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熊也赚钱
2022-11-09

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Volatility is close to the highest since the financial crisis! Will U.S. debt collapse like British debt?

市场观察人士表示，数千亿美元的波动驱动型产品加剧了市场波动。

Volatility is close to the highest since the financial crisis! Will U.S. debt collapse like British debt?

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{"i18n":{"language":"en_US"},"data":{"magic":2,"id":9987241573,"tweetId":"9987241573","gmtCreate":1667943447492,"gmtModify":1676537986247,"author":{"id":3575790689237418,"idStr":"3575790689237418","authorId":3575790689237418,"authorIdStr":"3575790689237418","name":"熊也赚钱","avatar":"https://static.tigerbbs.com/c8904569094dabce050ca2c86654aba6","vip":1,"userType":1,"introduction":"","boolIsFan":false,"boolIsHead":false,"crmLevel":1,"crmLevelSwitch":0,"individualDisplayBadges":[],"fanSize":8,"starInvestorFlag":false},"themes":[],"images":[],"coverImages":[],"html":"<html><head></head><body>Good</body></html>","htmlText":"<html><head></head><body>Good</body></html>","text":"Good","highlighted":1,"essential":1,"paper":1,"likeSize":0,"commentSize":0,"repostSize":0,"favoriteSize":0,"link":"https://ttm.financial/post/9987241573","repostId":2281033994,"repostType":4,"repost":{"id":"2281033994","kind":"highlight","pubTimestamp":1667920249,"share":"https://ttm.financial/m/news/2281033994?lang=en_US&edition=fundamental","pubTime":"2022-11-08 23:10","market":"us","language":"zh","title":"Volatility is close to the highest since the financial crisis! Will U.S. debt collapse like British debt?","url":"https://stock-news.laohu8.com/highlight/detail?id=2281033994","media":"智通财经网","summary":"市场观察人士表示，数千亿美元的波动驱动型产品加剧了市场波动。","content":"<html><head></head><body>Over the past decade, as extremely low interest rates have depressed returns on fixed-income assets, Wall Street's top quantitative investment teams have provided investors who want higher yields with a range of sophisticated products, allowing investors to earn additional returns in a sluggish market.Now, in the worst bond crash in at least five decades, various institutions are scrambling to hedge their positions, buying a lot of derivatives that benefit from rising volatility in order to reduce losses.But in reality, in the process, they are just adding fuel to the fire. At present, an indicator of interest rate volatility is close to the highest level since the global financial crisis, exceeding the violent fluctuations of stock and foreign exchange markets. At the very least, this increases risk for bond traders, increasing their chances of making quick profits or losses in the market. The Fed's most aggressive rate hike in a year has hit the bond market hard.This has triggered concerns among some market participants that structural positions in the $24 trillion US Treasury Bond market may trigger unforeseen consequences, just as debt-driven investment strategies (LDI) exacerbated the UK Treasury Bond sell-off last month.Michael Pintar, head of U.S. capital flow strategy and solutions at Societe Generale, said: \"Many bonds previously issued in a low interest rate and low volatility environment still exist, and institutions need to hedge. This forms a feedback loop.\"<img src=\"https://static.tigerbbs.com/4a2d8213bf2669dfeff756b73d00e220\" tg-width=\"670\" tg-height=\"376\" referrerpolicy=\"no-referrer\"/>This makes it seem that the market can generate huge volatility this year without additional factors.Soaring U.S. Treasury Bond yields have prompted investors to reduce bond risk by buying derivatives that profit from rising interest rates, including short-term interest rate swaps. This, in turn, has fueled traders desperately looking for long-term volatility bets to hedge their exposure, according to Danny Dayan, chief investment officer at macro hedge fund Dwd Partners.As a result, the market's unilateral bets have driven the MOVE index, which measures the volatility