#我在广场发首帖 87.4% Rate Cut Probability: Crypto Market Faces an "Expectation Exhaustion" Crisis

When the CME "FedWatch" tool pushes the probability of a 25bps rate cut in December to 87.4%, the market is no longer fixated on "Will they cut?" but is brutally challenged by "What happens after the cut?" This figure was refreshed on the morning of December 1, 2025. While it seems to roll out the red carpet for risk assets, in reality, it may have already priced in the good news to a dangerous edge.

The data is real: the probability of a 25bps Fed rate cut in December is indeed as high as 87.4%, with only a 12.6% chance of no change; the probability of a cumulative 25bps cut by January next year is 67.5%, and 50bps is 23.2%. But what’s more concerning is that this 87.4% figure has been maintained for several days, meaning the market has fully priced in the rate cut with real money—when consensus nears 100%, true price swings often come from "worse-than-expected" black swan events.

Liquidity Illusion: Why Rate Cuts ≠ Guaranteed Rallies

History proves that in easing cycles, the first crypto rally always happens during the "expectation formation phase," not when it is "actually delivered." On December 19, 2024, when the probability of a rate cut soared to an absolute high of 98.6%, Bitcoin actually fell 6% within 48 hours after the cut was announced. This is because:

1. Arbitrage funds exit early: Institutions sell futures and buy spot at the probability peak to complete basis arbitrage, and the moment of the rate cut is the closing opportunity.

2. Risk premium resets: After the cut is confirmed, market focus shifts to "how many more cuts next year?" If the Fed dot plot shows only 2-3 more cuts in 2026, this will be far below current market expectations, triggering a sentiment reversal.

3. Dollar weakness logic in doubt: Rate cuts do weaken the dollar, but if the ECB and BOJ also ease simultaneously, the DXY may not move in tandem with a crypto bull market.

Currently, while Bitcoin ETFs have resumed net inflows, the $71.37 million inflow on November 28 is merely a "hedge" against BlackRock IBIT’s single-day outflow of $114 million. Institutions are rotating, not acting in concert.

The Truth About ETF Flows: Who’s Buying, Who’s Selling?

On the surface: ARKB net inflow of $88.04 million, FBTC inflow of $77.45 million, indicating institutions regrouping.

In reality: BlackRock IBIT clients (pension funds, endowments) are locking in profits at year-end, while ARK and Fidelity clients (hedge funds, HNWIs) are betting on policy maneuvering. This is a rotation between "allocation funds" and "trading funds," not a celebration of new capital inflows.

A truer signal comes from the Coinbase premium index ending 22 days of negative values—this means domestic US selling pressure has eased, but it doesn’t mean buying is surging. The premium turning positive reflects more of sellers’ reluctance to sell than aggressive buying. In the illiquid December, this "seller exhaustion" is easily misinterpreted as "buyer revival," but is actually a sign of shallow market depth.

Retail’s Fatal Mistake: Chasing Highs in "Certainty"

For retail, an 87.4% probability means safety; for institutions, it’s a risk alarm.

• Options market has set traps: On Deribit, open interest for BTC call options expiring December 27 is concentrated at $95,000-$100,000, while puts cluster at $85,000. Institutions are selling out-of-the-money calls to harvest retail FOMO, with premium income becoming a stable cash flow in a bear market.

• Leverage washout not yet complete: Despite claims of "leverage cleared," on-chain data shows perpetual funding rates remain high at 0.01%-0.03%, meaning long leverage is still crowded. True cleansing requires negative funding rates and liquidations exceeding $500 million—conditions not yet met.

• Technical indicator overbought trap: Hourly RSI is at 65, 4-hourly approaches 70, entering "technical overbought." Ahead of macro events, overbought often triggers early profit-taking, leading to rapid pullbacks after false breakouts.

Retail’s dilemma: mistaking institutional "hedge strategy" for "directional guidance," and conflating consensus probability with guaranteed profit.

Scenario Analysis: Three Possible Paths and Tactics

Scenario A: 25bps rate cut as expected in December, dovish dot plot (30% probability)

• Market: BTC briefly spikes to $93,500, then quickly falls back to $90,500; ETH lags
• Tactics: Don’t chase highs, wait for pullback to $89,000 to add; if holding spot, sell covered calls above $93,000 in December to boost yield

Scenario B: Expected rate cut but hawkish dot plot (50% probability)

• Market: BTC false breakout to $91,500, then plunges to $86,500; ETH more resilient due to staking narrative
• Tactics: Pre-set take profit at $91,500, keep 50% cash; if it unexpectedly falls to $85,500, buy 3-month call options (expecting another cut in Q1 2026)

Scenario C: Unexpected pause in rate cuts (12.6% probability)

• Market: BTC drops over 8% in a day, tests prior low of $81,000, ETH leveraged staking gets liquidated
• Tactics: Do not bottom fish here, wait 48 hours for the market to digest, watch if DXY breaks below 106 before considering entry

The Real Alpha: Positioning for "Expectation Gaps"

Rather than betting on the 87.4% consensus, look for asymmetric opportunities from "expectation gaps":

1. Ethereum Staking ETF: If the SEC approves staking by December 20, ETH will unlock a "bond-like" narrative. Funds may rotate from BTC to ETH, causing the BTC/ETH ratio to drop. Consider pre-positioning ETH/BTC trades.

2. Altcoin Liquidity Black Hole: Major coins may "suck blood" from small/mid caps, but Solana could buck the trend due to ETF expectations and on-chain activity, creating a "majors set the stage, alts steal the show" dynamic.

3. Calendar spread arbitrage: Currently, annualized basis between December and March futures is about 8%. If the basis widens to 12%+ post rate cut, sell near month, buy far month for arbitrage.

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Conclusion: 87.4% Is the Institution’s "Exit Ticket," Not Retail’s "Entry Ticket"

When the market is excited about an almost certain rate cut, smart money is seeking opportunities where "a cut leads to a drop" or "no cut triggers a rally." The riskiest retail move is to chase volatility at the peak probability.

Actionable Advice:

• Don’t add above $91,500—that’s the worst risk/reward zone

• Use options instead of spot; buy calls at $89,000 strike (premium ~$1,200), locking in upside while limiting downside to the premium

• Watch December 13 PCE data—if core PCE YoY <2.7%, the path for 2026 cuts opens, that will be the time to go heavy

A liquidity surge may really be coming, but remember: in Wall Street’s pool, retail is never the one drawing water, but the one swept away by the waves. The 87.4% probability is merely the institution’s invitation for retail to "enter the trap." The real winners wait for the probability to drop from 87.4% to 60% for a second confirmation. #成长值抽奖赢iPhone17和周边 #十二月降息预测 #反弹币种推荐 $BTC ‌$GT ‌$ETH ‌