彭博：悄然归来——华尔街最臭名昭著的交易之一

忘掉人工智能的狂热吧–华尔街目前最令人兴奋的交易可能只是押注于无聊。

当英伟达公司（Nvidia Corp. ）等人工智能热潮的赢家推动基准股价指数创下一个又一个纪录时，一个不太引人注意的现象正在美国市场的中心展开： 投资者正将大笔资金投入那些业绩取决于股市能否持续平静的策略中。

这些策略被称为 “短波动率押注”，是 2018 年初股市暴跌的关键因素，当时这些策略以史诗般的方式全军覆没。现在，它们以不同的面目卷土重来–而且规模要大得多、大得多。

它们的新形式主要是出售股票或指数期权以增加收益的 ETF。Global X ETFs汇编的数据显示，这类产品的资产在两年内几乎翻了两番，达到创纪录的640亿美元。而2018年的做空波动率的同类产品–一小群直接押注预期波动率的基金–在内爆之前只有约21亿美元。

只要市场保持平静，做空波动率是一种可以获得可靠利润的投资方法。但随着该交易吸走资产，以及美国总统大选等重大事件风险即将来临，一些投资者开始紧张起来。

“苏斯克汉纳国际集团（Susquehanna International Group）衍生品策略联席主管克里斯-墨菲（Chris Murphy）说：”空头交易及其影响是我们今年收到的最一致的问题。”客户想知道它对市场的影响有多大，这样他们就能更好地安排自己的交易。但我们在过去看到过像 2018 年和 2020 年这样的周期，空头波动性交易不断增长，直到一个大冲击将其摧毁。”

对于担忧者来说，好消息是新基金的结构性差异改变了计算方法–收益 ETF 一般是在股票多头头寸的基础上使用期权，这意味着 640 亿美元并不全是针对股票波动的赌注。此外，由于美国市场较六年前翻了一番，因此广泛蔓延的门槛也可能比 2018 年更高。

坏消息是，这些头寸–以及机构参与者进行的一大堆不那么显眼的空头交易–被怀疑压制了股票波动，这就在一个可能有一天会逆转的反馈循环中，引来了更多对平静的押注。这些策略也是衍生品爆炸性增长的一部分，给市场带来了新的不可预测性。

必须有人卖出 去年，美国股票期权交易量飙升至创纪录水平，其推动因素是涉及到期日为零的合约（即 0DTE 合约）的交易激增。这扩大了波动率市场，因为每种衍生品都相当于对未来价格活动的押注。

“波动率对冲基金 LongTail Alpha LLC 创始人维尼尔-班萨利（Vineer Bhansali）说：”基本上，对期权的需求自然会增加，因为散户正在使用短期限的彩票型期权进行投机。”总得有人卖出这些期权。

这正是许多收益型 ETF 的用武之地。这些策略并不像前辈们那样刻意押注市场平静，而是利用衍生品需求，卖出看涨期权或看跌期权，以赚取相关股票投资组合的额外现金。这通常意味着限制了基金的潜在上涨空间，但假设股市保持平静，合约到期后将一文不值，ETF 将从中获利。

近年来，ETF行业的发展令人瞩目，而这主要是由ETF推动的。晨星直接公司（Morningstar Direct）编制的数据显示，截至 2019 年底，衍生收益基金类别的规模约为 70 亿美元，其中四分之三是共同基金。到去年年底，该类基金的规模已达750亿美元，其中近83%为ETF。现在，一些发行商甚至直接利用 0DTE 的热潮，推出 ETF，出售标准普尔 500 指数和纳斯达克 100 指数的短期期权，作为其战略的一部分。

不过，虽然所涉及的资金看起来更大，但衍生品专家和波动性基金经理至今仍对另一场 “Volmageddon”（2018 年的大跌）的风险讳莫如深。

高盛集团（Goldman Sachs Group Inc. 大部分现金都在所谓的买入-写入ETF中，这些ETF持有股票多头头寸，卖出看涨期权以获取收益。大幅反弹会增加这些合约赚钱的机会，迫使卖方以低于当前交易价格的价格交割标的证券。

“马歇尔说：”当市场抛售时，这种策略通常不会受到压力。”它不太担心波动性飙升。”

在 2018 年暴跌之前，LongTail 公司的班萨利就正确地预见到了日益增长的空头交易带来的威胁。他认为，重蹈覆辙的危险不大，因为这股热潮是由精明的交易商推动的，他们只是满足散户投资者对期权的需求，而不是对波动率下跌进行杠杆押注。

