The way of defi 2021-06-18 20:05:12 阅读数:104
The source of the original ：Deribit Market research
When （ Market turbulence ） Stress happens in the traditional world , There will be a lot of safeguards to keep the market in order . these “ guardrail ” It's learning the hard lessons that have happened （ The snowball effect caused by market fluctuations ） Set after . When traditional markets fluctuate too much , There will be fuses and central bank intervention （ The latter is less common ）, These measures put market participants on hold 、 Stoppage 、 Evaluate and act accordingly , Instead of being forced to make real-time decisions and margin calls . Experienced some market events , Many participants have reached a consensus on these rules , To avoid suffering .
In the cryptocurrency market , Protection is a completely new concept . Some participants in the cryptocurrency market over tout real freedom as a selling point ： As a beacon of the new era , Everything is possible here , It's a wild natural experiment that everyone can experience . Of course , This lack of security leads cryptocurrency investors to 6 There's going to be a spectacular explosion in about a month （ Skyrocketing ） And collapse （ tumbling ）, Outsiders usually look at it in fear .
As an active trader , You may be interested in these moments . For smart market players , Markets with excessive volatility and fear are often the best places to trade , They are able to identify and take advantage of structural breakthroughs in the course of the decline . The exchange fell , Forced selling brings high EV The opportunity to buy , Futures products deviate from their index , Options can reach very high IV, On chain clearing can also promote arbitrage opportunities . For the market participants with enough bullets , It's all a feast to experience .
Take a related example , stay Deribit On , You can often see that market makers are forced to become option buyers due to market expansion or account liquidation IVs when . Usually , You can't be in the extreme IV Sell a lot horizontally , But usually small investors can take advantage of these blowout opportunities , Put options at a very high level , And calm down the market fluctuations （ Usually after the initial blowout 12 to 48 Within hours ） There is some confidence in the post regression mean .
1987 year 10 month 19 Japan , The Dow had its biggest one-day drop , In the face of massive panic and margin calls , One day down 22.6%. This is the first animal collapse experienced by the traditional market in the era of automatic trading , The default nature of many trading decisions （ For example, stop loss is widely used ） The sell-off intensified .
at that time , Most market participants are interested in 20% That's incredible , The response to this decline has also been rapid and intense . Regulators act immediately , Take safeguards , To stop a series of panic and selling , Stop the snowball rolling down .
The main rule is to suspend trading . such " Pause " The method of in 1987 Real time testing in the crash of , at that time , NASDAQ went through an exchange failure , The stock on the exchange has only fallen 11%, It's about Standard & Poor's 500 The index fell by half . To 1988 year 1 month , The U.S. Securities and Exchange Commission makes regulations （ Now it's called the second 80B strip ）, The exchange is required to stop trading the securities that reach the fluctuation threshold .
In the field of cryptocurrency , We go through this many times a year 1987 The events of , Highly leveraged 、 The combination of inefficiency and animal spirit , Leading to a sharp sell-off 、 A big drop . Different from the traditional world , There is little protection in the cryptocurrency world to prevent another slump . image Deribit Some of these exchanges , Introducing sub second level fusing （ If the price fluctuates more than in a second 2.5%, Will trigger a stop loss ）, But most exchanges don't have such safeguards .
2021 year 5 month 19 Japan , Bitcoin in 45 It plummeted about in minutes 20%, And then in the following 2 There's a call back within hours .
As spot purchases evaporate , And the market's over exposure to high beta assets and lack of wait-and-see cash , This is the result of the general weakness of the market .
Bitcoin futures products alone had more than 30 A billion dollar liquidation , Not including the liquidation of Shanzhai currency futures . The speed of the day's liquidation and collapse drove the market crazy , There are all kinds of dislocations . The selling mechanism has been widely discussed , The discussion here will focus on the confusion of the market due to violent and rapid fluctuations .
In a high pressure market , One of the most common cases is the liquidation of futures positions , This tends to push futures prices to the extreme .
Because of the high demand for leverage , Futures products are usually traded at a positive spread （ It means that their trading price is higher than the clearing price in the spot market ）. This makes it possible to buy futures at spot prices （ Trading at a price lower than the spot market clearing price ） Become an attractive opportunity . In the recent slump ,Deribit The quarterly bitcoin futures annualized interest rate fell to -13% Low point of ,ETH Quarterly futures rates fell to -23% Low point of .
These two futures products have rapidly recovered from the reverse spread state to the positive spread state , Those who try to fill in these futures because they are forced to sell will eventually be happy . This is a simple example of market inefficiency , If smart traders pay close attention to the market , You can take advantage of it . For those who hope next time " surrender " When it comes to building long positions , Use futures as an alternative to spot purchases during a decline , It could be a wise move .
When there are big fluctuations in the spot market , Market makers tend to expand their market on options books , Because of the uncertainty of market conditions , Liquidity will be extremely low . In order to clear the short option account ,Deribit Sometimes futures are used to hedge options , But there will also be attempts to liquidate options positions ,（ Usually ） Forced buying of certain exercise prices and instruments .
Due to liquidation and unstable liquidity , You often see very high implied volatility , Once the market cools down , You should be able to sell these implied volatility , As it should be IV The relatively high expected value of mean regression . Please note that , In the recent market structure ,DVOL It actually broke out twice , One was in the initial crash , Then there is the second time during the callback （ Even more powerful ）. In the following 24 Within hours , Both of these big swings have experienced a correction .
Market dislocation （dislocation） A more subtle version of is " Forced selling " Concept , It's a positive way to deploy new capital EV, The bet is that once the liquidation and margin call are done , There will be no natural sell-off at that price level , To enable assets to rebound sharply .
for example , Bitcoin in 5 month 19 It rebounded from its low point in an hour 20%, Ethereum rebounded about 35%,Uni Rebounded about 50%. The reason why these sharp upward trends are possible , It's because a considerable part of the selling is forced to sell . Forced selling often takes place at the most unsuitable price , Because liquidation is carried out in batches , And it's under the peak pressure of the market .
If given the chance , Most forced sellers don't want to sell at the price they quit . That's why incremental clearing systems that sell only part of their positions at a time （ Such as Deribit The system of ） Usually better than the full clearing system （ From the customer's point of view ）, That is, sell the whole position when the maintenance margin is reached .
Cascade clearing often provides some of the best buying opportunities . When the liquidation is complete , Generally speaking , The market will rebound higher , Because the main source of selling in the market has now weakened . To take advantage of this inefficiency , Need to buy discount futures or sell higher than IV More expertise , But there are still opportunities .
In this recent sell-off ,DeFi Actually better than expected , There are no major failures in key systems , However, this does not mean that there is no opportunity to take advantage of .
First , When the market rapidly reverses , You often find things like Compound and Aave And other lending platforms have a lot of clearing , Complex clearing robots can take advantage of these opportunities .
secondly , because AMMs Rely on arbitrage to keep pricing consistent , Centralized exchanges, fast changing markets, often introduce huge price differences . Usually , Central exchange and Uniswap and Sushiswap etc. AMMs The price difference between them is too small , Uncomplicated robots can't take advantage of , But when markets are like 5 month 19 When the sun changes so fast , You'll find that the price difference is enough for low complexity robots .
In the golden age of dislocation , Traders are fortunate to be able to seize such an opportunity . Now it's likely to continue , Until enough idle money enters the cryptocurrency ecosystem , In order to realize the smooth operation of the market .Deribit Other exchanges may try to introduce more market barriers , It's good for the stability of the market , But it's bad for those active traders .
Future regulation may also aim at these problems , To make sure the market is more orderly , Especially now more investment companies are interested in potential ETF Pay attention to .
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