在傳統金融世界中，金融衍生性商品依產品形式分為以下幾類：遠期合約、期貨合約、選擇權合約和掉期合約。相應的主要資產分為股票、利率、貨幣和商品。 2020年，整個衍生性商品市場的票面價值將約為840兆美元，而股票市場的規模將為56兆美元，債券市場的規模將為119兆美元。衍生性商品市場的規模是其原始資產的4-5倍。
我們將其與數位貨幣世界相對應。現有的數位貨幣衍生性商品交易大多以交割合約、永續合約和選擇權的形式在交易所進行，其中永續合約也是一種替代互換產品。根據coingecko的統計，全球前七大合約交易所分別是幣安、okex、Huobi、bybit、FTX、bitget和bitmex。幣安在過去24小時的現貨交易量為230億美元，期貨交易量為775億美元，是現貨交易量的3.37倍；對於DEX，Uniswap V2和V3的24小時總交易量為12.5億美元，以永續協議為代表的去中心化合約交易所的24小時交易量為9,600萬美元。在去中心化的世界中，期貨交易量僅為現貨交易量的十四分之一。
如果我們採用中心化的交易量，去中心化交易所合約交易所的交易量也應該是現貨交易所的四倍。從表面上看，期貨合約交易所的交易量仍有數十倍的成長空間。然而，從目前的數據來看，去中心化式衍生性商品交易平台的業務發展明顯不如預期。
首先，我們定義了目前去中心化領域的衍生品，主要分為四類：期貨（永續合約）。目前主要有永久協議、dydx、futureswap、**協議、mcdex、衍生協議等；選項包括opyn、hegic、charm、**等；合成資產包括synthetix、UMA、mirror、duet等；預測市場包括奧古斯、聚合市場等；利率互換包括期限、收益率、barnbridge等。本文主要從期貨和合成資產的角度分析去中心化衍生性商品。
與數位貨幣領域的中心化機構相比，去中心化衍生品具有以下優勢：
1、資產託管：去中心化衍生品項目的資產託管在鏈上，透明、可追溯，可避免中心化機構的違規操作和違約風險；
2、公平性：交易規則由智能合約提前製定，不易透過後台篡改，對雙方更加公平；
3、自主性：去中心化衍生工具平台的收費模式、貨幣類和開發政策可以透過社群自主決定，參與者可以分享專案開發帶來的利益。
同時，去中心化衍生性商品平檯面臨許多亟待解決的問題：
1、性能：衍生性商品交易時效性要求極高，難以滿足鏈上解決方案的即時交易；
2、價格取得：衍生性商品交易對價格高度敏感，需要透過預言機解決標記價格和交易價格的定義；
3、風險控制：清算機制是去中心化和中心化交易所面臨的主要問題。去中心化平台也需要處理價格劇烈波動所導致的供應鏈擁擠問題。如何進行合理及時的清算是確保衍生性商品平台持續存在的重要條件；
4、成本和流動性：高槓桿融資融券交易對交易對象的流動性要求較高，平台需要規避交易的衝擊成本，制定合理的手續費標準；
5、資本效率：參與衍生性商品交易的交易員的核心需求是可以進行保證金交易和增加槓桿，但一些合成資產項目引入的超額抵押機制再次限制了資金的有效使用;
6、匿名性：去中心化計畫是一個面向和兩個面向。鏈上的數據是明確的和可驗證的，但大機構交易員將需要隱藏其頭寸和合約地址。
去中心化期貨衍生性商品是市場上項目和解決方案種類最多的衍生品。產品模式主要是永續合約。目前，它們主要分為三類：AMM、訂單簿和合成資產；
AMM學校主要將Uniswap中的AMM模（如vamm、Samm等）轉換為資金池或虛擬資金池模。交易者可以透過與池中的資產互動來做多做空。
這一類以永久協議為代表。根據MESARI的統計，永續協議在永續合約軌道上的市佔率達到76%，其7月的收入規模在所有DeFi項目中排名第七，僅次於sushiswap。然而，由於難以計算今年2月開放的交易挖礦所造成的刷量行為的貢獻，其交易量和收入無法準確反映其真實的市場份額。
永久協議採用的模是建立虛擬流動性池vamm。其實質是依照X*y=K的公式進行模擬定價。交易員透過在沒有外部流動性提供者的情況下提供保證金usdc向資本池（金庫）注入資金。這種方法也是一種合成資產的鑄造路徑，不會產生兩種貨幣的實際代幣兌換，因為基金池中只有usdc，進出資金的數量和收入是根據進出時交易對的價格通過數學公式計算出來的。
在此，我們引用項目方的文件，例如：
X*y=k，ETH和usdc的價格為y/X=100；
保險庫池中有10000usdc，x=100，k=100 *10000，Alice使用100u注入雙開ETH；
由於Alice注入100u並開盤兩次以上，該池將頭寸Y納入10000+100*2=10200u，ETH與usdc之間的匯率為100*10000/10200= 98.04；Alice的實際ETH位置變為100-98.04=1.96；
隨後，Bob繼續注入100u，並使用雙槓桿打開多個訂單。根據上述相同的方法，Bob實際持有的多份訂單為98.03-96.15=1.89（注意，由於Alice的開盤，ETH的價格上漲，因此Bob的平均持有成本高於Alice）
Bob開倉後，ETH的匯率價格再次上漲，Alice平倉，實現利潤7.84u=10400-96.15*10400/（96.15+1.96）-200
1.AMM號不需要外部預言機來取得價格。價格由市場內外的套利者統一定價。雖然規避了預言機風險，但在沒有套利者的情況下，市場內的資產價格可能與市場外的資產價格有很大的偏差，這將促使保證金交易者衝破頭寸；
2.K值是浮動的。在永久項目中，K值由團隊設定。如果K值太小，將影響池深度。如果K值太大，則現場價格波動太小，無法與場外價格相符；因此，K值的設定將極大地影響AMM模式的運作；
3.在AMM模中，大訂單對資金池的影響成本有很大影響，特別是對價格敏感的合約交易者，訂單的大小和順序對收入有很大影響；