换句话说，空头风险敞口本身并不是破坏稳定的力量，即使这种押注本身容易受到动荡的影响。

“班萨利说：”是的，如果市场出现大的波动，肯定会有潜在的不稳定性。但 “有人卖出这些期权并不一定意味着存在大量未对冲的空头基础，”他说。

尽管如此，量化任何潜在风险都是困难的，因为即使知道空头交易的确切规模也是一个挑战。除了相对简单的收益基金外，策略还可以有多种形式，而且许多交易都发生在华尔街的交易台上，公众无法获得相关信息。

对许多人来说，收益 ETF 的繁荣是表面之下发生更大事件的预兆。

“波动性对冲基金 QVR Advisors 的投资组合经理史蒂夫-里奇（Steve Richey）说：”当你看到公开发生的事情时，私下发生的事情可能是你没有直接看到的事情的五到十倍。

分散性疑虑 这些看不见的赌注包括很大一部分量化投资策略–银行出售的模仿量化交易的结构性产品。

PremiaLab 跟踪了 18 家银行的量化投资策略产品，根据 PremiaLab 的数据，去年美国的股票短线交易回报率为 8.9%，占过去 12 个月该平台新增策略的 28%左右。其名义价值尚不清楚，但据咨询公司 Albourne Partners 去年估计，QIS 交易总额约为 3700 亿美元。

对冲基金对相对波动性的博弈也助长了这股热潮。最臭名昭著的短波动率赌注之一是一种被称为分散交易的奇特期权策略。它采用各种复杂的期权叠加，相当于做多一篮子股票的波动率，同时与标准普尔 500 指数等指数的波动对赌。要发挥作用，它需要大盘保持低迷，或者至少比个股经历的动荡要小。

更多信息 小心，炙手可热的短期波动率交易已经 “走得太远

近年来，随着标普 500 指数稳步上扬，而股票回报率却出现了大幅分化，这一策略大获成功。这种交易的规模再次难以估量，但其受欢迎程度足以让 Cboe Global Markets 计划在今年上市一款与 Cboe 标准普尔 500 指数离散度挂钩的期货产品。该指数上周攀升至 7 月以来的最高水平。

不断攀升的人气，加上杠杆作用和缺乏透明度，促使 MacroTourist 博客的凯文-穆尔（Kevin Muir）警告说，市场大跌可能会扰乱交易，迫使平仓，从而进一步加剧市场的崩溃。

“穆尔写道：”这让我担心，因为分散交易具有危机正在酝酿的所有特征。他说，”这正是一种复杂的高杠杆交易，每个人都认为’那些人都是数学天才–我们不需要担心他们会爆仓，因为他们都进行了对冲’。

为了了解市场上有多少空头风险敞口，市场参与者经常会把所谓的 vega 相加。这是一个衡量期权对波动率变化敏感程度的指标。

在另一家波动率对冲基金 Ambrus Group，内部衡量 vega 的方法是将标准普尔 500 指数、Cboe 波动率指数（衡量美国股票基准隐含价格波动的指标，也称为 VIX）和 SPDR 标准普尔 500 ETF 信托（SPY）的期权活动汇总起来。联席首席投资官克里斯-西迪亚尔（Kris Sidial）表示，1月份的净空头风险敞口是2018年溃败前的两倍。

这意味着波动率上升1个点，名义损失可能是六年前的两倍。最令人担忧的是：随着损失的增加，恐慌性平仓的投资者可能会加剧波动，从而造成更多损失和更多抛售。

在这种情况下，通常处于衍生品交易另一方的交易商和做市商就有可能成为另一个下行加速器。他们没有自己的方向性观点，因此旨在通过买入和卖出股票、期货或期权相互抵消来保持中立立场。

在市场大幅下跌时–当交易商突然发现自己卖出了大量保护或受益于溃败的期权–往往会使他们处于所谓的 “空头伽玛 “状态。其中的动态很复杂，但结果是，要中和他们的风险，交易商就必须在下跌过程中卖出期权，从而加剧下跌。

目前，短卷交易的扩散已被认为是 VIX 指数在过去一年中保持低位的一个原因，尽管两大地缘政治冲突仍在持续，美联储也采取了数十年来最激进的货币紧缩政策。这是因为在当前情况下，交易商处于 “多头伽玛 “状态，通常在股票下跌时买入，在股票上涨时卖出，从而抑制波动。