of U.S. Treasury Bond, to rise sharply this year. The index topped 160 last month, near its highest point since the financial crisis, as the 10-year Treasury Bond yield surged to 4.3%.Structural problems caused by low-volatility betsMarket watchers say hundreds of billions of dollars of volatility-driven products are adding to market volatility.Simply put, these products are indirect bets on the rise and fall of bond yields. Over the past decade, return-hungry investors have rushed to buy these products, betting that the market will be in low volatility.These bets are considered a steady profit until the overall environment changes. Investors are taking huge losses as bond yields soar. At the same time, for banks, they should have taken their own risks, so they can get out of these unilateral bets no matter what the market moves, but the volatility of U.S. Treasury Bond is more violent than they expected.In fact, soaring interest rates are forcing many traders to adjust their positions in response to greater volatility, and other institutions in the market are doing the same.LongTail Alpha LLC Founder,<a href=\"https://laohu8.com/S/601099\">Pacific Ocean</a>Vineer Bhansali, former head of portfolio management analytics at the investment management firm, said: \"When you get past the inflection point, traders have to buy volatility. A lot has happened this year, which leads me to believe that we are on the edge of a free fall-these structures are just one factor.\"Many of these volatility-driven products-with incredibly obscure names such as corridor notes, fairway bonds, and range-bearing options-depend on interest rates maintained within preset trading ranges.Part of the range-bearing options-with an estimated $40 billion in circulation-have to do not only with yields remaining low, but also with the shape of the US Treasury Bond curve. Typically, the U.S. Treasury Bond yield curve slopes upward.As long as this situation persists, the holder of the product will collect coupon interest payments. On the other hand, to hedge against risk, traders sell options that can likewise benefit from a positive term structure.And when the yield curve first inverted earlier this year, many traders no longer had to pay interest on bonds. But as the yield premium of short-term bonds relative to longer-dated bonds continues to climb, the options they sell become problematic, breaking critical thresholds that make buyers increasingly profitable.Essentially, they lose more on hedging than they gain on long-term volatility exposure. So, to protect themselves, traders started buying more volatile products, said Societe Generale's Pintar.Other analysts pointed out that changes in debt supply dynamics have also exacerbated interest rate volatility.<a href=\"https://laohu8.com/S/BCS\">Barclays Bank</a>Interest rate strategist Amrut Nashikkar said: \"Supply has dried up. At the same time, demand for volatility has risen because going long volatility has been a good trade over the past few years and there is uncertainty about the Fed's actions.\"<img src=\"https://static.tigerbbs.com/894f289ce79eab3a05c81b4e392e0207\" tg-width=\"678\" tg-height=\"472\" referrerpolicy=\"no-referrer\"/>For some, fears that more pain could be on the horizon are mounting as Fed rate hike and traders are increasingly forced to hedge positions and investors continue to buy volatility. Just last week, swap traders raised their expectations for the Federal Reserve to raise interest rates to 5.25%, a level that would have been almost unthinkable a few months ago.Recently, Britain's pension schemes have also been caught off guard: derivatives that had profited from falling government bond yields have backfired due to soaring interest rates. A forced sell-off in the UK's Treasury Bond was fueled by margin calls, which further pushed yields higher, which in turn increased the collateral pension schemes need to pay. Only the intervention of the Bank of England stopped the plunge.While LongTail Alpha's Bhansali doesn't see structural risk of the same order of magnitude in the U.S. Treasury Bond, he sees potential problems.Bhansali said: \"The curve is so inverted that the MOVE index is almost at an all-time high, which is basically perfectly prepared for a VIX-like crash in the interest rate market (Bhansali refers to the unexpected surge in the VIX, a measure of U.S. stock market volatility, in 2018).