加载中…为什么从外汇市场赚钱越来越难
(2012-04-20 12:48:24)
标签：
杂谈 |
下文转载并分析了一篇某投行高层对该问题的解读。
这篇文章从市场参与者的类型角度回答了一个问题：为什么外汇市场的实际波动减少了？为什么赚钱越来越困难了。
结论是：FX市场中，天然Long
Gamma的参与者所占比重越来越大，他们不断低买高卖，导致外汇市场区间交易态势越来越明显，Realized
Vol持续低于Implied Vol。而且目前这种态势短期不会改变，除非发生event。但倒底什么是event?
中国硬着陆，还是欧债危机深化？ 即使中国或者欧洲所谓事件发生的概率很大，但市场依然无法走出当前低迷状态，根本原因还是整个市场被Long
Gamma Sector主导了。
基于Tim的期权交易员背景，理解本文的关键点在于Gamma（或Convexity）。
何谓Long Gamma，原本指买入了期权，并通过调整Delta
Hedge获取利润，如果在即期市场取得的收益高于期权费，那么就是期权买方盈利。Long
Gamma的参与者，在即期市场的交易行为是典型的低买高卖，而不是追涨杀跌。所以他们的行为会天然使市场陷于区间波动。
有些市场参与者，并不持有期权头寸，但他们在即期市场的行为如果表现为低买高卖，也可以把他们理解为Long
Gamma Sector。
譬如央行，储备多元化，汇率干预，甚至QE
LRTO，这就等同于在市场低买高卖，限制了外汇的大幅波动。
譬如企业客户，他们的交易活动是对冲汇率风险，衡量标准是其财务成本，在外汇市场上天然倾向于低买高卖，而很少追涨杀跌。
再譬如个人投资者，他们都是单纯的sell
option，但从来不hedge，那么他们就是天然的Gamma 供应方，也算Long Gamma
sector.
银行，因为监管日益严格的缘故，他们需要对tail risk进行对冲，也限制了Volatility
of Volatility的升高。
外汇投资者，自营交易者和HF，他们要靠赌市场方向盈利，天然喜欢趋势，追涨杀跌行为模式为主，而且他们只是buy
option，从这个角度理解，他们是Gamma的最终购买方，也就是Short Gamma Sector（Need buy
Gamma）。由于他们以市价（Implied
Vol）购买了option，目前这种牛皮糖走势令他们很难赚钱。
分析了各类市场参与者的行为模式，我们可以看出，Long Gamma
Sector（央行，企业，个人）的力量超过了 Short Gamma
Sector（专业外汇投资者，HF等），前者低买高卖行为模式成为市场的主导力量，使得市场陷于区间，后者的盈利模式（追涨杀跌，buy
option表达方向性观点）受到极大影响。而银行囿于日趋严厉的监管，不能投入大量资本金兴风作浪，而且还要对冲tail
risk的风险。参与者的格局和力量对比，就决定了外汇市场很难走出波澜壮阔的行情。
这样的视角下，我们就理解了，为什么欧债危机恶化，中国硬着陆疑虑，欧美股市下跌，都不能使外汇市场活跃起来，implied
vol也没有明显升高。
改变这样的格局，要么改变当前的参与者双方力量对比、放松监管，要么发生某些大事件。
可但是，什么才算大事件呢？！
以下为英文原文—— by Tim...
Whilst I may not be bearing
gifts of foresight and immediate revenue opportunities, I believe I
can at least bring some explanation and reason to satisfy the
question many of you have been asking - 'why can't I make any money
out of FX right now'!
Let us look at the five core
groups of FX users, namely:
- Retail
-
Investors
-
Corporates
- Central
banks/Governments
- Banks
We can then look at the
effect of each of these on the dynamics of the
markets. I will do this fairly quickly and at
high level. We have a couple of more in depth
articles coming out soon that will have the facts
to substantiate the view.
I think we can safely say
that Retail on the whole is on the 'random' side of spot direction
- it is a classic portfolio effect. However, when
we look at the Options markets, retail is a classic seller of
options, and very acutely in the short end. This
has the effect of supplying the sell-side with Gamma, and because
of the way retail products work, the end user never actually trades
the short gamma they have - so overall we can say that Retail is
net long Gamma sector - all be it a fairly small part of the
market.
The Investor
community. The IC acts like a short Gamma
sector. Because they are generally buying options
and trading spot in the direction of movement, they are effectively
a short Gamma player. They also have the double
whammy of paying the sell-side market for options and as such take
the sell-side short of Gamma too. In fact, as we
shall see, this is in fact the only short Gamma section of the
market. Investor volumes have been falling over
the last 18 months in general and they are continuing that
fall. The Investor community represents a very
significant chunk of the FX markets and as such it is important if
there volumes reduce. It is even more significant
as the only short Gamma section of the market.
