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期權波動率策略的新工具:VVIX
uSMART盈立智投 03-17 15:49

市場變化莫測,每一種可以揭開市場神祕面紗的工具都會對投資者有所幫助。聰明人不斷髮明新方法來制定交易策略。許多投資者最初只依賴於跟蹤 S&P 500。隨後出現了“恐慌指標”或 Cboe 波動率指數® (VIX),它基於 SPX 期權給出了 SPX 未來波動率的理論估計。爲了幫助期權交易者進行更深入的分析,Cboe ®於 2012 年推出了 VVIX,用簡單的術語來說,它被稱爲“VIX 中的 VIX”。

VIX的VIX是什麼?

正如 VIX 是根據 SPX 期權計算的一樣,VVIX 也是根據 VIX 期權計算的。兩者的公式基本相同。它是價外期權的複雜加權,用於爲市場估計這兩個指數在 30 天內的波動率創建一個指標。

VVIX 的值可以表明 VIX 何時波動不大,並且預計 SPX 不會出現太大波動。當 VIX 相對較低時(例如,低於或約爲 15),可能會發生這種情況。或者,高 VVIX 表明 VIX 未來可能更加波動,這反過來可能表明市場認爲 SPX 也可能更加波動。

自2020年初以來,VVIX從2020年1月的93.7到2022年11月的低點77.1,在 2020 年 3 月 COVID-19 大流行開始時達到 157 的峯值。有幾件事需要注意,VVIX 的峯值出現在 VIX 出現峯值的前後。當 VIX 相對較低且波動不大時,VVIX 也是如此。其次,正如 VIX 比它所基於的 SPX 更不穩定一樣,VVIX 也可能比它所基於的 VIX 更不穩定。

投資者VVIX做什麼?

投資者不能直接交易 VVIX,因爲它是一個沒有股票、期權或期貨合約可供買賣的指數。但正如 VIX 可以部分地用於考慮 SPX 期權中的策略一樣,VVIX 可以幫助爲 VIX 期權中的策略提供決策信息。低 VVIX 表明 VIX 期權可能相對便宜。如果低 VVIX 伴隨着相對低的 VIX,並且投資者預計市場波動性會增加,這個時候適合採用多頭看漲期權或多頭 VIX 垂直看漲期權價差。 

如果 VVIX 高,則 VIX 溢價也可能相對較高。如果投資者在這種情況下看漲 VIX,這個時候適合採用賣出看跌期權,因爲 VIX 期權的波動性越高,看漲期權本身可能越貴。除了看漲或看跌之外,投資者對定價變量的預測——例如時間和波動性將如何影響期權——也應該被考慮在內。 

投資者可以嘗試將 VVIX 添加到自選股中。如果將它放在 VIX 和 SPX 旁邊,就可以看到它們三者在實時交易中如何相對移動。現在投資者瞭解了 VVIX 是什麼,它可能會成爲交易工具箱的重要組成部分。

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