.BXBT 指数变动生效了

BitMEX .BXBT 指数更改现已生效。

 

请注意,该指数组成成分如下:( *  Bitstamp + * Coinbase Pro + *  Kraken )。

 

受影响的产品:

– XBTUSD 
– XBT7D_D95
– XBT7D_U105
– XBTH19

 

现有定期合约过渡指数

 

BitMEX .XBT 指数与旧的 .BXBT 指数相同:( ½ * Bitstamp + ½ * Coinbase Pro )。仍未结算的定期合约将沿用该指数,直至到期(北京时间 2018 年 12 月 28 日 20:00 )。

 

受影响的产品:

– XBTU18
– XBTZ18

 

 

 

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BitMEX (www.bitmex.com)

Изменения страйка в контрактах ВВЕРХ и ВНИЗ

В пятницу, 8 июня, в 12:00 UTC мы прекратим торговлю контрактами ВВЕРХ со страйком 110% (XBT7D_U110) и ВНИЗ со страйком 90% (XBT7D_D90). Они будут заменены двумя новыми контрактами: ВВЕРХ со страйком 105% (XBT7D_U105) и ВНИЗ со страйком 95% (XBT7D_D95).

アップサイド&ダウンサイド利益契約の行使価格の変更

6月8日(金)日本時間 21:00をもちまして、110%の行使価格であるアップサイド利益契約 XBT7D_U110、および90%の行使価格のダウンサイド利益契約 XBT7D_D90 は上場廃止がなされます。そして次の新契約が上場します:105%の行使価格であるアップサイド利益契約 XBT7D_U105、および95%の行使価格のダウンサイド利益契約 XBT7D_D95

상향식 및 하향식 수익 계약의 행사 가격 변동 안내

저희 비트멕스는 2018년 6월 8일 12:00 UTC에 행사 가격이 110%인 상향식 수익 계약 XBT7D_U110과 행사 가격이 90%인 하향식 수익 계약 XBT7D_D90을 상장 폐지할 예정입니다. 위 상품은 각각 다음의 신규 계약 상품으로 대체될 예정입니다: 행사 가격이 105%인 상향식 수익 계약 XBT7D_U105와 행사 가격이 95%인 하향식 수익 계약 XBT7D_D95로 대체됩니다.

币界新闻则要 - 二月二日

恭喜发财!

下个礼拜就是农历新年了,大部分亚洲市场会休市。期望下周整体交易量和波动将会下跌。

在此祝愿各位猴年事事顺利。

来硬的还是来软的

massage

Core, Classic, 硬分叉, 软分叉, SegWit, …  已经提出了的比特币更新计划及所有有关块练增容的争议已经多得恐怖,我们投资者基本上是头脑简单的生物,管他做的是硬分叉和软分叉,fork、分叉这个字听上去就已经带上了点寒意…

随着辩论的解决方案一拖再拖而没有实现任何解决方案,在比特币的短期价格上限变得难以击破。从Mike Hearn离开比特币的新闻以来,价格一直未能守住$400元。在$350至$400范围内徘徊,但并没有一个明确的宏观经济催化剂可以令比特币跌破$350并测试$300的支撑点。

虽然我相信我的贬值人民币贬值的预期,但我不会建立坚定的长期多仓。技术公告的内容将会成为价格波动的决定性因素,因为社群可能会进一步分裂。

杠杆在这些情况基本上是福也是祸,使用BitMEX的期货合约,你能够建立点差溢价套利或适度地在波动盘获利。

2016年我们将见证在现钞的禁令,负利率和竞争性贬值。这些趋势对于比特币全部有利。我建议逢低做多比特币的波动率和利率。购买BitMEX季度(XBTH16)或远期季度(XBTM16)期货合约并做空当周合约(XBT7D)的合同是一个有吸引力的套利交易。远期期货合约的负利差可以通过卖出XBT7D并滚仓套利。该战略的好处是零净头寸,而如果波动性和或利率上升,我们就能够获利。比特币的波动率和利率将持续上升,尤其当我们经历宏观经济刺激的情况下。

