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When Volatility Spikes, Financial Things Break - The Case of UK Gilts and Pensions

2022/10/12

Money For the Rest of Us

AI Deep Dive AI Chapters Transcript

People

Chris Cole

David Stein

Eric Lonergan

Paul Dales

Topics

Eric Lonergan：过去30年，投资者普遍采用波动率作为衡量风险的指标，这是投资者行为的重大转变。 Chris Cole：我们对波动率的理解存在偏差，现代投资组合理论将波动率视为外生变量，而实际上波动率会影响风险本身，它是一个场内参与者，而非旁观者。 David Stein：英国国债收益率的飙升（20年期国债收益率从0.9%升至4.9%）导致长期债券投资者损失惨重，例如Vanguard UK Long Duration Guilt Index Fund年内下跌49%。英国政府的迷你预算案引发市场恐慌，英镑跌至历史低点。英国养老金计划的负债驱动投资（LDI）策略利用衍生品提高回报，但利率飙升导致巨额损失，养老金计划被迫抛售政府债券，进一步加剧市场动荡，最终导致英国央行介入干预。 Paul Dales：英国政府债券的高收益率并非仅仅是养老金行业的问题，而是低利率环境向高利率环境转变的结果。 Benjamin Bowler：经济政策的不确定性，特别是央行的行动，是导致波动性增加的主要因素。 Robin Wigglesworth：群体行为、杠杆、高频交易和流动性不足都会加剧市场波动。当市场平静时，交易条件良好；但当平静被打破时，许多投资基金被迫或自动地抛售资产，同时做市活动主要由高频交易公司进行，当波动性上升时，高频交易公司会收窄交易价格范围并减少订单规模。 David Stein: 做空波动性策略（例如卖出看跌期权或做空VIX）长期来看可能会有正收益，但风险在于波动率意外飙升。2018年2月的Volmageddon就是一个例子，VIX单日飙升116%，许多跟踪该策略的交易所交易产品损失惨重。做空波动性策略面临多种风险，包括波动性增加、利率上升和伽马风险。我投资了WisdomTree CBOE S&P 500 PutWrite Strategy ETF (PUTW)和Simplify Volatility Premium ETF (SVOL)等ETF，以参与做空波动性策略，但这些策略也存在风险。当VIX期货曲线处于反向市场时，做空VIX的策略可能会亏损。当市场波动性增加时，我们需要了解负债驱动投资、波动率市场以及杠杆的风险。

Deep Dive

Chapters

This chapter defines volatility, explains its measurement using standard deviation, and challenges the traditional understanding of volatility in modern portfolio theory. It highlights that volatility is not merely a passive measure of risk but an active player influencing market outcomes.

Volatility measures the deviation of a security from its average price or return.
Standard deviation is the most common statistical measure of volatility.
Modern portfolio theory treats volatility as an external measure of risk, a flawed concept according to experts like Chris Cole.
Volatility actively influences risk and market outcomes, not just passively measuring them.

Shownotes Transcript

What is volatility and what causes it to rise and fall? How volatility itself contributes to more volatility such as in the example of the chaotic UK government bond market where long-term yields have increased by 4% in 2022.

Topics covered include:

How the role of volatility has changed in financial markets
What caused UK interest rates to spike and long-term bond investors to lose 50%
What is liability-driven investment
What drives increases in volatility and volatility spikes and spillovers are more frequent
How to earn income from shorting volatility and what are the risks
What we can learn when financial securities blow up

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Show Notes

The volatility virus strikes again by Eric Lonergan—Financial Times)

How ‘Liability-Driven’ Pension Funds Triggered UK Bond Panic by Loukia Gyftopoulou and Greg Ritchie—Bloomberg)

UK government debt and deficit: December 202—UK Office for National Statistics)

Markets are more fragile than investors think by Robin Wigglesworth—Financial Times)

Volatility and the Alchemy of Risk: Reflexivity in the Shadows of Black Monday 1987—Artemis Capital Management)

What Caused the Volatility “Volmageddon” on 5-Feb-2018 by Vance Harwood—Six Figure Investing)

Gamma Explained—Merrill)

Delta Explained—Merrill)

Inside Volatility Trading: Is VIX Backwardation Necessarily a Sign of a Future Down Market? by Scott Bauer)

Investments Mentioned