HashKey:全景式解读 DeFi 永续衍生品生态版图与发展脉络
HashKey: A Panoramic Interpretation of DeFi's Ecological Map and Development of Sustainable Derivatives
随着永续合约底层性能的限制突破,复杂链上衍生品策略组合开始被采用,永续期权或将成为新的交易者认可的工具。
With the breakthrough of the limitation of the underlying performance of perpetual contracts, the combination of derivatives strategies on complex chains has begun to be adopted, and perpetual options may become a tool recognized by new traders.
撰文:郑嘉梁,HashKey Capital 研究总监
Author: Zheng Jialiang, Research Director, HashKey Capital
永续衍生品发展脉络
Development of Sustainable Derivatives
永续衍生品发展的第一阶段是反向永续合约,即 Bitmex 在 2016 年发展出来的比特币反向永续合约。传统交割期货都存在结算日、交割、合约移仓等机制,永续衍生品通过质押、资金费率和价格跟踪三个机制的结合,让永续合约大放光彩。但直到 2020 年大批交易所才纷纷跟进永续衍生品。
The first stage of the development of sustainable derivatives is the reverse sustainable contract, namely Bitcoin reverse sustainable contract developed by Bitmex in 2016. Traditional delivery futures all have mechanisms such as settlement date, delivery and contract transfer. Sustainable derivatives make sustainable contracts shine greatly through the combination of three mechanisms: pledge, capital rate and price tracking. But it was not until 2020 that a large number of exchanges followed up on sustainable derivatives.
根据 BitMex 的研究,反向合约做多的收益率是不平衡的:反向合约主导的的市场,涨跌做多者更加不利。后由于稳定币的引入,正向合约开始替代反向合约,因为其收益率更加线性。也就是反向合约具有凸性,出现了类似期权里 gamma 的性质。因为比特币实际上并不是正态分布的,一段时间内是具有漂移项的,做多和做空的收益比并不平衡。正向合约弥补了反向合约非线性的部分。
According to BitMex's research, the return on going long on reverse contracts is unbalanced: markets dominated by reverse contracts are more unfavorable for up and down long sellers. Later, due to the introduction of stablecoins, forward contracts started to replace reverse contracts because their returns are more linear. That is, the reverse contract is convex and appears similar to the gamma nature of options. Because bitcoin is not actually normally distributed, it has a drift term over time, and the ratio of long to short returns is not balanced. The forward contract compensates for the non-linear part of the reverse contract.
图:反向合约的收益非线性
Figure: Return Nonlinearity of Reverse Contract
永续衍生品的第二阶段是链上永续合约,在 2020 年 DeFi summer 中链上 AMM 走向大众,永续衍生品也随之启动。第二阶段可以看做是永续衍生品的概念验证到落地,每天有几亿美元的交易量。由于性能的限制,还没有到大规模使用的阶段。
The second stage of sustainable derivatives is the on-chain sustainable contract. In 2020, AMM on the chain in DeFi Summer will go to the public, and sustainable derivatives will also start. The second stage can be seen as the proof of concept of sustainable derivatives to the ground, with hundreds of millions of dollars of trading volume per day. Due to performance constraints, it has not yet reached the stage of large-scale use.
来源:The Block
Source: The Block
第三阶段是随着 Layer2 上线,永续合约的底层性能的限制突破,伴随着订单薄重新成为项目的可选方向,以及 Uniswap V3 的集中流动性的自带订单薄特性,让专业的做市商和交易员进入。衍生品不仅是投机,复杂的链上衍生品策略组合开始被采用。
The third stage is to allow professional market makers and traders to enter with the launch of Layer2, the breakthrough in the restriction of the underlying performance of the sustainable contract, the re-emergence of the order book as the optional direction of the project, and the self-contained order book feature of Uniswap V3 's centralized liquidity. Derivatives are not only speculation, but also complex combinations of derivatives strategies on the chain are beginning to be adopted.
我们认为永续衍生品第四阶段是永续期权将在 2022-23 年成为新的交易者认可的工具。随着 Paradigm 对永恒期权(everlasting option)的讨论以及一些项目落地链上永续期权,会有更多的协议参加这个非线性游戏。第四阶段市场将开始理解非线性衍生品带来的 greeks 交易机会和组合机会。永续期权解决了交割期权流动性被分割在二维平面的困境。长尾资产将获得更多关注。而且由于波动比较大,会让他们成为交易员喜欢的品种。
We believe that the fourth phase of perpetual derivatives is that perpetual options will become the new trader-accepted instrument in 2022-23. As Paradigm discusses everlasting options and some projects land on-chain perpetual options, more protocols will participate in this non-linear game. Phase 4 markets will begin to understand the greeks trading opportunities and portfolio opportunities that come with non-linear derivatives. Perpetual options solve the dilemma of delivery option liquidity being split in a two-dimensional plane. Long-tail assets will gain more attention. And because volatility is higher, it will make them a favorite species for traders.