為了解決上述問題，永久協議再次提出了居里V2版本。主要變更如下：
1.將原始vamm流動性池放入Uniswap V3中，以v-token的形式建立流動性池（如VETH/vusdc）。交易員將頭寸存入usdc後，槓桿LP產生與期初頭寸相等的資金並註入v-token池，v-token池本質上是組合資產的鑄造路徑，它只是將原始公式計算方法更改為實際token的路徑，以形成流動性池。
2.引入做市商角色，為uni V3的流動性池提供流動性管理，將在一定程度上改善流動性的提供，但池的流動性取決於做市商的資金量和做市能力。
3. In addition to the settlement function that guarantees abnormal compensation, when multiple short positions are unbalanced, the insurance fund will be added to the pool as a counterparty while replenishing the liquidity in the pool.
In general, the AMM solution used by Perpetual V1 seems to provide unlimited liquidity, but once the capital amount becomes larger, although it can open positions, the actual impact cost is still inevitable; after the V2 mode upgrade, Services provided by special market-making institutions will also be accepted. After applying uni V3's active market making strategy, liquidity providers will also incur corresponding free losses. Although the AMM model is used to solve the long-tail problem in the derivatives market, the impact cost of the AMM model is still very high for traders with large amounts of capital and high price sensitivity.
As the earliest platform to participate in decentralized derivatives trading, dydx was the first to launch btc usdc in May last year Perpetual contract. In April this year, it cooperated with Starkware to jointly build the Layer 2 protocol of the Starkex engine full position margin perpetual contract. Recently, trading volume has increased significantly due to currency issuance and airdrops. In addition to perpetual contract trading, dydx also provides loan, spot and margin trading functions. Its contracts account for 12% of the decentralized permanent contract trading market, ranking second.
Dydx adopts the order book model, using wintermute as the main market maker to provide liquidity, and adopts offline matching + online settlement. Therefore, its trading method is basically the same as that of centralized trading. The trading price of the current contract is determined by the price of the opening contract, which is determined by the market maker. According to data disclosed by wintermute, more than 95% of dydx's current transactions are quoted by market makers. Therefore, market makers have become an important core of the order book type trading platform, and the high degree of centralization of dydx is also the criticism of most critics.
