(Bloomberg) - JPMorgan Chase & Co. cov kws tshaj lij tau tshaj tawm lub teeb tshiab ntawm lawv cov lus ceeb toom tsis txaus ntseeg tias qhov kev npau taws rau xoom-hnub xaiv ua rau muaj kev pheej hmoo ntawm kev lag luam thoob plaws "Volmageddon 2.0."
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Hauv txoj kev tshawb fawb tshiab, 5% poob rau hauv S&P 500 tau pom snowballing ntxiv 20% nyob rau hauv qhov xwm txheej phem tshaj plaws ntawm kev ua lag luam nyias, nyob rau hauv qhov xwm txheej hnyav tag nrho cov tub luam tawm lawv cov kev tuav pov hwm ntawm xoom-hnub-rau-hnub kev xaiv, hu ua 0 TSI.
Cov kev tshawb fawb nrhiav kev tawm tsam cov neeg nyob hauv Wall Street uas hais tias lub txhab nyiaj lub tswb nrov yog overblown, tom qab nws kos ib qho kev sib piv ntawm niaj hnub no boom nyob rau hauv daim ntawv cog lus derivatives uas mature nyob rau hauv tsawg dua 24 teev thiab volatility implosion nyob rau hauv 2018. Los ntawm JPMorgan qhov kwv yees, niaj hnub notional. ntim hauv cov kev xaiv luv luv no yog nyob ib ncig ntawm $ 1 trillion.
"Kev kwv yees kev lag luam cuam tshuam los ntawm 0D kev xaiv unwind tshaj qhov qub kev lag luam poob siab hauv txhua qhov xwm txheej, qhia txog qhov kev xav ntawm 0D cov kev xaiv thiab lawv cov kev pheej hmoo yuav ua rau kev lag luam ruaj khov," pab pawg thawj coj los ntawm Peng Cheng tau sau rau hauv tsab ntawv hnub Monday.
Tau txais kev tuav pov hwm ntawm kev hem thawj los ntawm qhov nce ntawm cov ntawv cog lus nrawm nrawm yog sib tw los ntawm qhov loj me ntawm cov kev xaiv lag luam, lub neej luv luv ntawm cov kev lag luam no thiab tsis paub tseeb txog leej twg siv lawv. Thaum qee tus ntawm Txoj Kev pom cov txiaj ntsig tau txo qis kev lag luam tsis hloov pauv, lwm tus coj los ntawm JPMorgan pom lawv yog qhov muaj kev kub ntxhov.
Hauv kev tshawb fawb zaum kawg, Cheng thiab nws cov npoj yaig tau teeb tsa los ntsuas qhov kev pheej hmoo poob qis los ntawm cov cuab yeej, uas yog qhov xav tau loj ntawm cov tswj hwm nyiaj txiag ceev ceev. Txoj kev uas cov kws tshaj lij pom nws, lub hauv paus ntawm cov teeb meem muaj peev xwm ntawm cov neeg tsim khoom lag luam, uas coj mus rau sab nraud ntawm kev lag luam thiab yuav tsum tau yuav thiab muag cov khoom lag luam kom muaj kev lag luam-nruab nrab. Qhov kev ntshai yog kev txhawb nqa tus kheej qis qis uas ua rau tag nrho lub khw, raws li nws tshwm sim thaum Lub Ob Hlis 2018.
Txhawm rau ntsuas qhov muaj peev xwm cuam tshuam, pab pawg siv cov kev ntsuas hu ua delta, lossis qhov theoretical tus nqi ntawm cov khoom lag luam xav tau rau cov neeg tsim khoom lag luam txhawm rau tiv thaiv qhov cuam tshuam los ntawm kev xaiv kev lag luam. Txhawm rau ntsuas qhov xwm txheej hnyav, lawv xaiv 1 teev tsaus ntuj raws li lub sijhawm ntawm hnub rau txoj kev tshawb fawb muab nws yog qhov qis tshaj plaws ntawm cov nyiaj tau los hauv nruab hnub thaum lub sijhawm sib pauv, thiab tsom mus rau kev cuam tshuam kev lag luam nyob rau lub sijhawm tsib feeb.
Taug qab txhua qhov kev xaiv pauv hauv thawj ob lub hlis ntawm xyoo 2023, Cheng tau hais txog cov haujlwm zoo tshaj plaws ntawm txhua daim ntawv cog lus 0DTE thaum 1 teev tsaus ntuj txhua hnub kom tau txais ntawm qhov nruab nrab delta txheeb ze rau kev lag luam txav. Xav tias tag nrho cov ntawv cog lus xoom-hnub tsis zoo nyob rau tib lub sijhawm, 1% poob ntawm S&P 500 tuaj yeem ua rau delta muag ntawm $ 6.6 billion, uas sib raug rau qhov poob ntxiv ntawm 4% thaum lub sijhawm ua lag luam nyias, lawv cov qauv qhia.
Hauv qhov xwm txheej uas S&P 500 poob 5%, qhov nruab nrab muag los ntawm cov neeg muag khoom xaiv tuaj yeem nce mus txog $ 14.2 billion thiab rub lub lag luam qis dua 8%. Nyob rau hauv qhov xwm txheej hnyav, qhov kev sib tw no tuaj yeem ua rau mus txog $ 30.5 nphom ntawm delta muag, lossis ntaus 20%.
Rau Brent Kochuba, tus tsim ntawm cov kev xaiv tshwj xeeb SpotGamma, qhov xwm txheej tsom xam xav tias qhov chaw ua lag luam zoo li qub, qhov tseeb qhov muag los ntawm cov neeg muag khoom xaiv yuav raug cuam tshuam los ntawm kev npog ntawm cov haujlwm uas twb muaj lawm thiab muaj peev xwm ntxiv cov tshiab.
Kochuba tau hais tias "Peb yuav cia siab tias ntau tus tub luam yuav hloov kho sai sai rau hauv qhov poob qis," Kochuba hais.
Lub caij no, pab pawg JPMorgan kuj tau muab kev kwv yees ntawm cov khw muag khoom kev koom tes hauv cov khoom lag luam siab-octane. Tam sim no, tsuas yog ib ncig ntawm 5% ntawm S&P 500's 0DTE cov kev xaiv tau pib los ntawm cov tub luam hnub. Qhov ntawd piv nrog kwv yees li 20% rau lawv qhov sib koom hauv cov ntawv cog lus zoo sib xws uas taug qab SPDR S&P 500 ETF Trust (ticker SPY).
"Peb tsis pom qhov tseem ceeb ntawm kev koom tes hauv khw muag khoom" txij li Cboe Ntiaj Teb Kev Lag Luam Inc. thawj zaug ua cov kev xaiv niaj hnub muaj rau cov tub ua lag luam xyoo tas los, Cheng tau sau. "Yog li ntawd, peb tsis ntseeg tias cov khw muag khoom lag luam yog tus tsav tsheb tseem ceeb ntawm 0D kev xaiv ntim loj hlob."
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Tau qhov twg los: https://finance.yahoo.com/news/jpmorgan-spells-volmageddon-risk-zero-173029051.html