永续衍生品最后会和其他交割衍生品一样并存,为非永续合约对跨期限衍生品套利衍生出更多策略。市场回到多产品状态,流动性大幅提升,这才会进入到乐观主义者谈论的衍生品市场远大于现货市场的阶段(也就是套用 TAM 的估算方法)。第四阶段另一个重要的特征就是固定收益衍生品开始流行,这样真正进入到一个很机构化的时代。利率这个之前没有被交易过的产品就补齐了。
Perpetual derivatives will eventually co-exist with other delivery derivatives, deriving more strategies for non-perpetual contracts to arbitrage cross-maturity derivatives. The market returns to a multi-product state and liquidity increases dramatically, which leads to the stage where optimists talk about a derivatives market that is much larger than the spot market (i.e., applying the TAM estimates). Another important feature of the fourth stage is that fixed income derivatives become popular, which really brings us to a very institutionalized era. Interest rates, a product that had not been traded before, filled in
我们认为永续衍生品具备以下功能:
We believe that sustainable derivatives have the following functions:
一种方便博弈方向的工具。市场现存的永续衍生品续证明了永续合约的适用性
A tool that facilitates the direction of the game. The existing perpetual derivatives in the market continue to prove the applicability of perpetual contracts.
一种管理组合工具。可以和现货、交割期货、交割期权进行组合。专业交易员可以构建更多类型的投资组合。永续合约、到期合约、永续期权和到期期权之间可以构建奇异组合
A managed portfolio instrument. Can be combined with spot, delivery futures, and delivery options. Professional traders can construct more types of portfolios. Odd combinations can be constructed between perpetual contracts, expiration contracts, perpetual options and expiration options
提供固定收益的方式。由于永续合约特殊的维持价格稳定的方式,纯粹的以获取 fund rate 模式的交易必然盛行于专业交易员圈子,类似于外汇里的 carry trade。除了专业交易员自己构建的组合外,已经有一些合约开始把这种组合模板化了。
The way to provide fixed income. Due to the special way of maintaining price stability in perpetual contracts, trading purely on the basis of obtaining fund rate mode is bound to prevail among professional traders, similar to carry trade in foreign exchange. In addition to the portfolios built by professional traders themselves, some contracts have begun to template such portfolios.
提供去中心化波动率交易的方式 。利用永续期权淡化 delta 和 theta 的特性。
Provide a way to decentralize volatility trading. Using perpetual options to dilute the characteristics of delta and theta.
长尾代币的流动性场所
Liquidity Place for Long Tail Tokens
永续衍生品的定价
Pricing of Sustainable Derivatives
一般期权的微分形式:
Differential forms of general options:
S 是底层资产,σ是隐含波动率,t 是时间,z 是一个高斯过程,f 是期权价格。
S is the underlying asset, is the implied volatility, T is the time, Z is a Gaussian process, and F is the option price.
期货可以看成是只包含一次项的部分:
Futures can be seen as a part that contains only one item:
期货和期权两个都可以看做是对未来标的的上杠杆,如果不包含边界条件,期权还包含了对价格变动二次项(即波动),以及对时间的价值。期权可以看成包含一次项,二次项和时间项。期货可以看成一个只有 delta 项的期权,期权币期货多了 gamma 项和 theta 项。期货的逻辑相对简单,买卖双方均存在权利义务。期权由于行权价的存在,存在 payoff 函数,这由期权权利金的存在所决定,期权的买方只有权利,没有义务,这个义务的让渡,由权利金去表示,卖方卖出权利金的同时,获得了在到期日负责交付的义务。
Both futures and options can be viewed as up-leveraging the future underlying, and if boundary conditions are not included, options also contain a secondary term to price movement (i.e., volatility), as well as a value to time. An option can be viewed as containing a primary term, a secondary term, and a time term. A futures can be viewed as an option with only a delta term, and an option currency futures with a gamma term and a theta term. The logic of a futures is relatively simple, with both buyers and sellers having rights and obligations. An option has a payoff function due to the existence of the strike price, which is determined by the existence of the option premium. The buyer of the option has only the right, not the obligation, and the assignment of this obligation is represented by the premium, and the seller sells the premium while acquiring the obligation to deliver on the expiration date.
资金费率是永续期货合约最精妙的一点,所有的衍生品都在围绕自己费率进行扩展。即资金的买方或者卖方支付资金费率给对方,以维持期货价格和标的价格(index)之间的平衡。但是由于高杠杆的永续合约被清算的可能性增加,永续期权提供了另外一种解决策略:1 不会被清算,对于期权买方只有权利没有义务,2 在没有清算的前提下,把杠杆倍数放大。
Funding rates are one of the most subtle aspects of perpetual futures contracts, and all derivatives expand around their own rates. That is, the buyer or seller of funds pays a funding rate to the other side to maintain a balance between the futures price and the underlying price (index). But because of the increased likelihood of liquidation of highly leveraged perpetual contracts, perpetual options offer an alternative solution strategy: 1 no liquidation, only rights and no obligations for the buyer of the option, and 2 scaling up the leverage multiple without liquidation.
期权要解决的主要问题是定价,因为引入了二次项和时间,价格表现出凸性(convexity)。期权的定价(卖出期权)和实际交易价格的差别,是期权交易的利润来源。
The main problem to be solved by options is pricing, because the quadratic term and time are introduced, and the price shows convexity. The difference between the pricing of options (put options) and the actual transaction price is the source of profits for option trading.