Secondly, the order book trading mode has higher performance requirements for matching and trading. dydxLayer2 adopts ZKRollups expansion solution. Traders need to deposit funds into the dydx contract to trade. Funds are self-managed and users always have control over their funds. The rough path of operation is as follows: starkex takes a sequence from dydx, runs them internally, and makes sure everything is checked out and makes sense. It then moves the transaction to the Cairo program. The Cairo compiler compiles Cairo programs, and prover converts them into stark-proof. The proof on that chain is then sent to the verifier for verification. If the certifier accepts the certificate, the certificate is legitimate. This is reflected on dydx in that everyone can view the balances of all users on layer1, but the transaction data will not appear in the chain, which ensures the privacy of the trading strategy and reduces transaction costs. At the same time, the GAS FEE of Layer 2 is borne by the dydx team, and users only need to pay the transaction fee.
With the gradual improvement of Layer 2 and various expansion plans, the trading experience of the order book trading model will be closer to centralized trading. Dydx has also launched a variety of advanced order types (such as market price, limit price, stop loss, deadline, order options for covering or closing positions or posting). For traders, its contract functions are gradually moving toward centralized trading. Get closer. For contract exchange, different stages will have different priorities. A single market maker was a necessity in its early development to ensure liquidity. When professional investors gradually enter the market, the entire trading ecology will be improved and the degree of marketization will be reduced.
As the largest and earliest synthetic asset platform, most people are aware of the development status of synthetix, here No longer. The transaction method is that users generate SUSD in the form of pledge SNx based on a 500% pledge rate, and then trade SUSD into any synthetic asset in the system. It can go through Stoke City or it can go through Itoken City. The asset classes traded are not limited to digital currencies, but also include foreign exchange, stocks and commodities. Here, we also discuss synthetic assets as a type of decentralized derivatives, since it is also a contract traded in the form of collateral or margin.
SNx’s trading model is very novel and introduces a concept called dynamic debt pool. User and system debt changes in real time. When a user stakes SNx to cast SUSD, SUSD is a debt generated by the system. After converting to token, the system's debt will also change with the change of token value. The system's debt will be proportionally shared by all users who mortgage SNx. Here we give an example:
Suppose there are only two people in the system, and they will each throw 100susd.
In the end, the debts of Party A and Party B became 150 soapsuds, but the value of Party A’s assets was 200 soapsuds, while the value of Party B’s assets was still 100 soapsuds. At this time, Party A can obtain 200 SUDs by selling SBTC and only needs 150 SUDs to redeem SNx, while Party B needs to purchase 50 SUDs to redeem the mortgaged SNx.
For SNx’s stackers, synthetix’s debt pool model is actually a dynamic zero-sum game (the handling fee is also allocated to the stackers proportionally): the profit may come from the more the asset price rises, or the asset price falls The less it falls in the process; vice versa. In other words, users participating in synthetix staking are basically based on “their own investment ability/the investment ability of other participants.” Holding SUSD is of course an option, but at the same time, it will also face the risk of "other people's investment ability is too strong, so I lose money". According to Taleb, users are “sinking in the game” when they commit to SNx generating SUSD. This is a very bold design. Everyone takes a risk, so all talent is a true “stakeholder.”
Source: Mint Ventures https://www.chainnews.com/articles/894865830615.htm
This design of SNx is very bold and innovative. In essence, it is similar to the zero-sum game constructed in the AMM module. At the same time, for vamm, the virtual assets injected according to the opening position are also similar to the casting process of synthetic assets. However, unlike AMMs, synthetic asset prices are provided directly by oracles, so there are no slippage and liquidity issues, thus truly unlimited liquidity.
After understanding the operating mode of decentralized derivatives, we return to the question at the beginning of the article. Can the above projects effectively solve these problems? What is the future direction of decentralized derivatives?
Performance
At present, the performance problem has been initially solved, and various decentralized derivatives platforms have adopted different expansion solutions: the permanent protocol uses the side chain solution xdai; Dydx uses ZK rollup’s layer2 solution for offline matching and online Accounting; SNx uses Optimisitc’s layer2 solution for expansion. These expansion solutions basically ensure the real-time nature of transactions and solve the front-end operation problems of transaction execution.
