“If there are two words in the Ferrari vocabulary that get the blood flowing in anytifoso.那surely those words are ‘California Spider,’” proclaimed the silver placard next to the maroon 1959 sports car.
“What’s atifoso.？“我问了猩红色迷你主义法拉利斯莱利。
“粉丝，”她说。“就像一个足球迷。在世界杯。“
“Ah. And just how much is that Spider?” I inquired.
“If you have to ask how much a Ferrari costs, you can’t afford it,” interrupted a lady of a certain age who was standing next to me, peering into the car window. “You really can’t.”
当然，她是对的。我抬起头来most recent sale of a 1958 Spider在我的iPhone上：880万美元。
跑车和曼哈顿房地产价值观都飙升了。迫在眉睫的是rafaelviñoly432公园大道condominium tower, being built into the clouds just one block north of the Ferrari dealer, heading for 96 stories.虚荣博览会gushed over fact that the penthouse had sold for $95 million in an article titled “Too Rich, Too Thin, Too Tall?“
About the only thing headed down is volatility. “The VIX has fallen down, and it just can’t get up,” a Connecticut-based macro trader e-mailed me, referring to the Chicago Board Options Exchange’s index of implied volatility of options on the Standard & Poor’s 500 index. The VIX isn’t alone. The decline in volatility of prices across a whole range of traded assets, from股票至fixed incomeand commodities, is the single most striking feature of the past six months in global financial markets. “It’s hard to make money trading when markets are so happy and placid,” complained a global macro trader in the City of London. Many a hedge fund manager is desperate to find some alpha to beat the smoothly appreciating benchmarks, and alpha opportunities almost always come paired with volatility in the hedge fund world. So what could make it go back up?
沃尔有很长的路要走。vix的一个图象类似于喜马拉雅山脉的南北切片，在2011年中期的Sagarmatha和K2高度的顶部，然后通过各种山麓倾斜到今天11点大约11点的平地恒河。
消失的vix：Cboe波动性指数 |
这Economistmocked this apparent calm as the “Sea of Tranquillity” in alate-May article，当它警告说“波动从经济和市场消失了。这可能是一个问题。“大声缺乏波动性是从五十多名全球宏观贸易商和战略家年度大会中最引人注目的消磨，这些人在5月份牛津郡的Ditchley Park聚集在一起。您将同样适合到达Chifornia Spider或Coach-四个带有封口脚轮的Ditchley 18世纪庄园的优雅入口。
在整个技术讨论和Ditchley庄严的房间里的香槟啜饮，跑了一贯的线程。正如一个伦敦的交易者所说，“沃尔奇怪，令人痛苦地低。”
Notwithstanding their anxiety about the missing vol, most of the Ditchley participants see this tranquility continuing, at least through the balance of this year. The majority of their peers in the market apparently agree. According to the results of a poll of global macro traders and strategists that I conduct every six months for亚博赞助欧冠magazine, in June the mean forecast for the VIX at the end of 2014 is between 14 and 20, with 55 percent of respondents putting it in that range. There was only a 1 out of 5 bet that the VIX would break through 20. The lowest value any single trader assigned the VIX between now and December 31 was 8; the highest, 32. In other words, the clear majority believe the easing of volatility will continue at least for the next six months.
四个不同的解释的性能变化or of financial markets emerged from the Ditchley discussions. First, central banks are artificially suppressing volatility by pumping in vast amounts of liquidity. Second, systemic risk has been drained from the global financial architecture by deleveraging, recapitalization and improved prudential regulation. Third, the simplest explanation, is the economic macro cycle: We are still early in the recovery cycle, where vol is historically low. A fourth hypothesis is politics: We actually live in a generally safer and more predictable world, so vol continues to ebb accordingly. There were relatively few takers of this last proposition at Ditchley, yet it is curious indeed that with Iraq and Syria going up in flames, heavy fighting in eastern Ukraine, chaos in Libya, choreographed clashes in the South China Sea and a string of increasingly brutal terrorist attacks in an African arc ranging from Nigeria to Kenya, the mean bet is for volatility to keep easing.
