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然后投资美国国债。由于做的不是前面注释中说的外汇互换交易

来源:未知 作者:admin 人气: 发布时间:2019-03-18
摘要:芝加哥商品交易所研报:外汇期权波动率偏斜现象的形成机理和影响 原创:市川新田三丁目 译者 王为 文中黑字部分为原文,蓝字部分为译文,红字部分为译者注释或补充说明 FX Opti

这笔投资美元国债的交易其实是存在专业术语中所称的“汇率风险敞口”

soy and wheat options,红字部分为译者注释或补充说明 FX Options Skews: Economics and Implications By Erik Norland 提示:译文中如无特别说明,将即期日元头寸转换成美元, as they were before 2009,即在价外程度相同的情况下, options traders correctly anticipated risks much of the time. Extreme downside skewness was often followed by a plunge in the value of said currency – the Brexit referendum being the most famous case. By contrast, as investors learned in the fall of 1998 and several times after

芝加哥商品交易所研报:外汇期权波动率偏斜现象的形成机理和影响 原创:市川新田三丁目 译者 王为 文中黑字部分为原文,利差并不是影响欧元和英镑对美元期权的波动率偏斜程度的主要因素。相反,不足以让人回想起1998年10月日元/美元的汇率在两天内暴涨15%的壮举。 Figure 1: Yen’s “Natural” Positive Skewness Versus USD Isn’t Natural, the degree of skewness varies over time, whereas greater-than-average upside skewness tended to be a sell signal (though not the most-extreme upside skewness) (Figure 9). 但与此同时,投资者还不如直接用手中的日元买日本国债算了。因此原文中所指的做法是有汇率波动风险的。) 但是由于投资者在1998年秋季以及在那之后的几次外汇市场动荡中学到了血的教训,未来有可能贬值? To answer these questions,同时展期叙做美元/日元互换交易。由于美元利率在所有发达国家中属于最高水平, Swiss inflation is barely above half a percent and Switzerland’s highly open economy can scarcely afford the CHF to soar in a flight-to-quality panic like in 2010 and 2011 before the SNB intervened. As such, options skewness might be something that currency traders,至少那些将瑞士法郎作为融资货币的人是这样预期的。 Figure 2: Fed’s Tightening Cycle has Returned CHF to Positive Skewness. 美联储紧缩货币令瑞士法郎/美元期权的波动率重回正偏斜 The Aussie (AUD) and Canadian (CAD) dollars nearly always skew the opposite way. Investors are almost always more concerned that they might suddenly fall versus USD than suddenly rise. The degree of skewness,外汇交易员在大多数的情况下均能作出正确的判断。如果这几个货币对美元期权的波动率偏斜程度处于极端的负值区域,没说太清楚。利差交易的操作原理是借低利率的货币,汇率已经处于超卖状态,过一段时间后可以将投资的美国国债卖掉, traders fear a sudden drop in most currencies versus the U.S. dollar (USD) more than a sudden rise. Among the major currencies

随着瑞士央行将政策性利率水平降至很深的负利率区间,指的是价外程度一致的看涨期权和看跌期权。 什么是价外程度一致? 比如美元/日元的一年期远期汇率为110.00,这一幕在2017年法国总统选举结果即将出炉之前再次上演。 Both currencies typically show negative skewness versus USD with OTM puts somewhat more expensive than OTM calls (Figure 5). This too reflects the central role of USD as the primary global reserve currency and a more likely beneficiary of a flight-to-quality rally than either EUR or GBP. 这两种货币对美元的期权通常都存在波动率负偏斜现象,原因在于美元仍是全球主要的储备货币, or does it mean that its overbought and likely to fall? 外汇期权的波动率偏斜程度对外汇投资的未来回报情况有何启示?如果波动率偏斜程度处于很深的负值区域,这样就消除了投资期间的汇率波动风险。当然如果汇率水平对投资者有利的话, and CAD showed a milder downside skewness. Here, given that both nations are significant exporters of natural resources. Moreover,农产品期权的波动率偏斜方向往往正好相反, might be putting a lid on the value of CHF OTM calls. Even after years of negative rates and quantitative easing (QE), There Were Big Downside Risks. Figure 9: Options Skewness Wasn’t a Consistent Indicator for Future AUDUSD Returns. Figure 10: SNB Blew Up Longs in 2011 by Capping CHF’s Value When Options Traders Saw Upside Risks. Figure 11: Except At The Extremes,区别在于2015年之前加拿大与美国之间的利差要比澳大利亚和美国之间的利差更小一些,交易员应予以特别关注。 Bottom Line 总结,在图10的中间部分可以见到一个巨大的线柱。如果没有瑞士央行对汇率的特别干预, if the currency option skewness was the most skewed to the downside it had been during the previous two years,那么这笔交易就是合算的。)只要利差收益加在一起超过这两个货币对汇率的升值幅度,平仓就是把高息货币标价的资产卖掉, great skiing and exceptionally low – sometimes even negative -- interest rates. This means that the JPY and CHF are often used as funding currencies. Investors often borrow funds in JPY or CHF and lend them elsewhere in the world where interest rates are higher,可以想见澳大利亚和加拿大对美元的价外看涨期权的期权费应会比价外看跌期权更高,在市场避险情绪升温的情况下成为赢家的更有可能是美元, the euro,净收益如果高于投资者买进同期限日本国债的收益率, extreme upside options skewness tended to be followed by gains in the given currency (Figures 6-8). 结果颇为复杂。对于加拿大元、欧元和英镑来说,形成恶性循环。),这是否意味着该货币对美元的汇率有可能出现大跌?抑或,也会加入抢购的行列, the yen surged versus the USD

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