永续期权在学术界已有很多讨论,比如美式 call option 的不行权,put option 的解析解等。但期权对于用户来讲,最大的门槛在于:1 理解期权和标的物的关系;2 期权与期货相比,提供了哪些额外的好处,可以让用户至少在两者之间进行等价的选择。由于历史原因和产品复杂度的原因,大部分用户,都是以期货起家的。
Perpetual options have been much discussed in academic circles, such as the non-optional American call option and the analytical solution of the put option. But the biggest thresholds for users of options are: 1 understanding the relationship between options and the underlying; 2 what additional benefits options offer over futures that allow users to at least make an equivalent choice between the two. Most users, for historical reasons and product complexity, start with futures.
Paradigm 提供了一种以费率作为永续期权定价的表示方式:
Paradigm provides an expression of pricing perpetual options at a rate:
Deri protocol 在 8 月 11 日推出了永续期权产品,他们利用的是 paradigm 对期权定价的模型,并推出了永续模型的另一个表达法:
Deri protocol launched the perpetual option product on August 11. They used paradigm's model for option pricing and introduced another expression of the perpetual model:
以及 C (t)和 P (t)为一般一般性的 BS model 所表示
And C (t) and P (t) are represented by a general BS model
链上永续期权协议 Shield protocol 直接更近一步,解出了永续期权的解析解:
Shield Protocol, a perpetual option agreement on the chain, takes a step closer and solves the analytical solution of perpetual options:
Shield Protocol 的解析解基于 3 年历史数据动态对冲验证和场外期权定价理论研究的实证结果。 永续期权定价公式的落地,对整个永续产品起到奠基性的作用,期权的卖家可以计算风险敞口了,也就是传统的期权卖方策略可以实现。1973 年 Black, Sholes 和 Merton 三人提出的期权定价模型,对至今的期权定价仍然是最重要的方法,解析解一直是定价上的明珠,当然大多数期权定价公式还是依赖于数值解,因为期权模型的解析解计算难度太大了。
The analytical solution to the Shield Protocol is based on 3 years of historical data, dynamic hedging validation, and empirical results from OTC option pricing theory. The option pricing formula of the perpetual option plays a seminal role in the overall perpetual product, and the option seller can now calculate the exposure, i.e., the traditional option seller's strategy can be realized. 1973 option pricing model proposed by Black, Sholes and Merton is still the most important method for option pricing today, and the analytical solution has been the jewel of pricing, but of course Most option pricing formulas still rely on the numerical solution because the analytical solution to the option model is so difficult to compute.
主要永续衍生品项目
Major Sustainable Derivatives Projects
行业地图
Industry Map
dYdX
DYdX
dYdX 创立于 2017 年,提供加密货币衍生品业务产品包括:永续合约、现货和杠杆交易、借贷等。dYdX 的永续合约使用 USDC 作为抵押物,可以 crossmargin, 即多合约使用同一抵押物。永续合约的 funding rate 采用每一个小时结算一次,dydx 的 fund rate 还考到了两个比重直接借贷的利差,他的 funding rate 公式为:
Founded in 2017, dYdX offers cryptocurrency derivatives business products including perpetual contracts, spot and leveraged transactions, lending, etc. dYdX's perpetual contracts use USDC as collateral and can be crossmargin, i.e. multiple contracts using the same collateral. The funding rate for perpetual contracts is settled every hour. dYdX's fund rate also takes into account the spread between the two weighted direct debits, and his funding rate formula is
Funding Rate = (Premium Component / 8) + Interest Rate Component
Funding Rate = (Premium Component/8) + Interest Rate Component
dYdX 的永续合约建立在 Starkware 设计的 zk-rollup 上。zk rollup 在链下完成客户交易,并把交易结果传到链上,rollup 是负责交易打包,zk 负责提供零知识证明,以证明存入 layer2 是有效的。交互过程如下:
dYdX's perpetual contract is built on a zk-rollup designed by Starkware. zk rollup completes customer transactions off-chain and transmits the results to the chain, rollup is responsible for transaction packaging, and zk is responsible for providing zero-knowledge proofs to prove that the deposit to layer2 is valid. The interaction process is as follows.
以太坊到 Layer2: dYdX 监控相关的以太坊交易,即存款、强制提款和强制交易。一旦在以太坊上收到此类交易,相关操作如添加资金将在第二层进行。
Ethernet to Layer2: dYdX monitors related Ethernet transactions, i.e. Deposits, mandatory withdrawals and mandatory transactions. Once such transactions are received on the Ethernet Square, relevant operations such as adding funds will be carried out on the second floor.