\"While some analysts aren't as pessimistic, most agree that higher interest rate volatility will persist.<a href=\"https://laohu8.com/S/MTU\">Mitsubishi UFJ Financial</a>George Goncalves, head of US macro strategy at the group, said: \"Volatility is fundamentally a factor in where we are headed<a href=\"https://laohu8.com/S/600628\">New World</a>Re-pricing, which is an environment of higher interest rates and more inflation uncertainty. The volatility hedging conducted by traders is adding fuel to the high volatility environment we are currently in. \"</body></html>","source":"highlight_zhitongcaijin","collect":0,"html":"<!DOCTYPE html>\n<html>\n<head>\n<meta http-equiv=\"Content-Type\" content=\"text/html; charset=utf-8\" />\n<meta name=\"viewport\" content=\"width=device-width,initial-scale=1.0,minimum-scale=1.0,maximum-scale=1.0,user-scalable=no\"/>\n<meta name=\"format-detection\" content=\"telephone=no,email=no,address=no\" />\n<title>Volatility is close to the highest since the financial crisis! 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Will U.S. debt collapse like British debt?\n</h2>\n<h4 class=\"meta\">\n\n智通财经网2022-11-08 23:10\n\n</h4>\n</header>\n<article>\n<html><head></head><body>Over the past decade, as extremely low interest rates have depressed returns on fixed-income assets, Wall Street's top quantitative investment teams have provided investors who want higher yields with a range of sophisticated products, allowing investors to earn additional returns in a sluggish market.Now, in the worst bond crash in at least five decades, various institutions are scrambling to hedge their positions, buying a lot of derivatives that benefit from rising volatility in order to reduce losses.But in reality, in the process, they are just adding fuel to the fire. At present, an indicator of interest rate volatility is close to the highest level since the global financial crisis, exceeding the violent fluctuations of stock and foreign exchange markets. At the very least, this increases risk for bond traders, increasing their chances of making quick profits or losses in the market. The Fed's most aggressive rate hike in a year has hit the bond market hard.This has triggered concerns among some market participants that structural positions in the $24 trillion US Treasury Bond market may trigger unforeseen consequences, just as debt-driven investment strategies (LDI) exacerbated the UK Treasury Bond sell-off last month.Michael Pintar, head of U.S. capital flow strategy and solutions at Societe Generale, said: \"Many bonds previously issued in a low interest rate and low volatility environment still exist, and institutions need to hedge. This forms a feedback loop.\"<img src=\"https://static.tigerbbs.com/4a2d8213bf2669dfeff756b73d00e220\" tg-width=\"670\" tg-height=\"376\" referrerpolicy=\"no-referrer\"/>This makes it seem that the market can generate huge volatility this year without additional factors.Soaring U.S. Treasury Bond yields have prompted investors to reduce bond risk by buying derivatives that profit from rising interest rates, including short-term interest rate swaps. This, in turn, has fueled traders desperately looking for long-term volatility bets to hedge their exposure, according to Danny Dayan, chief investment officer at macro hedge fund Dwd Partners.As a result, the market's unilateral bets have driven the MOVE index, which measures the volatility of U.S. Treasury Bond, to rise sharply this year. The index topped 160 last month, near its highest point since the financial crisis, as