Bitwise: 95%的比特币现货交易是个“骗局 ” (原PPT)

2020-03-01 203浏览

  • 1.MEMORANDUMTO:File No. SR-NYSEArca-2019-01FROM:Lauren Yates Office of Market Supervision, Division of Trading and MarketsDATE:March 20, 2019SUBJECT:Meeting with Bitwise Asset Management, Inc., NYSE Arca, Inc., and Vedder Price P.C. __________________________________________________________________________ On March 19, 2019, Elizabeth Baird, Christian Sabella, Natasha Greiner, Michael Coe, Edward Cho, Neel Maitra, David Remus (by phone), and Lauren Yates from the Division of Trading and Markets; Charles Garrison, Johnathan Ingram, Cindy Oh, Andrew Schoeffler (by phone), Amy Starr (by phone), Sara Von Althann, and David Walz (by phone) from the Division of Corporation Finance; and David Lisitza (by phone) from the Office of General Counsel, met with the followingindividuals:Teddy Fusaro, Bitwise Asset Management, Inc. Matt Hougan, Bitwise Asset Management, Inc. Hope Jarkowski, NYSE Arca, Inc. Jamie Patturelli, NYSE Arca, Inc. David DeGregorio, NYSE Arca, Inc. (by phone) Tom Conner, Vedder Price P.C. John Sanders, Vedder Price P.C. The discussion concerned NYSE Arca, Inc.’s proposed rule change to list and trade, pursuant to NYSE Arca Rule 8.201-E, shares of the Bitwise Bitcoin ETF Trust. Bitwise Asset Management, Inc. also provided the attached presentation to the Commission Staff.
  • 2.Bitwise Asset Management Presentation to the U.S. Securities and Exchange Commission March 19, 2019
  • 3.About Bitwise 01 VENTURE INVESTORSPioneer:Created the world’s first crypto index fund. 02 TEAM BACKGROUNDSSpecialist:The only asset we invest in is crypto. 03Experienced:Deep expertise in crypto, asset management and ETFs. 2
  • 4.Today’s Speakers Teddy Fusaro Matt Hougan Chief Operating Officer Global Head of Research Previously Senior Vice President and Senior Portfolio Manager at New York Life; earlier, Head of Portfolio Management and Trading at IndexIQ; before that, Direxion and Goldman Sachs. Previously CEO of Inside ETFs. Before that, CEO of ETF.com. Co-author of the CFA Institute’s monograph on ETFs and threetime member of the Barron’s ETF Roundtable. 3
  • 5.A large number of issuers have filed applications for bitcoin or bitcoin futures ETFs. 4
  • 6.We appreciate how clear the Commission has been in responding to these applications. 5
  • 7.Our approach is different. And simple. 6
  • 8.The Bitwise Bitcoin ETF Trust ("the Trust") intends to provide direct exposure to bitcoin, priced off the equivalent of a crypto consolidated tape, while custodying assets at a regulated, insured, third-party custodian. 7
  • 9.This down-the-middle approach is based on an accurate understanding of the bitcoin market, which is more orderly, regulated, and efficient than is commonly known. 8
  • 10.We will show that our application and supporting data mitigate the Commission’s concerns around market manipulation, custody, liquidity, pricing, and arbitrage. 9
  • 11.Table Of Contents 12 The Real Bitcoin Market The real market for bitcoin is significantly smaller, more orderly, and more regulated than is commonly understood. 83 Market Manipulation The bitcoin market is uniquely resistant to manipulation, and the regulated and surveilled futures market is significant. 133 Custody Custody is a solved problem in crypto, with multiple insured, regulated, third-party custodians present in the market. 168 Valuation Bitcoin trades at a unified global price, and established procedures exist for hard forks, air drops, and other situations. 189 Liquidity & Arbitrage The bitcoin market is sufficiently liquid, well-organized and developed to support liquidity and effective arbitrage in an ETF. 200 Appendix Direct answers to each question raised in the January 18, 2018, Staff Letter on Fund Innovation and Cryptocurrency-related Holdings 10
  • 12.Supporting Materials Bitwise has prepared extensive research in support of our application and this meeting. In addition to this presentation deck, we will be submitting the following materials to the Commission electronically to aid your review. 1. Commentary On The Winklevoss Order The Commission provided extremely detailed analysis of the bitcoin market in its July 28, 2018, Winklevoss ETF Trust Order. We have analyzed each of the Commission’s arguments and explored how it applies to or is mitigated by our application. 2. Commentary On And Fact-Checking Of Comment Letters Comment letters are a critical source of public input. We have analyzed and fact-checked all comment letters received for the Bitwise Bitcoin ETF Trust, as well as those comment letters cited in the Winklevoss Order. 3. Economic And Non-Economic Trading InBitcoin:Exploring The Real Market This presentation argues that the vast majority of reported bitcoin trading volume is either fake volume or represents non-economic wash trading. Our supporting white paper provides exhaustive proof to support that argument, and explores the real nature of the bitcoin spot market. 4. Available OnRequest:Comprehensive Data Set And Analysis Bitwise has compiled a comprehensive bitcoin market data set for more than 80 different exchanges. We are happy to make this data set available to the Commission on request, or to perform additional analysis as needed, subject to third-party data licensing agreements. 11
  • 13.The Real Bitcoin Market KEY FINDINGS The real market for bitcoin is significantly smaller, more orderly, and more regulated than is commonly understood.
