研报：告别熊市？比特币表现强劲回归

达瓴智库Published on 2023-02-03Last updated on 2023-02-03

Abstract

此次反弹使比特币大部分市场恢复盈利。

在长期的现货需求和一系列轧空的推动下，比特币市场呈现出自 2021 年 10 月以来最强劲的月度价格表现。本文，我们将探讨衍生品市场和现货交易平台的动态。

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本周数字资产持续上涨，比特币价格在1月29日晚间达到 2.39 万美元的高位。2023年1 月创下自 2021 年 10 月以来的最佳月度价格表现，年初至今增长达到 43% 以上，处于 2022 年 8 月以来的最高水平，较每周低点 2.24 万美元上涨了 6.6%。

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本文，我们将对衍生品市场和交易平台此次反弹进行研究与分析，内容涵盖：

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尽管相对于市场规模，总杠杆率有所下降，但最近期货轧空，基差回归正值。

尽管与交易平台相关的链上交易活动占比下降，但交易平台余额普遍下降。

几个市场群体的平均收购价格被突破，包括 2019 年购买的比特币投资者、Binance 和 Coinbase 客户以及 2017 年购买的比特币巨鲸。

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图1:1月24日-30日的比特币价格

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空头期货市场受到挤压

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在经历了漫长、痛苦和艰苦的 2022 年之后，2023年1月开始逆转这一下降趋势。通常情况下，此类反弹通常是由衍生品市场内某种程度的轧空推动的，这次反弹也不例外。

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迄今为止，三波交易清算了超过 4.95 亿美元的空头期货合约，随着反弹结束，规模有所下降。

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图2:比特币期货清算总额

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我们可以看到，1 月中旬最初的轧空令许多交易员感到意外，多头清算占比创下 15% 的历史新低。这意味着 85% 的清算是空头，比 FTX 暴雷期间占比75%的多头清算更高，由此我们可以看到投资者越位程度之高。

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图3:所有交易平台的期货多头清算占比

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在永续掉期和日历期货中，现金和套利基差现已回到正值区域，年化收益率分别为 7.3% 和 3.3%。在 11 月和 12 月的大部分时间里，所有期货市场都出现现货溢价，这表明市场积极情绪回归，或许还带有部分投机情绪。

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图4:永续期货年化与3个月收益率

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然而，尽管期货基差回归正值，但自 11 月中旬以来，相对于比特币市值来说，未平仓合约数量一直在下降。在此期间，以比特币计价的未平仓期货合约价值下降了 36%，从 11 月中旬的 65 万比特币跌至今天的 41.4 万比特币。

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请注意，下降的 40% 可直接视为 FTX 交易平台持有的价值 95,000 BTC 的未平仓合约的损失。

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图5:期货未平仓合约

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如果我们将未平仓期货合约的名义规模与相应交易平台的 BTC 余额进行比较，我们可以衡量市场内杠杆的相对规模。在过去 75 天里，该杠杆率已从未平仓合约占交易平台现货余额的 40% 下降到仅 25%。

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总体而言，这反映了期货杠杆的显著减少，以及空头投机情绪的冷却。这也可能预示着短期下行对冲头寸的减少。相对而言，随着观察到链上自我托管行为增加，这也更加强调现货市场是当前市场结构的关键驱动力。

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图6:期货杠杆率估值-所有交易平台

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交易平台流量稳定

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自2020年3月以来，交易平台现货流出趋势一直是被密切关注的一大主题，交易平台资产余额一直处于高位。目前，我们追踪的交易平台持有的比特币总额约为 225.1 万比特币，占流通供应量的 11.7%，创下2018 年 2 月以来的多年低点。

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图7:交易平台余额

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目前，交易平台的流入和流出量两项平均约为 6.25 亿美元/天（即总计 12.5亿美元/天）。从净值上看，每日净流出量约为 2000 万美元，仅占总流量的 1.5%，表明交易平台流量处于平衡状态。与11-12月不同，当时交易平台的净流出量约为每天 2 亿美元至 3 亿美元。