有关于比特币套利和波动交易的内容,请到 BitMEX YouTube 频道再参阅已经完成了的BitMEX套利全攻略视频。

皮诺丘

GeppetoWorkshop

央行官员高薪骗子。上周日本央行当他们宣布负利率令日元多头惨死盘上。在政策公布的几周前,黑田山表示日本央行不会在短期内进入负利率。然而在达沃斯喝着“经济起泡“后,他就回心转意实行负利率政策了。

这一行动证明一切量化宽松都是徒劳的。日本依赖了印钞超过二十年。其结果是:这个经济体停留在0%的增长。即使资金不断流入日本,日经指数仍然没有回到1989年的高点。面对失败,他们进入了撒钱前的最后阶段:负利率政策。四个最重要的中央银行的两个现在使用负利率侦测(ECB和BOJ)。然而美联储还没有开始负利率游戏呢,不过这可能在总统换位之后就发生了。特朗普或桑德斯可能不喜欢联署局,但耶伦仍然有两年的人气。如果标普500指数触及一次666这个不祥数值,你可以打赌,美联储将推出浑身解数,令梦想不会幻灭。

中国人民银行迟了参与这场货币派对,但他们已经开动了毛爷爷打印机。在人民币贬值的高潮来临,中国人民银行坚定地指出人民币不会贬值。他们甚至在人民日报调戏乔治·索罗斯说做空人民币的后果不堪。中国没有时间或政治意愿透过提高失业率、容许国企失败来进行内部贬值。不过,人民币贬值却是必然会发生的事。

现在,两个中国最大的出口竞争对手正在捣毁中国货币,希望将贬值和货物出口,中国必须有力地回应。中国人民银行一直忙于操翻做空人民币的人并关闭所有资本逃离的大门。对于外汇法律限度每年为$ 50,000同志。中国拥有33000亿元的储备。只需要5%的中国13亿人口把金钱换成外币的储备,他们本年度的外汇储备就会用完,那么人民币的走向就注定下跌了。

中国人民银行试图以缓慢而稳定的方法来贬值。然而,不爱国同志就已经比央妈先走一步,通过CNH和CNY之间日益扩大的差距可见一斑。然后,中国人民银行转向现货市场,跟场外资金搏斗一番,结果会是怎样应该显而易见。现在他们宣称不会继续贬值… 尽管信吧,你看人家鼻子都变长了。

中国人民银行应该会来一个富有中国特色的贬值,红当当的!大胆的!当人们最不经意的时候,或者是至少准备应对它会发生的时候就是一个好机会。在中国农历新年假期提供了一个极好的机会来震荡市场。做多XBTCNY vs 做空XBTUSD期货,即使在最坏情况央妈不贬值来跟空军们磨时间,你也不会怎么亏钱,而要是人民币贬值,新年你就能在Q群多发几个红包了。

如果我这样说你还信央妈,我无语了。鄂爾多斯市鬼城的房你给我接手怎么看。

参考资料:

China Warns Soros Against Starting A Currency War: “You Cannot Possibly Succeed, Ha, Ha”

Crypto Trader Digest – Jan 11

Yuan Devaluation Math

China FX teller_0

MingPao, the most widely read Chinese language newspaper in Hong Kong, reports that Shanghai residents are queuing up at FX dealers to convert RMB into USD before further devaluation occurs. Simon Black reports that Chinese are buying .com domain names as a way to legally transform RMB into more stable currencies. Reuters reports that PBOC policy advisors suggest a 10%-15% sharp and immediate devaluation.

No one in China is under any illusion that the CNY will hold steady. But I thought China was Scrooge McDuck rich? Wrong.com; China’s official FX reserves total $3.3 trillion. However, analysts believe that $2.8 trillion of that is pledged to other liabilities. Coupled with over $100 billion per month of capital flight and rising banking non-performing loans (NPLs), China is out of cash.

Kyle Bass of Hayman Capital Management believes shorting the Yuan is the slam dunk trade of 2016. The effects of the most aggressive credit expansion since the 2008 GFC are bearing spoiled fruit. Bass warns that China’s “neutron bomb” is its banking system. The state owned banks (SOE) were forced to lower underwriting standards to lend to SOE’s for a variety of industrial products that are not profitable. The rise in NPLs must be absorbed by the central government via the banking system. Bass notes a rise of the official 1.5% NPL ratio to 20% would result in a $3.0 trillion charge.

