Quant Trade - input wanted

misterkel

misterkel

I am conducting a funding-based quant trade on Bitmex. I'm having a difficult time evaluating the consequences of a big move.
Here are the parameters of the settlement:

https://www.bitmex.com/app/seriesGuide/ETH
Basic formula: (ETHUSD Exit Price - ETHUSD Entry Price) * Bitcoin Multiplier * # Contracts

I need a solid overview of behaviour given various price outcomes of both ETH/USD and BTC/USD.
I would hedge the ETH/USD (it's a short for getting the funding) with a long futures contract ETH/BTC. I don't think this is a sufficient hedge. In fact, I believe it makes me double short Bitcoin. This can be hedged with futures, but I can't figure out the precise numbers or how to manage the trade.
Any thoughts?
 
ok dude, first of all stop the quant BS if you don't know what a quantO futures is, how it's priced and how it behaves.

second, if you don't have an idea about how the trade behaves, don't trade it and journal the market over a couple of weeks to find out. Don't just go on a forum and rely on the answers.

third, learn basic math and basic...well logic. If you are short ETH/USD you are short ETH and long USD.
When you buy ETH/BTC against it what is your position? Nope...not short BTC/USD since ETHUSD is a quanto futures.

Back to the drawing board, son.


quant trade...that made me chuckle...
 
What is a "funding based quant trade"? Never heard that term. Care to explain?

misterkel said:
I am conducting a funding-based quant trade on Bitmex. I'm having a difficult time evaluating the consequences of a big move.
Here are the parameters of the settlement:

https://www.bitmex.com/app/seriesGuide/ETH
Basic formula: (ETHUSD Exit Price - ETHUSD Entry Price) * Bitcoin Multiplier * # Contracts

I need a solid overview of behaviour given various price outcomes of both ETH/USD and BTC/USD.
I would hedge the ETH/USD (it's a short for getting the funding) with a long futures contract ETH/BTC. I don't think this is a sufficient hedge. In fact, I believe it makes me double short Bitcoin. This can be hedged with futures, but I can't figure out the precise numbers or how to manage the trade.
Any thoughts?
More...
 
Came across a lot of garbage re "quant" and "ai" on this forum recently. It seems there is a rennaissance going on among broke, unemployed people who before were ashamed to call themselves day traders but now walk around with a gold chain around their necks with the engraved "trust me mom, I am a quant trader"

MrMuppet said:
ok dude, first of all stop the quant BS if you don't know what a quantO futures is, how it's priced and how it behaves.

second, if you don't have an idea about how the trade behaves, don't trade it and journal the market over a couple of weeks to find out. Don't just go on a forum and rely on the answers.

third, learn basic math and basic...well logic. If you are short ETH/USD you are short ETH and long USD.
When you buy ETH/BTC against it what is your position? Nope...not short BTC/USD since ETHUSD is a quanto futures.

Back to the drawing board, son.


quant trade...that made me chuckle...
More...
 
GRULSTMRNN said:
Came across a lot of garbage re "quant" and "ai" on this forum recently. It seems there is a rennaissance going on among broke, unemployed people who before were ashamed to call themselves day traders but now walk around with a gold chain around their necks with the engraved "trust me mom, I am a quant trader"
More...

We fear what we do not understand.
Thank you for your arrogant reply. Typical of ET. Have a great day.
 
misterkel said:
We fear what we do not understand.
Thank you for your arrogant reply. Typical of ET. Have a great day.
More...
Jokes aside, you clearly have no idea what you are talking about.

No matter weither you're trying to arb the funding or do some sort of spread trade, just don't.
This stuff is not simple, you're dealing with two dimensions of risk within a single product.

If you have to ask this stuff on a public forum, youre clearly not ready to deal with it's quirks and features. Save your money and wise up.
 
MrMuppet said:
Jokes aside, you clearly have no idea what you are talking about.

No matter weither you're trying to arb the funding or do some sort of spread trade, just don't.
This stuff is not simple, you're dealing with two dimensions of risk within a single product.

If you have to ask this stuff on a public forum, youre clearly not ready to deal with it's quirks and features. Save your money and wise up.
More...

Okay - just asking for a discussion from a forum makes me not ready to deal with something. You actually know nothing about me or my experience, so those are assumptions.
For example - suppose the trade were ETH/USD with a funding premium without the BTC settlement component. The mechanism would be simple - go long ETH, then collect the funding premium by shorting the contract in equal amounts. If the futures premium is significantly below the averaged funding payout (and it is), then the trade can be leveraged.

Obviously, the additional dimension of risk is BTC being the margin and settlement function is the complexity and the true risk dimension. The question is not overly difficult - how do changes in the BTC price affect the settlement price? If it is linear, then a BTC long hedge would be the appropriate tool to flatten it out.

I apologize for using this channel to discuss this, but rest assured, I have other avenues. I did not HAVE to engage in this, in fact was hesitant to do so. However, I thought the community might have something to add.
I see I was wrong.
 
misterkel said:
Okay - just asking for a discussion from a forum makes me not ready to deal with something. You actually know nothing about me or my experience, so those are assumptions.
For example - suppose the trade were ETH/USD with a funding premium without the BTC settlement component. The mechanism would be simple - go long ETH, then collect the funding premium by shorting the contract in equal amounts. If the futures premium is significantly below the averaged funding payout (and it is), then the trade can be leveraged.

Obviously, the additional dimension of risk is BTC being the margin and settlement function is the complexity and the true risk dimension. The question is not overly difficult - how do changes in the BTC price affect the settlement price? If it is linear, then a BTC long hedge would be the appropriate tool to flatten it out.

I apologize for using this channel to discuss this, but rest assured, I have other avenues. I did not HAVE to engage in this, in fact was hesitant to do so. However, I thought the community might have something to add.
I see I was wrong.
More...

stop the rambling and google quanto futures...


hint: it's not linear and even if it was, the BTC long hedge isn't free either.
So you're just another guy trying to cash in on the funding...but there is no free lunch
 
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