XBTとXBUチェーン比較

注:本稿は古い情報に基づいている。20142016年、BitMEX ではクオントとインバースの両方を扱っていたが、その後、簡略化のため、インバースのみに移行している。

新しい情報については、XBT シリーズガイド をご覧いただきたい。


BitMEX では、総合的なビットコイン派生商品を取り扱うことを目標にしている。現在の主力商品はクオントとインバースの 2 種類に大別される。XBTUSD スワップ商品ではインバース方式を採用し、XBTU16 契約ではクオント方式を採用している。

XBTUSD はビットコイン価格 (任意) 1 ドルで除した値に相当する。XBTU16 では、ビットコイン乗数が 1ドルあたり 0.00001 XBT に固定されている。いずれの契約も米ドル建てで提示され、Kaiko BitMEX インデックスビットコイン/米ドル (XBTUSD) 直物レートを参照する。 下表は XBTUSD XBTU16 の概要である。

シンボル XBTUSD XBTU16
種類 インバース クオント
原資産 1 / XBTUSD または USDXBT XBTUSD
乗数 -$1 0.00001 XBT
建値通貨 USD USD
証拠金と損益通貨 XBT XBT
満期 なし 2016 9 30
決済方式 未実現損益を毎日12:00 UTC に調整し直す Kaiko BitMEX インデックスの10:00 UTC – 12:00 UTC 1 分足時間平均加重価格 (TWAP)
1契約あたりXBT価値 1 / 価格 * $1 価格 * 0.00001 XBT
1契約あたり米ドル価値 $1 価格² * 0.00001 XBT
1契約の XBT 損益 (1 / 価格T – 1 / 価格0) * -$1 (価格T – 価格0) * 0.00001 XBT

XBTUSD は、XBTUSD と価格が提示されるためインバース () 契約であるが、実際には、原資産は USDXBT または 1/XBTUSD である。インバースとしてクォートされる理由は、ビットコイン市場の大半のトレーダーがビットコインをベース通貨とするクォート方式に馴染んでいるためである。この商品は、ビットコインの米ドル建て価値を固定する必要のあるトレーダーに適している。3 か月以内に$100,000 のビットコインを受領する予定の場合、100,000 XBTUSD 契約を売却して、$100,000 の価値を確保する。

XBTU16 は、米ドル建てでクォートされるためクオント先物契約であるが、乗数は XBT 建てである。以下は Wikipedia の引用。

クオント とは、デリバティブ の一種で、原資産単一通貨建てであるが、商品自体は別の通貨建ての固定レートで決済される。

このチェーンはビットコイン保有者がビットコインの将来価格を適切に予測することでビットコイン収益をあげる場合に適している。

上のチャートには、1,000 XBTUSD 契約をロングした場合において、直物レートの推移に伴う米ドルと XBT のエクスポージャーを示している。米ドルのエクスポージャーは、$1,000 で一定であるが、XBT のエクスポージャーは非線形に変化している。この値が XBTUSD 価格 [XBT 価額 = 1/価格 * $1 * 契約数] に相当するためである。次のチャートでは、証拠金との関係が示されている。

1,000 XBTUSD 契約を$500 で購入したものと仮定する。この契約の XBT 価額は、1/$500 * $1 * 1,000 or 2 XBT の算式で計算される。慎重を期し、2 XBT を証拠金として預託する。この証拠金で価格下落時の損失が十分カバーできるという考えの下での預託であるが、上のチャートでその考えが間違っていることがわかる。青い線は 2 XBT の投資額を示している。赤い線は 1,000 XBTUSD 契約ロングポジションの損益を示している。緑の線は損益相殺後の純投資額を示している。価格が $300 を割り込むと、アカウントの投資額は実際にはマイナスつまり破産状態となる。XBTUSD はインバース契約であるため、1,000 契約を購入すると、実際には、USDXBT をショートしたことになる (XBTUSD のロングでなく)。その結果、XBTUSD 価格が下落すると、ポジションの想定価値相当の XBT を預託しても、追加証拠金が必要となり得る。

上のチャートには、XBTU16 契約を 1,000 枚ロングした場合において、XBTUSD 直物レートの変化に伴う米ドルと XBT のエクスポージャーが示されている。XBT のエクスポージャーは、非線形に変化している。価格変数が 次の式のとおり、2乗されているためである:[USD 価額 = 価格² * 0.00001 XBT * 契約]