Aggressive currency debasement and interest rate cuts are the only policy levers left. As the citizenry realises that jobs will be lost and prices will rise, they will search for anything that holds value and or can be sold abroad to receive a stable currency.

The price of Bitcoin is set in Yuan. The Bitcoin premium has compressed lately. In Q1, expect increased volatility and the beginnings of actual cash from China finding its way into Bitcoin. To date, most of the price action has come from speculators front-running this tidal wave of Yuan. When cash buyers return to Bitcoin after a 2.5 year hiatus, the price action will be legendary.

Patient traders should begin accumulating positions in longer dated BitMEX futures contracts. Buying March 2016 (XBTH16) or June 2016 (XBTM16) are great ways to benefit from rising volatility and price.

Pressure on China central bank for bigger yuan depreciation: sources

China Finds $3 Trillion Just Doesn’t Pack the Punch It Used To

For Kyle Bass This Is “The Greatest Investment Opportunity Right Now”

Meanwhile In Shanghai Residents Form Lines To Sell Yuan, Buy Dollars

Here’s the ultra-clever way that Chinese are circumventing capital controls

Chinese Capital Markets Timetable

Bitcoin will react to movements in both the Chinese FX and equity markets. Any serious trader should know the key opening and closing times of these respective markets.

All times are Beijing local time, GMT + 8.

Daily PBOC USDCNY Fixing

The PBOC fixes the inter-bank USDCNY rate each morning at 9:15am.

CNY Onshore Trading Hours

9:30am to 11:30pm

CHH Offshore Trading Hours

CNH trades 24/5

China A Share Market

9:15am – 9:25am Call Auction

9:30am – 11:30am Continuous Trading

1:00pm – 3:00pm Continuous Trading

PBOC daily fixing

Live index prices from the Shanghai Stock Exchange

Bitcoin Implied Yuan

image (11)

An interesting relationship appeared to me while I was looking at XBTCNY, USDCNY, and USDCNH. If we derive the Bitcoin implied USDCNY rate by dividing XBTCNY by XBTUSD, does this implied Yuan follow the CNH movements? Remember that CNH is the offshore Yuan, and generally is a leading indicator of where USDCNY will fix onshore as trading of USDCNH is not as manipulated by Beijing as USDCNY. To get a clearer picture, I graphed the spread between the Bitcoin implied Yuan and CNH against the daily change in the XBTCNY price.

The graph above shows this relationship. The two variables track well until this past weekend. The Bitcoin implied Yuan is trading cheap to CNH. Given the CNH level and expectations of further devaluation, Bitcoin is trading cheap in China.

The appropriate trade is to go long the Bitcoin premium in China and hedge out the Bitcoin price risk. To do that, sell BitMEX 50x leveraged weekly Bitcoin / USD futures (XBT7D) vs. buy XBTCNY. XBT7D trades at a premium; therefore the trade has positive carry. For users who do not have CNY with which to buy Bitcoin, BTCC allows users to wire USD into their HK bank account and they will change into CNY and allow you to trade.

BitMEX Arbitrage Webinar Lesson 2

24x10 - Bart

Thank you to everyone who tuned into Lesson 1 last Friday. Lesson 2 will air this Wednesday 13 January 03:00 GMT.

Lesson 2 Topics:

  • Cash and Carry Arbitrage
  • Volatility Arbitrage

Lesson 2 Live Broadcast Link

Lesson 1 Recording

Lesson 2’s slide deck and spreadsheets will be provided on our blog and via email prior to Wednesday.

 

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 Digest – Nov 30

Welcome To BlockMEX

 

Lego-The-Simpsons-episode-9

Arthur: Hi Garry (VC), I want to tell you about a pivot we just made. BitMEX is now BlockMEX, we allow trading of Blockchain Derivatives.

VC: Oh that’s great. You know we are not that interested in Bitcoin, but very positive about the Blockchain. Please tell me more.

Arthur: Clients use Blockshares to trade on BlockMEX. And we allow the trading of financial derivatives using the Blockchain.

VC: Wow that’s awesome. So you no longer use Bitcoin? You were previously called BitMEX right?

Arthur: We never were a Bitcoin company. The “Bit” merely stood for digital information, you know like Bits and Bytes.

