scusate ma quale sarebbe il vantaggio nel creare l'ennesimo exchange ora che cmq il bitcoin sarà tradabile come future del cme da metà dicembre?
Penso che ci sarà la stessa differenza tra chi è in grado di fare un future (non mini, normale) sul DAX, e chi - per tradare lo stesso indice - gioca sui microlotti dei CFD.
Il future BTC partirà (ai prezzi di venerdì) un nozionale di circa 60K (5 BTC), un margine al 35% (quindi circa 20K), e potrebbe avere dalily ranges nell' ordine dei 6-10k: mi pare un pochino fuori portata dell'investitore medio in BTC.
Ricordo che Coinbase, a cui un giudice USA ha appena imposto di comunicare i nomi dei clienti con transazioni superiori a 20.000 USD, ha detto che questa misura interessa appena il 3% dei suoi clienti.
Qui sotto un commento di Izabella Kamiska da FT Alphaville, che affronta anche il tema del contango (chissà perchè c'è questa bizzarra idea in giro che se è commodity dovrà avere Backw...................):
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So what’s the opportunity once the CME launches a reliable futures contract that’s both properly risk-managed and in full view of regulatory supervisors?
To understand this it’s worth taking a closer look at the details of the contract at hand. But also at why it’s been so incredibly hard to short bitcoin efficiently to date.
A few points become immediately obvious.
First, the CME contract as currently devised is set to be cash rather than physically settled. This is understandable to some degree. Imagine the security and monitoring burden for the CME of having to oversee delivery of actual (KYC/AML compliant) bitcoin into an inventory system and/or over to counterparties directly?
Cash settlement is much less of a potential liability in comparison.
And yet, it’s not without issue. Cash-settled derivatives depend on some sort of index to settle against, exposing it to Libor-style risks.
This can be problematic if there is no consensus over what the “true” price should be, or if the inputs making up the index become prone to manipulation and influence by large entities or vested interests (or banging the close type strategies). Generally speaking, wherever over-the-counter markets feed into a settlement index of any sort, a neutral third-party market assessor is desired to oversee the process. Lacking that, the system is exposed to the risk of Libor-style collusion and gaming risk. And that’s generally the case no matter how sound the index methodology structure is purported to be.
In the case of the CME’s Bitcoin Reference Rate (BRR), the rate is to be decided by the time weighted average price (TWAP) of trades conducted on constituent exchanges during the TWAP assessment period. But even the CME acknowledges that “Bitcoin spot prices have historically varied considerably across trading venues, in particular in times of high volatility” implying there could be a wide spread between the average price which ends up settling bitcoin futures and the actually price that can be realised on an exchange.
What’s more, the constituent exchanges — as listed on the index administrator’s website (Crypto Facilities) — currently include Bitstamp, GDAX, itBit and Kraken but not Bitfinex, which is supposed to be the world’s biggest and most liquid exchange. That the reference price should be drawn from marginal exchanges with lesser liquidity rather than the most dominant one could pose interesting challenges for traders trying to realise profits from risk-free arbitrage positions and — if you look at it the other way — interesting opportunities for those who have particularly powerful relationships at the respective illiquid exchanges.
Second, we’re yet to be given any margin details for the contract but given the volatility of bitcoin, there’s a good chance the margin cost will be significant. This could undermine the usability of bitcoin derivative contracts as bona fide hedging tools unless the scale of the arbitrage opportunity is big enough to cover the financing costs.
So what does this tell us overall? Two things really.
- It’s unlikely bitcoin futures will be able to encourage real price discovery until the cost of financing arbitrage trades is small enough to make the trades worthwhile.
- Less sophisticated players, as a result, are most likely to enter into the market in the initial phase with directional trades that pose significant risk to both themselves and the market.
This presents the following possibility.
If unsophisticated players (i.e. those inclined to take directional rather than hedged positions) have a long bias, chances are the market will get inefficient before it gets efficient, since it won’t be all that easy to take advantage of any pricing anomalies due to the cost and risks of realising the trades.
