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B Boywus
Boywus
@Boywus

永续合约双腿套利的资金效率其实没有传统期货高。   比如我如果想做资费策略,假设:做多 BTCUSDT $1M 仓位,做空BTCUSDC $1M仓位,由于交易所的持仓限制,最大名义杠杆只能设置为10倍,初始保证金算下来应该是10+10 = 20万。   但是如果是传统期货服务商,在类似的情形下,可能【初始保证金】只收我12.5万,相当于实现了16倍的杠杆效率,这样子就变相高一些。   不过这样的场景的确不多,而且相当于交易所要自己做压力测试,打折程度之类的, 来一次大波动,风控系统很容易出问题。 交易所产品在讨好Pro用户和机构这条路上总是要做的格外小心一些的。 看了下 目前就 @okx 走在了前面,做了风险单元合并来支持这个事情, 可惜的就是支持的品种太少了, 举例中的同base asset的usdc/usdt肯定在实战中很少。 希望能够有更多的配套规则,也希望其他交易所 @binance @bitget @bybit 考虑支持一下。

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12 replies collected of 61 X reports
Lei Shi @shilei ·

@Boywus What risk unit merger?

original · zh

@Boywus 什么风险单元合并?

1
风中浪客 @xiexieyixin ·

@Boywus This pricing strategy does require margin, but having 10x on both sides is disgusting. It would be better to just hedge with a coin-based pricing.

original · zh

@Boywus 资费策略这么玩确实吃保证金,但两边挂10x也太恶心了,不如直接币本位对冲。

Lei Shi @shilei ·

@Boywus Everyone has joint margin now

original · zh

@Boywus 联合保证金现在大家都有

王厂长 @zhewang ·

@Boywus Using 10 sub-accounts to divide the funds, you can open accounts with leverage of 100-150X.

original · zh

@Boywus 这种用10个子账户分仓,就都可以开到100-150X了

1 2
kilometer23 @neoduan23 ·

@Boywus It's different. Traditional finance doesn't have perpetual contracts; many transactions are settled quarterly. Therefore, arbitrage between September 1st and March 9th becomes a viable asset, saving on margin requirements. The crypto world doesn't have this capability.

original · zh

@Boywus 不太一样啊,传统金融没有永续,很多是季度交割,所以9-1 3-9这种跨期套利做成了一个标的,所以省保证金,币圈没这条件

1 1
Max▫️ @maxxu27 ·

@Boywus bybit.com/zh-MY/help-center/ar… Bybit's PM mode should meet your needs.

original · zh

@Boywus https://www.bybit.com/zh-MY/help-center/article/Margin-Calculations-Under-Portfolio-Margin Bybit PM模式应该可以满足需求

1
人菜瘾大 @Goodmorningweb5 ·

@Boywus How long does it take to break even after a single trade with 10x leverage arbitrage goes bankrupt?

original · zh

@Boywus 10倍杠杆套利,爆一单需要多久才回本?

1
紫嫣 @JocelynKathhnf ·

@Boywus I'm so lewd 🤭🧡 Anyone want to give me a sharp critique of my luck?

original · zh

@Boywus 我果然太涩了🤭🧡有人想锐评一下我的福嘛

南蕾🌸 @TeresaJulih36e ·

@Boywus I bet nobody's more adventurous than me! 🥳🚙 I'm not shady, you'll see!

original · zh

@Boywus 应该没人比我玩的开了吧🥳🚙 我福不黑不信你看

梦易 @KamaGrotewtrh ·

@Boywus I'm so horny 😸🍜 Anyone want to give me a sharp critique of my luck?

original · zh

@Boywus 我果然太涩了😸🍜有人想锐评一下我的福嘛

听雨 @HuldaLandoz5c5 ·

@Boywus I bet nobody's more adventurous than me 🫐♥️ I'm not shady, just look!

original · zh

@Boywus 应该没人比我玩的开了吧🫐♥️ 我福不黑不信你看

白薇🌸 @IngridErnepwdz ·

@Boywus I'm so lewd 🐶🙏 Anyone want to give me a sharp critique of my luck?

original · zh

@Boywus 我果然太涩了🐶🙏有人想锐评一下我的福嘛

9 replies whose parent comment X withheld

Lei Shi @shilei ·

@Boywus Didn't the PM already support this?

original · zh

@Boywus 这个不是PM都支持了么?

1
Boywus @Boywus · 11K

@shilei There's no discount on the initial margin; it's just that floating profits and losses are offset.

original · zh

@shilei 初始保证金不优惠的,只是浮动盈亏互抵吧

1
Lei Shi @shilei ·

@Boywus So, it's about sharing the margin and getting a haircut based on assets, right? I understand that Bybit and Binance already have that.

original · zh

@Boywus 就共用保证金按照资产给一个haircut嘛,我理解bybit币安都有了

1
Boywus @Boywus · 11K

@shilei No, it's a discount on the initial margin for a two-legged spread order in a similar product, like options spreading.

original · zh

@shilei 不是,是近似品种的双腿下单初始保证金折扣,类似期权做spread

1
Lei Shi @shilei ·

@Boywus Huh? You mean OK offers a deposit discount when ordering two legs? That's interesting, could you share the link, boss?

original · zh

@Boywus 诶?你是说ok有给一个两腿下单时候的保证金折扣? 这个有点意思,可以发下链接啊老板

王厂长 @zhewang ·

@Boywus I think 100x for both directions is more than enough. The real problem is that various firms are strictly limiting the number of sub-accounts.

original · zh

@Boywus 双向100x我觉得就很够用了,现实问题是各个所都在严格限制子账户数量

1
kilometer23 @neoduan23 ·

@Boywus I was referring to your margin issue. Premiums and discounts are perpetually paid in the form of funding fees, but in APY, not ROI. Futures can directly lock in the price difference, so you get the money as soon as you buy.

original · zh

@Boywus 我是说你保证金的事, 升水贴水永续用资金费的形式给,但给的是 apy 不是roi ,期货可以直接锁定价差,买入既到手。

1
Boywus @Boywus · 11K

@neoduan23 Yes, what I mean is that the core reason brokers offer discounts on the initial margin is the high correlation between the two legs, resulting in significant delta offsetting. The time offset discount is matched by the perpetual funding rate, so in principle, the discount is still approximately equal to the delta, and perpetual funds should also be able to do this. I don't know if I've explained it clearly 😂

original · zh

@neoduan23 嗯嗯,我的意思是券商给 【初始保证金】折扣的核心原因是双腿高度相关,delta抵冲很大。 时间偏移折价,用永续的资金费率对应上了,那么原理上折扣还是给的delta近似,永续应该也可以。 不晓得我这样表达清楚不😂

1
kilometer23 @neoduan23 ·

@Boywus Yes, it's possible. Cross-product SK Korea-US spreads and cross-period spreads can actually be listed as separate contracts. So once exchanges enter the stock market, there's a lot of room for development. I'm already quite used to placing US stock orders on BN.

original · zh

@Boywus 是可以,跨品种SK韩美套, 跨期套,其实都可以作为单独的品种上合约,所以交易所一旦进入到股票领域,开发空间很大,我现在已经很习惯在BN 下美股单了。

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