VC: Gotcha. So what kind of Blockchain do you use for your derivatives, do you touch Bitcoin in any way?

Arthur: Touch Bitcoin, oh heavens no. We created our own Blockchain that uses Blockshares. It is proprietary to BlockMEX.

VC: Wow, you created your own Blockchain? I’m really impressed. So if anyone can trade anything using the BlockMEX Blockchain, how do regulations work?

Arthur: Regulations are irrelevant with the Blockchain. It’s all decentralised, so no legacy regulations apply to BlockMEX.

VC: Man, the Blockchain is so amazing. So what about trading volumes?

Arthur: We have not done a single trade on BlockMEX yet. That’s okay, we’re just pre-revenue. Our technology is meant for large financial institutions. We are going to revolutionise how they trade derivatives.

VC: I totally agree that legacy finance needs services like yours. What about your team? Finding good Blockchain engineers is getting harder and harder.

Arthur: Our team is top notch. We have expert MySQL and PHP developers straight from Tokyo. They have been involved with the Blockchain since 2010.

VC: I really think you guys are onto something. How can our firm, FOMO Capital, get involved?

Arthur: On the back of our strong traction, we are raising $116 million at a $500 million valuation.

VC: That sounds very reasonable. FOMO Capital typically writes checks for $50 to $100 million. We are interested in leading your round.

Chinese Exchanges: Bitcoin Shadow Banks

the_shadow

How do Chinese Bitcoin exchanges make money when they charge no fees to trade spot? When asked, management of the big three (OKCoin, Huobi, and BTCC) assure us that they do indeed make money. In this post, I will conduct a thought experiment as to how I would monetise a spot business that charges zero fees in China. I have no concrete evidence to back up any of my claims other than deductive logic.

China accounts for the vast majority of all on-exchange Bitcoin trading. Exchanges must therefore have a large balance of customer CNY and Bitcoin. I believe that Chinese exchanges act as shadow banks. They borrow at 0% from clients who wish to trade Bitcoin, and lend out customer funds by purchasing China debt instruments.

When the product is free, you are the product. Chinese Bitcoin exchanges use the captive CNY held to trade Bitcoin to earn interest income. How much does it cost to operate the exchange? I have no hard data, but the big three generally have around 150 staff. Assume an average salary of 10,000 CNY per month. Demand deposits yield between 3% to 5%; this is the least risky form of lending as it can be redeemed at any moment from the bank to satisfy withdrawals. The yearly salary costs alone are CNY 18 million. To earn that amount in interest income at 5% requires CNY 360 million or $56 million of stable customer funds. Given the reported trading volumes, it is reasonable to assume that the big three could each possibly hold this amount of capital.

Unfortunately only investing using demand deposits just barely covers salaries. If the exchange is to turn a profit, they must step out on the risk and maturity curve. Private companies cannot obtain credit from banks. All bank credit is reserved for State Owned Enterprises (SOE). In the last decade, high interest rate Wealth Management Products (WMP) have emerged to provide credit to SMEs. The banks underwrite these WMPs off balance sheet which are secured on a company’s assets. WMP yields range from 10% to 20% and have various maturities. Investors believe there is an implicit guarantee provided by the issuing bank. The belief is the government would not let WMPs fail because of the catastrophic losses retail investors would suffer. Therefore, in the few cases where it appeared a company would default on a WMP product, the banks have stepped up and rolled the debt.

Like any bank, a Chinese exchange must keep a portion of the float liquid so they can’t lend the entire balance out via WMPs. The below table assumes that the Demand Deposit rate is 5% and the WMP rate is 20% per annum. NIM is the Net Interest Margin, which in this case is the full interest rate since customers are paid nothing on CNY they hold with the exchange.

% Liquid % WMP Yearly NIM Costs Profit
50% 50% $7,031,250 $2,812,500 $4,218,750
40% 60% $7,875,000 $2,812,500 $5,062,500
30% 70% $8,718,750 $2,812,500 $5,906,250
20% 80% $9,562,500 $2,812,500 $6,750,000
10% 90% $10,406,250 $2,812,500 $7,593,750

As the table shows, the more credit and maturity risk management is willing to take the more money they make. Given there is no regulation as to how the exchange holds customer funds, management can invest in whatever they like to generate a positive NIM. It is not a far stretch to imagine the CEO’s punting the A share market in their spare to time to generate enhanced returns.

