳定币不支付利息。发行稳定币真正的利润是他们能够获得净息差。如果没有巨大的利润空间,为什么他们要为整个加密币生态圈托管美元,为自己带来开设及持有银行账户的麻烦?

随着利率上升,这些对于稳定币的运营商来说这都是纯利润。肆无忌惮的运营商将持有的美元现金投资于风险较高的固定收益产品。最糟糕的营运商将带上乔恩 • 科尔津( Jon Corzine )(加杠杆之意),并购买风险最高的固定收益产品。

如果您持有任何货币市场稳定币,您必须问清楚以下问题:

  • 谁是它们的合作伙伴(哪家银行)?
  • 它们持有的基金能够投资于什么类型的固定收益产品(如果有的话)?
  • 作为一个普通的散户投资者,您能否创造或赎回该代币,而这个过程需要多长时间?

 

想成为中央银行

另一组发起人问了这个问题,您能否制造一枚与美元挂钩的代币但却不用持有任何美元作为支持?

实物美元的替代品是数学,行为经济学加上加密货币。这些项目需要大量非稀释现金的原因是因为当风暴来临并且他们的垃圾币交易价格低于单位价格时,发起人必须消费自己持有的美元,比特币或以太币来恢复挂钩。

许多项目希望建立一个基于规则的数字中央银行;然而,他们所做的一切只不过是通过复杂和无聊的白皮书来实现对实物现金的需求。

最重要是,他们筹集资金的目的是让这些投资人作为风暴来临时最后接火棒的人。否则,这些项目根本不需要价值数亿美元的资金来投资。如果数学和行为模型能按计划进行,那这个代币的规模应该会越来越大,并且随着时间的推移,永远保持挂钩。

如果任何项目能返还他们筹集的所有资金,并纯粹基于其数学模型推出他们的代币,我将非常吃惊。我非常怀疑哪个项目能够接受这个挑战。

我敢打赌,有一些加密币圈的乔治 • 索罗斯效仿者正虎视眈眈,等待适当的时机打破这些代币的挂钩兑价。作为观众来说将看到一幕壮举。

格雷欣法则( Gresham’s Law )将成立。货币市场拥有诚实和透明运营商的稳定币将占据绝大多数的资产管理规模。其他那些妄想成为的中央银行的竞争者们只能在伪科学和自负假说的担子下挣扎。

 

 

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Is The ETHUSD Swap Fairly Priced

The Perpetual Swap derivative structure is a beautiful thing. Trading is simple, as it mimics the action of margin trading. Most retail traders are familiar with how to trade on margin. Using this wrapper, we can allow anyone to trade exotic derivatives.

“A 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.”Wikipedia

The ETHUSD swap has become the most liquid ETH/USD trading instrument globally. It allows speculators to trade ETH/USD risk, without ever touching Ether or USD. Like all BitMEX contracts, the margin and settlement currency for ETHUSD is Bitcoin. This keeps things simple from a trading perspective.

When the ETHUSD product listed, I walked readers through the mechanics of a quanto derivative. Please read Why Quanto and Hedging a Perpetual Swap for a refresher.

Subsequent to the launch of ETHUSD, the price of Ether took a digger. In such a bear market, many traders expected the funding rate to stay negative. Logically that makes sense.

The market is falling, so the pressure on the margin should be on the sell side. However, the cumulative funding rate from launch till the present is positive. A positive funding rate means longs pay shorts.

My hypothesis was that the positive funding rate represents the quanto risk premium. I then tasked one of the BitMEX Research analysts to conduct a test:

Step 1
Starting on the 9th of August and ending on the 22nd of October, to capture the funding income, you sold ETHUSD (100 XBT notional), and hedged by purchasing Ether with USD.

Step 2
Every hour, you recalculated your net Bitcoin PnL, hedging that exposure into USD.

Step 3
Compute the net returns in USD terms on your portfolio for the period.

Step 4 
Add net total funding you received (paid) from being short the ETHUSD swap over the period.

Results

Absent the positive funding, you would have lost $46,779.73 hedging your Bitcoin PnL. This is expected because you are short correlation. Over the past few months, the XBTUSD and ETHUSD correlation has risen.

When the net funding payments received, $46,010.85, are added, your trade essentially breaks even. Along the way you bought 31.94 ETH to delta hedge and accumulated a 43.83 XBT short position to PnL hedge. The conclusion is that even though the funding rate has stayed positive, this funding compensates for the quanto risk premium.

