(Bloomberg) — The wild-west days of crypto markets are back again as the large trading houses that once thrived on arbitraging price gaps pull back in the wake of FTX’s collapse. That’s opening up profitable opportunities for anyone that still dares to trade.
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Prices for essentially identical assets on various platforms are diverging in a clear sign the dominoes are still falling across the crypto trading world. The gap between the funding rates of identical Bitcoin futures on Binance and OKEx, for instance, has been as wide as an annualized 101 percentage points and remained at least 10, compared to mostly single-digit gaps last month.
To je povratak na rane dane kriptovaluta, kada su špekulanti – uključujući i samog bivšeg izvršnog direktora FTX-a Sama Bankman-Frieda – pronašli laku zaradu jednostavno kupujući jednu imovinu na berzi i prodajući je za više na drugoj. To je unosan oblik kvantitativnog trgovanja, koji koristi algoritme kako bi profitirao od ovih razlika u cijenama. Ali kako su sofisticiraniji konvertiti sa Wall Streeta ulazili na kripto tržišta, te su se razlike smanjivale, što je otežavalo zaradu na ovoj strategiji.
Now with FTX’s demise sending chills through cryptocurrency markets, these players — including both big and obscure quant funds — are shrinking positions or even closing shop, causing these mispricings to stick around for longer.
“If you know what you’re doing and you have the confidence to have your money on exchanges, there are very profitable places to trade,” said Chris Taylor, who runs crypto strategies at GSA Capital, a 17-year-old quant fund that waded into the nascent asset class last year.
Started by young alumni of Chicago firm Jane Street Capital, FTX touted itself as an exchange “built by traders, for traders,” with margin lending and a wide array of derivatives. Until its implosion last week it was consistently among the five largest exchanges in terms of volumes — and a favorite among quants.
Za razliku od tradicionalnih tržišta, gdje se hedž fondovi zadužuju preko vrhunskih brokerskih kuća, kripto trgovci moraju davati kolateral direktno na berzi. Dakle, kada je FTX prošle sedmice počeo ograničavati povlačenje, horde maloprodajnih i profesionalnih špekulanata su u suštini izgubile pristup velikom dijelu svoje imovine dostupne za trgovanje, a svaki oporavak sada ovisi o sporom i krivudavom procesu bankrota.
Gubici sada izbijaju na površinu. Kevin Zhou, suosnivač hedž fonda Galois Capital, rekao je da je otprilike polovina njegovog kapitala zaglavljena na FTX-u, navodi Financial Times. Travis Kling, koji je upravljao novcem za Point72 Asset Management prije nego što je pokrenuo kripto fond, rekao je da je velika većina imovine njegove firme Ikigai na platformi bankrota. Wintermute, jedan od najvećih proizvođača tržišta, rekao je da ima 55 miliona dolara na FTX-u.
Kako količine smanjuju rizik, dislokacije se ponovo pojavljuju. Na najvećoj berzi Binance, jaz u stopi finansiranja između bitcoin fjučersa u odnosu na Binance USD i onih u odnosu na Tether – što znači da oba prate cijenu u dolarima – proširio se na prosječnih 17 procentnih poena na godišnjoj osnovi tokom protekle sedmice, u poređenju sa u oktobru skoro ništa. (Stopa finansiranja je plaćanje kamata koje se koristi za održavanje trajnih fjučersa u skladu sa spot cijenom.)
“Everybody is heading for the hills,” said Mitchell Dong, chief executive officer at Pythagoras Investments, which oversees about $100 million. The return of some price spreads shows “things that were previously arbed out are not so arbed out.”
His firm is writing off its 1% and 7% exposures to FTX in its market-neutral and trend-following funds respectively, he added.
Fasanara Digital, which runs about $100 million, has dialed down its risk exposure to nearly zero, says partner Nikita Fadeev.
Traders now have to decide whether to write off their exposure to FTX or create a so-called sidepocket that separates those assets from the main fund, says Barnali Biswal, chief investment officer at Atitlan Asset Management, which runs a fund that allocates to different quant managers and has 75% in cash right now.
“The age-old arbitrage strategies are more and more lucrative,” said the former Goldman Sachs managing director. “However, contagion risk is elevated. So we are being conservative in our approach.”
For most of crypto history until last year, the market teemed with obvious inefficiencies, drawing Chicago giants like Jump Trading and Jane Street. With the advent of pro traders that were used to picking pennies in far more competitive mainstream markets like American stocks, those price gaps narrowed and the easy money vanished.
The return of these anomalies now is a sign FTX’s fall has buffeted quant traders even more than this year’s other crypto crashes, like the deaths of TerraUSD and Three Arrows Capital. Bitcoin has dropped another 18% this month, taking its 2022 loss to 64%.
The downfall of what was once a trusted exchange will make professional traders seek ways to avoid putting up collateral on any centralized platforms, for instance by using prime brokerages instead, says GSA’s Taylor. In short, they will want crypto to look more like Wall Street — if the exchanges allow it.
“There was a lot more trust in FTX than there was in Terra/Luna,” he said. “You are now seeing some of the big players pull back not completely but try to have less collateral on centralized exchanges and think more about counterparty risk.”
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Izvor: https://finance.yahoo.com/news/traders-flee-crypto-markets-ftx-072458745.html