新版本“恐慌指數”帶來新信號
最近,芝加哥期權交易所推出了1日波動率指數(VIX1D),以追蹤標普500指數未來一天的預期波動。儘管目前市場對這個新的“恐慌指數”的反應普遍持謹慎態度,但該指數似乎確實提供了一個有趣的機會,讓人們得以一窺投資者心理的潛在轉變。
從該指數可以看到,市場對通脹數據和FOMC政策會議等宏觀經濟事件的焦慮情緒正在減弱,這些事件過去曾是市場動盪的主要誘因。在過去一年里,VIX1D圍繞這些催化劑的表現證明瞭這種恐懼正在消退。

VIX1D的追溯數據顯示,近期市場對宏觀事件的緊張程度有所下降。去年,在CPI數據公佈或美聯儲宣佈政策之前,該指數經常出現飆升。例如,去年12月12日,就在CPI公佈之前,VIX1D飆升至47。相比之下,在上一次CPI公佈的前一天,該指數在4月11日收於19點附近。
VIX1D的下跌趨勢可能是整個市場在4月份趨於平靜的結果。衡量未來一個月的波動率指數,即華爾街廣受關注的恐慌指數VIX,在上週也跌至2021年11月以來的最低水平。這讓人們有理由認爲,隨着通脹連續九個月走軟,宏觀經濟形勢可能不那麼不可預測或可怕了。
“美聯儲將採取什麼行動的不確定性似乎減少了。加息週期更接近尾聲了,”Piper Sandler & Co.期權主管Danny Kirsch表示。
事實上,這項1日波動率指數並非顯示宏觀力量潛在影響力減弱的唯一指標。在一定程度上,得益於持續的財報季,困擾股市的同步走勢正被打破。本月,標普500指數成份股之間的相關性有所下降,達到2021年底以來的最低水平。
與此同時,市場對美聯儲暫停加息的預期一直在升溫,尤其是在包括硅谷銀行在內的幾家地區銀行於3月倒閉之後。
不過,在Macro Risk Advisors創始人Dean Curnutt看來,宏觀因素仍在發揮作用,投資者將注意力轉移到了美國政府債務上限的最後期限上。
他表示:“2022年,由FOMC和CPI不確定性導致的‘事件風險’被計入超短期標普500指數期權價格。2023年,尤其是在硅谷銀行倒閉後,情況出現變化。現在取而代之的是對債務上限的擔憂,這是一個無法確定時間的風險。”
Follow us
Find us on
Facebook,
Twitter ,
Instagram, and
YouTube or frequent updates on all things investing.Have a financial topic you would like to discuss? Head over to the
uSMART Community to share your thoughts and insights about the market! Click the picture below to download and explore uSMART app!

Disclaimers
uSmart Securities Limited (“uSmart”) is based on its internal research and public third party information in preparation of this article. Although uSmart uses its best endeavours to ensure the content of this article is accurate, uSmart does not guarantee the accuracy, timeliness or completeness of the information of this article and is not responsible for any views/opinions/comments in this article. Opinions, forecasts and estimations reflect uSmart’s assessment as of the date of this article and are subject to change. uSmart has no obligation to notify you or anyone of any such changes. You must make independent analysis and judgment on any matters involved in this article. uSmart and any directors, officers, employees or agents of uSmart will not be liable for any loss or damage suffered by any person in reliance on any representation or omission in the content of this article. The content of this article is for reference only. It does not constitute an offer, solicitation, recommendation, opinion or guarantee of any securities, financial products or instruments.The content of the article is for reference only and does not constitute any offer, solicitation, recommendation, opinion or guarantee of any securities, virtual assets, financial products or instruments. Regulatory authorities may restrict the trading of virtual asset-related ETFs to only investors who meet specified requirements.
Investment involves risks and the value and income from securities may rise or fall. Past performance is not indicative of future performance.