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美股狂跌使做空波动率遭重创,一文揭开VIX神秘面纱

来源: 南方日报网络版     时间: 2019年02月19日 06:17:00
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(原)(标)(题)(:美)(股)(狂)(跌)(使)(做)(空)(波)(动)(率)(遭)(重)(创)(,一)(文)(揭)(开)(VIX神)(秘)(面)(纱)(
针)(对)(与)(VIX指)(数)(挂)(钩)(的)(交)(易)(所)(交)(易)(产)(品)((ETP)进)(行)(交)(易)(的)(所)(谓)(“波)(动)(性)(交)(易)(”近)(年)(来)(已)(成)(为)(美)(国)(市)(场)(上)(颇)(为)(流)(行)(的)(交)(易)(方)(式)(,包)(括)(对)(冲)(基)(金)(、共)(同)(基)(金)(、退)(休)(基)(金)(在)(内)(的)(华)(尔)(街)(机)(构)(对)(此)(趋)(之)(若)(鹜)(。
但)(是)(最)(近)(美)(股)(波)(动)(率)(的)(强)(势)(回)(归)(让)(一)(度)(“闭)(着)(眼)(睛)(就)(能)(赚)(钱)(”的)(做)(空)(VIX策)(略)(顷)(刻)(之)(间)(如)(大)(厦)(倾)(倒)(。大)(到)(知)(名)(投)(行)(、对)(冲)(基)(金)(,小)(到)(散)(户)(,都)(在)(这)(场)(“事)(故)(”中)(落)(得)(个)(百)(孔)(千)(疮)(。
1、何)(为)(波)(动)(性)(指)(数)(?
波)(动)(性)(指)(数)(就)(是)(投)(资)(者)(用)(于)(追)(踪)(市)(场)(波)(动)(的)(一)(种)(指)(标)(。换)(句)(话)(说)(,波)(动)(性)(指)(数)(的)(整)(个)(流)(程)(如)(下)(:
交)(易)(者)(通)(过)(期)(权)(来)(打)(赌)(证)(券)(未)(来)(的)(走)(向)(,(期)(权)(是)(指)(一)(种)(合)(约)(,该)(合)(约)(赋)(予)(持)(有)(人)(在)(某)(一)(特)(定)(日)(期)(或)(该)(日)(之)(前)(的)(任)(何)(时)(间)(以)(固)(定)(价)(格)(购)(进)(或)(售)(出)(一)(种)(资)(产)(的)(权)(利)()。然)(后)(通)(过)(这)(些)(期)(权)(,可)(以)(利)(用)(数)(学)(结)(构)(计)(算)(出)(交)(易)(者)(期)(望)(证)(券)(价)(格)(波)(动)(的)(范)(围)(。这)(种)(波)(动)(叫)(做)(隐)(含)(波)(动)(性)(。假)(如)(期)(权)(只)(是)(涵)(盖)(了)(一)(个)(小)(范)(围)(的)(价)(格)(,那)(么)(隐)(含)(波)(动)(率)(就)(会)(很)(低)(—自)(2015年)(以)(来)(,股)(票)(的)(情)(况)(一)(直)(如)(此)(。
2、波)(动)(性)(指)(数)(有)(哪)(些)(?
波)(动)(性)(指)(数)(又)(叫)(恐)(慌)(指)(数)(,反)(映)(投)(资)(者)(对)(后)(市)(的)(恐)(慌)(程)(度)(。其)(中)(交)(易)(最)(为)(广)(泛)(的)(是)(针)(对)(标)(普)(500的)(VIX指)(数)(。此)(外)(,还)(有)(针)(对)(债)(券)(的)(MOVE指)(数)(。
VIX指)(数)(由)(美)(国)(芝)(加)(哥)(期)(权)(交)(易)(所)(编)(制)(,基)(于)(标)(普)(500指)(数)(期)(权)(价)(格)(所)(计)(算)(出)(的)(隐)(含)(短)(期)(预)(期)(年)(化)(波)(动)(率)(。
由)(于)(VIX指)(数)(是)(从)(期)(权)(交)(易)(价)(格)(中)(倒)(推)(出)(来)(的)(结)(果)(,所)(以)(大)(多)(数)(时)(间)(内)(,VIX指)(数)(都)(和)(标)(普)(500指)(数)(呈)(现)(负)(相)(关)(关)(系)(。
3、什)(么)(是)(做)(空)(波)(动)(性)(指)(数)(?
