VIX Spiked 180% on Monday, Marking Rare Move Since Financial Crisis. What It Means for Investors
VIX Spiked 180% on Monday, Marking Rare Move Since Financial Crisis. What It Means for Investors
As a series of global macro risks continue to disrupt the market and trigger a chain reaction, US stocks continued to adjust significantly under panic sentiment on Monday. The $.SPX.US$ fell by 3.0%, while the $.DJI.US$ fell by 2.6%, marking the largest single-day decline in about two years. The $.VIX.US$ , also known as the "fear index" on Wall Street, soared by 180% before the market opened on Monday, recording the largest increase ever, but eventually retreated to less than 65% as market sentiment gradually calmed down.
由於一系列全球宏觀風險繼續擾亂市場並引發連鎖反應,星期一,在恐慌情緒的影響下,美國股市持續大幅調整。 $.SPX.US$ 下降了3.0%,而 $.DJI.US$ 由芝加哥期權交易所(CBOE)維護的VIX指數,反映了市場對標普500指數未來30天波動率的預期。 VIX的計算基於 的期權的引伸波幅,在反映市場中的恐懼和壓力。通常情況下,在市場動盪或經濟下行期間,引伸波幅會上升。根據全球S&P的數據,VIX指數超過30被認爲是極高的,表明市場中存在顯着的動盪。 $.VIX.US$ ,也被稱爲華爾街的"恐懼指數",在星期一開市前暴漲了180%,創下有史以來最大的增幅,但隨着市場情緒逐漸平靜,最終回落至不到65%。
![](https://uspost.moomoo.com/news-editor-imgs/20240807/public/17229887316335613526614.png)
With the VIX index reaching levels not seen since the most severe period of the financial crisis, some investors are trying to understand this phenomenon and identify any possible trading opportunities or insights into market trends.
隨着vix指數達到了自金融危機以來的最高水平,一些投資者正在努力理解這一現象並尋找可能的交易機會或市場趨勢的見解。
What Is the Fear Index and Why Is It Surging Recently?
什麼是恐慌指數,爲什麼最近會激增?
The $.VIX.US$ measures the market's expectation of volatility in the S&P 500 index for the next 30 days. Maintained by the Chicago Board Options Exchange (CBOE), the VIX is calculated based on the implied volatility of options on $.SPX.US$ , reflecting the level of fear and pressure in the market. Implied volatility typically rises during market turmoil or economic downturns. According to S&P Global, a VIX level above 30 is considered extremely high, indicating significant turbulence in the market.
![](https://uspost.moomoo.com/news-editor-imgs/20240807/public/17229887514217909628582.png)
The VIX index surpassed the crucial level of 65 on Monday, a situation that has only occurred twice in history: during the 2008 financial crisis (reaching 89.53) and in March 2020 during the outbreak of the COVID-19 pandemic (reaching 85.47). The surge in VIX this time has been influenced by a series of ongoing global macro events, including concerns about the weakening economic and employment data exacerbating fears of a recession in the US, unwinding of a large number of yen carry trades triggering sell-offs, disappointing earnings or guidance from high-valued tech stocks denting market sentiment, and escalating geopolitical tensions in the Middle East.
vix指數週一突破了關鍵的65水平,這種情況僅在歷史上發生過兩次:2008年金融危機期間(達到89.53)和2020年3月新冠疫情爆發期間(達到85.47)。這次vix的激增受到了一系列全球宏觀事件的影響,其中包括擔憂美國經濟和就業數據的疲軟加劇了對美國經濟衰退的擔憂,大量日元carry交易的平倉觸發拋售,高估值科技股的業績或指引不佳影響了市場情緒,以及中東地區地緣政治緊張局勢升級。
Significant Clues in Monday's VIX Surge
週一恐慌分析,VIX大飆漲預示看好?