Bitcoin trading has become a side show, and these entrepreneurs have created very profitable banking institutions. Because they have excess cash, they are able to pledge customer CNY to fund whatever assets will generate a positive risk adjusted NIM. The Chinese Bitcoin exchange model will be copied in other emerging markets with broken credit intermediation and high nominal rates of interest. If I was opening a spot Bitcoin exchange in India, this is the model I would choose. Private credit in India is hard to come by, and nominal rates are sky high.

The Magic Number Is 6.40

image (3)

The IMF is set to announce the CNY’s inclusion into the SDR basket today. Analysts expect that after the inclusion, the PBOC will intervene less in the FX markets and allow the CNY to depreciate further. 6.4 is the highest level USDCNY reached this summer after the shock devaluation.

If USDCNY rises above 6.4, the dominoes may begin to fall. The expectation of future weakness will become more acute. Ordinary citizens will search for any means to preserve their purchasing power. The Bitcoin meme is gaining ground in the financial media. Zerohedge mentions Bitcoin daily when talking about the Chinese financial markets. Once the mainstream pundits at Bloomberg, FT, and WSJ discover Bitcoin, make sure you have your moon boots ready.

Apart from the Federal Reserve meeting December 16th, nothing else will have more impact on Bitcoin than the USDCNY exchange rate. The above chart shows the Bitcoin premium expansion as CNY has depreciated (as USDCNY rises, CNY is worth less USD). To check the PBOC’s daily USDCNY interbank rate click here. If you are lucky enough to have access to Bloomberg or Reuters, search for the USDCNY daily fix. It is announced each day at 9:15am Beijing Time GMT + 8.

Don’t fight the Fed. In Bitcoin, don’t fight the PBOC.

XBT Spot

 

Screen Shot 2015-11-30 at 1.36.28 pm

$400, here we come. Global macro is providing so many positive catalysts for Bitcoin it is hard to keep them all straight. Argentina has descended into currency chaos. The CNY depreciation continues. The Fed is expected to lift rates and torpedo asset markets globally.

Yet – $400 won’t be taken as easily as it was one month ago. The retrace from the graces of $500 has been slow and steady. However, the recent price action contains the wiff of FOMO, and the upward pressure is likely to accelerate if the CNY devaluation continues.

Trade Recommendation:

Daily 100x Futures, XBT24H: Buy XBT24H while spot is $375 to $380 with an upside target price of $385.

Weekly 50x Futures, XBT7D: Buy XBT7D while spot is $375 to $385 with an upside target price of $400.

币界新闻择要 – 十月十二日

BitMEX 的報導

刚刚过去的这个星期二,我参加了一个彭博社最具影响力的峰会,主要金融科技发展,下面是我的访谈。(英文) [视频链接]

另外,我和Coin Republic的大卫·莫斯科维茨的來了一次訪談。我们谈到比特幣的企业应该对冲的原因,和对冲的方法。 [视频链接]

开放100倍杠杆日交割比特币期货

Screen Shot 2015-10-12 at 4.47.19 pm

由于低的价格波动,BitMEX加大日交割(XBT24H)和周交割(XBT7D)比特币/美元期货合约的杠杆。用户现在可以使用100倍杠杆的XBT24H和50倍杠杆的XBT7D合约。本着短期的交割时间,短炒或短期波动策略的用户应使用这两个合约。用户并不一定要使用最大的杠杆来交易。如果没有启用“隔离保证金 (Isolate Margin)”,清算(爆仓)价格将基于用户在BitMEX的总可用资产计算。

预言者

wizard of oz

过去几周目睹中央银行信念的灭亡。过去7年的投资理念是“央行能够拯救世界经济”。本着打印无限金钱的能力,没有什么经济病是无法治愈。投资了在高风险资产的投资者为自己的信仰得到了大大的奖赏。中央银行的信念背后其实弊病就是会产生零利率和收入不平等。

好景不常,市场参与者现在都开始公开质疑的货币政策。即使央行也很快地指出他们并不能产生经济的佳境。但是却倒过来在G30会议报告强调央行对自己改善经济能力感到悲观。 [链接]:

