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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。
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/ u# B4 T$ W. |0 _8 u/ r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。2 c0 X: j8 ^ w. C
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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7 a I( W: V. a
8 [3 v* N+ N9 M. F 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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' O7 O4 A- G! @7 G% D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% 。' X p9 \3 [ Q9 a2 e& Z; K! m
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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2 A2 M W) z- I/ D
& N. i: ]# v2 @+ p; V! E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。1 w8 R' [+ ~8 w
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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, s" {' G! K- ^" X. K$ y4 G; d$ [
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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。9 I2 W$ a" ?, w# [0 G) s& o$ t: R
, b" y+ A2 T# b4 s# Q! s+ ?/ { 矿工偏向卖出波动率变现，此举更具经济意义" l' ?5 ~4 q8 X4 b7 Y# z8 T3 `
( X; }" z' M+ U+ e7 P 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 9 L/ p% t4 @/ Q
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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。, T6 K; g; x B: r/ r
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大批量持有 BTC 的 MicroStrategy 如何获取收益9 l0 l: M* r% a1 B7 I+ N. A
) e' i* J% Y( f( I% 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
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- h1 f$ w) N v" I7 {% y- P/ b1 w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。( W3 F2 R0 A. Q4 o
O9 `. H% t6 ? 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9 A+ [" k. e: A. e* K: Y& g O B9 i
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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 & w) t9 J, J" [
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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，3 c( e2 t! s3 S; l. h: ^+ B/ ~
V9 m4 o0 q) U& H3 c以换取预付款资本。 N3 s) ~7 G6 [; x) ]
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