让我们来看看这四个低卷解释，探索可能维持的事件 - 或逆转 - 趋势。
中央银行和抗灰度
自2008年-09金融危机以来，倡导人为镇压正常市场波动以来，第一家Ditchley对国际金融体系的流动资金持续注入国际金融体系。
“低挥发性前赌注或前岗位不是一件坏事，”伦敦对冲基金CQ的创始人兼首席执行官Michael Hintze说。“问题是我们不在低波动环境中，因为市场决定了这一点，但由于中央银行已经领导了我们。中央银行干预文件在所有裂缝上，它取消了差异的观点。“
“中央银行货币政策阿森纳为市场带来了和平，瑞银的全球新兴市场跨资产战略的全球新兴市场负责人，在最近的一项研究中写道。“所有波动率买家都被寻求并向他们的坟墓撤退。似乎，似乎，已经结束了。“
Financier-philosopher Nassim Taleb sees similar forces at work, with potentially devastating consequences. “The problem with artificially suppressed volatility is not just that the system tends to become extremely fragile; it is that, at the same time, it exhibits no visible risks,” Taleb wrote in his recent book,Antifragile: Things That Gain from Disorder.“Also remember that volatility is information. In fact, these systems tend to be too calm and exhibit minimal variability as silent risks accumulate below the surface. Because players are unused to volatility, the slightest price variation will then be attributed to insider information, or to changes in the state of the system, and will cause panics. When a currency never varies, a slight, very slight move makes people believe that the world is ending.”
一个聪明的纸为2014年美国货币政策um, organized in New York earlier this year by the University of Chicago Booth School of Business, put a sharp empirical point on Taleb’s argument. A talented team including JPMorgan Chase & Co. chief U.S. economist Michael Feroli, the Booth School’s Anil Kashyap, Kermit Schoenholtz of New York University’s Stern School of Business and my Princeton colleague Hyun Song Shin tested the risks of destabilizing funds flows caused by central bank polices in a paper called “Market Tantrums and Monetary Policy.” They connect market structure with price movements in a continuous way, noting that “delegated investors such as fund managers are concerned with their relative performance compared to their peers,” mainly because “it affects their asset gathering capabilities” — a cruel fact of life for every trader striving to beat a benchmark.
Feroli和公司理论为“投资代理商厌恶地成为贸易的最后一个。虽然这个功能可以听起来无害，但它可能会在投资者之间掀起一场比赛，以加入抛售比赛，以避免被遗弃，然后“他们随后展示了统计分析，清楚地显示了他们所谓的令人挑剔的证据”尖锐的逆转回归追逐。“
“The central banks very much believe that they can control the exit and the unwind of these policies,” warns CQS’s Hintze. “But remember, their balance sheets have never been as large while at the same time private sector banks’ ability to absorb volatility has been diminished by regulation. The challenge is that if we’re all in the same trade, the exit will be incredibly crowded.” Baweja and company at UBS agree: “If there is a vol trigger that leads to even modest outflows from asset managers’ funds, the current liquidity configuration will amplify volatility.”
Several members of the Fed’s policymaking Federal Open Market Committee were in the room when Feroli and company presented their paper in February, though not, notably, chair Janet Yellen or William Dudley, the dovish president of the New York Fed. There was a bit of the-emperor-has-no-clothes in the meeting, with the scholars pointing out the next volatility risk could come from unleveraged nonbanks that had walked out the yield plank in response to zero interest rates, as the Fed had intended in starting quantitative easing in the first place.
So how does the Fed propose to deal with this new vol risk? Basically, as a prudential regulatory problem. “The nonbanks, the hedge funds and asset managers have become the transmission mechanism for monetary policy as the U.S. banks delevered, but the Fed was now saying, in effect, ‘Not our problem,’” says Mark Farrington, head of London-based hedge fund Macro Currency Group, who attended both the Booth seminar and the Ditchley meeting. “As usual, they were ready to fight the last war.”
