(Bloomberg) - Phab ntsa Street cov tub lag luam tab tom npaj rau kev sib tw tshiab-kev ua lag luam foob pob hluav taws hnub Friday tom qab lwm lub lim tiam ntawm kev kub ntxhov thoob ntiaj teb.
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Nyob rau hauv ib lub hlis twg qhov kev tshwm sim hu ua triple witching, kwv yees li ntawm $ 3.5 trillion ntawm ib qho khoom lag luam thiab cov kev xaiv qib qis tau teem caij tas sij hawm, raws li Goldman Sachs Group Inc. Tib lub sijhawm, ntau qhov kev xaiv nyiaj nyob ze yog maturing dua li ntawm ib qho twg. lub sij hawm txij li thaum 2019 - hais tias ib tug bevy ntawm cov tub ua lag luam yuav nquag pauv nyob rau hauv cov hauj lwm.
Thiab ib zaug ntxiv, qhov no triple witching coincides nrog ib tug rebalancing ntawm benchmark indexes nrog rau lub S&P 500 - ib tug ua ke uas zoo nkaus li ua rau ib tug ib hnub ntim uas nyob rau hauv lub siab tshaj plaws ntawm lub xyoo. Raws li kev kwv yees los ntawm Howard Silverblatt, tus kws tshuaj ntsuam xyuas qib siab ntawm S&P Dow Jones Indices, qhov kev sib npaug ntawm qhov ntsuas ib leeg tuaj yeem txhawb nqa $ 33 nphom ntawm cov khoom lag luam.
Hnub Friday lub rooj sib tham tsaws ib yam li S&P 500 rov qab los nrog kev dhia peb hnub, ua rau muaj kev cia siab los ntawm Tsoom Fwv Teb Chaws Reserve qhov kev cia siab tias kev lag luam tuaj yeem tiv taus tus nqi nce siab thiab Tuam Tshoj txoj kev cog lus los txhawb nws cov lag luam nyiaj txiag. Txawm li cas los xij hauv kev qhia txog cov txiaj ntsig zoo, qhov kev sib tw tau txhawb nqa los ntawm cov tswv lag luam npog cov haujlwm luv luv kom sib npaug sib npaug thaum qhov kev thov rau cov khoom lag luam hedges nce siab.
Tam sim no raws li ntau daim ntawv cog lus tas sij hawm, cov lus nug tseem ceeb yog seb cov tub ua lag luam puas yuav rov tsim kho lawv cov kev tuav pov hwm kev tiv thaiv thaum muaj kev txhawj xeeb txog kev loj hlob thiab kev ua tsov ua rog hauv Ukraine - lossis lawv puas yuav caum kev lag luam rov qab nrog kev cog lus hu.
David Wagner, tus thawj coj ntawm Aptus Capital Advisors tau hais tias "Kuv tsis tau pom ib puag ncig uas koj tau muaj peev xwm overhangs hauv kev ua lag luam uas tswj tsis tau," "Peb yuav pom yog tias tib neeg tuaj yeem pom los rov muab lawv tso dua."
S&P 500 tau nce yuav luag 6% dhau los ntawm peb qhov kev sib tham hauv qhov kev sib tw zoo tshaj plaws txij li xyoo 2020, raws li cov nyiam ntawm Marko Kolanovic ntawm JPMorgan Chase & Co. hais kom cov tub ua lag luam mus rau tag nrho.
Kev nthuav tawm cov khoom lag luam ntim tau yog qhov kev sib tw ntawm kev lag luam tom qab kis thoob qhov txhia chaw - nplawm cov khoom lag luam hauv ob qho kev qhia, dua thiab dua. Txhawm rau cov kws tshaj lij suav nrog Charlie McElligott ntawm Nomura Holdings, lub lim tiam no ua ntej hauv S&P 500 tau rov ua kom muaj zog ntxiv los ntawm kev ua haujlwm tiv thaiv ntawm cov neeg tsim khoom lag luam.
Nws yog cov txheej txheem nyuaj, tab sis nws ua haujlwm zoo li qhov no: Thaum tus neeg muag khoom muag ib qho kev xaiv, nws yog ib qho tseem ceeb noj thawj koom ruam ntawm cov cuab yeej cuab tam mus nce. Txhawm rau tiv thaiv qhov kev pheej hmoo tsis txaus ntseeg no, tus neeg tsim khoom lag luam feem ntau muag qee yam khoom vaj khoom tsev kom tuav txoj haujlwm nruab nrab. Thaum cov kev xaiv muab tso tseg tag los yog tau siv zog, nws yuav thim rov qab cov kev txav mus los - muaj peev xwm tsim kom muaj kev sib tw rau lub cuab tam.
Lwm qhov tseem ceeb ntawm cov tswv lag luam yog lawv tam sim no "luv gamma" lossis "short delta" txoj haujlwm uas xav kom lawv mus nrog cov kev lag luam thoob plaws: Yuav cov khoom lag luam thaum lawv nce thiab muag thaum lawv poob.
Thaum pib ntawm lub asthiv, lawv qhov kev nthuav tawm ntawm S&P 500 cov khoom tau zaum ntawm ib theem ze ntawm qhov siab tshaj plaws "luv gamma" txheeb ze rau keeb kwm, raws li kev kwv yees los ntawm McElligott, tus kws tshaj lij kev sib tw ntawm Nomura. Peb hnub tom qab, qhov ntawd tau hloov mus rau "zero gamma." Raws li txoj kev, cov tswv lag luam raug yuam kom yuav cov khoom lag luam rov qab thiab kaw lawv txoj haujlwm luv.
Nrog rau kev lag luam kev xav tsis muaj zog thiab lub koom haum-nyiaj tau raug cuam tshuam rau cov khoom lag luam nyob ze mutliyear lows, ceev faj hauv kev lag luam derivatives nyob txhua qhov chaw. Qhov nruab nrab 20-hnub ntawm Cboe muab-hu piv rau cov peev txheej, piv txwv li, hovers ze li ob xyoos siab.
Steve Sears, tus thawj tswj hwm ntawm Options Solutions tau hais tias "Peb pom muaj kev pheej hmoo ntawm kev pheej hmoo txuas ntxiv ntawm cov tub ua lag luam, thiab kev cia siab tias cov khw lag luam tseem tsis hloov pauv," "Muaj ntau yam xwm txheej tseem ceeb uas tuaj yeem hloov pauv lub lag luam tempo uas hedging thiab tus neeg mob lub zog zoo li cov lus los ntawm kev xaiv lag luam."
Cov kev xaiv nyob deb ntawm cov nyiaj lossis hauv cov nyiaj tau txais kev saib xyuas tsawg dua ntawm Wall Street nyob ib puag ncig hnub tas sijhawm. Tam sim no nrog ntau qhov txawv txav ntawm S&P 500 daim ntawv cog lus zaum ze ntawm tus nqi ntawm lub sijhawm no, kev ua lag luam rau hnub Friday zoo li yuav muaj kev ntxhov siab ntau dua li ib txwm, raws li Goldman tus kws tshaj lij Rocky Fishman.
Nws tau hais tias "Qhov kev nthuav dav tshaj plaws yog cov kev xaiv uas nyob ze ntawm cov nyiaj, txij li thaum peb mus txog qhov kawg, muaj qhov tsis paub meej txog seb lawv puas yuav tau nyiaj," nws hais. "Qhov kev tsis paub meej ntawd tuaj yeem ua rau cov tub ua lag luam ua lag luam nyob ib puag ncig cov haujlwm no."
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