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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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8 ]( M9 E' k6 l2 r: M p. J! \, h 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。3 j% h2 ]4 p. q7 E. p. G# \9 h
$ Q6 b; ~3 d( H. [
$ m1 H7 F3 x+ L" W7 H, E$ u/ W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。; A0 R7 V% t) m7 \: q
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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5 Z' l! ?# P2 j5 n6 _4 S/ z
1 l, r4 e" s0 H1 E7 Y8 y* v 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。! S* _( a# ]8 n2 n
$ T$ I1 A9 h% \* O* K7 r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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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/ ]5 D$ n# B9 b6 C- p: O" j
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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。0 e5 ^7 w6 _# E t0 _" _
% e% [: D/ ~- }; f 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。$ Y5 f; O/ k$ y# U
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矿工偏向卖出波动率变现，此举更具经济意义
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. [# A& z; y: W3 l/ b l* T5 d 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 ' o* B3 M4 |: t. U6 v, i7 T
$ N- P A& \3 B- N# l" L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" m1 l: b3 |; _, A/ H- U$ ~+ o
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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。# e2 w$ q) N5 X% D% Y
! X# L7 x* i+ s) M 大批量持有 BTC 的 MicroStrategy 如何获取收益
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# m& T& N' R) D' B+ i7 V/ m& ~# [ 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8 q k3 J0 O9 N7 V
1 k" s+ V( X+ T% 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。
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# b4 b: V7 Q* P- z' w7 g 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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3 a/ H1 j# y7 Z0 L/ ^3 |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 % s/ O& u) j& u% `# O& c
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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，. d+ }+ S* g- t: E2 s8 w( M0 K
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以换取预付款资本。9 x5 r& @6 }4 u' I
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