×
Array
(
[fid] => 6974
[description] => 专注于币圈最新最快资讯,数字货币应用及知识普及
[password] =>
[icon] => b1/common_6974_icon.png
[redirect] =>
[attachextensions] =>
[creditspolicy] => Array
(
[post] => Array
(
[usecustom] => 1
[cycletype] => 1
[cycletime] => 0
[rewardnum] => 5
[extcredits1] => 1
[extcredits2] => 1
[extcredits3] => 0
[extcredits4] => 0
[extcredits5] => 0
[extcredits6] => 0
[extcredits7] => 0
[extcredits8] => 0
[rid] => 1
[fid] => 6974
[rulename] => 发表主题
[action] => post
[fids] => 32,52,67,447,1120,1151,1156,6750,6762,6763,6766,6769,6772,6773,6787,6796,6808,6809,6810,6813,6814,6820,6829,6830,6846,6856,6864,6865,6827,6930,6931,6776,6858,6880,6764,6932,6871,6758,6905,1116,6788,6812,6798,6736,6759,6842,6966,6767,6828,6924,6935,6936,6938,6940,6941,6826,6909,6803,6919,6911,6908,6881,6920,6912,6913,6921,6925,6922,6789,6818,6819,6872,6928,6969,6889,6888,6917,6939,6947,6961,6937,6943,6970,6869,6900,6902,6783,6817,1111,6870,6821,6876,6952,6954,6960,6942,6910,6949,6962,6963,6964,6927,6926,6973,6728,6929,6874,6894,6896,6885,6857,6868,1113,6778,56,6844,6878,6802,6933,6811,6923,6877,6875,6918,6892,6757,6832,6833,6795,6793,6848,6837,6849,6850,6851,6852,6853,6854,6863,6882,6836,6790,6838,6794,6791,6873,555,6934,6958,6944,6945,6907,6779,6886,6950,6904,6956,6862,6957,6855,6955,6959,6914,6965,6971,6972,6953,6976,6824,6815,6891,6866,6979,6977,6765,6903,6948,6980,6981,6983,6799,6982,6951,6984,6975,6895,6845,6879,1121,6974
)
[reply] => Array
(
[usecustom] => 1
[cycletype] => 1
[cycletime] => 0
[rewardnum] => 0
[extcredits1] => 0
[extcredits2] => 1
[extcredits3] => 10
[extcredits4] => 0
[extcredits5] => 0
[extcredits6] => 0
[extcredits7] => 0
[extcredits8] => 0
[rid] => 2
[fid] => 6974
[rulename] => 发表回复
[action] => reply
[fids] => 32,52,67,447,1120,1151,1156,6750,6763,6766,6769,6772,6773,6787,6796,6808,6809,6810,6813,6814,6820,6829,6830,6846,6856,6864,6865,6827,6930,6931,6776,6858,6880,6764,6932,6871,6758,1116,6788,6812,6798,6736,6759,6842,6966,6767,6828,6924,6935,6936,6938,6940,6941,6826,6909,6803,6919,6911,6908,6881,6920,6912,6913,6921,6925,6922,6789,6818,6819,6872,6928,6969,6889,6888,6917,6939,6947,6961,6937,6943,6970,6869,6900,6902,6783,6817,1111,6870,6821,6876,6952,6954,6960,6942,6910,6949,6962,6963,6964,6927,6926,6973,6728,6929,6874,6894,6896,6885,6857,6868,1113,6778,56,6844,6878,6802,6933,6811,6923,6877,6875,6918,6892,6757,6832,6833,6795,6793,6848,6837,6849,6850,6851,6852,6853,6854,6863,6836,6790,6838,6794,6791,6873,555,6934,6958,6944,6945,6907,6779,6886,6950,6904,6956,6862,6957,6855,6955,6959,6914,6965,6971,6972,6953,6976,6824,6815,6891,6866,6979,6977,6765,6903,6948,6980,6981,6983,6799,6982,6951,6984,6975,6895,6845,6879,1121,6974
)
)
[formulaperm] => a:5:{i:0;s:0:"";i:1;s:0:"";s:7:"message";s:0:"";s:5:"medal";N;s:5:"users";s:0:"";}
[moderators] => 实习版主1
[rules] =>
[threadtypes] => Array