Price acquisition
The price acquisition path of the AMM class is mainly defined by the assets in the pool and the formula xy=K. Its trading price does not require an external oracle, while the index price charged at the capital rate uses an oracle chainlink. After introducing the liquidity pool function of uni V3, Perpetual V2 will also be integrated with Uniswap’s oracle. Therefore, for the AMM model, the impact of oracle failure is relatively small*
Dydx has three prices: index price, oracle price and mid-market price. The index price is maintained by the dydx team and is determined with reference to the prices of 6 to 7 spot exchanges to trigger functions such as conditional orders; the oracle price is provided by chainlink and makerdao and is used to calculate margin requirements and capital rates; the mid-market price is derived from The price generated by the order book is also used to calculate the capital rate; dydx’s price acquisition model is similar to a centralized exchange. The actual trading price of the contract is based on the order book, and the position explosion price is determined by the oracle. Overall, market makers and arbitrageurs have become the leaders in dydx prices, and oracle risks will affect the position breakthrough price to a certain extent.
For SNx, the acquisition price depends entirely on the price of the oracle for chianlink. The oracle feed price will directly determine the trading price, system liability and liquidation price of all assets.
Risk Management
Currently, current liquidations on derivatives exchanges rely on quotes from oracles. When the margin falls below a certain level, liquidation and compensation are carried out through the insurance fund model. First, most projects rely on chainlink quotes, so oracle attacks are unavoidable. Secondly, the congestion problem on the clearing chain caused by violent price fluctuations cannot be solved for the time being. In the future, through the expansion plans of many companies, the congestion problem may be alleviated to a certain extent.
Cost and Liquidity
For traders with small capital, the cost of natural gas is higher, while for traders with large capital, the impact of liquidity is higher. At present, the former has been initially solved through the layer2 solution, while the latter is difficult to avoid impact costs in the AMM category. The order book type mainly depends on the market making ability and capital size of the market maker, and if the total capital amount of the protocol is large enough, the impact cost of a single trader will be offset.
In addition, handling fees are also a big problem for derivatives traders with high transaction rates. According to current data, the transaction fees of decentralized derivatives contract exchanges are much higher than those of centralized exchanges, of which the perpetual transaction fee is 0.1%, the pending order transaction rate for dydx ordinary users is 0.05%, and the taker transaction rate is 0.2 %, while the transaction cost of centralized exchange is only 0.02%-0.04%. Although these projects have enabled transaction mining functions to subsidize transaction costs, the transaction costs of decentralized exchanges are still high after the release of transaction mining.
Capital efficiency
Currently, the capital utilization rate of AMM and order book derivatives exchanges is not much different from that of centralized exchanges. Among them, the maintenance margin rate of perpetual exchange is 6.25% and dydx is 7.5%. But derivatives exchanges like synthetic asset class SNx require additional collateral and have a 200% liquidation limit. Although SNx can achieve unlimited liquidity, for contract traders, the over-collateralization method greatly limits the efficiency of fund use and loses the meaning of contract transactions.
Anonymous
Currently, the expansion solutions adopted by various exchanges transmit most of the transaction data outside the chain. dydx uses zero-knowledge proof to protect the privacy of traders. Therefore, when the privacy scheme related to Layer 2 is gradually improved, the anonymity of contract transactions will be guaranteed.
By comparing the above-mentioned decentralized derivatives transactions, it can be found that the order school represented by dydx can better solve the main pain points of current decentralized derivatives projects, the trading model and trading functions of the order book It is also more in line with the habits and needs of derivatives traders. Although dydx has some shortcomings, that is, it is not decentralized enough, it is actually a matter of survival and development. The primary purpose of a decentralized project is to meet the basic functional needs of users, and then improve the user ecology by introducing more cooperative institutions and various types of participants to gradually achieve its decentralized purpose.
For exchanges, the derivatives market is like a brand new e-commerce in the field of e-commerce. Due to various limitations in products, technologies and channels, it is the most difficult fortress to break through. Therefore, in the short and medium term, it is difficult for decentralized derivatives to shake the status of centralized exchanges. With the development of Layer 2 and various expansion plans, the performance, risk control, transaction costs and transaction anonymity issues of decentralized derivatives projects will be partially solved, and decentralized derivatives trading will also become the biggest obstacle to the development of Layer 2. beneficiary. In the long run, the derivatives track is still one of the tracks with huge development potential and high ceiling in the DeFi field.
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