自危机爆发以来,央行的政策对恢复金融稳定的现象(或说假象)作出了重要贡献。然而,对于这现象若成为现实,基础需要解决的问题就是过高的债务水平问题。如果全球经济增长要更加可持续,我们必须解决这个问题。

投资者构建宏观背景作为快捷处理市场环境是不能够得到完整的信息。由于”央行无所不能”的背景减弱,投资者可能会返回集中在现金流了。曾经我们会问哪些行业将从热钱流入受益最大,而企业是否能产生净盈利是次要的关注。现在的问题会变为,如果央行的免费货币不再有效提振资产价格,我们的业务所提供的是否仍适合市场需要并盈利。
最重要的问题是我们可以买入什么资产去表达对中央银行管理市场的负面概念。黄金传统上一直是最受欢迎的资产,而这系列资产的新成员就是比特币。 2015年比特币的宏观背景就是“比特币不靠谱,块链技术才是好货”。银行和其他金融机构回避比特币这个关键字,并转化成数字支付和块链公司。

比特币成为了交易板上常绿的一栏,价格和利息都走不好,价格下跌50%,而波动率维持在历史低点。但当抨击央行“试图控制全球经济的每一个变量”的指控再一次流行,黄金和比特币将会从这些不满中受益。

现在是增加对黄金比特币等失宠资产头寸的最佳时机。比特币将在价格脱离恐惧后再次成为城中热话。购买比特币衍生产品的投资者将看到高于平均水平的回报,因为比特币的未来价值溢价上升(Future Value)。有显著时间价值的任何产品都应该买。对于有耐性的投资者,BitMEX2016年3月期货是不错的选择。从现在开始到三月份,我们可能得到的第一个和最后一个美联储加息,和/或全球金融市场大幅的价格修正。我们现在肯呢个是在7年牛市的末端,这世界没有东西是只涨不跌的。

Crypto Trader Digest – Oct 12

BitMEX Happenings

This past Tuesday, I participated on a FinTech disruption panel at the Bloomberg Most Influential Summit. [Video Link]

Also, I sat down for an interview with Coin Republic’s David Moskowitz. We talked about how and why Bitcoin businesses should hedge. [Video Link]

Announcing 100x Leveraged Daily Bitcoin Futures

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Due to the low price volatility, BitMEX has increased leverage on its daily (XBT24H) and weekly (XBT7D) Bitcoin / USD futures contracts. Traders can now use 100x leverage on XBT24H, and 50x leverage on XBT7D. Due to the tight trading ranges, traders employing scalping strategies should use these two contracts. Traders are not forced to use the maximum amount of leverage. If “Isolate Margin” is not enabled, the liquidation price will be calculated based on a trader’s total available equity with BitMEX.

The Wizards of Oz

wizard of oz

The last few weeks have witnessed the death of the cult of central banking. The investing narrative of the past 7 years was “central bankers can save the world economy”. With the ability to print unlimited money, there was no economic ill that couldn’t be cured. Investors who invested in risk assets were amply rewarded for their belief. The religion of central banking produced 0% interest rates and income inequality, and those who noticed the ills were regarded as Cassandras.

Nothing lasts forever, and market participants are now openly questioning the monetary policies followed by all central banks. Even central bankers themselves are quick to point out that they alone cannot produce an economic nirvana. Straight from the horse’s mouth, the G30 Group report highlights the dim view that central bankers have of themselves [link]:

Central bank policies since the outbreak of the crisis have made a crucial contribution to restoring the appearance of financial stability.

Nevertheless, for this appearance to become a reality, underlying problems rooted in very high debt levels must be resolved if global growth is to be more sustainably restored.

Investors construct narratives as shortcuts to process the incomplete information they have about the future. As the central bank omnipotence narrative wanes, investors might focus on cash flows again. The question used to be, which sectors will benefit the most from inflows of hot money. Whether or not a business can generate a net profit was of secondary concern. The question will now become, if free money is no longer effective in boosting asset prices, does this business produce a good or service that is actually desired by the market, and can they turn a profit.

The most important question is what assets can one buy to express a negative view on the effectiveness of central banking. Gold traditionally has been the go to asset, and the new kid on the block is Bitcoin. The 2015 narrative for Bitcoin was “Bitcoin bad, blockchain good”. Banks and other financial institutions eschewed the word Bitcoin, and transformed into digital payments and blockchain companies.

