Volatility Bargain Alert: Goldman Sachs Analyst Asserts VIX Is Priced Too Low For Economic Realities
Volatility Bargain Alert: Goldman Sachs Analyst Asserts VIX Is Priced Too Low For Economic Realities
Analysts at Goldman Sachs are highlighting an intriguing disconnect between market conditions and the famed 'fear' gauge.
分析師在 高盛 凸顯了市場狀況與著名的 “恐懼” 指標之間有趣的脫節。
Goldman Sachs' analyst team, featuring experts such as John Marshall and Spencer Hill, CFA, wrote a note explaining that the CBOE Volatility Index (VIX) is presently trading at price levels considerably beneath what the broader economic context would imply.
高盛的分析師團隊由以下專家組成 約翰·馬歇爾 和 Spencer Hill，CFA，寫了一份說明解釋說，芝加哥期權交易所波動率指數（VIX）目前的交易價格水平大大低於更廣泛的經濟背景所暗示的水平。
"The VIX at 13.8 is about 6 points below the 20.6 level implied by the growth and inflation environment, but only 4 points below levels implied by our year-end-2024 estimates," the analysts wrote.
分析師寫道：“VIX指數爲13.8，比增長和通貨膨脹環境所暗示的20.6水平低約6個百分點，但僅比我們在2024年底的估計所暗示的水平低4個百分點。”
Goldman Sachs Deep Dive
高盛深度探索
Goldman Sachs' analysis examines the historical underpinnings of the VIX. They examined key macroeconomic variables such as unemployment rates, ISM new orders, consumer spending growth, and inflation.
高盛的分析考察了VIX的歷史基礎。他們研究了關鍵的宏觀經濟變量，例如失業率、ISM新訂單、消費者支出增長和通貨膨脹。
A number of factors typically appear to be correlated with an increase in equity market volatility:
許多因素似乎通常與股票市場波動性的增加相關：
- Weakness in manufacturing new orders
- Dwindling consumer expenditures
- Rising unemployment
- Disparities in inflation between consumers (CPI) and producers (PPI)
- 製造業新訂單疲軟
- 消費者支出不斷減少
- 失業率上升
- 消費者（CPI）和生產者（PPI）之間的通貨膨脹差異
Despite a turbulent period that briefly propelled the VIX to a high of 31 during the regional-bank failures in March, volatility has since taken a nosedive, except for a brief uptick in August, plumbing to 2023 lows as September began.
儘管在3月份地區銀行倒閉期間，VIX指數短暫推高至31點的高位，但此後波動率急劇下降，只是8月份短暫上漲，在9月開始時跌至2023年的低點。
Currently resting at a relatively modest 14, the VIX seems to have settled comfortably in the lower range of the post-pandemic era, even dipping below pre-Covid historical averages.
VIX指數目前處於相對溫和的14點，似乎已經輕鬆穩定在後疫情時代的較低區間內，甚至跌至COVID之前的歷史平均水平以下。
This year's staggering 35% decline in the VIX is the second-largest annual drop since the 2009 financial crisis, surpassed only by the 46% plunge witnessed in 2019.
今年VIX指數跌幅驚人35％，是自2009年金融危機以來的第二大年度跌幅，僅超過2019年46％的跌幅。
Signs of Turbulence on the Horizon?
地平線上有動盪的跡象？
Is an undervalued VIX an early indicator of turbulence ahead? There are market participants who seem to believe just that, betting on the fear index to skyrocket from here.
被低估的VIX是未來動盪的早期指標嗎？有些市場參與者似乎相信這一點，他們押注恐懼指數將從現在開始飆升。
Recently, an unconventional move saw a trader snap up more than 5,000 call options on the VIX, anticipating the fear index to soar to an astonishing 180 levels by February 2024. That's an eye-popping 1,100% leap from its current level.
最近，一位交易員在VIX指數上搶購了5,000多個看漲期權，預計到2024年2月，恐懼指數將飆升至驚人的180水平。這比目前的水平躍升了驚人的1,100％。
It's worth noting that the VIX reached its all-time high of 89 during the September 2008 Lehman Brothers crash when the entire financial world teetered on the brink of collapse.
值得注意的是，在2008年9月的雷曼兄弟崩盤期間，VIX指數創下了歷史新高，爲89點，當時整個金融界都處於崩潰的邊緣。
Exchange-traded funds such as the ProShares Trust VIX Short-Term Futures ETF (NYSE:VIXY), the ProShares Trust VIX Mid-Term Futures ETF (NYSE:VIXM), and the ProShares Trust Ultra VIX Short-Term Futures ETF (NYSE:UVXY) provide opportunities to participate in the VIX's movements.
交易所交易基金，例如 ProShares Trust VIX 短期期貨 ETF （紐約證券交易所代碼：VIXY）， ProShares Trust VIX 中期期貨 ET （紐約證券交易所代碼：VIXM），以及 ProShares Trust 超VIX短期期貨ETF 紐約證券交易所代碼：UVXY）爲參與VIX的走勢提供了機會。
Read now: How To Protect Your Portfolio From The Next Crash With SPY, VIX, GLD, TLT, And UUP
立即閱讀：如何使用 SPY、VIX、GLD、TLT 和 UUP 保護您的投資組合免受下一次崩潰的影響