Layer2 到以太坊 : 在链下执行一批交易后,其有效性的证明被链上的 STARK 验证者生成并验证。在 STARK 验证者批准状态转换后,状态转换生效,如存入或从第二层提取而改变用户的以太坊余额。
Layer2 to Ethernet : After a batch of transactions is executed under the chain, the proof of its validity is generated and verified by the STARK validator on the chain. After the STARK validator approves the state transition, the state transition takes effect, such as depositing or withdrawing from the second layer and changing the user's Ether balance.
dYdX 使用是订单薄系统,订单薄可以提供限价单,所以会更适合于做衍生品。永续衍生品协议 Injective 曾对比了订单薄和 AMM 的两个机制。
DYDX uses an order book system, which can provide limit orders, so it is more suitable for derivatives. Injective, a sustainable derivatives agreement, has compared the two mechanisms of order book and AMM.
订单薄系统的优点在于可以提供很多复杂的订单类型,但仍依赖做市商,如 dYdX 就使用 Wintermute 这样的做市商,所以订单薄、做市商本质是一套体系。除了专业做市商外,一般流动性提供商可以将 USDC 添加到流动池中,然后专业做市商可以适用这部分 USDC,把流动性和做市做了个区分,进一步利于有资金但没有交易能力的用户参与。
The advantage of the order book system is that it can provide many complex order types, but it still relies on market makers, such as dYdX which uses market makers like Wintermute, so the order book and market maker are essentially one system. In addition to professional market makers, general liquidity providers can add USDC to the liquidity pool and then professional market makers can apply this USDC, making a distinction between liquidity and market making, further facilitating the participation of users who have capital but no trading ability.
dYdX 和传统交易市场很像,最大的创新在于 API,已经可以提供到类似中心化交易所的水平,即这样的 API 把其中的区块链逻辑完全去掉,只剩下的适用于做市商的。如 1.25ETH 就是 1.25,而不是最基本的 wei 表示。从 Wintermute 的反馈来看,交叉保证金对于做市商是很友好的,可以节省大量资本。
dYdX is very similar to the traditional trading market, the biggest innovation is the API, which is already available to a level similar to that of a centralized exchange, i.e. such an API removes the blockchain logic from it completely, leaving only what is applicable to market makers. For example, 1.25ETH is 1.25, not the most basic wei representation. Feedback from Wintermute shows that cross-margining is very market maker friendly and can save a lot of capital.
dYdX 上线 layer2 后,交易量大幅上升。
After dYdX launched layer2, the volume of transactions rose sharply.
一天的成交量可以达到 70 亿美元,但随着市场的下降,也已经进入到下来了,最大的三个交易对是 BTC/ETH/SOL/COMP 等。
The daily turnover can reach 7 billion US dollars, but with the decline of the market, it has also entered the market. The three largest trading pairs are BTC/ETH/SOL/COMP, etc.
Layer 2 引擎
Layer 2 Engine
dYdX 使用的是 StarkEX 的引擎,也是 Starkware 开发的专门基于二层网络的交易引擎,在 2020 年 6 月上线,可以支持很多用例,如现货交易、永续合约交易和 NFT 的交易。Starkware 可以支持数据上链(ZK-Rollup)和数据不上链(Validium)模式。
dYdX uses the StarkEX engine, a specialized Layer 2 network-based trading engine developed by Starkware, which goes live in June 2020 and can support many use cases such as spot trading, perpetual contract trading and NFT trading. dYdX can support both data-on-chain (ZK-Rollup) and data-off-chain (Validium) modes. Starkware can support both ZK-Rollup and Validium modes.
来源:Starkware
Source: Starkware
用户的资金转入到 StarkEX 的合约上,实现去中心化自托管,然后就可以在 dYdX 上交易了。StarkEX 的链下组件会管理所有交易订单,执行后将状态更新发送至链上组件部分。
The user's funds are transferred to StarkEX's contract to realize decentralized self-hosting, and then they can be traded on DYDX. StarkEX's down-chain component manages all transaction orders and sends status updates to the up-chain component section after execution.
交易和状态的改变会经由 StarkEX 的验证者进行验证,SHARP 是一个将各类 statement 打包生成证明的工具。目前 Stark 引擎支持 dYdX、DeversiFi、Immutable、 Sorare 几个协议。
Changes in transactions and status will be verified by StarkEX's verifier. SHARP is a tool that packages various statements to generate certificates. At present, Stark engine supports dYdX, DeversiFi, Immutable and Sorare protocols.
Perpetual Protocol
Perpetual Protocol
Perpetual 是曾经是全网交易量第一的链上永续期货市场(目前第二),Perpetual 的 V1 版本使用的是 vAMM 类型的交易池,vAMM 是 AMM 的扩展类型。按交易量统计,Perpetual, dYdX 和 Futureswap 是永续衍生品里的前三大。
Perpetual was once the first on-chain sustainable futures market (currently the second) in the whole network. The V1 version of Perpetual uses a trading pool of vAMM type, and vAMM is an extended type of AMM. Perpetual, dYdX and Futureswap are the top three sustainable derivatives in terms of trading volume.
vAMM 采用 AMM 的计算方式,但是不采用 AMM 的清算方式。K 值可以调节,K 值越大,滑点越低,K 值大小也要和场外市场相匹配。vAMM 可以采用近乎无限的流动性,这样根据恒定乘积公式 k=x*y,就几乎不会产生交易滑点,所有流动性较低的 AMM 的池子都面临流动性不足、交易滑点过大的问题。vAMM 真正的清结算在 Perpetual 的底层,保险基金承担了流动性提供者的角色。Perpetual 的 v1 采用了 xDai 作为二层方案。
vAMM uses the AMM calculation, but not the AMM clearing. k value can be adjusted, the larger the k value, the lower the slippage, and the k value size should match the OTC market. vAMM can use nearly infinite liquidity, so that according to the constant product formula k=x*y, there is almost no trading slippage, and all pools of less liquid AMMs face illiquidity and excessive trading slippage. The real clearing of vAMM is at the bottom of Perpetual, where the insurance fund assumes the role of liquidity provider. v1 of Perpetual uses xDai as a two-tier solution.