According to Jonathan Krinsky, the chief market technician at BTIG, the VIX index surged on Monday as panicked investors sought immediate protection. As a result, the spot price of VIX soared relative to the second-month VIX futures price, causing the spread between spot VIX and the next-month futures contract to briefly fall to nearly negative 30 points. This is even lower than the recent lowest level during the peak of the sell-off period caused by the COVID-19 pandemic. Typically, when the spread inverts by at least 10 basis points or more on a closing basis, it may indicate that the stock-market correction is reaching its bottom.
據BTIG的首席市場技術員喬納森·克林斯基(Jonathan Krinsky)表示,週一VIX指數的急劇上升是因爲恐慌的投資者尋求立即保護。因此,VIX現價相對於次月VIX期貨價格飆升,導致現貨VIX與下個月期貨合同之間的價差暫時跌至近負30點。這甚至低於由COVID-19大流行引起的賣出期間的峯值。通常情況下,當價差在收盤時反轉至至少10個點子或更多時,可能表明股市的修正已經觸及底部。
![](https://uspost.moomoo.com/news-editor-imgs/20240807/public/17229887762873470739204.jpeg)
Similar phenomena have also occurred in futures contracts of different maturities. According to Bloomberg data, a reversal was observed in the Chicago Board Options Exchange Volatility Index futures on Monday, with the front-month contract for August closing higher than the next-month contract for September. This also indicates that investors believe the near-term uncertainty is higher than the future uncertainty. Interestingly, the S&P 500 index was close to its lows during the past four occurrences of this phenomenon, including June and October 2022, October 2023, and April 2024.
不同到期時間的期貨合約中也出現了類似的現象。根據彭博數據,芝加哥期權交易所波動率指數期貨週一發生反轉,8月份的前月合約收盤價高於九月份的後月合約,這也表明投資者認爲短期不確定性高於未來不確定性。有趣的是,標普500指數接近其在這種現象最近四次出現期間的低點,包括2022年6月和10月,2023年10月和2024年4月。
![](https://uspost.moomoo.com/news-editor-imgs/20240806/public/17229406465498512070283.jpeg)
Exploring Trading Potential During Extreme Panic
在極端恐慌期間探索交易潛力
1. A Sharp Spike in VIX Could Indicate a Bullish Contrarian Signal:
1.極度上漲的VIX可能表明一個看好的反向信號:由於VIX和股票市場回報之間的強烈負相關性,隨着波動性指數的下降,標普500指數可能會穩定。這就是爲什麼有些人認爲VIX能夠預測SPX的轉折點。換句話說,儘管VIX指數的飆升通常會與股市的大幅下跌同時發生,但這個過程可能是暫時的,歷史上VIX指數的高點通常會先於股市回升。在極端波動性飆升並觸及峯值並下降後,可能表明最痛苦的時期已經過去,股票將再次具有吸引力。
Due to the strong negative correlation between VIX and stock market returns, a decline in the volatility index may stabilize the S&P 500 index. This is why some people believe that VIX can predict the turning point of SPX. In other words, although a surge in the VIX index usually occurs simultaneously with a sharp market decline, this process may be temporary, and the historical high of the VIX index usually precedes the stock market rebound. After extreme volatility spikes and then peaks and falls, it may indicate that the most painful period has passed and that stocks will once again be attractive.
歷史上當恐慌指數VIX指數出現顯著增長(在一年內達到底部的漲幅爲95%而沒有20%的調整)時,其隨後在下一個月平均下降了19%,在未來平均下跌了34%。這相應地反映了標普500指數在隨後一個月中反彈了2%,在接下來的一年中反彈了12%。Fundstrat研究負責人湯姆·李(Tom Lee)週一表示:“你必須關注VIX。當VIX達到頂峯並開始回落時,恢復可能會像那麼快。”
Historically, when the VIX index has experienced a significant increase (up 95% from the bottom within one year without a 20% correction), it has typically experienced a subsequent decline of around 19% within the following month and an average drop of 34% over the course of the subsequent year. Concurrently, during these periods, the S&P 500 index has tended to rebound by approximately 2% within the following month and by an average of 12% over the course of the next year.
