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小摩警告:低波動性掩蓋了美股風險
uSMART盈立智投 04-25 20:12

摩根大通首席市場策略師Marko Kolanovic表示,華爾街最喜歡的波動率指標所顯示出的異常平靜感,可能會給那些將市場平靜視爲買入股票的好時機的投資者帶來麻煩。

Kolanovic週一在給客戶的一份報告中表示,芝加哥期權交易所波動率指數(VIX)的下跌本質上是技術性的,而不是對股市面臨風險的準確反映。VIX指數在上週跌至16點後,週一維持在17點附近,這是自2021年底以來的最低水平。

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Kolanovic將該指標下滑歸因於當前市場由期權賣家主導,迫使其盤中回調,並使市場價格在大多數日子里幾乎保持不變。

他稱:“考慮到利率上升、金融狀況收緊、宏觀風險水平和地緣政治緊張局勢加劇,這指標低得異乎尋常。這種市場動態人爲地抑制了人們對宏觀基本面風險的看法。”

此外,還有一些投資者質疑該指數的可靠性。儘管銀行業的動盪對美國股市造成了嚴重破壞,但該指標上個月幾乎沒有變化。分析師們將其歸因於零天到期期權(即ODTE)的大幅增加。短線交易的增加甚至促使總部位於芝加哥的交易所運營商芝加哥期權交易所全球市場公司(Cboe Global Markets Inc.)推出了其廣受歡迎的單日交易指標,並於週一推出。

同時,Kolanovic對波動率指數作爲股票投資者可靠指標的質疑也表示認同,稱其相對於其他期權市場、短期利率和宏觀經濟背景而言"錯位"。

他表示:“這是一種反常現象,目前的低波動率指數水平不太可能長期持續。”

最後,這位策略師建議投資者利用即將發佈的財報所刺激的任何市場走強,來作爲減少股票敞口的機會。

值得一提的是,Kolanovic在去年市場拋售的大部分時間里是華爾街最樂觀的人士之一,但由於對經濟前景的擔憂,他在12月中旬、1月和3月削減了該行模型投資組合中的股票配置。

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