保险基金承担了 vAMM 的对手风险(比如一致性做多和一致性做空的时候)。如果业务没有持续稳定发展,保险资金的增长应该是不可持续。大的负面波动会抵消掉几星期的 insurance fund 的增加。
Insurance funds take on VAMM's counterparty risks (e.g. When consistently long and consistently short). If there is no sustained and stable development of the business, the growth of insurance funds should be unsustainable. Large negative fluctuations will offset several weeks of increase in insurance fund.
在新的 V2 版本中,Perpetual 利用了 Uniswap V3 的流动性,引入了对手方,流动性风险降低。V2 版本做了很多其他改进设计,V2 版本会分成四步:V2.1: 利用 V3 版本的集中流动性,基于 Arbitrium 的做市;V2.2: 上线现价单系统和 PERP 的 staking;V2.3: 除 USDC 以外的多抵押系统;V2.4: 无需许可的私人市场。在 V2.2 版本这将和 dYdX 一样变成限价单系统。Offchain Lab 认为 Arbitrium 每秒可以打包 4200 个交易,比以太坊主网高 300 倍。
In the new V2 version, Perpetual takes advantage of the liquidity of Uniswap V3, introducing counterparties and reducing liquidity risk. v2 has many other improvements designed for v2, which will be divided into four steps: v2.1: Arbitrium-based market making, taking advantage of the centralized liquidity of V3; v2.2: going live with the spot order system and PERP staking; V2.3: Multi-collateral system in addition to USDC; V2.4: Private market without license. Offchain Lab believes that Arbitrium can package 4,200 transactions per second, 300 times more than the main ethereum network.
Perp 的 V2 选用 Arbitrium,一方面 Uniswap V3 选用 Arbitrium 有关,因为 v3 的流动性池建立在 v3 上面。V3 的因为集中流动性滑点会更小,这是比 Perp v1 的 vAMM 更进步的地方。另一方面,和 Optimism 相比,Arbitrium 完全兼容 EVM,这样 Uniswap 完全不用做任何修改,就可以直接上线,这影响一大批的非项目的选择。完全兼容和部分兼容的区别就在此。5 月底,Uniswap 的社区群投票几乎 100% 支持 v3 在 Arbitrium 上线。已经有许多项目开始支持 Arbitrium,除 Uniswap 外,包括 Aave, Band, Hop, imToken, MakerDAO, WBTC 等 70 所个项目都选择了 Arbitrum。
Perp's V2 chose Arbitrium, on the one hand Uniswap V3 chose Arbitrium related to the fact that v3's liquidity pool is built on top of v3. V3's will have less liquidity slippage because of centralization, which is a more progressive aspect than Perp v1's vAMM. On the other hand, Arbitrium is fully compatible with EVM compared to Optimism, so that Uniswap can go live without any modifications at all, which affects a large number of non-projects of choice. Therein lies the difference between full and partial compatibility, and at the end of May, the Uniswap community voted almost 100% in favor of v3 going live on Arbitrium. Many projects have already started supporting Arbitrium, and in addition to Uniswap, 70 projects including Aave, Band, Hop, imToken, MakerDAO, WBTC, and others have chosen Arbitrum
永续掉期 DerivaDEX
Perpetual swap DerivaDEX
DerivaDEX 的主要产品是永续互换合约,也就是和 Bitmex 类似的链上版本。
DerivaDEX's main product is a perpetual swap contract, which is an on-chain version similar to Bitmex.
来源:DerivaDEX
Source: DerivaDEX
DerivaDEX 使用的是订单薄,DerivaDEX 也设计了类似 Perpetual Protocol 的 Insurance fund,用来保护当协议出现一定损失(如对手方的损失超过了他们的抵押)。爆仓没有什么特别的解决办法,需要依赖 insurance fund 去解决,这也是 Bitmex 永续合约创造的另一个机制。
DerivaDEX uses an order book, and DerivaDEX also designs an Insurance fund similar to Perpetual Protocol to protect against certain losses in the protocol (e.g. Counterparties' losses exceed their mortgages). There is no special solution to the explosion, which needs to be solved by the insurance fund, which is another mechanism created by Bitmex's perpetual contract.
在 DerivaDEX,资金费率的游戏也可以变成一种交易策略:比如可以持续构造一个现货多方和期货空方,当假设资金费率利于己方时候的,就赚了固定的资金费率(理想情况)。
In DerivaDEX, the game of capital rate can also become a trading strategy: for example, a spot multi-party and futures empty party can be continuously constructed. When assuming that the capital rate is beneficial to one's own party, one can earn a fixed capital rate (ideal situation).