Bitcoin became the scarlet letter. The price and interest in the currency suffered as a result. The price fell 50%, and volatility remains at all time lows. As it becomes popular again to bash central bankers’ attempts to control every variable of the global economy, Gold and Bitcoin will benefit as an expression of dissatisfaction with the high priests and priestesses.

Now is the best time to increase exposure to assets that have fallen out of favour and price. Bitcoin will be fashionable again when the price exits its funk. Savvy traders who purchase Bitcoin derivatives now will see above average returns as premiums on the future value of Bitcoin rises as well as the price. Any product that has significant time value should be bought. For patient traders, BitMEX March 2016 futures are recommended. Between now and March we might get the first and last Federal Reserve rate hike, and/or a severe correction in the global financial markets. We are at the end of a 7 year bull market. Nothing moves in a straight line, or lasts forever.

How Liquid Is Your Portfolio?

Sunbeam-on-Deep-Water-HD

Water, water, every where,
And all the boards did shrink;
Water, water, every where,
Nor any drop to drink.

— Coleridge, The Rime of the Ancient Mariner

A common refrain about Bitcoin from many institutional investors is its illiquidity. Bitcoin trades close to $100 million per day; this is very illiquid compared to G10 currency pairs. But what many forget is that in our centrally planned economic world, citizens are one government directive away from being unable to trade the assets in their portfolio.

Turning to the biggest success and failure of 2015, the Chinese equity market, many investors are learning just how liquid this market is. The Chinese government began aggressively pushing anyone and everyone to trade the stock market. The aggressive policies helped the market more than double in one year. But as the market corrected almost 50%, the government barred many large traders and funds from selling securities. The CSRC has to date brought 41 cases of “market manipulation” (read: selling stocks) against various institutions.

At certain points this year, the CSI300 futures contract was more liquid than Globex S&P Mini futures contract. And then the liquidity plummeted as the government began creating examples of traders attempting to realise profits or cut losses. Many in the west chided Chinese about their immature response to their stock market collapse. And many large investors have completely pulled out of China and will not return for some time.

This is not just a Chinese phenomenon. Bans on short selling and long selling were used during the GFC just 7 years ago. These same countries that claim to be committed to capitalist principles, have all implemented policies with a similar spirit.

If a market’s national government can effectively shut the market at a moment’s notice when it serves political ends, how liquid is your portfolio? Contrast this to Bitcoin, where there are a multitude of exchange operators. When MtGox went down, that wasn’t the end of Bitcoin trading. When Bitstamp got hacked and was offline for one week, people still exchanged Bitcoin in an orderly fashion. While the absolute liquidity is orders of magnitude less than other assets, at least Bitcoin can still be traded when the leading exchanges are shut down.

CSRC holds hearing for illegal stocks operations

XBT Term Structure

image (5)

Volatility continued to fall last week. XBT7D, XBTV15, and XBTH16’s basis all declined WoW. The drop in volatility is happening against a backdrop of a slowly building rally. If Bitcoin can break through $260, the surge of trading will lift the volatility out of its slump. XBTH16 has the most amount of time value remaining, therefore it has the greatest sensitivity to a move in basis. It is the most attractive contract to buy if one believes in a normalisation of volatility and a possible continuation of the rally.

Trade Recommendation:

Buy XBTH16 vs. sell XBTV15 to profit from a rise in price volatility and interest rates.

XBT Spot

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The slow ascent to $260 continues. Bitcoin / USD is now flirting with $250. There is formidable resistance at this level, but the underlying fundamentals of this rally are encouraging.

Golden Week is now finished in China, and price action will increase. The next major known event is the Silk Road auction, which takes place in early November.

Trade Recommendation:

Go long 50x leveraged weekly Bitcoin / USD futures (XBT7D) while spot is $245-$250. The upside target price is $260.