XBTUSD 相場の見通しに応じて、どちらかのチェーンが他方より明らかに有利となる。上の 2 つのチャートには、XBT と 米ドルの損益が示されており、1,000 XBTU16 1,000 契約のロングポジションとshort 2,500 XBTUSD 2,500 契約のショートポジションで、いずれも価格 $500 と仮定されている。$500 では、この 2 つの商品の XBT USD の価額は等しい。XBTUSD 相場に弱気な見方をしている場合、XBTUSD のショートが適した戦略である。XBTUSD 相場に強気な見方であれば、XBTU16 ロングが最適である。

How to Market Make Bitcoin Derivatives Lesson 2

In Lesson 1, I described how to calculate a two-way quote, dynamically hedge, and match the settlement for an ETC7D futures contract. In this lesson, I will discuss how to calculate Basis and Skew, and how to apply these to your two-way quotes.

Calculating Basis

To calculate the future value of any currency pair, you need to know the cost to borrow and lend the home and foreign currencies. The underlying currency of ETC7D is the ETC/XBT exchange rate. Assume that as a market maker you only own Bitcoin and not any other currency.

To buy ETC, you must sell XBT that you own. That XBT has an opportunity cost of capital. If you were to borrow this Bitcoin from another party to fund your business, how much would it cost?

To sell ETC, you must borrow it. There are two ways this is accomplished. For more well established digital currencies, spot exchanges like Poloniex will operate a borrow market. You can automatically pledge Bitcoin as collateral and borrow ETC at the market interest rate when you wish to short it.

If margin trading is not available, you need to borrow it from another trader. The other party will lend you ETC for a period of time at a rate of interest.

Using Covered Interest Rate Parity, we can calculate the Basis.

Basis = (1 + XBTr * t) / (1 + ETCr * t) – 1

XBTr = Bitcoin annualised interest rate

ETCr = Ether Classic annualised interest rate

t = Time in years

In practical terms, we ignore the opportunity cost of XBT. You can compensate for that by increasing your spread profit margin. As a market maker, you are concerned about how much you will pay to short ETC.

Assume it costs you 50% per annum to borrow ETC.

Basis for 7-day Future = 1 / (1 + 50% * 7/365) – 1 = -0.95%

If the spot price is 0.02 XBT, translate that Basis into points.

-0.95% * 0.02 XBT = -0.00019 XBT

ETC7D Quote Mid = Spot + Basis = 0.02 XBT – 0.00019 XBT = 0.01981 XBT

You have lowered your mid price. This will compensate you in the event someone sells to you. If you become long ETC7D, you will have to short ETC and pay the borrow fee.

Calculating Skew

You don’t have infinite capital. Left unchecked, you could build up a large long or short position in ETC7D. Your goal is to capture two-way flow so that you earn half of your quoted spread.

If someone continues selling into your bids, you want to progressively lower your quotes. If someone continues buying your asks, you want to progressively raise your quotes. A simple example will help illustrate the concept.

Assume you quote a two-way market of 10 / 11 for 1 contract each side. The total amount you are quoting on each side is 1 contract; I will call your Total Size Quoted. The bid / ask spread is 10%, half of that spread is 5%; I will call this your Weighted Average Half Spread.

Skew = (Change in Position / Total Size Quoted) * Weighted Average Half Spread * -1

Your position changed by +1.

Skew = (1 / 1) * 5% * -1 = -5%

You originally had a mid price of 10.5. Assume that the mid price represented the spot price.

New Mid Price = Spot + Skew = 10.5 * (1 – 5%) = 9.98

New Bid Price = 9.98 * (1 – 5%) = 9.48

New Ask Price = 9.98 * (1 + 5%) = 10.47

Combining Basis and Skew

Before you begin quoting, you will calculate the Basis. You will do this calculation based on how expensive it is for you to borrow the home currency.

Then while quoting, your trading program will adjust the Skew based on whether traders buy or sell from you.

Quote Mid Price = Spot Price + Basis + Skew

Using these two concepts, you cover your cost of funds, and manage your inventory.

In Lesson 3, I will explain how to handle Auto-Deleveraging events, and other advanced topics. To view the BitMEX sample market making bot, please visit Github.