这)(是)(一)(种)(对)(股)(票)(市)(场)(波)(动)(性)(进)(行)(打)(赌)(的)(投)(资)(策)(略)(。2017年)(,由)(于)(美)(股)(持)(续)(上)(涨)(且)(波)(动)(性)(不)(大)(,做)(空)(VIX指)(数)(的)(策)(略)(被)(华)(尔)(街)(誉)(为)(“稳)(赚)(不)(赔)(”的)(好)(买)(卖)(。
投)(资)(者)(在)(过)(去)(依)(靠)(这)(样)(的)(“傻)(瓜)(策)(略)(”赚)(的)(盆)(满)(钵)(满)(,而)(基)(金)(也)(依)(靠)(此)(方)(法)(获)(得)(了)(大)(量)(的)(现)(金)(流)(入)(。
大)(批)(投)(资)(人)(士)(在)(2018年)(仍)(然)(延)(续)(在)(这)(样)(的)(思)(路)(。在)(近)(日)(美)(股)(暴)(跌)(的)(情)(况)(下)(,VIX指)(数)(飙)(升)(速)(度)(惊)(人)(,导)(致)(大)(量)(此)(前)(针)(对)(波)(动)(性)(指)(数)(的)(空)(头)(巨)(亏)(并)(斩)(仓)(出)(逃)(。预)(计)(有)(2万)(亿)(美)(元)(与)(此)(策)(略)(挂)(钩)(,这)(次)(的)(剧)(变)(可)(能)(引)(发)(人)(们)(更)(广)(泛)(的)(担)(忧)(。
4、VIX指)(数)(变)(化)(
近)(年)(来)(,从)(VIX指)(数)(判)(断)(,投)(资)(者)(对)(股)(市)(的)(状)(况)(并)(没)(有)(感)(到)(不)(安)(。尽)(管)(自)(1990年)(来)(,VIX指)(数)(的)(平)(均)(水)(平)(为)(19.3,但)(过)(去)(三)(年)(来)(的)(平)(均)(数)(已)(接)(近)(14。
但)(是)(这)(种)(平)(静)(在)(本)(周)(一)((2月)(5日)()被)(打)(破)(,随)(着)(美)(国)(股)(市)(的)(暴)(跌)(,VIX指)(数)(已)(飙)(升)(至)(38.8,创)(下)(自)(2015年)(8月)(以)(来)(的)(最)(高)(水)(平)(。这)(一)(消)(息)(对)(于)(众)(多)(VIX空)(头)(来)(说)(无)(疑)(是)(一)(场)(灾)(难)(—刹)(那)(间)(。
图)(为)(VIX指)(数)(变)(化)(:
5、做)(空)(波)(动)(性)(的)(流)(行)(
与)(波)(动)(性)(指)(数)(挂)(钩)(的)(交)(易)(所)(交)(易)(产)(品)((ETP)的)(资)(产)(规)(模)(已)(经)(超)(过)(30亿)(美)(元)(,创)(下)(了)(历)(史)(新)(高)(。至)(于)(做)(空)(VIX指)(数)(的)(资)(金)(规)(模)(是)(变)(化)(的)(,但)(是)(ArtemisCapitalAdvisers对)(冲)(基)(金)(的)(ChrisCole预)(计)(总)(金)(额)(超)(过)(2万)(亿)(美)(元)(,这)(个)(数)(额)(都)(与)(印)(度)(的)(GDP相)(当)(啦)(!
6、我)(们)(需)(要)(担)(心)(吗)(?
如)(果)(您)(持)(有)(VIX相)(关)(的)(交)(易)(所)(交)(易)(产)(品)(,你)(当)(然)(需)(要)(留)(个)(心)(眼)(儿)(。此)(外)(,对)(于)(全)(球)(市)(场)(而)(言)(,基)(金)(和)(银)(行)(需)(要)(做)(好)(风)(险)(控)(制)(。因)(为)(股)(市)(波)(动)(性)(的)(上)(升)(,他)(们)(不)(得)(不)(出)(售)(风)(险)(资)(产)(—或)(者)(不)(购)(买)(他)(们)(—以)(此)(满)(足)(风)(险)(控)(制)(的)(需)(求)(。而)(这)(可)(能)(会)(影)(响)(未)(来)(数)(周)(甚)(至)(数)(月)(包)(括)(股)(票)(在)(内)(的)(资)(产)(行)(情)(。返)(回)(搜)(狐)(,查)(看)(更)(多)(责)(任)(编)(辑)(:
声)(明)(:该)(文)(观)(点)(仅)(代)(表)(作)(者)(本)(人)(,搜)(狐)(号)(系)(信)(息)(发)(布)(平)(台)(,搜)(狐)(仅)(提)(供)(信)(息)(存)(储)(空)(间)(服)(务)(。
阅)(读)(()
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