来源:DerivaDEX
Source: DerivaDEX
永续期权 Shield Protocol
Shield Protocol
Shield Protocol 是一个链上永续衍生品协议,其经济逻辑是非合作博弈逻辑。其第一版产品是一个链上永续期权产品,之后会开发永续合约产品,场外期权及结构化产品。具有非抵押、透明、无中介费、去信任以及容易上手等特点。永续期权产品形式逻辑和永续期货类似,即期权价格的 payoff 由价格变动,资金费和交易费决定:
Shield Protocol is a continuous derivative agreement on the chain, and its economic logic is non-cooperative game logic. Its first version of the product is a chain of sustainable options, after which sustainable contract products, over-the-counter options and structured products will be developed. It has the characteristics of non-mortgage, transparency, no intermediary fee, de-trust and easy access. The formal logic of perpetual option products is similar to that of perpetual futures, that is, the payoff of option price is determined by price changes, capital fees and transaction fees:
Payoff= (No. Of Contracts*Price Change) - Funding Fee - Trading Fee
Payoff= (No. Of Contracts*Price Change)-Funding Fee-Trading Fee
期权相比期货,没有清仓的概念。每天的最大损失就是资金费率。其流动性由私池和公池两个池子支持。Shield 的核心创新在于永续期权的定价公式的解析解,形如 BS model,已如前所述。
Compared with futures, options have no concept of clearance. The biggest daily loss is the capital rate. Its liquidity is supported by two pools: private pool and public pool. Shield's core innovation lies in the analytical solution of the pricing formula of perpetual options, which is similar to BS model, as mentioned earlier.
期权在 market fit 层面最主要的问题是,因为操作复杂,所以并不是很适合散户,T 字报价板就是一个最大的障碍。最大的期权交易所 Deribit 的交易量比较少,期权领域更加适合于专业交易员。Shield 解决这个困扰的办法是:1. 于是引入了 broker 角色,broker 帮助用户理解期权和提供交易 / 投资咨询。整个过程发生在链上,broker 可以获得佣金,和传统金融一样,佣金来自于被推荐者的交易佣金。2. 将传统的交割期权改造成了永续期权,并让用户只能做平值的买权,这样大大降低了用户使用门坎和风险。
The main problem with options at the market fit level is that they are not very suitable for retail investors because of the complexity of the operation, and the T-quote board is one of the biggest obstacles. The largest options exchange, Deribit, has a relatively low trading volume, and the options space is more suited to professional traders. shield solves this problem by introducing the role of a broker, who helps users understand options and provides trading/investment advice. The whole process takes place on the chain, and the broker gets a commission, which, like traditional finance, comes from the referee's trading commission. 2. transforming traditional delivery options into perpetual options, and allowing users to do only flat value buy options, which greatly reduces the user barrier and risk.
Shield 特有的是公池、私池系统。私池作为主要的交易池,公池作为补充。私池是为专业交易者服务的,他们可以通过外部对冲转移风险。公池的门槛较低,适合散户和风险厌恶者参与。在 T=0 时刻,私池相当于期权的卖方,交易者为期权的卖方,所有的交易都是 peer to pool 的,流动性来自于池子。新开单的分配由随机数决定,一个是区块的哈希,另一个区块的时间。订单被随机匹配到私池中。私池的提供方获得基于 SLD (治理代币) 的交易费,私池的费用收入较高。清算人通过提供清算服务,获得奖励。Shield 的五个角色通过非合作博弈来维护协议的稳定。
Shield features a public pool and a private pool system. The private pool serves as the main trading pool and the public pool complements it. The private pool is for professional traders who can transfer their risk through external hedging. The public pool has a lower threshold and is suitable for retail and risk-averse traders to participate. At T=0, the private pool is equivalent to the seller of the option, the trader is the seller of the option, and all trades are peer to pool with liquidity coming from the pool. The allocation of new open orders is determined by random numbers, one being the hash of the block and the other the time of the block. Orders are randomly matched into the private pool. The provider of the private pool receives a transaction fee based on the SLD (governance token), and the private pool has a higher fee income. The clearer is rewarded for providing clearing services. five actors of Shield maintain the stability of the protocol through non-cooperative gaming.
