Bitcoin derivatives positions are maintained with a self-selected margin, which is often too low to avoid automatic liquidation by the exchange, without notice, especially during periods of excessive volatility. Indeed, according to CryptoQuant, almost $80 billion of positions on centralised exchanges were liquidated during 2021, that is an average of over $200 million per day. So hedgers of bitcoin price risk should account for the possibility of automatic liquidation when taking positions on bitcoin futures. We derive a semi-closed form for an optimal hedging strategy with dual objectives – to minimize both the variance of the hedged portfolio and the probability of liquidation due to insufficient collateral. The solution depends on the statistical characteristics of the spot and futures extreme returns, and other parameters that characterize the hedger by choice of leverage, loss aversion and collateral management. An empirical analysis based on minute-level data compares the performance of the major direct and inverse bitcoin hedging instruments traded on five major exchanges.

比特币衍生品头寸以自选保证金维持，该保证金通常太低而无法避免交易所自动清算，恕不另行通知，尤其是在过度波动时期。事实上，根据 CryptoQuant 的数据，到 2021 年，中心化交易所的近 800 亿美元头寸被清算，平均每天超过 2 亿美元。因此，比特币价格风险的对冲者在持有比特币期货头寸时应考虑到自动清算的可能性。我们推导出具有双重目标的最佳对冲策略的半封闭形式——最小化对冲投资组合的方差和由于抵押品不足而导致清算的可能性。解决方案取决于现货和期货极端收益的统计特征，以及通过选择杠杆、损失规避和抵押品管理来表征套期保值者的其他参数。基于分钟级数据的实证分析比较了在五个主要交易所交易的主要直接和反向比特币对冲工具的表现。