Corporate sector by its
nature act like long Gamma participants. They are
typically hedging against the direction of the spot
market. Obviously they typically take the Options
market short of Gamma, however, it is typically much longer
duration than the Investor group and as such has more implications
on Vega than Gamma - thus the corporate sector is also a net long
Gamma sector.
Coming on to Central
Banks/Governments. Here we see the opposite
effect of the Investor community (I count SWFs in the Investor
community for this purpose). That is to say that
firstly CBs are typically hedging against the movement of spot -
both for intervention and rebalancing - and hence act like they are
long Gamma, and secondly the volumes and activity for the sector of
participants is still increasing. This sector is
having a much larger effect on the underlying FX market volatility
than they have for 15 years. We are seeing more
intervention around the world, and we are also seeing more policy
intervention in terms of LTRO, QE etc - all of which you might say
is currency neutral - which it is on the whole, but it is
unarguably a dampener to volatility. We know that
currency reserves are larger than they have ever been
too.
We should of course look at
a fifth group - namely banks. Here we have to
start looking at the effects of regulation - both active and
intended. There can be no question that the
effect of the regulatory environment is to dampen volatility
here. By definition the Regulators are seeking to
'remove' tail risks (we can argue about whether
they are decreasing or increasing tail risk of
course). This means that whether its through
liquidity provision, or the ever tighter demands of the stressed
VaR, the market is a) being provided an implicit insurance that
there are low tails risks, and b) banks are now required to carry
tail insurance. With increased requirements and
much more rigour around these stress requirements the banking
community is long tails now - and we can see this through the high
levels of flies even though the V-Vol isn't really
there.
There is a last piece of
this puzzle as well - namely the carry trade. The
Carry trade has always created huge asymmetry in markets and has
been responsible for many of the large discontinuities we have seen
over the last 20 years in the FX markets - Latam in the 90's, JPY
since 1995 onwards, AUD in 00's etc etc. With so
many of the worlds liquid currencies with zero, or close to zero
rates, this trade is very limited and so another large short
convexity position has been removed.
I appreciate I have shot
through this very quickly and would be happy to discuss further,
but I think this is the key theme at the moment in the FX markets
and I suspect in all flow parts of other asset
classes.
Owning volatility isn't very
profitable as there are no breakout events, and the G10 currencies
are on the whole mean reverting within a range.
You also still have to pay over historics for the right, so it
remains very hard to extract value. We see this
in our FXO business which has been using our high frequency Gamma
trader (Agile) at an ever increasing rate, as have some of our
larger HF clients to extract every last drop of value from the long
positions. However, even though most of the
underlyigns are mean reverting within a range, it is just as hard
to extract any meaningful value from being short as the daily
realised is still significant - tough tough markets to extract too
much value from.
So in summary the market is
effectively much longer of wings then it ever has
been. Those will not come down in price because
some of it is from 'virtual' positions - Corporates, Central Banks,
regulation - and only some from 'real' positions - Banks mainly,
and Banks will continue to get wings from Retail, and they will
have to continue to hold for risk reasons. In
addition to this, the main participants who act like short gamma
and wings - the Investor community - are reducing their FX activity
and volumes as many are struggling to make
returns. We are seeing a large shift in terms of
the split of market activity between these groups and so the long
wings/Gamma participants are a much larger % of the volumes than
they have been for a very very long time.
The FX markets long
convexity, but the price of convexity will not come down due to its
virtual nature and the stress testing
requirements. Volatility is not lower because
there are some reasonably serious contending issues between many of
the worlds larger economies. It is not a world
where trading FX from a Macro standpoint will
work. Despite the large macro themes - Periphery
is still exposed, China hard/soft landing, US growth or not JPY -
too weak or too strong - the market will not push these to the test
for now as it is not mechanically set up to do
so. We have started trading less from a Macro
view and more from counter-positioning view. I
believe others are also starting to do this. This
will only compound the issue.
We do know that
history teaches us this will pass, but we are unsure on how long it
will take. There is no question that some of
these drivers are material and here for some time to come -
regulation, liquidity provision, reduced Investor volumes if there
are no returns. So what can change it? Well, in the
medium longer term it will be a reduction of reserve balances,
greater understanding and actual implementation of the
regulation. Rising interest rates would also undo
this dynamic, but this looks very unlikely at this
point. The only short term correction would be an
'event'. We need to be clear about an
'event'. Something actually needs to happen - and
this is the point - the whole reason why people lost so much money
betting on a lower EUR was because of the above - the event needs
to happen as the market is long convexity - only after an event do
we blow through that virtual reality. A break up
of the Euro - hard or soft - would be just such an event, as would
a hard landing in China. Personally I think the
chances of an event of this nature is low in
2012.
I apologies for not being
more upbeat, but I do believe these are the market dynamics at the
moment, and we need to learn a different way to trade
them...
喜欢
0
赠金笔