Correlation is rising, therefore traders will bid up the ETHUSD swap over the spot price to profit from the quanto PnL. A positive funding rate results, and brings the market into equilibrium.

This is true over a long holding period. There were times where your net PnL was positive or negative. The chart above provides a time series of the cumulative PnL from this trade. As we can see, the market does misprice this swap occasionally.

It is quite amazing that in under six months, the ETHUSD swap has been priced to perfection. However, the volatility of both Bitcoin and Ether has fallen. When we return to a normal level of volatility, I expect fearful and greedy traders to push the ETHUSD swap away from the quanto adjusted fair price.

Bear Market Blues

The trend is your friend until it ain’t. Humans are very bad forecasters. We take yesterday’s returns and extrapolate them linear and non-linearly into the future. We believe the world works in perfectly-fitted curves.

When the market reverses, as it always does, a coterie of sad pandas are left in its wake. 2017 was the year of jubilation; 2018 is the year of melancholy. The worst part is knowing your 2018 bonus, should you receive one, will barely buy you a Swatch.

We crypto traders should know better by now, but we never learn. The market may be down 70% from the $20,000 high, but from the mood of traders, Bitcoin might as well be worth bupkis.

When traders lose money, they lash out. They lash out on Twitter, Telegram, Reddit, and other social media platforms. The smallest perceived slight, triggers them worse than a Hillary supporter after the Trump coronation.

This is the Bear Market Blues.

We Have Been Here Before 

The talented individuals at BitMEX Research did some analysis of the previous Bitcoin bull and bear markets.


They made a distinction between two measurements:

1. The peak-to-trough decline:  A peak-to-trough decline is measured by taking the low of a bear market and dividing it by the high of a previous bull market.

2. The intra-market phase increase/decrease: This is calculated by taking the high (low) of the bull (bear) market and dividing it by the price at the start of that market phase.

They conclude that we have more to go in this current bear market. Due to the collapse in Bitcoin price volatility, I agree with this sentiment.

The Double Whammy

Wham, bam, thank you ma’am. Bitcoin volatility and price collapsed this year.

Traders hate sideways markets. Traders can go long and short, not sideways. The chop will eat you alive in a sideways market.

Contrary to popular belief, Bitcoin requires volatility if it is ever to gain mainstream adoption. The price of Bitcoin is the best and most transparent way to communicate the health of the ecosystem. It advertises to the world that something is happening–whether that is positive or negative is irrelevant.

The Bitcoin price volatility is the gateway drug into the ecosystem. The media writes about things that move; therefore no movement, no coverage. The diehard traders and engineers will always hear about a new asset class or technology in advance of popular media outlet coverage. However, their efforts will only be amplified if many more people discover El Dorado. That requires the lazy mainstream financial press to write.

If volatility stays at these depressed levels, the price will slowly leak lower. For those of us who lived through the 2014-2015 bear market, we all await that nasty ass candle that breaks the soul of the bulls. Then, and only then, will volatility and the price ratchet higher.

Limbo Time

How low can we go?

A 75% fall from $9,152 takes us close to $2,000. $2,000 to $3,000 is my new sweet spot but don’t tell Michelle Lee just yet.

The key consideration to “calling the bottom” is the price action around the last gasp of the bears. You will know it when you see it. And the best part is, you probably will be too chicken to click that oh so scary Buy button.

Stablecoins: Sophistry At Its Best

After 10 years, Bitcoin lives on, but the ecosystem still suffers from a critical weakness. Obtaining and maintaining a bank account that can process and clear USD is very difficult for any crypto-related business. The outcrop of this weakness is the industry’s clamour for all things Stablecoin.

Stablecoins fall into two camps. One subsect, of which Tether is the leader, are thinly- disguised USD money market funds. The other subsect are “coins” (Maker / Dai, Haven, Basecoin, etc.) that attempt to do an end runaround holding actual USD by using fancy math and pseudo behavioural economics.

USD Banking

The ongoing Tether melodrama highlights the difficulties of obtaining and maintaining USD banking facilities. Traders want to trade Bitcoin and other shitcoins vs. the USD. The crypto- to-crypto pairs are liquid at times, but we all still think in dollar terms. Therefore, exchanges that can offer these pairs will outperform their peers who cannot.

