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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）
[复制链接]
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& C) d6 w+ B7 F, Y* F 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。0 z4 o& @" I- c+ z) u3 T
9 }* y. c& L0 `3 y8 | q3 }
* Y' {( Z8 Y5 T$ Z' b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。; N! q- {; y) G+ s' G2 N8 B
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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: E$ V$ P' f O3 }
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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。. E5 B( S9 I" g5 o' k+ b
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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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( I$ P. q! o1 X' _* \0 A 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9 D+ M1 b" c5 C# W5 W d7 t
% L+ b& w5 k: j! q* 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。
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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6 u6 X" k$ y: C! b: P/ ^' `
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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。
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' L' e6 u! ?/ O 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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, @6 O! M3 u9 _' j9 \6 E: a8 C6 M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0 y; @& J# G1 p; Y
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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。8 j+ {) h& E- r) w; a4 }; [' |
! J! k/ H) t1 ?; S& ^/ {/ A 大批量持有 BTC 的 MicroStrategy 如何获取收益
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) B* l" ]3 S+ ?0 ^- M2 |9 O, R 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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1 [& F8 }# g( a: j. g" T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。6 S+ A! l- G2 r3 O! p. H# G
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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
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x" g4 y& c! ~8 V9 p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 $ j6 h* r. d U2 ?9 ]% \
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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，4 `- f3 u6 J6 w% M
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以换取预付款资本。, V5 f' i8 a( N5 |
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