BitMEX Arbitrage Lesson 4 Webinar

Topics covered in Lesson 4:

  • Delta
  • Theta
  • Bitcoin Value of 1%
  • Portfolio Risk Management

The Webinar will air Thursday 28 January 03:00 GMT.

Webinar Link

You can listen live, and after the presentation ask questions. If you are unable to tune in, a recording will be made available shortly after the broadcast is finished.

Supporting Materials:

BitMEX Arbitrage Lesson 3 Webinar

Topics covered in Lesson 3:

  • Constructing Futures Basis Term Structure
  • Curve Roll Down
  • Curve Directional Trades

The Webinar will air Thursday 21 January 03:00 GMT.

Webinar Link

You can listen live, and after the presentation ask questions. If you are unable to tune in, a recording will be made available shortly after the broadcast is finished.

Supporting Materials:

BitMEX Arbitrage Lesson 2 Webinar

Topics covered in Lesson 2:

  • Cash and Carry Arbitrage
  • Calendar Spreads
  • Basic Volatility Arbitrage

The Webinar will air Wednesday 13 January 03:00 GMT.

Webinar Link

You can listen live, and after the presentation ask questions. If you are unable to tune in, a recording will be made available shortly after the broadcast is finished.

Supporting Materials:

Bitlicense: Same Same But Different

Don Lawsky graced the plebes with a press conference last night and announced the final version of the long awaited Bitlicense. The final draft is same same but different. The core requirements remain the same. Some of the more ridiculous provisions were struck. The initial reaction by many was that the revised version is a necessary evil and slightly better than expected.

Those expecting a blockbuster announcement of a major financial institution that now will be accepting or trading Bitcoin were disappointed. Bitcoiners need to realise that large financial institutions do not care about regulations. If it was profitable to trade and accept Bitcoin, they would already be doing it.

Monetary historians will remember how and why the Eurodollar market originated in London. Since FDR’s ascension to power in the 1930’s, America has been a centrally planned and controlled economy. The free market exists in very few arenas. Banking swung from a free for all, to a collection of heavily regulated legacy banks. There were interest rate ceilings and severe restrictions on the issuance of commercial paper and foreign exchange trading. American banks (who loved the regulations so much) decided to issue dollar denominated debt without restrictions from London. The Eurodollar market arose in the 1950’s to escape onerous US regulations. Morgan Stanley was one of the most active players in the new space.

From Investopedia:

U.S.-dollar denominated deposits at foreign banks or foreign branches of American banks. By locating outside of the United States, eurodollars escape regulation by the Federal Reserve Board.

Everyone else followed and the global liquidity centre for FX and derivatives became London. To this day London regulations on derivatives of all sorts are much lighter than American ones. Remember the “London Whale”? He was the trader responsible for JPM $6 billion dollar loss on exotic credit derivatives a few years back. His whole team sat out of London, far away from the prying eyes of the coterie of ineffective paid-off American regulators. Most large financial institutions book and house derivatives on London banking chains.

The Bitcoin community needs to wake up. Large financial institutions will get involved in Bitcoin when there is enough money in it for them. Hopefully that happens soon. Regulations are only meant to extract rent from certain industries, and trick a gullible public that their over paid government overloads actually care about their well being.

The lack of a price pop after the Bitlicense announcement is worrying. Expect the downtrend to continue, and a retest of $220. Sell XBUM15 with a downside target price of $220. If $220 breaks, look to cover at $213.

Case Study: Using Bitcoin Derivatives in Global Trade

Hey HN: Nice to see you on our blog. If you’re interested in giving BitMEX a shot, you can sign up with this special link to enjoy 10% off trading for 6 months. If you have any questions or comments about the service, feel free to email us or talk to us directly in the site’s chat.


One of the stated goals of BitMEX is to allow Bitcoin to be used in global trade by eliminating the price volatility. Two entrepreneurs in Kenya and Hong Kong are using Bitcoin and BitMEX futures contracts to import goods into East Africa from China.