(
[required] => 1
[listable] => 1
[prefix] => 1
[types] => Array
(
[1590] => 论坛公告
[1752] => 公司优惠
[1603] => 虚拟币交流
[1753] => 数字钱包
[1754] => 虚拟币存提
[1755] => 交易所
[1655] => 虚拟币资讯
[1756] => 银行卡
[1757] => 第三方支付
[1760] => 币圈大佬
[1758] => 科技前沿
[1759] => 天策嗨聊
[1661] => 入驻合作
)
[icons] => Array
(
[1590] =>
[1752] =>
[1603] =>
[1753] =>
[1754] =>
[1755] =>
[1655] =>
[1756] =>
[1757] =>
[1760] =>
[1758] =>
[1759] =>
[1661] =>
)
[moderators] => Array
(
[1590] => 1
[1752] =>
[1603] =>
[1753] =>
[1754] =>
[1755] =>
[1655] =>
[1756] =>
[1757] =>
[1760] =>
[1758] =>
[1759] => 1
[1661] =>
)
)
[threadsorts] => Array
(
)
[viewperm] => 9 26 22 11 12 13 14 15 27 43 44 60 61 62 63 64 19 31 67 68 69 73 75 76 83 84 87 90 91 92 33 38 57 58 65 66 74 77 79 80 85 86 1 2 3 7 8
[postperm] => 22 11 12 13 14 15 27 43 44 60 61 62 63 64 19 67 68 69 73 75 76 83 84 87 90 91 92 33 38 57 58 65 66 74 77 79 80 85 86 1 2 3
[replyperm] => 26 22 11 12 13 14 15 27 43 44 60 61 62 63 64 19 67 68 69 73 75 76 83 84 87 90 91 92 33 38 57 58 65 66 74 77 79 80 85 86 1 2 3
[getattachperm] => 26 22 11 12 13 14 15 27 43 44 60 61 62 63 64 19 67 68 69 73 75 76 83 84 87 90 91 92 33 38 57 58 65 66 74 77 79 80 85 86 1 2 3
[postattachperm] => 26 22 11 12 13 14 15 27 43 44 60 61 62 63 64 19 67 68 69 73 75 76 83 84 87 90 91 92 33 38 57 58 65 66 74 77 79 80 85 86 1 2 3
[postimageperm] => 26 22 11 12 13 14 15 27 43 44 60 61 62 63 64 19 67 68 69 73 75 76 83 84 87 90 91 92 33 38 57 58 65 66 74 77 79 80 85 86 1 2 3
[spviewperm] =>
[seotitle] =>
[keywords] =>
[seodescription] =>
[supe_pushsetting] =>
[modrecommend] => Array
(
[open] => 0
[num] => 10
[imagenum] => 0
[imagewidth] => 300
[imageheight] => 250
[maxlength] => 0
[cachelife] => 0
[dateline] => 0
)
[threadplugin] => Array
(
)
[replybg] =>
[extra] => a:2:{s:9:"namecolor";s:0:"";s:9:"iconwidth";s:2:"60";}
[jointype] => 0
[gviewperm] => 0
[membernum] => 0
[dateline] => 0
[lastupdate] => 0
[activity] => 0
[founderuid] => 0
[foundername] =>
[banner] =>
[groupnum] => 0
[commentitem] =>
[relatedgroup] =>
[picstyle] => 0
[widthauto] => 0
[noantitheft] => 0
[noforumhidewater] => 0
[noforumrecommend] => 0
[livetid] => 0
[price] => 0
[fup] => 6729
[type] => forum
[name] => 虚拟币讨论大厅
[status] => 1
[displayorder] => 3
[styleid] => 0
[threads] => 26659
[posts] => 418246
[todayposts] => 5
[yesterdayposts] => 452
[rank] => 2
[oldrank] => 2
[lastpost] => 2751286 SpaceX突然挪动价值超1.5亿的比特币,是要抛售?还是只是“打扫钱包”? 1753633882 天策-瑶娥
[domain] =>
[allowsmilies] => 1
[allowhtml] => 1
[allowbbcode] => 1
[allowimgcode] => 1
[allowmediacode] => 0
[allowanonymous] => 0
[allowpostspecial] => 21
[allowspecialonly] => 0
[allowappend] => 0
[alloweditrules] => 1
[allowfeed] => 0
[allowside] => 0
[recyclebin] => 1
[modnewposts] => 2
[jammer] => 1
[disablewatermark] => 0
[inheritedmod] => 0
[autoclose] => 0