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图8:交易平台存取量

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历史上最高的比特币月度流出发生在11月至12月期间，所有交易平台的流出量达到 20 万比特币/月。目前，交易平台净流量已恢复稳定，资金外流正在降温。这可能意味着市场需求有所放缓，因为今年迄今价格已反弹超过 43%。

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图9:所有交易平台的比特币净头寸变动

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比特币各项指标向好

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本周，比特币的链上交易每天激增超过 50,000 笔，但交易平台存款或取款数量并没有相应增加。目前，与交易平台相关的交易次数仅占总交易次数的 35%，自 2021 年 5 月市场高峰以来，这一占比在不断下降。

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在实体调整后的数据中也可以看到这种交易数量的激增，这表明它与单个实体或内部钱包管理无关。可以看出，最近交易活动的增加发生在比特币经济的其他地方发生。

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图10:交易平台交易次数占比

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过去几周，流入和流出交易平台的交易额相对稳定，但尽管如此，与交易平台相关的链上交易额的占比已从 2.5% 增长到 16% 以上。

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比特币的全球交易额自 11 月以来急剧下降。这可能是因为 2021 年 8 月至 2022 年 11 月期间，由于全行业的去杠杆化以及FTX/Alameda的资产管理不善。

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图11:交易平台交易额占比

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通常，随着投资者和交易者变得更加活跃，应当表现为市场走强并伴随着链上交易总量的增加。我们可以看到目前交易平台交易额仍呈弱势，虽然月平均交易额开始上升，但现阶段仍远低于年度基线。

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PS：交易平台流入或流出量 [USD] (30D-SMA)突破8.75 亿美元将表明近期与交易平台相关的交易额回归年度基线。

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图12:交易额变动趋势

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通过对持有超过 1000BTC 的巨鲸的研究，我们还可以看到它们在交易平台的存款和取款量都有所上升。整个 1 月，巨鲸为交易平台流入（和流出）贡献了 1.85 亿美元至 2.15 亿美元，净流出量的约为 2500 万美元。

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图13:巨鲸在交易平台的流量

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突破基础成本价格

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由于如此大量的比特币流入和流出交易平台，我们可以估算出比特币市场各个群体的平均收购价格。第一张图表按年对平均收购价格进行绘制，从每年 1 月 1 日开始计算，并建立了一种只做多头的 DCA（平均成本法）的基础成本。

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在 2022 年的下跌趋势中，只有 2017 年及更早的购买者避免了未实现亏损，2018 年以后的投资者的基础成本被 FTX 红色蜡烛所取代。然而，当前的反弹已将 2019 年（2.18万美元）和早些时候的购买者推回到未实现盈利中。

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图14:平均收购价格（每年）

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我们可以为每个交易平台创建一个类似的模型，下图显示最近的价格走势与三个关键成本基础水平相交：

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（橙色）所有交易平台的历史采购价格交汇于 1.67 万美元处，并在年底整合范围内提供了一种形式的支持。

自 2017 年 7 月以来，两个最大的交易平台 Coinbase 和 Binance （黄色）+（蓝色）的平均采购价格刚刚突破 21,000 美元左右。

这也可以从盈利供应占比等指标中看出，随着价格上涨超过其链上收购价格，这些指标急剧上涨。

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图15:平均收购价格（交易平台）

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最后，我们回到之前讨论的巨鲸，但这次我们要回顾自市场触底以来的平均收购价格。通过在市场低点开始这些轨迹，我们可以预估出巨鲸的最有利价格。

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我们看到的是，即使是自 2017 年以来一直活跃的鲸鱼（黄色），随着2022年价格跌破 18,000 美元，他们也进入了未实现的亏损。自 2020 年 3 月低点以来，巨鲸的收购价格为 2.38 万美元。

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以上三种模型都证明了 2022-23 年的熊市是多么无情，甚至将站在最有利起点的群体推向了未实现损失。

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图16:巨鲸和交易平台

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总结

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随着 1 月底的临近，在长期的现货需求和一系列轧空的推动下，比特币市场出现了自 2021 年 10 月以来最强劲的月度价格表现。这次反弹使大部分市场恢复盈利，期货市场以健康的正基差交易。另外，在 FTX 崩溃之后，最初的交易平台流出趋势已经恢复稳定。

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What is $BITCOIN

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