China produces goods cheaper and in bigger quantities than anywhere else globally. Kenya is one of Africa’s richest countries and consumes many Chinese finished goods. For Kenyan SMEs (Small and Medium-sized Entrepreneurs), procuring goods to resell locally can be troublesome and quite expensive. This is mainly due to the fact it is hard for them to settle payment between the Kenyan Shilling (KES) and Renminbi (CNY). Multinational companies can cheaply settle cash flows between Kenya and China, and manufacturers might even give them credit, but for SMEs the inability to settle payment means they must buy products second hand from parallel traders at large premiums. This mostly comes down to banks supporting larger organisations over smaller ones.

Robin Omwega is the head of Kenyan IT services firm Wageni Tech and also a Bitcoin enthusiast. Joseph Wang is the founder of Bitquant, a quantitative research firm focusing on Bitcoin and other financial markets. He is also a former JP Morgan quantitative trader. They met via a global Bitcoin chat room and devised a way to help supply East Africa with more affordable goods from China. They found that Bitcoin can serve as the settlement mechanism for payments between them, and have began a trading partnership between Kenya and Hong Kong / China.

The biggest issue with using Bitcoin is the price volatility. In the time between when Robin sends Joseph payment for goods in Bitcoin and they arrive in Kenya, the price can fluctuate wildly and cause losses for Joseph. To eliminate the price risk, Joseph hedges Bitcoin payments by selling BitMEX futures contracts that lock in the USD value.

Robin and Joseph have started by importing USB drives. Robin places an order with Joseph for the drives. Joseph selects a Chinese manufacturer with whom he has formed a business relationship. Joseph pays the manufacturer in CNY and now needs payment from Robin. Robin sends Bitcoin equaling the value of the purchase to Joseph, and the coins are locked in escrow using Bitrated. While they are in escrow, Joseph can’t sell the Bitcoin for CNY and needs to hedge. Joseph goes onto BitMEX and sells futures contracts locking in the USD value of the Bitcoin. Since he can trade on leverage, Joseph only needs to deposit as little as 30% of the value he wants to hedge. The USDCNY exchange rate is quite stable and Joseph isn’t worried about the price fluctuations. Once Joseph receives the goods in Hong Kong, he inspects them and ships them to Robin in Kenya. Robin receives the USB drives and releases the Bitcoin from escrow to Joseph. Joseph then buys back the futures contracts on BitMEX, and exchanges the Bitcoin into CNY on a spot exchange.

Robin and Joseph have been able to use Bitcoin as a clearing mechanism and eliminated the price risk using BitMEX derivatives. Without the use of futures contracts, Joseph exposes his business to price volatility and either must pass this cost onto Robin or not do the deal at all.

BitMEX derivatives are unique in the Bitcoin landscape as they are the only futures that guarantee settlement without socialized losses or clawbacks. With this guarantee, traders around the globe can hedge without fear that fluctuating prices – or other traders’ liquidations – will cause them to lose money.

BVOLG15: A Postmortem

BitMEX launched the world’s first Bitcoin historical volatility futures contract called BVOLG15. The contract settles at the BitMEX 30 Day Historical Volatility Index (.BVOL Index) price. This post will serve as a postmortem describing the trading behavior of the first contract, and hopefully further educate traders as to how they can incorporate BitMEX volatility futures contracts into their portfolios.

.BVOL Index measures the annualised standard deviation of the % move between Time Weighted Average Price (TWAP) calculations done on Bitfinex every day from 10:00 GMT to 12:00 GMT. Because .BVOL Index comprises 30 days of price changes, there must be a total of 31 price increments. For BVOLG15, that meant the observation period lasted from 27 January 2015 to 27 February 2015 inclusive.

BVOLG15 was listed on 5 January 2015, meaning for three weeks traders were placing bets purely on their expectations of future realised volatility. Each day after 27 January 2015, a clearer picture was formed as to where 30 day volatility would realise by expiry.

BVOLG15

The above graph shows a comparison of .BVOL Index and BVOLG15. BVOLG15 performed as expected. If there are N days until expiry, BVOLG15’s price is composed of N days of realised volatility expectations and (30 – N) days of realised volatility. Even as .BVOL spiked above 150% realised volatility, BVOLG15 did not rise to the same degree because the market did not expect that level of volatility to persist in the future. This is also evident in the volatility of volatility for both .BVOL Index and BVOLG15. The annualised volatility of .BVOL Index and BVOLG15 was 260% and 140% respectively.

