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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。6 Y, E6 U# c$ G8 `8 n7 `
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" U+ U# {1 A" Z, u- i% e$ }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。
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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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7 |! S. x' c U. P# I3 J0 P q* | 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。9 d( {' o. d& `+ R! \
8 ?2 Q3 R' W: }# R1 v; w" |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% 。+ Q0 u% @7 m7 l; n$ n) ^
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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4 |: I9 z }0 T9 Z
0 L, g. p" D6 }2 B" R `& {& H: S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。" C) ^; Z( @' V7 k
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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。, c% W( ?4 A g( ?3 k6 c
. t+ p0 x/ p8 Y5 k8 z. P 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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0 d. e3 D5 ~/ g0 H2 P) t" \7 V1 I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 T/ r. y, r! O4 q; ?
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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。: C' g( g( s; D+ A
3 O, Y- }8 P8 ] 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! M/ a8 O% n. c4 M5 _
% G9 Z# h5 q8 s5 G" ?# Y5 Y3 S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。/ l ^7 d1 F( m* w
' H4 Y$ ~" [! _5 J6 g3 a 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% k, F6 ?: L( D" X. m
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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 $ B' P) e b( a5 L
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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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! [: X" a: j7 Y9 n' w9 h$ Y以换取预付款资本。: F5 \" Y- |+ ?! f& B, n
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