Tether is novel because it is a USD money market token transferred across the Bitcoin and Ethereum blockchain. The Tether organisation supposedly holds sufficient USD such that 1 Tether = 1 USD for those who can create and redeem Tether. Exchanges that previously only offered crypto-to-crypto pairs could offer a Coin to USD pair and externalise the hassle of dealing with banks onto Tether.

The demand was there, but the hard part is where to stash the cash. Tether acquired and lost banking relationships in a variety of jurisdictions. Others looking in at the Tether saga, concluded that using their connections they could offer a better alternative. Now we have Tether clones offered by various exchanges such as Gemini, Circle, and itBit.

Money Market Funds In All But Name

Money market funds are extremely important to a well functioning banking system. Individuals and institutions park their excess cash on a short-term basis and pick up yield. The money market funds invest in highly-liquid debt instruments. Short-dated government bonds, commercial paper issued by creditworthy corporates and short-dated bank loans, are some of the securities that a money market fund will hold.

Money market funds aim to be very low risk. Their most important aspect is they maintain a par value at all times, such that 1 unit = 1 USD. During the 2008 GFC, some money market funds were at risk of “breaking the buck.” Low risk debt became high risk; liquidity dried up, and investors rushed for the exits.

Today, Tether and clones thereof promise there is 1 USD for one coin in a bank somewhere. Some promoters are able to name their banking partners, some are not. The level of transparency pales in comparison to traditional money market funds.

The other key difference in the crypto sphere is these Stablecoins do not pay interest. The real profit driver of money market Stablecoins is their net interest margin. Why go through all the hassle of hosting USD banking for the crypto ecosystem if there wasn’t a massive future profit potential?

As interest rates rise, that becomes pure profit to the Stablecoin operator. Unscrupulous operators will claim to hold USD cash, while investing in riskier debt instruments. The worst scallywags will pull a Jon Corzine, lever up, and purchase the dodgiest credits to be had.

If you hold any of these money market Stablecoins, you must ask the following:

  • Who is the banking partner?
  • What types of debt instruments, if any, is the fund allowed to hold?
  • Can you as an ordinary individual create and redeem at par, and how long does that process take?

Wannabe Central Bankers

Another group of promoters asked the question, can you create a coin pegged to the dollar without holding any dollars as a backstop?

The substitute for physical dollars is math, behavioural economics, and cryptocurrencies. The reason why these projects need a shit-ton of non-dilutive suckers’ cash is because when shit hits the fan and their shitcoin trades less than par, the promoter must spend hard dollars, Bitcoin, or Ether to restore the peg.

Many of these projects wish to create a rules-based digital central banker; however, all they have done is obfusticate the need for physical cash by using complicated and boring whitepapers.

The central fact is that they are raising funds to act as the buyer of last resort. Otherwise, there is no need for hundreds of millions of dollars worth of investor money into any of these projects. If the math and behavioral modeling goes to plan, the coin should slowly accrue AUM and over time the peg should hold.

I challenge any project to return all the money they raised, and launch their coin purely based on its mathematical merits. I highly doubt I will have any takers.

I bet there are crypto George Soros imitators licking their lips at the chance to break the peg of these coins at the opportune moment. It will be glorious to watch.

Gresham’s law will hold. Money market Stablecoins with honest and transparent operators will accrue the vast majority of the AUM. Their wannabe central banker cousins will flounder under the weight of pseudoscience and hubris.

ETHUSD 스왑 상품의 가격은 적정한가?

무기한 스왑 파생상품의 구조는 매력적입니다. 본 상품의 거래는 마진 거래의 방식과 동일하므로 간단합니다. 대부분의 소액 투자자들은 마진 거래 방식에 익숙합니다. 저희는 이 포스팅의 표지만으로 누구든지 신종 파생상품 (exotic derivative)을 거래하게 만들 수 있습니다.

“콴토 (quanto)는 기초가격이 단일통화로 매겨지는 동시에 다른종류의 통화로 일정한 금리기준으로 결산되는 유형의 파생상품입니다. 이같은 상품은 환리스크 (exchange rate risk)없이 외환자산에 대한 노출성을 원하는 투기 및 투자자들에게 매력적인 상품입니다.” – Wikipedia

ETHUSD 스왑 상품은 전세계에서 가장 유동성 높은 ETH/USD 거래 상품이 되었습니다. 해당 상품을 통해 투기자들은 이더리움 또는 미화 달러를 다루지 않고도 ETH/USD 상품의 위험성을 거래할 수 있습니다. 모든 비트멕스의 계약과 마찬가지로, ETHUSD 상품의 마진 및 결산통화는 비트코인입니다. 이는 거래의 여러 부분을 단순하게 유지시켜 줍니다.