  • 14.What Makes Bitcoin Unique? !13
  • 15.Bitcoin is a globally fungible commodity with low transaction costs, near-zero transportation costs and low-to-zero storage costs. !14
  • 16.Bitcoin is a globally fungible commodity with low transaction costs, near-zero transportation costs and low-to-zero storage costs. A bitcoin is the same everywhere in the world. !15
  • 17.Bitcoin is a globally fungible commodity with low transaction costs, near-zero transportation costs and low-to-zero storage costs. On leading exchanges, bitcoin commonly trades with a $0.01 spread on an approximately $4,000 handle with significant volume. !16
  • 18.Bitcoin is a globally fungible commodity with low transaction costs, near-zero transportation costs and low-to-zero storage costs. Unlike physical commodities, there is virtually no cost to transport bitcoin anywhere in the world. !17
  • 19.Bitcoin is a globally fungible commodity with low transaction costs, near-zero transportation costs and low-to-zero storage costs. Bitcoin can be safely custodied with established third-party custodians at a cost that ranges from 0% to 1.5% per year. !18
  • 20.What does that mean? As a result, you would expect the bitcoin market to be uniquely orderly and efficient, with tight spreads and nearly perfect arbitrage. !19 Bitcoin fits the textbook definition of an arbitrable good to a degree unmatched in history, which would suggest a uniquely efficient market.
  • 21.Unfortunately, Public Perception And Data Suggest Exactly The Opposite Public perception holds that the bitcoin market is in fact uniquely disorderly and inefficient. This is a rational response to the information most people have at their disposal. For example, leading data aggregators show prices on different exchanges separated by hundreds of dollars. !20
  • 22.How Can This Be? !21
  • 23.Top Bitcoin Exchanges by Reported Volume Reported volume adds to roughly $6 billion/day*, but under the hood the exchanges that report the highest volumes are unrecognizable. The vast majority of this reported volume is fake and/or non-economic wash trading. CoinMarketCap Top Exchanges Exchange BreakdownReported:~$6 Billion in Avg. 24hr Daily Volume* * Only counting trading volumes where BTC trades against fiat currencies or stablecoins.Screenshot:Coinmarketcap on March 9, 2019 !22 DataSource:Coinmarketcap. March 4-8, 2019
  • 24.This Data Is Widely Reported … And Extremely Wrong “Binance, currently the largest online exchange by volume, according to research site coinmarketcap.com…” This data comes from CoinMarketCap.com, the most widely cited source for bitcoin volume. It is used by every major media outlet in the world (examples shown to the right). - Wall Street Journal, August 5, 2018 Despite its widespread use, the CoinMarketCap.com data is wrong. It includes a large amount of fake and/or non-economic trading volume, thereby giving a fundamentally mistaken impression of the true size and nature of the bitcoin market. We will demonstrate in multiple different ways that approximately 95% of this volume is fake and/or non-economic in nature, and that the real market for bitcoin is significantly smaller, more orderly, and more regulated than commonly understood. “According to data from the website coinmarketcap.com…” August 20, 2018 “Digital coins are collectively valued at $140 billion, according to coinmarketcap.com…” - Barron’s, November 23, 2018 !23
  • 25.What Do Real Exchanges Look Like? Coinbase Pro ($27M*) Coinbase is a San Francisco-based firm that has raised $546 million* in venture capital. It does about $27 million in daily bitcoin volume. The firm has a BitLicense from the New York State Department of Financial Services, and is generally well-known in the community. On the left is a screenshot of its trading interface. * Average Daily Volume. DataSource:Kaiko. March 4-8, 2019 . Funding estimate is from Crunchbase. !24Screenshot:Coinbase Pro on December 12, 2018