Traders who believe they can accurately forecast realised volatility should utilise BVOL futures contracts. Intra-month they discount future realised volatility effectively. Traders need not hold until expiry, but can effectively move in and out of positions as expectations of future realised volatility changes.
This is a link to an Excel spreadsheet showing the .BVOL and BVOLG15 data that was used in the calculations and graph presented in this post.

Crypto Trader Daily – 15 February 2015

Price Action

Early morning Asia time, the price began its ascent first past $260, and then in the evening $270 was almost taken out on Bitfinex. Shortly afterwards a sharp correction brought the price down to the low $250s. Since the 11th, Bitcoin has risen 18%. The rally has been on relatively low volumes as it is a bank holiday weekend in the US, and China begins the year of the Ram this week. A healthy correction to the mid $240s is in order.

 

Trade Ideas

Continue to fade this rally down to the low $240s. Begin accumulating a long position as the price consolidates. For a medium term trade horizon, use XBTG15 (27 February 2015) to amass a long position.

 

In the News

Bter offline due to “security check” (Reddit)

Full Flush Poker now allows Bitcoin deposits (Professional RakeBack)

 

Crypto Trader Daily – 14 February 2014

Price Action

$240 was taken and the price promptly shot up above $250. The retrace has taken the price down to the low $240’s. The rally looks healthy with higher highs on rising volumes. $260 could be tested before the weekend is over.

 

Trade Ideas

Accumulate Bitcoin in the low $240’s. Look for a retest of $250 and a possible rise to $260 in the next 48 hours. Use XBTG15 (27 February 2015 Futures Contract) to express this view.

 

In The News

Bitcoin and Porn.com (CoinDesk)

 

CNN’s Morgan Spurlock ‘Survives on Bitcoin’ for a Week (Inside Bitcoins)

Crypto Trader Daily – 13 February 2015

Price Action

Bitcoin broke out of the $220’s today with a jump above $230. Speculation about Google and Poker Stars possible integration of Bitcoin into its payment platform is cited by some traders as the catalyst for the move. The price is pushing up against $240. A break above there and we may see a retest of $250.

 

Trade Ideas

Buy XBU24H (Daily Inverse Future) in anticipation for a punch above $240. Quickly close the long position if the price fades below $230.

 

In The News

Poker Stars to accept Bitcoin? (Coin Fire)

Google to integrate Bitcoin into its payments system? (Crypto Coins News)

Former US Treasury Secretary weighs in on Bitcoin (CoinDesk)

BitMEX Launches Inverse Daily Futures Contract

BitMEX is proud to announce the launch of a fast-moving inverse daily settling futures contract called XBU24H. XBU24H is live and trading.

XBU24H enjoys BitMEX’s lowest fee structure yet: regardless of whether or not you are on the Trader or Hedger fee schedule, XBU24H is a 0% maker / 0.03% taker fee structure with no insurance fees.

XBU24H is a continuously listed contract that settles daily. It is designed to be traded quickly and easily. It is similar to our longer-term XBU contracts, but the contract size is US$1 instead of US$100.

Contract Details

Listing Date: Today, 2 February 2015 at 12:00 GMT

Underlying: BitMEX Bitcoin / USD .XBT30M Index, this index is used for settling daily futures contracts

Maturity: Daily at 12:00 GMT (ticker: XBU24H)

Quoting Method: USD

Contract Value: 1 USD of Bitcoin

Settlement: The BitMEX .XBT30M Index, the index is a daily measurement of 30-minute Time Weighted Average Price (TWAP) from 11:30 to 12:00 GMT on Bitfinex.

Margin & PNL Currency: Bitcoin

Leverage: Up to 5x

Trading Fees: Maker 0.00% / Taker 0.03%

 

Commercial Hedgers

XBU24H allows commercial hedgers to lock in the USD price of Bitcoin for short term hedges. An example is someone who wished to hedge the Bitcoin price movement during network confirmations. XBU24H will mimic the spot price movements due to the daily expiry.

Speculators

XBU24H allows speculators to trade short term Bitcoin spot price movements with leverage. The contract size is lowered to US$1 to allow traders to trade exactly the quantities they desire. Remember that on all crypto derivatives exchanges, trading fractional contracts is not possible. A smaller contract means more flexibility.