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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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. X' o/ J3 \; v9 S$ ~2 T 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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+ q! h0 K+ b& C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- S9 |: H( p: a0 D( g% o8 Y" y6 g
. Q& k. e3 R4 @4 Y& d/ ]' { 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。
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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% 。: A! w6 } U7 h1 \1 V1 f
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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
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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。2 v& r& f8 x3 K8 ` ]& T# ?7 D% L" b
7 t6 b4 Y$ x& E$ I1 ~' [+ d( x* A 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& ?. j' P: ^( ~- }- G
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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。- w5 K, b% \7 `; f' s5 L# y
5 X: N0 p" I5 D/ `, t 矿工偏向卖出波动率变现，此举更具经济意义5 a, ]7 B$ D9 S( G I+ T5 ^
$ e* ~7 y# a9 w3 H, z 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) n! Q$ u$ k0 D$ h
+ s0 k1 F: [3 w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。) C7 @! o* J# R& k# I1 @
" I( l8 B _# }) c8 _ 大批量持有 BTC 的 MicroStrategy 如何获取收益
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S1 z1 C$ b$ q- R: U. Z 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: g5 K2 c& l: E _( v1 @7 K
) i( E7 A# Q" J" I- d3 }% N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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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7 a7 C t" O6 V0 \' 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 ( C6 K7 [9 o" F
! f; A i- A& O: E7 i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，* W5 A( o( D2 P$ K4 {0 r
( z; y, G. h: |* V4 i) R以换取预付款资本。
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