歷史上,當VIX指數經歷了顯著增長(一年內從底部上漲95%而不進行20%的修正),通常在隨後的一個月內會經歷約19%的下跌,在隨後一年的時間內平均下跌34%。同時,在這些時期,標普500指數往往會在隨後的一個月內反彈約2%,在隨後的一年內平均上漲12%。
![](https://uspost.moomoo.com/news-editor-imgs/20240807/public/17229887038438317857628.jpeg)
"You have to watch the VIX. When the VIX peaks and starts to roll over and fall down, the recovery can be just as quick," Fundstrat head of research Tom Lee said Monday.
根據BTIG的首席市場技術分析師喬納森·克林斯基的說法,週一VIX指數的急劇上升是因爲恐慌的投資者尋求立即保護。因此,VIX現價相對於次月VIX期貨價格飆升,導致現貨VIX與下個月期貨合同之間的價差暫時跌至近負30點。這甚至低於由COVID-19大流行引起的賣出期間的峯值。通常情況下,當價差在收盤時反轉至至少10個點子或更多時,可能表明股市的修正已經觸及底部。
Moreover, from a fundamental perspective, some of the concerns behind the panic may have been overblown.
此外,從基本面的角度來看,慌亂背後的一些擔憂可能已經被誇大了。
On the one hand, the latest US non-manufacturing ISM index for July released on Monday showed a reading of 51.4, better than the expected 51. The service sector has escaped from the worst contraction in four years recorded in June and returned to the expansion zone. Chris Williamson, chief business economist at S&P Global Market Intelligence, pointed out that as the service sector accounts for a relatively large proportion of the US economy, the PMI data for July indicates that the US economy continued to grow at the beginning of the third quarter, with a growth rate equivalent to an annualized GDP growth rate of 2.2%. This has somewhat calmed the extremely fragile market sentiment after a surge in unemployment rate data.
一方面,週一公佈的7月最新美國非製造業ISM指數爲51.4,好於預期的51。服務業逃離了6月錄得的四年來最嚴重的萎縮,回到了擴張區間。標普全球市場情報首席商業經濟學家克里斯·威廉姆森指出,由於服務業在美國經濟中佔較大比例,7月PMI數據表明,美國經濟在第三季度初繼續增長,增長率相當於年化GDP增長率的2.2%。這在失業率數據激增後改善了極其脆弱的市場情緒。
Given its basic prediction of a "soft landing", David Lefkowitz, head of US equities at UBS Global Wealth Management, believes that the risk-return outlook for the US stock market looks good, and counter-cyclical bullish signals are beginning to emerge.
UBS全球财富管理部門美國股票負責人戴維·萊夫科維茨認爲,鑑於其對“軟着陸”的基本預測,美國股市的風險回報前景看起來不錯,逆週期積極信號正在開始出現。
Jamie Cox, managing partner at Harris Financial Group, said that the sell-off looked like "hysteria" and that concerns about a US slowdown had been misguided.
賀錦麗金融集團管理合夥人傑米·考克斯表示,拋售看起來像是“歇斯底里”,對美國經濟放緩的擔憂是誤導的。
On the other hand, this round of volatility may have been amplified by concerns about economic recession and geopolitical issues, as well as liquidity issues, in a situation where the market was overcrowded and had previously made excessive profits. Therefore, if the market can withstand the spread of liquidity shocks in the short term, a rebound can be expected. Moreover, the Fed now has enough policy space to lower interest rates and boost the economy, and stabilize financial markets, as the Fed's policy rate is still at the highest level in more than 20 years, ranging from 5.25% to 5.5%, 138bps higher than the implied rate level by the Taylor rule.