国际清算银行（Bank for International Settlements）在上周发布的最新季度报告中称，鉴于通过卖出期权获取收入的策略蓬勃发展，这种动态很可能是压缩波动率背后的原因。”研究人员写道：”在过去两年里，与标准普尔 500 指数挂钩的提高收益结构性产品如雨后春笋般涌现，而同期 VIX 指数却在下降。

这种平静有很好的替代原因。由于过去一年美联储和美国经济都没有带来任何重大冲击，股市稳步走高。还有一种可能是，由于现在很多赌注都是用短期期权下的，VIX 不再能捕捉到所有的行动，因为它是用一个月后的合约计算的。

然而，QVR Advisors 也看到了波动率抛售热潮的足迹。其数据显示，标普 500 指数期权定价的波动程度–即所谓的隐含波动率–与指数的实际波动程度相比，多年来一直在走低。其理论依据是，货币经理们为了创收而在市场上大肆抛售合约，从而抑制了隐含波动率–毕竟隐含波动率是衡量期权成本的一个有效指标。对冲基金最近推出了一项策略，试图利用廉价的衍生品，从标准普尔 500 指数的大幅波动（无论涨跌）中获益。

“加拿大皇家银行资本市场（RBC Capital Markets）衍生品策略主管艾米-吴-西尔弗曼（Amy Wu Silverman）说：”大流行后，我们看到了抑制波动性的基本面和技术面原因。”虽然我认为这种情况仍在继续，但从现在开始，做空波动率变得越来越困难。”

许多宏观因素都有可能扰乱股市的稳步走高，包括乌克兰和加沙的持续战争、挥之不去的通胀和美国大选。虽然波动抛售策略在历史上为投资者带来了收益，但它们也因在加剧溃败方面的作用而声名狼藉。

最著名的一次发生在2018年2月，当时标普500指数的下滑引发了VIX指数的飙升，使数年相对平静时期积累起来的数十亿美元押注波动性的交易化为乌有。其中损失最大的是 VelocityShares Daily Inverse VIX 短期票据（XIV），其资产在一个交易日内从 19 亿美元缩水至 6,300 万美元。

目前还没有催化剂出现，以引发重蹈覆辙。即使在 10 月份爆发以色列-哈马斯战争或美国报告 1 月份通胀率高于预期时，市场依然保持平静。VIX指数已连续近五个月保持在20的历史平均水平以下，2018年以来仅有两次超过这一休眠期。波动率指数在 12 月触及大流行后的最低点 12，截至纽约上午 11:24 时，交易价格略低于 16。

对于波动性对冲基金True Partner Capital的联席首席投资官托比亚斯-赫克斯特（Tobias Hekster）来说，这种持久的平静并不能让人放心。

“赫克斯特说：”你承担着风险–过去一年半里这种风险没有出现并不意味着它不存在。”如果有什么东西绊住了市场，波动被压抑的时间越长，反应就越激烈。”

Forget the artificial-intelligence frenzy — the most-exciting trade on Wall Street right now might just be betting on boring.

As winners of the AI boom like Nvidia Corp. power benchmark stock gauges to record after record, a less remarked-upon phenomenon has been unfolding at the heart of the US market: Investors are sinking vast sums into strategies whose performance hinges on enduring equity calm.

Known as short-volatility bets, they were a key factor in the stock plunge of early 2018 when they wiped out in epic fashion. Now they’re back in a different guise — and at a much, much bigger scale.

Their new form largely takes the shape of ETFs that sell options on stocks or indexes in order to juice returns. Assets in such products have almost quadrupled in two years to a record $64 billion, data compiled by Global X ETFs show. Their 2018 short-vol counterparts — a small group of funds making direct bets on expected volatility — had only about $2.1 billion before they imploded.

Shorting volatility is an investing approach that can mint reliable profits, provided the market stays tranquil. But with the trade sucking up assets and major event risks like the US presidential election on the horizon, some investors are starting to get nervous.

“The short-vol trade and its impact is the most consistent question we have gotten this year,” said Chris Murphy, co-head of derivatives strategy at Susquehanna International Group. “Clients want to know how much of an impact it’s having on markets so they can structure their trades better. But we have seen cycles in the past like 2018 and 2020 where the short volatility trade grows until a big shock blows it up.”

The good news for worrywarts is that the structural difference of the new funds changes the calculus — the income ETFs are generally using options on top of a long stock position, meaning that $64 billion isn’t all wagering against equity swings. There’s also likely a higher bar for broad contagion than in 2018, since the US market has doubled from six years ago.