  • 26.What Do Real Exchanges Look Like? This column captures the trade history on Coinbase Pro. Green trades reflect buy orders that lifted the offer, while red trades reflect sell orders that hit the bid. Notice that the mix of red and green trades is unequal and streaky. In this case, there was more buying activity (green) than selling activity (red). If you took this screenshot at a different time, the reverse could easily have been true. !25Screenshot:Coinbase Pro on December 12, 2018
  • 27.What Do Real Exchanges Look Like? This column captures trade sizes. Notice that they vary over time, from 0.0017 bitcoin to 1.00 bitcoin. You’ll also see a greaterthan-random number of round tradesizes:1.00 bitcoin, 0.60 bitcoin, 0.10 bitcoin, etc. This is naturalbehavior:People are more likely to trade 1 bitcoin than 0.821 bitcoin. !26Screenshot:Coinbase Pro on December 12, 2018
  • 28.What Do Real Exchanges Look Like? Each of these grey “candles” represents the amount of bitcoin traded on Coinbase Pro in a 5-minute period. Notice that the size of these candles changes overtime:Some 5minute periods have more volume than others, as you would expect. !27Screenshot:Coinbase Pro on December 12, 2018
  • 29.What Do Real Exchanges Look Like? This is the spread. It’s $0.01. At the time this screenshot was taken, bitcoin was trading at $3,419. That means bitcoin was trading at a 0.0003% spread, making it amongst the tightest quoted spread of any financial instrument in the world. !28Screenshot:Coinbase Pro on December 12, 2018
  • 30.What Do Suspicious Exchanges Look Like? EXAMPLE 1: TRADE PRINTING BETWEEN BID AND ASK CoinBene ($480M*) CoinBene is reported to be the largest bitcoin exchange in the world, with $480m in daily volume (18x Coinbase Pro). Essentially all of its trades print inside the prevailing bid and ask. * Average Daily Volume. DataSource:CoinMarketCap. March 4-8, 2019Screenshot:CoinBene on December 12, 2018 !29Note:CoinBene’s exact mechanism of printing fake trades between the bid and ask has changed since this part of the presentation was initially developed in December 2018. The example is still illustrative. We will examine CoinBene’s current trading patterns later in the presentation.
  • 31.What Do Suspicious Exchanges Look Like? EXAMPLE 1: TRADE PRINTING BETWEEN BID AND ASK This column captures trades. Notice the perfectly alternating pattern of green and red trades. Compare this to Coinbase Pro, where we saw a more random distribution of buying and selling activity. It’s highly unlikely that there is a perfect, even distribution of economic buy and sell orders. !30Screenshot:CoinBene on December 12, 2018
  • 32.What Do Suspicious Exchanges Look Like? EXAMPLE 1: TRADE PRINTING BETWEEN BID AND ASK This column shows the “timestamp” for each trade. Combine it with the “trades” column and you’ll see that trades on CoinBene come in pairs, and each pair has one buy (green) and one offsetting sell (red). The size of these trades are always roughly equal in size (as shown in the middle column), allowing them to nearly offset one-another over time. !31Screenshot:CoinBene on December 12, 2018
  • 33.What Do Suspicious Exchanges Look Like? EXAMPLE 1: TRADE PRINTING BETWEEN BID AND ASK The distribution of trade sizes is also very different than Coinbase Pro. For starters, there are no very small trades— the smallest trade shown is 0.43 bitcoin, or roughly $1,400. Coinbase Pro had trades as a small as $5. Also, there are no “round number” trades, despite the obvious behavioral reasons for their existence. !32Screenshot:CoinBene on December 12, 2018
  • 34.What Do Suspicious Exchanges Look Like? EXAMPLE 1: TRADE PRINTING BETWEEN BID AND ASK At the time of this screenshot, the best offer to buy bitcoin on CoinBene was $3,239.59, while the best offer to sell was $3,274.33. This means the “spread” was $34.74. That compares to $0.01 on Coinbase Pro. It is surprising that an exchange claiming 18x more volume than Coinbase Pro would have a spread that is 3400x larger. !33Screenshot:CoinBene on December 12, 2018