the 10-year Treasury Bond yield surged to 4.3%.Structural problems caused by low-volatility betsMarket watchers say hundreds of billions of dollars of volatility-driven products are adding to market volatility.Simply put, these products are indirect bets on the rise and fall of bond yields. Over the past decade, return-hungry investors have rushed to buy these products, betting that the market will be in low volatility.These bets are considered a steady profit until the overall environment changes. Investors are taking huge losses as bond yields soar. At the same time, for banks, they should have taken their own risks, so they can get out of these unilateral bets no matter what the market moves, but the volatility of U.S. Treasury Bond is more violent than they expected.In fact, soaring interest rates are forcing many traders to adjust their positions in response to greater volatility, and other institutions in the market are doing the same.LongTail Alpha LLC Founder,<a href=\"https://laohu8.com/S/601099\">Pacific Ocean</a>Vineer Bhansali, former head of portfolio management analytics at the investment management firm, said: \"When you get past the inflection point, traders have to buy volatility. A lot has happened this year, which leads me to believe that we are on the edge of a free fall-these structures are just one factor.\"Many of these volatility-driven products-with incredibly obscure names such as corridor notes, fairway bonds, and range-bearing options-depend on interest rates maintained within preset trading ranges.Part of the range-bearing options-with an estimated $40 billion in circulation-have to do not only with yields remaining low, but also with the shape of the US Treasury Bond curve. Typically, the U.S. Treasury Bond yield curve slopes upward.As long as this situation persists, the holder of the product will collect coupon interest payments. On the other hand, to hedge against risk, traders sell options that can likewise benefit from a positive term structure.And when the yield curve first inverted earlier this year, many traders no longer had to pay interest on bonds. But as the yield premium of short-term bonds relative to longer-dated bonds continues to climb, the options they sell become problematic, breaking critical thresholds that make buyers increasingly profitable.Essentially, they lose more on hedging than they gain on long-term volatility exposure. So, to protect themselves, traders started buying more volatile products, said Societe Generale's Pintar.Other analysts pointed out that changes in debt supply dynamics have also exacerbated interest rate volatility.<a href=\"https://laohu8.com/S/BCS\">Barclays Bank</a>Interest rate strategist Amrut Nashikkar said: \"Supply has dried up. At the same time, demand for volatility has risen because going long volatility has been a good trade over the past few years and there is uncertainty about the Fed's actions.\"<img src=\"https://static.tigerbbs.com/894f289ce79eab3a05c81b4e392e0207\" tg-width=\"678\" tg-height=\"472\" referrerpolicy=\"no-referrer\"/>For some, fears that more pain could be on the horizon are mounting as Fed rate hike and traders are increasingly forced to hedge positions and investors continue to buy volatility. Just last week, swap traders raised their expectations for the Federal Reserve to raise interest rates to 5.25%, a level that would have been almost unthinkable a few months ago.Recently, Britain's pension schemes have also been caught off guard: derivatives that had profited from falling government bond yields have backfired due to soaring interest rates. A forced sell-off in the UK's Treasury Bond was fueled by margin calls, which further pushed yields higher, which in turn increased the collateral pension schemes need to pay. Only the intervention of the Bank of England stopped the plunge.While LongTail Alpha's Bhansali doesn't see structural risk of the same order of magnitude in the U.S. Treasury Bond, he sees potential problems.Bhansali said: \"The curve is so inverted that the MOVE index is almost at an all-time high, which is basically perfectly prepared for a VIX-like crash in the interest rate market (Bhansali refers to the unexpected surge in the VIX, a measure of U.S. stock market volatility, in 2018).