The bad news is that the positions — alongside a stack of less visible short-vol trades by institutional players — are suspected of suppressing stock swings, which invites yet more bets for calm in a feedback loop that could one day reverse. The strategies are also part of an explosive wider growth in derivatives that is introducing new unpredictability to the market.

‘Somebody Has to Sell’ The trading volume of US equity options surged to a record last year, propelled by a boom in transactions involving contracts that have zero days until expiration, known as 0DTE. That has enlarged the volatility market, because each derivative amounts to a bet on future price activity.

“There basically is a natural increased demand for options because retail is speculating using the short-dated lottery-ticket type of options,” said Vineer Bhansali, founder of volatility hedge fund LongTail Alpha LLC. “Somebody has to sell those options.”

That’s where many income ETFs come in. Rather than deliberately betting on market serenity like their short-vol predecessors, the strategies take advantage of the derivative demand, selling calls or puts to earn extra cash on an underlying equity portfolio. It usually means capping a fund’s potential upside, but assuming stocks stay calm the contracts expire worthless and the ETF walks away with a profit.

Industry growth in recent years has been remarkable, and it has mostly been driven by ETFs. At the end of 2019, there was about $7 billion in the category of derivative income funds, according to data compiled by Morningstar Direct, three-quarters of which was in mutual funds. By the end of last year there was $75 billion, almost 83% of it in ETFs. A number of issuers are now even tapping directly into the boom in 0DTEs to launch ETFs that sell short-dated options on the S&P 500 and the Nasdaq 100 as part of their strategy.

But while the money involved looks bigger, derivatives specialists and volatility fund managers are so far brushing off the risk of another “Volmageddon,” as the 2018 selloff came to be known.

John Marshall, Goldman Sachs Group Inc.’s head of derivatives research, said the strategy tends to come under pressure only when the market rises sharply. Most of the cash is in so-called buy-write ETFs, which take a long stock position and sell call options for income. A big rally increases the chances those contracts will be in the money, obliging the seller to deliver the underlying security below the current trading price.

“It’s generally a strategy that is not under pressure when the market sells off,” Marshall said. “It’s less of a worry for a volatility spike.”

Before the 2018 blowup, Bhansali at LongTail correctly foresaw the threat from the growing short-vol trade. He reckons there’s little danger of a repeat because this boom is powered by canny traders simply meeting retail-investor demand for options, rather than making leveraged bets on volatility falling.

In other words, the short-vol exposure itself is not a destabilizing force, even if such bets are vulnerable to turmoil themselves.

“Yes, there’s potential of instability if there’s a big market move for sure,” Bhansali said. But “somebody selling those options doesn’t necessarily mean that there’s a massive unhedged short base,” he said.

Nonetheless, quantifying any potential risk is difficult because even knowing the exact size of the short-vol trade is a challenge. Strategies can take on various shapes beyond the relatively simple income funds, and many transactions occur on Wall Street trading desks where information is not available to the public.

To many, the income ETF boom is a tell-tale sign of something bigger taking place below the surface.

“When you’re seeing something going on publicly, there’s probably five to 10 times that going on privately that you don’t see directly,” said Steve Richey, a portfolio manager at QVR Advisors, a volatility hedge fund.

Dispersion Doubts Those unseen bets include a significant chunk of quantitative investment strategies — structured products sold by banks that mimic quant trades.

According to PremiaLab, which tracks QIS offerings across 18 banks, equity short-vol trades returned 8.9% in the US last year and wound up accounting for roughly 28% of new strategies added to the platform over the past 12 months. Their notional value is unknown, but consultancy Albourne Partners estimated last year that QIS trades overall command about $370 billion.

Hedge funds gaming relative volatility are also feeding the boom. One of the most notorious short-vol bets is an exotic options strategy known as the dispersion trade. Employing various complex options overlays, it amounts to being long volatility in a basket of stocks while wagering against the swings of an index like the S&P 500. To work, it needs the broader market to stay subdued, or at least experience less turbulence than the individual shares.

Read more: Watch Out, a Hot Short-Volatility Trade Has Now ‘Gone Too Far’

With the S&P 500 steadily going up while stock returns diverged widely in recent years, the strategy has flourished. Once again it’s difficult to measure the size of the trade, but it’s popular enough that Cboe Global Markets plans to list a futures product tied to the Cboe S&P 500 Dispersion Index this year. The gauge last week climbed to the highest level since July.

That rising popularity, combined with leverage and a lack of transparency, has prompted Kevin Muir of the MacroTourist blog to warn that a market selloff could upset the trade, forcing an unwinding of positions that could further exacerbate the rout.