ETHUSD 상품이 상장되었을 때, 저는 독자들에게 콴토 파생상품의 역학에 대해 설명했습니다. 복습 차원에서 블로그에 올라와 있는 콴토 파생상품을 선택한 이유콴토 무기한 스왑 계약 헤징을 다시 읽어보시기 바랍니다.

ETHUSD 상품 출시 이후, 이더리움의 가격이 폭락했습니다. 이러한 하락장 속에서 많은 거래자들은 펀딩 비율이 음수에 머무를 것으로 예상했습니다. 이는 논리적으로 일리가 있는 말입니다.

시장이 하락장이므로 마진에 대한 압박은 매도 측에 있어야 합니다. 그러나 상품 출시부터 현재까지의 누적 펀딩 비율은 양수를 기록했습니다. 양수의 펀딩 비율은 공매수 포지션 측에서 공매도 포지션 측에 펀딩 수수료를 지급해야 함을 의미합니다.

저의 가설은 양수의 펀딩 비율은 곧 퀀토의 위험 프리미엄을 의미한다는 것이었습니다. 저는 비트멕스 리서치 팀 분석가 중 한 명에게 한 가지 테스트를 요청했습니다:

1단계
8월 9일부터 10월 22일까지 펀딩 수입을 벌어들이기 위해 여러분은 ETHUSD (명목상의 100 XBT 가치를 지닌) 상품을 매도하고 미화 달러로 이더리움을 구매하여 헤징했습니다.

2단계
매 시간마다 순 비트코인 손익 (net Bitcoin PnL)을 재계산하여 미화 달러에 대한 노출성을 헤징합니다.

3단계
테스트 기간 동안 미화 달러 기반의 순수익을 포트폴리오에서 계산합니다.

4단계
해당 기간 동안 ETHUSD 스왑 상품에서 공매도 포지션을 취해 얻은 (지불한) 총 순자금을 더해줍니다.

결과

펀딩 비율이 양수가 아니였다면, 여러분은 비트코인 손익을 헤징하여 미화 46,779.73 달러의 손실을 입었을 것입니다. 그 이유는 여러분이 공매도와 상관관계에 있기 때문입니다. 지난 몇 달 동안 XBTUSD 상품과 ETHUSD 상품의 상관관계는 상승하였습니다.

지불받은 순 자금 지급액 (net funding payments) 미화 46,010.85 달러를 더하면, 여러분의 거래는 손익 평형을 이루게 됩니다. 이 과정에서 여러분은 델타 헤징을 위해 31.94 ETH를 매수하고 손익 헤징을 위해 43.83 XBT의 공매도 포지션을 누적했습니다. 이를 통한 결론은 펀딩 비율이 양수로 유지되더라도 해당 자금은 콴토의 위험 프리미엄을 상쇄시켜준다는 것입니다.

상관 관계가 상승하고 있으므로 거래자들은 콴토의 손익으로부터 수익을 얻기 위해 현물 가격 이상으로 ETHUSD 스왑 상품의 가격을 올릴 것입니다. 양수의 펀딩 비율을 통해 시장 균형을 이룰 수 있습니다.

이는 오랜 보유 기간 동안에 걸쳐 도출해 낸 사실입니다. 여러분의 순손익은 흑자일 때도 혹은 적자일 때도 있었습니다. 위의 표를 통해 이 거래에서 누적된 손익의 시계열 데이터를 알 수 있습니다. 표에서 볼 수 있듯 시장은 때때로 해당 스왑 상품의 가격을 잘못 책정하는 경우가 있습니다.

6개월이 채 안되어 ETHUSD 스왑 상품의 가격 책정이 완벽에 가깝게 이루어졌다는 것은 매우 놀라운 일입니다. 하지만 비트코인과 이더리움의 변동성은 모두 하락했습니다. 저는 변동성이 보통 수준을 회복할 경우, 두려움 많고 탐욕스러운 거래자들이 ETHUSD 스왑 상품을 조정된 콴토의 공정 가격에서 멀리 내쫓을 것으로 예상하고 있습니다.