Surprisingly, in their comments on the paper at the Monetary Policy Forum, both Fed officials basically agreed with the Feroli argument. Narayana Kocherlakota, president of the Federal Reserve Bank of Minneapolis, member of the FOMC and cautious hawk, conceded that “financial instability may not be associated with the usual suspects; we have to keep an eye on the nonbanks.” Then-governor Jeremy Stein, who left the Fed in May to return to Harvard University, also saw risks looming in the Fed’s exit strategy. “Monetary policy is fundamentally in the business of altering risk premiums such as term premiums and credit spreads,” he said. “So monetary policymakers cannot wash their hands of what happens when these spreads revert sharply. If these abrupt reversions also turn out to have nontrivial economic consequences, then they are clearly of potential relevance to policymakers.”
As the Fed tries to delicately dismount from the back of the liquidity tiger, what might cause this process to reverse the volatility low tide — and perhaps spar a more serious version of the “taper tantrum” of 2013?
这traders’ poll assigned a 28 percent probability that the yield on ten-year U.S. Treasuries, which closed at 2.48 percent on July 18, will “normalize” above 3 percent by the end of 2014, and an 80 percent probability, up from 71 percent in December 2013, that the yield will be above 2.5 percent. (The poll also gave an average 58 percent bet that the SPX index, which stood at 1,978.22 on July 18, will end the year between 1,800 and 2,100.)
民意调查受访者和少数人都不认为未来六个月的“锥度Tantrum”Redux可能会谨慎，即将喂养相当长的时间爬下来的资产负债表作为一种替代QE替代QE的工具的前进指导具有自身的风险。Feroli和公司同意。“2013年夏天的事件被许多观察员称为异常”，“他们写在纸上。“良性解释是风险是令人想理的，而且，在夏季和秋季的过程中，美联储的沟通有助于纠正这个问题。”
However, they caution, “the Fed may have succeeded in 2013 in convincing market participants that slowing the rate of bond purchases is a separate decision from decisions about the path of future interest rates. Hence a reversal in risk appetite that was beginning in the summer of 2013 has been deferred. However, our analysis suggests that whenever the decision to tighten policy is made, then the instability seen in summer of 2013 is likely to reappear.”
“There are three different potential sources of instability here that could cause an uptick in vol,” said a New York–based macro strategist at Ditchley Park. “Any single central bank could get it wrong as they scale back their QE purchases and try to shrink those swollen balance sheets. It is tough to correctly signal your intentions to the market when you aren’t sure yourself what you’re going to do. Nobody has ever tried to shrink a central bank balance sheet like this.” He took another sip of champagne. “The second risk of instability is between any two central banks, with, say, the Fed and the Bank of England shrinking while the Bank of Japan and, say, the ECB are going the other way and expanding their balance sheets. That’s a great recipe for FX volatility on a major scale.”
和第三个，我问过？“在金融管道中休息的事情，”他说，啃着小吃。“这不是因为这种压力而建造，没有人以前这样做过。”
根据最近的一份报告Dominic Wilson chief markets economist at Goldman Sachs Group, and colleague Julian Richers, “Last year’s ‘taper tantrum’ did lead to a spike in volatility, although the spike proved temporary. But there is a risk that front-end rate volatility could pick up if positive data surprises continue. It is not obvious how much this would affect other assets — equity volatility did not move much last year during the rate scare, but FX volatility did. However, a significant misstep from policymakers on the road to exit is arguably the other major source of risk and one that a higher NAIRU [nonaccelerating inflation rate of unemployment] could reinforce.”
Some traders believe that September 2014 may well be the witching moment, with the Fed likely to feel the need to articulate its rationale and criteria for a faster taper if better economic data roll in. Most Fed chairs get tested by markets at least once in the first year of their term. Yellen is unlikely to be an exception.