“It worries me because the dispersion trade has all the hallmarks of a crisis-in-the-making,” Muir wrote. It’s “exactly the sort of sophisticated, highly levered trade where everyone assumes ‘those guys are math whizzes – we don’t need to worry about them blowing up because they are hedged,’” he said.

To get an idea of how much short-vol exposure is out there, market players can often be found adding up what’s known as vega. That’s a measure of how sensitive an option is to changes in volatility.

At Ambrus Group, another volatility hedge fund, an internal measure of vega aggregates options activity for the S&P 500 Index, the Cboe Volatility Index — a gauge of implied price swings in the US equity benchmark also known as the VIX — and the SPDR S&P 500 ETF Trust (SPY). Kris Sidial, co-chief investment officer, said in January the net short vega exposure was two times larger than in the run-up to the 2018 rout.

That means a 1-point increase in volatility could incur notional losses double those experienced six years ago. The big worry: Panicked investors unwinding positions as their losses mount could fuel more volatility, which causes more losses and more selling.

Such a scenario raises the risk of introducing another downside accelerant in the shape of the dealers and market makers who are usually on the other side of derivatives transactions. They don’t have their own directional view, so aim to maintain a neutral stance by buying and selling stocks, futures or options that offset each other.

In a big market decline — when dealers suddenly find themselves selling high quantities of options that protect or benefit from the rout — it tends to put them in what’s called “short gamma.” The dynamics are complex, but the upshot is that to neutralize their exposure dealers would have to sell into the downdraft, compounding the drop.

For now, the short-vol trade’s proliferation has been proposed as one reason why the VIX has stayed eerily low in the past year despite two ongoing major geopolitical conflicts and the Federal Reserve’s most aggressive monetary tightening in decades. That’s because in current conditions, dealers are in a “long gamma” position that generally sees them buying when stocks go down and selling when they go up — dampening swings.

In its latest quarterly review published last week, the Bank for International Settlements said that dynamic was the likely reason behind the compression of volatility given the boom in strategies that eke out income from selling options. “The meteoric rise of yield-enhancing structured products linked to the S&P 500 over the last two years has gone hand in hand with the drop of VIX over the same period,” researchers wrote.

There are good alternative reasons for the calm. The stock market has steadily ground higher as neither the Fed nor the US economy delivered any major shocks over the past year. It’s also possible that, with so many bets now placed using short-dated options, the VIX no longer captures all the action since it is calculated using contracts about one month out.

Yet QVR Advisors also sees the footprints of the boom in vol-selling. The degree of swings priced into S&P 500 options — so-called implied volatility — has drifted lower over the years versus how much the index actually moves around, its data show. The theory is that money managers flooding the market with contracts to generate income are putting a lid on implied volatility — which after all is effectively a gauge of the cost of options. The hedge fund has recently launched a strategy seeking to take advantage of cheap derivatives that benefit from large swings in the S&P 500, whether up or down.

“Post pandemic, we have seen fundamental and technical reasons for volatility suppression,” said Amy Wu Silverman, head of derivatives strategy at RBC Capital Markets. “While I think that continues, it becomes more and more difficult to be short volatility from here.”

Plenty of macro factors exist with the potential to disrupt the stock market’s steady march higher, including the ongoing wars in Ukraine and Gaza, lingering inflation and the American elections. And while vol-selling strategies have provided investors with gains historically, they have a reputation for their role in compounding routs.

The most famous episode took place in February 2018, when a downturn in the S&P 500 sparked a surge in the VIX, wiping out billions of dollars in trades betting against volatility that had built up during years of relative calm. Among the biggest casualties was the VelocityShares Daily Inverse VIX Short-Term note (XIV), whose assets shrank from $1.9 billion to $63 million in a single session.

A catalyst has yet to emerge to trigger a repeat. Even when the Israel-Hamas war broke out in October or the US reported hotter-than-expected inflation for January, the market remained serene. The VIX has stayed below its historic average of 20 for almost five months, a stretch of dormancy that was exceeded only two times since 2018. The volatility gauge touched a post-pandemic low of 12 in December and was trading just below 16 as of 11:24 a.m. in New York.

To Tobias Hekster, co-chief investment officer at volatility hedge fund True Partner Capital, that enduring period of calm offers little reassurance.

“You are assuming a risk — the fact that that risk hasn’t materialized over the past one and a half years doesn’t mean it doesn’t exist,” Hekster said. “If something trips up the market, the longer the volatility has been suppressed, the more violent the reaction.”