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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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8 N" d+ C+ ]+ G 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 W" h6 i' y* c) N8 V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。' @( K5 K6 U0 `. ]. {
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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
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: U2 G7 }7 Q! R! }7 y2 a 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。" E) o# z5 [6 ^1 _7 L' i
! Q% ^* Z. D$ o9 v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% 。$ }0 x7 I6 E4 x5 @" k* {3 X
! [' R9 d- j7 r3 F 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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- z( c+ D0 Y/ l" ?/ k) s1 }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。
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& x2 [% l' m& h( u0 k( ? 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
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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。" n/ v5 p& R& x
6 B8 t4 d M# u1 J1 u' F8 S 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
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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。
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大批量持有 BTC 的 MicroStrategy 如何获取收益
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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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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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0 l7 y9 D+ f& I. {# ?6 f 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% T; n) k+ z0 n# j; o6 a5 v; O
0 K! `# X1 H6 w# j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
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& x4 Q1 I8 t/ \3 ], C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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以换取预付款资本。
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