[forumcolumns] => 3
[catforumcolumns] => 0
[threadcaches] => 0
[alloweditpost] => 1
[simple] => 16
[modworks] => 1
[allowglobalstick] => 1
[level] => 0
[commoncredits] => 0
[archive] => 0
[recommend] => 0
[favtimes] => 0
[sharetimes] => 0
[disablethumb] => 0
[disablecollect] => 0
[ismoderator] => 0
[threadtableid] => 0
[allowreply] =>
[allowpost] =>
[allowpostattach] =>
)
[虚拟币交流]
Matrixport投研:IV与RV,如何利用BTC波动性获利?(转)
[复制链接]
|
当前离线
经验:
天策币:
活跃币:
策小分:
总在线: 12589 小时
本月在线: 8 小时
|
|
# b' E+ R$ i6 N& T! m* p
! h3 `% S5 N F! k
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 T7 @! G3 O6 U
3 y4 S! Y2 q5 E* N! M; B, P
+ c1 D# L# v/ Q( Y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。* o( |+ U# e$ a; `2 u
U& }2 a2 ]! P, o 高隐含波动率(IV)及时间衰退等因素,利于波动率卖方
8 x7 v- }& l v! S# F4 c' I' n1 @# S1 s& _
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。
5 c2 H6 j' ]. n/ o* m& @$ v8 |( Q7 M+ Q5 A7 `
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% 。2 I3 m) D8 M% ~+ [
# _5 h, m1 W) x/ W 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
" F. V& J! G$ w, A! Z* f. v7 Z u* A3 Z3 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。
2 E1 \) _+ P0 r" c% V8 m
$ W- y; p. i' F8 _ 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2 J. D: s% o; Q! U' ?. {0 _
5 N2 X& c, b1 j, J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。- |8 ~" c( }) k8 U
2 A. f" K0 {4 I* q. s1 |
矿工偏向卖出波动率变现,此举更具经济意义
6 v" T' p) G+ E4 {! V
; Z5 Y+ @4 H% I+ o% F0 `- `6 u: S9 z" T 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
3 \/ R q0 T/ C
$ y1 H' m( z3 h2 p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) n+ d6 W5 x+ w/ @
. G3 e: {2 ~9 K9 _+ M# A
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。+ L6 H) P& b8 r* Y) t, X& l
5 [9 D5 N) j7 d# H, Z: c, v
大批量持有 BTC 的 MicroStrategy 如何获取收益
8 w j& z( L3 d; n+ y
: P$ E% k0 O c% f' _ 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7 j; `! |" K% r; u
" F, o1 d" X* m
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。# r( |/ p, i* a. d1 u
+ [- w7 f9 q2 {! d& B3 I
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
4 Y( L9 @) i/ Y% Z. C+ _% x& e1 X% R- F% ], D F8 K% V. S: ?# r2 d
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 ; M' M8 d) f. o- a
7 y! v% M% _& p1 q4 G- d2 y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,
! l$ M; W( d/ Y6 h' \) I; m7 X7 N- i$ J% T+ P2 @# d
以换取预付款资本。6 m, {% ^. `( M [5 c
% W5 d: ~, c) ]- r: o1 i0 p0 i |
|
|
|
|
|
|
当前离线
经验:
天策币:
活跃币:
策小分:
总在线: 13198 小时
本月在线: 88 小时
|
|
|
|
|
|
|
|
当前离线
经验:
天策币:
活跃币:
策小分:
总在线: 19063 小时
本月在线: 122 小时
|
|
|
|
|
|
|
|
当前离线
经验:
天策币:
活跃币:
策小分:
总在线: 3930 小时
本月在线: 22 小时
|
|
|
|
|
|
|
|
当前离线
经验:
天策币:
活跃币:
策小分:
总在线: 8942 小时
本月在线: 31 小时
|
|
|
|
|
|
|
|
当前离线
经验:
天策币:
活跃币:
策小分:
总在线: 2816 小时
本月在线: 20 小时
|
|
|
|
|
|
|
|
当前离线
经验:
天策币:
活跃币:
策小分:
总在线: 10169 小时
本月在线: 32 小时
|
|
|
|
|
|
|
|