永续期权的显性用处,投资者可以不必承担移仓的麻烦,作为期权的持有方,没有爆仓风险。期权的长期持有就是要付出时间价值, 即每天都有时间损耗,永续期权不需要付出时间价值,付出的是 funding fee。永续期权的隐形用处,提供了一种可以博弈波动率用的衍生品。当把永续期货和永续期权结合起来,剔除掉一次项,剔除掉时间价值,(假设 funding fee 可控),那合成的产品就是一个纯粹的波动率,给非方向性的博弈提供了大的空间。此外丰富了产品组合,可以体现了真正的可组合性。永续期权可以和交割期权结合起来,形成一些策略,但是目前的永续期权价格机制还比较繁琐,不太好计算各类 greeks 的风险暴露。
The obvious use of perpetual options is that the investor does not have to take the hassle of moving the position, and as the holder of the option, there is no risk of blowing up the position. The invisible use of perpetual options is that they provide a derivative that can be used to game volatility. When combining perpetual futures and perpetual options, eliminating the primary term, eliminating the time value, (assuming the funding fee can be controlled), the synthetic product is a pure volatility, providing a large space for non-directional gaming. In addition, the product portfolio is enriched and can reflect true composability. Perpetual options can be combined with delivery options to form some strategies, but the current perpetual option price mechanism is still cumbersome and not very good at calculating the risk exposure of various greeks
永续模板和可组合性-Ribbon 和 OPYN
Sustainable Templates and Composability-Ribbon and OPYN
Ribbon 和 OPYN 的故事显示出了一个有趣的现象,复杂产品的创意往往依靠极端简单的前端做到扩大化,正体现了 DeFi 可组合性的优势。Ribbon Finance 利用了 OPYN 提供的永续期权模板,创造出了类似定期储蓄的资金池,底部由 put selling 和 covered call 策略的期权卖出策略支撑,可以给用户提供类固定收益的集合产品。
The stories of Ribbon and OPYN show an interesting phenomenon. The creativity of complex products often relies on extremely simple front ends to expand, which reflects the advantages of DeFi's combinability. Ribbon Finance uses the permanent option template provided by OPYN to create a capital pool similar to regular savings. The bottom is supported by the option selling strategy of put selling and covered call strategy, which can provide users with collective products similar to fixed income.
Ribbon 相当于为 OPYN 建立了一个策略聚合收益前端,帮助用户每周固定执行卖出期权策略,也就类似于永续期权的衍生品。实现原理是,Theta Vault (Ribbon 上的资金池)把投资人的 90% 的存入资金在 OPYN 铸造 coverd call, 并以 oToken (OPYN 里代表期权的 token)卖给做市场,期权的参数设定由 Theta Vault 决定,用户无需考虑,一般会选用价外期权,这样可以赚到 premium,缺点是若单位时期内,标的价格上涨至行权价,用户会承受损失。
Ribbon is the equivalent of a strategy aggregation front-end for OPYN that helps users execute a fixed weekly sell option strategy, which is similar to a perpetual option derivative. The principle of implementation is that Theta Vault (the pool of money on Ribbon) casts coverd call in OPYN with 90% of investors' deposited funds, and sells it to the market with oToken (the token representing the option in OPYN), the parameter setting of the option is decided by Theta Vault, and users do not need to consider it, and usually choose out-of-the-money option. The disadvantage is that if the underlying price rises to the strike price within a unit period, the user will suffer a loss.
这里不得不提一下 OPYN,OPYN 越来越走向底层,特别是一些是实用性的工具如看涨期权,清算机器人,期权流动性池以及永续期权金库模板,这个模板被 Ribbon 所用,也为 OPYN 提升了大量的 TVL。基本上 OPYN 的 TVL 的近期增长全部由 Ribbon 推动。
I have to mention OPYN here. OPYN is moving to the bottom, especially some practical tools such as call options, clearing robots, option liquidity pools and permanent option vault templates, which are used by Ribbon and have also increased a large number of TVL for OPYN. Basically OPYN's recent growth in TVL is entirely driven by Ribbon.
来源:Delphidigital
Source: Delphidigitical
OPYN 的底层:Perpetual Vault Templates。它使用了一整套永续期权模板,任何人可以构建他们所需要的期权(任意的行权价,到期日),省去了从底层 bootstrap 的功夫,做出来任何策略的,并以 oToken 的形式其表示这个期权。其可以容乃非常大量的期权策略,面向前端的 vault 可以自行构建客户需要的产品(比如固定收益)。
Bottom layer of OPYN: Perpetual Vault Templates. It uses a set of permanent option templates. Anyone can construct the option they need (any exercise price, expiration date), save the effort from the bottom bootstrap, make any strategy, and express the option in the form of oToken. It can accommodate a very large number of option strategies, and the front-end Vault can build its own products (such as fixed income) that customers need.
从期权的发展看永续衍生品
Looking at Sustainable Derivatives from the Development of Options
古代和近代期权的发展可追溯到中东地区以及郁金香泡沫时代,都是一种约定的交易合同的形式出现。比如买家向卖家支付 3.5%-10% 的定金,到期日如果郁金香价格低于合同价格,卖家可以豁免买入义务。现代期权无论是理论还是实践都在美国,商品期权起源于农作物和畜牧业,金融期权(以股票期权为代表)一开始都是去中心化的模式,都是场外期权。1973 年是期权市场发展的转折的一年,芝加哥期权交易所邀请南森公司完成了一份《南森报告》。同年 Fisher Black、Myron Sholes 和 Robert Merton 分别发表两篇论文,提出了结论近似的期权定价模型,也就是后来被称之为 BSM 的期权定价模型。
The development of ancient and modern options dates back to the Middle East and the era of the tulip bubble, both of which came in the form of an agreed-upon trading contract. For example, the buyer pays a deposit of 3.5%-10% to the seller, and on the expiration date the seller is exempt from the obligation to buy if the tulip price falls below the contract price. Modern options are both theoretical and practical in the U.S. Commodity options originated in the crop and livestock industries, and financial options (represented by stock options) started out as decentralized models, all over-the-counter options. 1973 was a turning point in the development of the options market, when the Chicago Board Options Exchange invited Nansen to complete a Nansen Report. That same year Fisher Black, Myron Sholes, and Robert Merton published two separate papers proposing option pricing models with approximate conclusions, which came to be known as the BSM option pricing model.