Anecdotally, we already know from the less well regulated bitcoin derivative exchanges (which carry significant counterparty risk and hence make shorting bitcoin equally complex) that crypto futures contracts already have a tendency to trade at a premium over spot prices. This, in conventional commodity markets, is known as a contango phenomenon.
Conventionally, what contangos are really good for are putting on risk-free arbitrage trades. The opportunity is fairly obvious. If the spot price of bitcoin is trading at $10,000 and the future is at $12,000, the risk-free trade involves buying spot bitcoin at $10,000 and selling the future at $12,000. If the price of bitcoin goes up to $14,000 by expiry, the trader’s losing futures position (a $2,000 loss) can be offset by the $4,000 gain on the physical, yielding a net profit of $2,000 (minus financing costs). If the price of bitcoin falls to $8,000 by expiry, the trader’s winning futures position (a $4,000 gain) is offset by the loss on the physical sale ($2,000), but still yields an overall net profit of $2,000 (minus financing costs).
In theory, the act of putting such trades on diminishes the extent of the mispricing helping to flatten the curve, which in and of itself can put off further spot bitcoin purchases for arbitrage reasons, if not encourage outright liquidation of spot bitcoin into the market.
But for any of this to be realisable, not only does the financing cost have to be lower than the potential $2,000 windfall, the cash-settled rate of the future must be a true reflection of the price that can be realised in the physical market on the settlement day.
It’s not clear, however, that this can be guaranteed via the CME system — especially given that the BRR index ignores the biggest and most “liquid” of exchanges. Fundamentally, if futures markets don’t converge with an OTC price that can actually be realised in the market or are particularly prone to settlement manipulation, they’re useless for bona fide hedging strategies or no-risk arbitrage trading — both of which are needed for actual price discovery to happen.
Were bitcoin futures physically settled, of course, this would be much less of a problem. At expiry, sellers could deliver the underlying bitcoin to the buying counterparty at the pre-determined price, pocketing the spread without any fear of being unstuck by an illiquid, fragmented or manipulated physical market. Buyers instead would be the ones exposed to the risk that physical market conditions bore little similarity to active futures prices, which theoretically should eventually discipline the market into reflecting truly realisable prices at the settlement point.
What’s the takeaway from all this?
Mainly that the CME has created a futures product that is likely — in the first instance at least — to benefit speculators over those trying to execute actual arbitrage positions that can lead to better price discovery. And that this is down to the shoddy market structure underpinning the market in general.
What’s the risk?
That this leads to the sort of anomalies that distort price discovery until the mother of all corrections can occur. A realistic scenario as a result is this one: theoretical returns on contango trades gets so excessively large that it finally pays for arbitrageurs to take on both the related financing costs and market fragmentation and liquidity risk.
At that point, if the position is significant enough, either the curve flattens or (in the worst case scenario) flips abruptly into backwardation (a scenario where futures trade at a discount to spot prices) encouraging a brutal wave of physical selling to compensate.
On an exchange where counterparty default is not tolerated the way it is tolerated on the less established and unregulated crypto derivatives exchanges — and where successful shorts have to be paid out rather than be runaway from — this could pose some significant pain for long participants in the long run.
And if you don’t think it can happen, the precedent is the commodity markets (especially oil) which experienced almost exactly this sort of thing before prices could converge with the realities of fundamentally driven oversupply after years of being propped up by overly enthusiastic long-biased directional speculator money.
What happens next, by the way, are Senate Committee hearings into how manipulation of underlying markets may have occurred.
Meanwhile, why the market presumes the natural state of the bitcoin curve should be a contango is also beyond us. If bitcoin really is as efficient as enthusiasts claim it to be, it should be subject to little in the way of carry or storage costs. That should make it the ideal commodity for proving Keynes’ longstanding theory that the natural state of commodity markets is backwardation (or “normal backwardation” as he termed it), driven by the fact that rational speculators should insist on compensation relative to the spot price at execution time to offset the risk that the commodities they acquire in the future may be worth less than they are today.
Though of course there’s very little that’s rational about bitcoin.