\"While some analysts aren't as pessimistic, most agree that higher interest rate volatility will persist.<a href=\"https://laohu8.com/S/MTU\">Mitsubishi UFJ Financial</a>George Goncalves, head of US macro strategy at the group, said: \"Volatility is fundamentally a factor in where we are headed<a href=\"https://laohu8.com/S/600628\">New World</a>Re-pricing, which is an environment of higher interest rates and more inflation uncertainty. The volatility hedging conducted by traders is adding fuel to the high volatility environment we are currently in. \"</body></html>\n<div class=\"bt-text\">\n\n\n source：<a href=\"http://www.zhitongcaijing.com/content/detail/826374.html\">智通财经网</a>\n\n\n</div>\n</article>\n</div>\n</body>\n</html>\n","type":0,"thumbnail":"https://static.tigerbbs.com/55eb327f580527889cf30bafa92692ae","relate_stocks":{},"source_url":"http://www.zhitongcaijing.com/content/detail/826374.html","is_english":false,"share_image_url":"https://static.laohu8.com/6ca2dcdccfa2217fb20a0351f4efe814","article_id":"2281033994","content_text":"在过去的十年里，由于极低的利率压低了固定收益资产的回报率，华尔街顶级的量化投资团队为那些想要更高收益率的投资者提供了一系列复杂的产品，让投资者能在萎靡不振的市场获得额外的回报率。而现在，在至少五十年来最严重的债券崩盘中，各家机构争相对冲自己的头寸，大量买进从波动率上升中受益的衍生品，以寻求减少损失。但事实上，在这个过程中，他们只是在火上浇油。目前，一项衡量利率波动率的指标已经接近全球金融危机以来的最高水平，超过了股市和汇市的剧烈波动。至少，这增加了债券交易员的风险，增加了他们在市场中快速获利或蒙受损失的机会。一年来，美联储最激进的加息令债市遭受重创。这引发了部分市场人士的担忧，即24万亿美元的美国国债市场中的结构性头寸可能将引发不可预见的后果，就像负债驱动投资策略(LDI)在上月加剧了英国国债抛售一样。法兴银行美国资金流动策略和解决方案主管Michael Pintar表示：“很多此前在低利率、低波动性环境下发行的债券仍存在，机构需要进行对冲。这就形成了一个反馈循环。”这令今年的市场似乎不需要额外的因素就能产生巨大的波动。美国国债收益率飙升促使投资者通过购买从利率上升中获利的衍生品(包括短期利率掉期期权)来降低债券风险。据宏观对冲基金Dwd Partners的首席投资官Danny Dayan表示，这反过来又助长了交易商拼命寻找长期波动率押注，以对冲自己的风险敞口。因此，市场的单边押注推动了衡量美国国债波动率的MOVE指数在今年的大幅上涨。上个月，随着10年期国债收益率飙升至4.3%，该指数突破160，接近金融危机以来的最高点。低波动率押注造成的结构性问题市场观察人士表示，数千亿美元的波动驱动型产品加剧了市场波动。简单来说，这些产品是对债券收益率涨跌的间接押注。在过去的十年里，渴望回报的投资者争相买入这些产品，押注市场将处于低波动性。这些押注被认为是稳赚不赔的事，直到整体环境出现变化。随着债券收益率飙升，投资者正承受着巨大的损失。与此同时，对于银行而言，它们本应对冲自己的风险，因此无论市场走势如何，它们都能在这些单边押注中走出来，但美国国债的波动却比它们预期的更为剧烈。事实上，飙升的利率正迫使许多交易商为应对更大的波动性而调整仓位，而市场上的其他机构也在这么做。LongTail Alpha LLC创始人、太平洋投资管理公司前投资组合管理分析部门主管Vineer Bhansali表示：“当你度过拐点时，交易商必须买入波动率。今年发生了很多事情，这让我相信我们已经处于自由落体的悬崖边上——这些结构只是其中一个因素。”这些波动性驱动的产品——有着走廊票据、球道债券和区间计息期权等难以置信的晦涩名称——许多都取决于维持在预设交易区间内的利率。部分区间计息期权——估计有400亿美元流通在外——不仅与收益率保持在低位有关，还与美国国债曲线的形状有关。通常情况下，美国国债收益率曲线向上倾斜。只要这种情况仍然存在，该产品的持有者就会收取券息付款。另一方面，为了对冲风险，交易商出售同样可以从积极期限结构中受益的期权。而当收益率曲线在今年早些时候首次倒挂时，许多交易商不再需要支付债券的利息。但随着短期债券相对于较长期债券的收益率溢价继续攀升，它们出售的期权就成了问题，突破了关键的阈值，从而使买方的利润越来越高。从本质上讲，他们在对冲上的损失比在长期波动敞口上的收益要多。法兴银行的Pintar表示，因此，为了保护自己，交易商开始买入波动性更大的产品。还有其他分析人士指出，债务供应动态的变化也加剧了利率波动。巴克莱银行利率策略师Amrut Nashikkar表示：“供应已经枯竭。与此同时，对波动率的需求有所上升，因为过去几年做多波动率一直是一项不错的交易，而且美联储的行动也存在不确定性。”对一些人来说，随着美联储加息和交易商越来越被迫对冲头寸，投资者继续买入波动率，对更多痛苦可能即将到来的担忧正在加剧。就在上周，掉期交易商提高了对美联储将利率提高到5.25%的预期，这一水平在几个月前几乎是不可想象的。最近，英国的养老金计划也被打了个措手不及：原本从政府债券收益率下跌中获利的衍生品，由于利率飙升而产生了事与愿违的效果。追加保证金的要求助长了英国国债的被迫抛售，这进一步推高了收益率，进而增加了养老金计划需要支付的抵押品。只有英国央行的干预才止住了暴跌。虽然LongTail Alpha的Bhansali认为美国国债没有同样数量级的结构性风险，但他还是看到了潜在的问题。Bhansali表示：“曲线如此倒挂，MOVE指数几乎处于历史高位，这基本上为利率市场出现类似VIX的崩盘做好了完美准备(Bhansali指的是在2018年，衡量美国股市波动率的指标VIX意外飙升)。”尽管有分析师并没有那么悲观，但大多数人都认为，较高的利率波动性将持续下去。三菱日联金融集团美国宏观策略主管George Goncalves表示：“波动性从根本上是在为我们即将走向的新世界重新定价，这是一个利率更高、通胀不确定性更大的环境。交易商进行的波动性对冲，是为我们目前所处的高波动性环境火上浇油。”","news_type":1,"symbols_score_info":{"ZNmain":0.9}},"isVote":1,"tweetType":1,"viewCount":2258,"commentLimit":10,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"symbols":[],"verified":2,"subType":0,"readableState":1,"langContent":"EN","currentLanguage":"EN","warmUpFlag":false,"orderFlag":false,"shareable":true,"causeOfNotShareable":"","featuresForAnalytics":[],"commentAndTweetFlag":false,"andRepostAutoSelectedFlag":false,"upFlag":false,"length":4,"xxTargetLangEnum":"ORIG"},"commentList":[],"hasMoreComment":false,"orderType":2}