到期日逼近！高企的恐慌指数意味着什么？

金十数据2021-12-22

周三将是VIX期货和期权的到期日，与上个月相比，当前市场对未来的波动率押注高了不止一点半点。 SpotGamma指出，市场正以更高的VIX结构进入VIX的到期日。与11月相比，当前的VIX期限结构更高，从下图可以看到，当前水平（黑色）远高于11月的水平（蓝色）。由于在11月时市场还没开始担忧奥密克戎毒株和美联储紧缩，因此当前VIX的上涨是合理的，但分析师担心，随着到期日的到来，交易员移仓换月...

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禅儿
2021-12-23
禅儿
。
hhyw
2021-12-23
hhyw
赞
CKWAI
2021-12-23
CKWAI
来，回复和点赞，谢谢
- CKWAI:
  谢谢
富川
2021-12-23
富川
好
Youn7276
2021-12-23
Youn7276
阅
sokoon0121
2021-12-22
sokoon0121
.
- Youn7276:
  好
- Paulyang:
  赞一个

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Fishman指出，市场定价显示，2022年波动性将增加。\n在2021年的最后几周里，股市波动性大幅变化，VIX期货的波动率非常高，这也是今年全年的特点，在2021年里，实际波动率剧烈震荡。\n就全年而言，标普500指数的实际波动率略高于2019年疫情之前的水平，但衍生品市场的看法有所不同，投资者的避险情绪导致隐含波动率远高于疫情之前的范围。\n\n另外，许多skew偏斜指标（如标普500指数和欧洲斯托克指数的25-delta风险逆转指标）和波动率风险溢价指标（如VIX减去13天期指数的实际波动率）在2021年的中值水平均创下历史新高。\n这些风险规避指标高企，主要是由于投资者押注波动率可能会重返2020年的水平，而并不是因为恐慌性购买的浪潮。\n\n随着市场消化奥密克戎变异株、美联储加速Taper以及拜登支出法案的消息，标普500指数的隐含波动率出现了剧烈波动。周一，波动率指数从十几飙升到30后，再重新跌回10以上，最终回到了27以上的高位。另外，做多VIX期货的策略的1个月实际波动率超过了过去15年里大部分时间（98%）的水平。\n\n波动性的急剧波动反映了投资者试图权衡两大趋势谁更强势，一是流动性减弱的可能性，且系统性基金的抛售推高波动性并促使进一步抛售；二是将实际波动性推回到2021年中期低点的关键催化剂预计将更加清晰。\n\n总的来说，Fishman预计，2022年实际波动率将适度上升，主要原因是宏观市场中标普500指数的内部相关性增加，但这应该不足以将实际波动率推高至当前隐含波动率的水平。\n到2022年初，预计通胀轨迹和美联储首次加息的时间的不确定性将减弱，但投资者对经济数据的敏感程度会更高。另外，美国中期选举将成为重点关注的事件。\n\n在高盛看来，这种缓解将继续有利于卖出期权的策略，波动性的风险溢价将成为做多波动率策略的阻力因素。因此，未来可以期待更多的逢低买入和V型复苏，直到做空波动率溢价无利可图为止。","kind":null,"is_publish_news":true,"is_publish_highlight":true,"is_publish_live":false,"is_publish_wemedia":null,"editions":null,"column":"","sentiment":"0","news_tag":"","news_rank":0,"symbols":[],"gpt_button":1},"commentList":[{"id":691502904,"gmtCreate":1640217509352,"gmtModify":1640217509352,"author":{"id":"3580859745234303","authorId":"3580859745234303","name":"禅儿","avatar":"https://static.laohu8.com/default-avatar.jpg","vip":1,"crmLevel":5,"crmLevelSwitch":0},"htmlText":"。","listText":"。","text":"。","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":0,"commentSize":0,"repostSize":0,"link":"https://laohu8.com/post/691502904","repostId":1182485319,"repostType":4,"isVote":1,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"langContent":"CN"},{"id":691242675,"gmtCreate":1640215935491,"gmtModify":1640215937055,"author":{"id":"3561544476596136","authorId":"3561544476596136","name":"hhyw","avatar":"https://static.tigerbbs.com/62f8a12108672917c80685184f331b6f","vip":1,"crmLevel":4,"crmLevelSwitch":0},"htmlText":"赞","listText":"赞","text":"赞","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":1,"commentSize":0,"repostSize":0,"link":"https://laohu8.com/post/691242675","repostId":1182485319,"repostType":4,"isVote":1,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"langContent":"CN"},{"id":691243476,"gmtCreate":1640215576597,"gmtModify":1640215576722,"author":{"id":"3576460381606543","authorId":"3576460381606543","name":"CKWAI","avatar":"https://static.tigerbbs.com/114d4a21d215b59ce4a06920df73aed5","vip":1,"crmLevel":2,"crmLevelSwitch":0},"htmlText":"来，回复和点赞，谢谢","listText":"来，回复和点赞，谢谢","text":"来，回复和点赞，谢谢","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":1,"commentSize":1,"repostSize":0,"link":"https://laohu8.com/post/691243476","repostId":1182485319,"repostType":4,"isVote":1,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"comments":[{"id":7081956,"gmtCreate":1640215581573,"gmtModify":1640215581661,"authorId":3576460381606543,"author":{"id":3576460381606543,"authorId":3576460381606543,"name":"CKWAI","avatar":"https://static.tigerbbs.com/114d4a21d215b59ce4a06920df73aed5","vip":1,"crmLevel":2,"crmLevelSwitch":0,"individualDisplayBadges":[]},"repliedAuthorId":0,"objectId":691243476,"type":1,"supId":0,"prevId":0,"content":"谢谢","text":"谢谢","html":"谢谢"}],"langContent":"CN"},{"id":691261974,"gmtCreate":1640209149572,"gmtModify":1640209149673,"author":{"id":"4090574021972690","authorId":"4090574021972690","name":"富川","avatar":"https://static.tigerbbs.com/89e7ca2b6df258d62cda436daf1b8e2b","vip":1,"crmLevel":4,"crmLevelSwitch":0},"htmlText":"好","listText":"好","text":"好","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":1,"commentSize":0,"repostSize":0,"link":"https://laohu8.com/post/691261974","repostId":1182485319,"repostType":4,"isVote":1,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"langContent":"CN"},{"id":691287581,"gmtCreate":1640207977406,"gmtModify":1640208000602,"author":{"id":"3577393549070429","authorId":"3577393549070429","name":"Youn7276","avatar":"https://static.tigerbbs.com/487c5c26a5e210d6b88adaeaba12329b","vip":1,"crmLevel":2,"crmLevelSwitch":0},"htmlText":"阅","listText":"阅","text":"阅","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":2,"commentSize":0,"repostSize":0,"link":"https://laohu8.com/post/691287581","repostId":1182485319,"repostType":4,"isVote":1,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"langContent":"CN"},{"id":691870805,"gmtCreate":1640175361276,"gmtModify":1640175370895,"author":{"id":"4095080752389310","authorId":"4095080752389310","name":"sokoon0121","avatar":"https://static.tigerbbs.com/0691c5554a489d8b9e0897e196a71cc2","vip":1,"crmLevel":2,"crmLevelSwitch":0},"htmlText":".&nbsp;","listText":".&nbsp;","text":".","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":15,"commentSize":2,"repostSize":0,"link":"https://laohu8.com/post/691870805","repostId":1182485319,"repostType":4,"isVote":1,"likeStatus":false,"fa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