1974 年的美国证监会报告大量引用了《南森报告》的内容,四项结论非常重要:1 场内期权有助于降低场内现货的波动,2 场内期权提升了现货流动性,3 场内期权不会分流流动性,4 场内期权让投资人开始成熟面对复杂的市场。在 1985 年美国四大监管机构推出了《期货和期权交易对经济的影响研究》,这个俗称四方报告的刊物让期权发展正式走上正轨。
The 1974 SEC report quoted extensively from the Nansen Report, and four conclusions were very important: 1 that intraday options help reduce volatility in spot on the floor, 2 that intraday options enhance spot liquidity, 3 that intraday options do not divert liquidity, and 4 that intraday options allow investors to begin to mature to face the complexities of the market. In 1985 the four major U.S. regulators launched the Study of the Economic Impact of Futures and Options Trading, a publication commonly known as the Quadrangular Report, which put the development of options on the right track.
期权的发展历史非常之长,是市场、理论、交易者和监管共同作用的结果。对应到 crypto 的期权,我们发现理论是基本不变的,市场需求是存在的,交易者不太成熟,监管持很负面态度,符合早期也就是 1973 年以前股票期权市场的特征。衍生品发展的早期一般都具有较重的投机味道,直到投资者开始成熟,工具属性才慢慢复现,对于机构和个人,期权的意义也明显不同。所以发展 crypto 期权市场的定位是需要值得思考的。
The history of options is very long and is the result of a combination of market, theory, traders and regulation. When applied to crypto options, we find that theory is largely unchanged, market demand exists, traders are less mature, and regulation is very negative, consistent with the characteristics of the early, pre-1973 stock options market. Early in the development of derivatives generally have a heavy speculative flavor, until investors began to mature, the tool attributes slowly reappear, for institutions and individuals, the significance of options is also clearly different. So developing the positioning of the crypto options market is something to think about.
为什么此时看好永续衍生品:
Why are you optimistic about sustainable derivatives at this time?
性能提升:Layer 2 上线是似乎解决了性能问题,更重要的是,给了衍生品 launch 新 V 的契机。在基础链的 AMM 模式开始向订单薄过度。随着 Uniswap V3 的出现,订单薄这个之前被遗忘的方案重新回来了,AMM 会和订单薄一起
Performance improvement: Layer 2 coming online is what seems to solve the performance problem and, more importantly, gives the opportunity for the derivative launch new V. The AMM model in the base chain started to move over to order thinning. With the advent of Uniswap V3, the order book, a previously forgotten solution, came back and AMM would join the order book
玩法多样:永续是一个很好的方向,Crypto 散户多的特点,到期衍生品很多人操作不习惯。永续衍生品已被市场证明可以组合成有趣的收益产品。
Play a variety of ways: perpetual is a good direction, Crypto retail investors a lot of features, maturity derivatives many people are not used to operating. Perpetual derivatives have been proven by the market can be combined into interesting income products.
期权热度上升:期权的热度在上升,期权很适合专业做市商的出现,专业做市商在 Layer 2 做事已经司空见惯。永续、永恒期权的定价和时间已经开始形成风气,这是促使专业交易员进入到市场的重要因素。
Options fever is on the rise: The fever for options is on the rise, options are well suited for the emergence of professional market makers, and it has become commonplace for professional market makers to do things at Layer 2. The pricing and timing of perpetual and eternal options has started to take hold, and this is an important factor driving professional traders into the market.
潜在的交易因素和非交易因素:只要全市场市场交易量上升,永续衍生品上量会非常快。而目前的一些其他因素让 DeFi 衍生品有了增量。
Potential trading factors and non-trading factors: As long as the trading volume in the whole market increases, the volume of sustainable derivatives will be very fast. At present, some other factors have increased DeFi derivatives.
永续衍生品的风险:
Risks of Sustainable Derivatives:
衍生产品的高杠杆是可以吸引客户但是也对协议造成压力
The high leverage of derivatives can attract customers but also put pressure on the agreement.
对其池子的设计者而言,流动性的提供方会面临损失或者不愿意积极参与的局面
For the designers of their pools, the providers of liquidity will face losses or will not be willing to actively participate.
抵押品的选择是一个双刃剑
The choice of collateral is a double-edged sword.
衍生品是否可以承担高通量还未经过验证
Whether derivatives can afford high throughput has not been verified.
越接近于中心化的订单薄系统,越接近于和中心化交易所竞争的位置。之前通过 mining/staking 机制激发了用户,但是随后是真正产品的竞争。
The closer you get to a centralized order book system, the closer you get to a position where you can compete with centralized exchanges. Previously users were motivated by mining/staking mechanisms, but then there was competition for the real product.