另一方面,這輪波動可能受到對經濟衰退和地緣政治問題以及流動性問題的擔憂的加劇影響,在過度擁擠且之前曾獲得過度利潤的情況下,這一波動可能被放大。因此,如果市場在短期內經受住流動性衝擊的擴散,可以預期會出現反彈。此外,聯儲局現在有足夠的政策空間來降低利率、刺激經濟、穩定金融市場,因爲聯儲局的政策利率仍處於20多年來最高水平,從5.25%到5.5%,比泰勒規則暗示的利率水平高出138個點子。
Keith Lerner, co-chief investment officer at Truist Advisory Services, believes that the further downside risk of the S&P 500 index is only about 5%, that is, the index would fall to a low point of around 4,900 to 5,000 points:
法定金融集團聯席首席投資官基思·勒納認爲,標普500指數的進一步下行風險僅約爲5%,即該指數將跌至約4,900至5,000點的低點:
"The template tends to be there's a spike in the VIX, everyone has been caught offsides, and there's a battle between fear and greed."
“這一模式往往是VIX會大幅上漲,所有人都已被困在了錯誤的一方,恐懼和貪婪之間形成了一場鬥爭。”
2. Extreme VIX Values Unlikely to Last Long Due to Mean Reversion:
2. 極值的VIX指數不太可能持續很久,因爲會出現均值回歸:
The VIX index exhibits mean reversion characteristics, tending to fluctuate around its average value. According to Dow Jones market data, as of 2023, the 10-year average value of the VIX index stands at 18.13. When the VIX exceeds its normal range between 10 and 30, the power of mean reversion offers opportunities for trading volatility.
VIX指數具有均值回歸特性,往往在平均值周圍波動。根據道瓊斯市場數據,截至2023年,VIX指數的10年平均值爲18.13。當VIX超出其10至30之間的正常區間時,均值回歸的力量爲波動性交易提供機會。
While investors cannot directly invest in the VIX, they can trade through tracking VIX futures contracts and exchange-traded funds (ETFs), as well as exchange-traded notes (ETNs) that hold these futures contracts.
雖然投資者無法直接投資VIX,但可以通過跟蹤VIX期貨合約和交易所交易基金(ETF)、持有這些期貨合約的交易所交易證券(ETN)進行交易。
If investors anticipate extreme increases in the VIX index leading to a market pullback, they can profit from shorting volatility through ETFs. Additionally, options are another major tool. Data from Cboe Global Markets showed that last Friday, options traders opened new bets in hopes of profiting from a decline in the VIX. Options trading volumes tied to the VIX reached a near-record 3.4 million, with the largest increase seen in put contracts.
如果投資者預計VIX指數的極限增值將導致市場回調,他們可以通過ETF賣空波動率獲利。此外,期權是另一個重要工具。來自芝加哥期權交易所的數據顯示,上週五,期權交易員開立新的投注,希望從VIX下跌中獲利。與VIX有關的期權交易量達到近紀錄的340萬,看跌期權合約增幅最大。
Furthermore, due to the usual presence of a positive price spread (contango) in VIX futures trading, where futures prices are higher than spot prices, investors can consider mean reversion in price spreads if a market crash leads to a negative price spread (backwardation).
此外,由於VIX期貨交易中通常存在正的價格差(遠期溢價),即期貨價格高於現貨價格,因此投資者可以考慮價格差的均值回歸,如果市場崩盤導致價格差爲負(反向隱含)。
However, if investors believe that the volatile situation will persist and expect an upward trend in the VIX that could harm their positions, they can hedge their portfolio's potential losses caused by stock price declines by purchasing VIX futures, options, or ETFs. These products increase in value as volatility rises.
然而,如果投資者認爲不穩定的局勢將持續,並預期VIX將上升趨勢,可能會損害他們的持倉,他們可以通過購買VIX期貨、期權或ETF對其股票價格下降所帶來的潛在損失進行對沖。這些產品的價值隨着波動率的上升而增加。
Source: MarketWatch, Investopedia, Bloomberg
來源:MarketWatch,Investopedia,彭博社