“如果恢复确实加强，有两种情况，”经济发展局的经济发展和审查委员会主席威廉白人说，国际住区和杜伯利参与者的银行前首席经济学家。“首先，可能有一个有序的金融市场调整 - 利率顺利进行。延长的费率会上升，收益差将保持紧张，但具有强劲的经济增长，市场不会崩溃。其他可能性是无序的，这可以通过许多排列来实现。例如，它可能是典型市场过度的结果。由于对通货膨胀和财政支配地位的担忧，速度正常化存在很长的路径。目前尚不清楚经销商和抵押库存的新规则将在速度开始上升时对市场进行。“
Goldman’s Wilson and Richers agree. “Beyond fresh shocks, volatility could shift higher under two conditions in particular. The first is if we are closer than we think to the point where the unemployment rate becomes a binding constraint. The second is if the exit from unconventional policy and the ‘zero lower bound’ lead to a sharper rise in uncertainty about where rates belong. In that case, rate volatility could rise more sharply, with a potential impact on other asset markets.”
这second potential source of a volatility redux is the market friction between those central banks that are tightening, however gradually, and those that are expanding credit, such as the Europeans and — most dramatically — the Japanese.
Ditchley Park Peacteres在归因于日本从通货紧缩和收缩到首相和第二次攻击箭头的罢工，归因于日本第一和第二次 - 政府和日本央行侵略性QE的财政刺激。他们都认为，Boj将继续将流动性注入经济，并消耗狮子的日本政府债券（JGBS）的份额。多数人认为，增长势头将持续存在，这与6月份民意调查一致，该民意调查分配了43％的概率，即日本国内生产总值将增长2％至2.5％，31％，它将扩大比2.5％更快，即比2013年12月投票更乐观。
然而，超越2014年12月，并非所有人都相信BOJ可以在某些时候继续将JGBS透视日元触发。“在日本，尽管债务向国内生产总值上升至250％，但仍然持续8％的财政赤字，不包括进一步的资产负债表债务，”基于伦敦的宏观交易员。“BOJ将新的债务发行过度超过160％;他们正在购买所有新债务加上购买大量旧债务。我认为Abenomics将反馈。难以讲述一个合理的故事，即使是结构变化也会如何工作。如果工人认为每年有2％的工人持续20年，他们将捕杀并停止支出保留财富。养老金经理和债券持有人将开始要求更大的收益率。很快，我认为日本所有的债务必须由日本央行提供资金。如果历史是指导，那种情况可能会非常快速地从通货紧缩到恶性下流。“
对中央银行过度流动性解释的一种导体论证声称交易波动的供需平衡已被所有围绕金融市场晃动的自由金钱飙升。
“The VIX curve is exceptionally steep, and puts on the VIX are cheap to fund as a result,” says Marcel Kasumovich, chief strategist at Tse Capital Advisors, a New York–based hedge fund. “Sellers of volatility have been rewarded handsomely in the past year, no matter how dangerous. It is evident in so many different areas, implicitly or explicitly. So we know the rise will be nonlinear when it happens. But it is exceptionally difficult to position for. Strategies that systematically short the VIX were down 63 percent in the past year and 99.6 percent since inception in March 1999. Demand for tail protection has been beaten out of the market — we’re back to the greed side of the cycle.”
美国货币的核经理办公室显然与Kasumovich同意。在最新中Semiannual Risk Perspective该代理机构发表的，“较长的波动率仍然很低，投资者越低，追逐收益率越大，最大化回报，通常销售当价格突然下降时销售他们损失的选项，或者突然下降，或提高信用风险。”
What of the third potential risk of central bank liquidity — the untested plumbing? Charles Himmelberg, head of global credit strategy at Goldman Sachs, agrees that this may be a problem. “法规have also resulted in a major repiping of the financial system, which is still rapidly evolving. The new market structure is fully untested, making it difficult to know how it will respond during the next recession or financial crisis — a known unknown.”
Assessing this risk segues into systemic risk, to which we will turn in tomorrow’s installment.
看到下一期，“这Volatility Conundrum: Is It Lowest Before a Storm?“
James Shinn是普林斯顿大学工程和应用科学学院的讲师（jshinn@princeton.edu.）Teneo Intelligence的首席执行官。在华尔街和硅谷的职业生涯之后，他担任中亚的国家情报官在中央情报局，担任五角大楼亚洲助理助理秘书。他坐在咨询委员会Kensho那a Cambridge, Massachusetts–based data analytics firm, and CQS, a London-based hedge fund.
