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[虚拟币交流]
Matrixport投研:IV与RV,如何利用BTC波动性获利?(转)
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BTC 的波动性吸引了众多期权交易者,他们希望从市场的剧烈波动中获利。然而,历史数据显示, BTC 期权买家亏损较多,这一现象与传统期权市场的趋势一致。
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2 I8 \9 o/ e5 {8 p# F- P这一结果主要源于市场的结构性动态,尤其是隐含波动率(IV)与实际波动率(RV)之间的关系。* ~9 K4 c2 J' N, f4 Y
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高隐含波动率(IV)及时间衰退等因素,利于波动率卖方1 w1 I- E4 U/ a) B: r
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在主要的期权交易所,BTC 期权通常以较高的隐含波动率定价。对 2021 年至 2025 年的分析表明,BTC 90 天的隐含波动率平均比实际波动率高出 5.8 个百分点。% \6 G( X0 F0 G# n
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例如,当市场定价隐含波动率为 70% 时,BTC 的实际波动率约为 64.2% 。换句话说,交易者购买的期权定价隐含波动率为 70% ,但最终实际波动率往往只有 64.2% 。
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* ~1 N+ G$ P$ }' y! L7 ~7 b 要想在 BTC 市场中买入期权获利,交易者必须抓住市场未能预期的大规模波动。然而,准确预测这些事件的时机极为困难。如果市场没有出现显著的波动率飙升或方
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向性突破,大多数看涨期权和看跌期权都会随着时间的推移而接近价值归零,最终导致买家遭受亏损。" d g* v: B% f% m
9 Y0 I! _8 k$ [* e3 d. y BTC 期权买家之所以亏损率较高,是因为他们往往为难以实现的波动率支付过高的价格。高隐含波动率、时间衰减以及极端波动发生的稀缺性,使得期权买家的胜算: w: B& I) v( B, ?
2 g; Q9 G Z/ j: ^+ P9 } }" E5 |大幅降低。尽管 BTC 仍然是波动性最高的主要资产之一,其期权市场结构仍然更有利于纪律严明的波动率卖方,而非投机性的买方。1 g. d, s* w8 Q4 m7 M+ F( S+ d& k
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矿工偏向卖出波动率变现,此举更具经济意义
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矿工倾向于卖出波动率而非购买期权,因为卖出期权能够带来现金流入,而购买期权则需要支付溢价,导致现金流出。由于矿工的运营高度依赖资本投入,并且 BTC
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价格的波动性直接影响其收益,他们在结构上更倾向于将 BTC 的波动率变现,而非花费资金购买昂贵的对冲工具。除非矿工预期 BTC 价格会出现重大不利变动,否则卖出4 S" p' R# ]" Y+ M
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波动率、持续收取期权费要比购买可能会变成无效保护的期权更具经济意义。+ Z2 I% @1 _" `4 K R L) D
9 v6 d8 @" ^% |. l 大批量持有 BTC 的 MicroStrategy 如何获取收益% \2 J5 K* V, R6 M0 o
, Y! E9 t' L; u# a5 q" ?- X, j/ e MicroStrategy 是全球最大的 BTC 企业持有者之一,以其激进的 BTC 积累策略而闻名。尽管仍然完全暴露在 BTC 价格波动的风险之下,该公司在企业融资层面积极出
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% Z* B3 V0 a! ]$ K% d" W% r售波动率,利用可转换债券和股票发行来利用其股票市场的波动性变现。
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8 _' r" ?! k7 W$ y. @4 q* A* m+ i3 ` MicroStrategy 的主要融资方式之一是发行可转换债券。可转换债券是一种债务工具,允许债券持有人按预定价格将债券转换为 MicroStrategy 公司的股票。从公司的角
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度来看,发行可转换债券在经济上类似于在其股票上卖出看涨期权——该股票的交易价格通常是其持有 BTC 价值的两倍。通过向债券持有人提供这种上涨潜力,MicroStrategy ) e5 t- ?1 P8 r
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能够以远低于传统债务市场利率的融资成本获得资金。嵌入期权使债券持有人可以在 MicroStrategy 股票价格大幅上涨时获利,也就意味着 MicroStrategy 正在出售股权波动率,
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; K" u- n, H# x- e% x4 x以换取预付款资本。+ c- i8 H# ~3 s( d1 j5 [: d. J
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