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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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t6 |3 b( f4 [; W. ] 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。, e* u8 q: s% V/ n% y) m! R
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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。5 w+ h1 [7 E0 h# R u
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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
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/ k6 [- x8 e: z; { 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% 。
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$ W; J! {0 @$ [! L; Q) Q 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/ [; m1 `( _' V, A ^* b
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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。
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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- Q% ?" p9 x3 `( ?4 e1 q9 G# G }
! `8 Z' z$ x0 x A% N/ \4 s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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矿工偏向卖出波动率变现，此举更具经济意义
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( V; [8 {& F0 k% p4 G 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 ! h: J% f) u$ q f
9 z0 E S( Q& G# i( q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。3 Z/ A+ F, r2 Z* \
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大批量持有 BTC 的 MicroStrategy 如何获取收益- c3 [7 a+ ~! i) M5 g
' b8 R: q" M" h! }8 ] 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* {$ G4 E) s B" j3 R( [& p
L% I' s+ k3 o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。, G3 h: W5 u: F% Q% z: H
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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6 j0 y: p9 T# J5 r/ F! q) I
6 \# F, [5 _/ V0 i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
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" B* ]# J2 C3 H- B. J& u2 o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，' u% ^0 Q" a% R/ Y: g# Y' N
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以换取预付款资本。+ t2 d' u# V' T
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