Page 37 - CCFA Journal - Sixth Issue
P. 37

加中金融                                                Market 市场分析


























               Figure 5. XLF Skew, 1-Month Options, 1 Month (red), 3 Month (green), 1 Year (magenta), 2 Years (blue) Ago























               Figure 6. XFN Skew, 1-Month Options, 1 Month (red), 3 Month (green), 1 Year (magenta), 2 Years (blue) Ago

    The shapes of these curves are quite similar to the broader   这些曲线的形状与前面列子中的更宽泛的指数十分相似。
    indices  featured  in  the  earlier  examples.    Even  though  XLF   尽 管 XLF 包 含 几 家 非 银 行 金 融 公 司 , 如 Berkshire
    contains  several  non-bank  financial  companies,  such  as   Hathaway(BR.B)和 American Express(AXP),但这两
    Berkshire Hathaway (BRK.B) and American Express (AXP), both   只 ETF 都涵盖了其各自国家最大的银行。再一次,似乎
    ETFs  cover  each  country’s  largest  banks.    Once  again,  it   加拿大期权平缓的 Skew 曲线是 ZWB 等 ETF 惯于使用卖
    appears that the flat skew on the Canadian side may be the    出看涨之策略的结果。相对于加拿大期权市场的规模,
    result of the habitual call writing by ETFs like ZWB.  That activity   这种卖出看涨的活动其规模可比针对美国银行的任何有
    is far larger relative to the size of the Canadian options market   组织的卖出看涨都要大得多。
    than any organized call selling on US banks.
                                                                  对加拿大期权交易者而言,结果非常明了。卖出 XIU、
    The ramifications for Canadian options traders are clear.  There
    is relatively little to be gained by writing out-of-the-money calls   XFN 和大型银行的价外看涨期权相对来说收益甚微。很
    on XIU, XFN and large banks.  Quite simply, there are large ETFs   简单,市场上有大型 ETF 频繁进行这项操作,从而抑制
    that  make  a  business  out  of  that  activity  and  suppress  the   了高于市价之期权的隐含波动率。但另一方面,这也为
    implied volatility of above-market options.  On the other hand,   加拿大的看涨期权买家们提供了机会。大型加拿大银行
    this  can  present  opportunities  for  call  buyers  in  Canada.    的看涨期权通常不是什么投机的好选择,但如果把握好
    Speculating with calls on large Canadian banks is usually not a   买入时机,低水平的隐含波动率也可能带来大收益。
    sexy prospect, but low implied volatilities can be a boon for
    well-timed purchases.


                                          CCFA JOURNAL OF FINANCE   February 2022
                                                                                                        Page 37     第37页
   32   33   34   35   36   37   38   39   40   41   42