币界新闻擇要 – 九月二十八

比特币50倍杠杆日期货

上周五我们挂牌了新的期货交易品种 XBT24H,日交割的 比特币/美金 期货合约。因为比特币的波动现在越来越低,很多做短期交易的交易员会做例如区间交易等的交易策略。50倍杠杆能够从2%的波动中把本金翻倍。XBT24H迅速成为了本交易所最活跃的合约,同时我们也为此合约引入做市商去增加流动性。

比特币是资产的避险天堂吗?

fully-stocked-swiss-bank-safe-10776

别跟联署局对抗时过去6年交易的惯例,而的确,没有跟着这个惯例走的基金经理已经惨败在联署局受伤。联署局在中央银行主导的概念做得十分漂亮,没有任何经济问题不能透过降低利率、量宽、和股市泡沫来处理问题。

然而,没有东西是永续,而投资者对中央把资产市场价格推高的信心越来越低。这从中国央行不能说服大众返回中国的市场开始,然后就是耶伦奶奶对国际市场疲弱的关注,而投资者这次真的开始抛售资产。更多的流动资金却不能阻止下跌的发生,现在标普500指数已经失去了QE3后的增长了。

那么投资者能躲去哪里呢? 黄金从昔日的峰点每盎司1900美金下跌差不多一半后,黄金在上几周开始成为表现最佳的资产,对比特币粉而言是酒精比特币会否和贵金属一样在市场崩毁的时候成为避险天堂。
就我分析而言,市场风险基本上会对比特币有利。第二季的时候,希腊退欧的恐慌吧比特币推上了$320,然而希腊最后归回德国的决定令风险变低,比特币随之下跌到$200。

image (1)

上面的图表显示在过去30天的实际波动。波动率在这段时间内下降了几乎一半。这与全球金融市场的对比是十分惊人的,当全球其中一个昔日波动最高的资产比特币也这样横盘了,横盘的动力将会在全球市场崩溃的时候释放,带来更多波动。

其中一个策略是购入XBTV15的25倍杠杆比特币期货并售出现货,上移的波动会令XBTV15的基差上升(溢价上升),届时再平仓并买回比特币。

如果你认为比特币会像黄金一样的对市场反应,做多12月(XBTZ15)的25被杠杆比特币期货,该期货溢价的上移空间比较大,然而现在购入的基差比16年3月(XBTH16)的低。

XBT 期货期限结构

image (1)

比特币的波动在上周继续降低,所以期限结构也没有因此而有太大的波动,XBT的期限结构是正常的溢价。合适的策略是售出XBTH16并买入XBT7D并延续仓位。以下是策略的方案:

  1. 售出 XBTH16 并买入 XBT7D ,仓位数量必须相等
  2. 当 XBT7D 交割, 买入交割了的同等仓位. 这是多仓转仓. 目标是令价格相等

这是一个正向差价交易。

每日的比特币差价 = $基差 / 距离交割日数 * 0.00001 BTC 合约倍值 * 合约数量

假设每边开仓合约 100,000 张

XBTH16 每日潜在溢价利润 = $56.63 / 180 * 0.00001 BTC * 100,000 = +0.31 BTC
XBT7D 每日潜在溢价利润 = $0.91 / 5 * 0.00001 BTC * 100,000 = -0.18 BTC

每日潜在溢价利润 = 0.31 BTC - 0.18 BTC = 0.13 BTC

假设基差不移位,每日就会赚取0.13BTC的利润。

如果短期的基差上移,这就会在转仓的时候做成损失,当XBT7D的每日潜在溢价利润大于-0.31BTC的时候,这个交易策略就能回本了。

0.31 BTC = $溢价 / 5 * 0.00001 BTC * 100,000
$溢价 = $1.55

$1.55 的溢价相等于 48.39%年化利率

假设XBTH16合约的利率不上升,如果XBT7D的年化利率大于48.39%,那么就应该让XBT7D过期并为XBTH16平仓。

以上的例子是出自我在近日的帖文 比特币基差交易 - 第二课
在第三课,我会谈谈风险管理,和不同需要考虑的因素。

XBT 现货

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比特币本周在小牛市之中完结,上升在中国时间的下午开始,比特币价格摸到了Bitfinex和OKCoinUSD $240,看似是一个健康的上升趋势,价格随着交易量上升。比特币近期的目标是 $250,比特币上次的上破目标就是在$250附近。现在市场应该会先稍微向下走到$235附近。

交易建议:

当现货在$235-240时买入XBT7D,上移目标是$250。