  • 35.CoinBene’s Real-World Footprint Is Also Suspiciously Smaller Than Coinbase’s Number of Twitter Followers Number of Google Search Results Web Traffic by SimilarWeb Venture Funding Raised Number of Employees on LinkedIn CoinBene Coinbase 10K 1M 1.25M 26M Ranked 90,701 among websites globally based on an estimated 617,475 monthly web visitors Ranked 1,917 among websites globally based on an estimated 25,045,634 monthly web visitors Unreported $546M over seven years 42, most appear to be part-time !34 852Source:Crunchbase, Twitter, LinkedIn. Data as of December 18, 2018
  • 36.What Do Suspicious Exchanges Look Like? EXAMPLE 2: MULTIPLE HOURS (AND DAYS) WITH ZERO VOLUME RightBTC ($100M*) RightBTC claims to have roughly 4x the volume of Coinbase Pro. However, it shows multiple hours (and days) with zero volume. These gaps are not correlated with business hours, volatility, up time or other factors. The two likely explanations are fake volume and/or trade mining. * Average Daily Volume. DataSource:CoinMarketCap. March 4-8, 2019 !35Screenshot:RightBTC on December 8, 2018
  • 37.What Do Suspicious Exchanges Look Like? EXAMPLE 2: MULTIPLE HOURS (AND DAYS) WITH ZERO VOLUME Each “candle” represents the amount of volume on RightBTC during a one-hour period. Notice that there are large gaps (stretching for days in some cases) where no volume occurs. !36Screenshot:RightBTC on December 8, 2018
  • 38.What Do Suspicious Exchanges Look Like? EXAMPLE 2: MULTIPLE HOURS (AND DAYS) WITH ZERO VOLUME RightBTC’s displayed spread here is $371.99. That compares to $0.01 for Coinbase Pro. This is ridiculous, especially considering it claims to have significantly more volume than Coinbase Pro. !37Screenshot:RightBTC on December 8, 2018
  • 39.What Do Suspicious Exchanges Look Like? EXAMPLE 2: MONOTONIC TRADING VOLUME CHAOEX ($70M*) CHAOEX claims to have $70 million in daily bitcoin volume, more than 2x the volume of Coinbase Pro. However, that volume is mostlymonotonic:Roughly an identical amount gets printed every hour of every day. This volume pattern is insensitive to price movements, news, waking hours, weekends, or other realworld factors. * Average Daily Volume. DataSource:CoinMarketCap. March 4-8, 2019 !38Screenshot:CHAOEX on December 8, 2018
  • 40.What Do Suspicious Exchanges Look Like? Each of these bars reflects one hour’s volume. It is highly unlikely that real trading volume would remain this consistent every hour of the day for nearly three consecutive days. !39Screenshot:CHAOEX on December 8, 2018
  • 41.Not All Fake Exchanges Are Easy To Spot. You Need More Data To Dive Deeper. !40
  • 42.We’ve collected data from 81 exchanges* We needed a universal method of collecting data across any exchange. So we built infrastructure to programmatically read data off the screen. We read the order book and recent trades four times a second. Order Book 81x Order Books Trades Trade History !41 * Practically every relevant exchange. We started from the top of the reported bitcoin volume list on the bitcoin markets page on CoinMarketCap on December 5, 2018 and worked our way down to the bottom, stopping at exchanges with less than $1 million in daily volume.
  • 43.Trade Size Histograms For Well-Known Exchanges Show Natural Patterns These histograms show the percentage of volume that is captured within each trade size bucket (0-0.1 BTC, 0.1-0.2 BTC, etc). They reveal consistent, intuitivepatterns:Percentage weight in each bucket declines as trade size increases, and there are noticeable peaks at whole bitcoin sizes (1, 2, 3, etc). X-axis is from 0 to 10 BTC. Coinbase ($27M*) Kraken ($31M*) Bittrex ($5M*) Poloniex ($1.4M*) !42 Bitstamp ($31M*) bitFlyer ($13M*) *Average Daily Volume.Source:'>Source: