Volmageddon yog dab tsi? Vim li cas Sau Cov Kev Xaiv Kev Lag Luam tuaj yeem pheej hmoo lwm 20% Tshuag tsoo

Tojsiab

Kev nce siab tsis ntev los no hauv cov npe hauv xoom-hnub cov ntawv cog lus tuaj yeem ua rau poob loj heev rau S&P 500, JPMorgan cov kws tshuaj ntsuam ceeb toom, vim tias qhov pheej hmoo luv luv bets dua tau txais kev muaj koob npe los ntawm cov tub ua lag luam tab tom nrhiav nyiaj ntsuab hauv kev lag luam lag luam volatility.

Cov Lus Tseem Ceeb

Xoom hnub rau cov kev xaiv tas sij hawm, feem ntau hu ua xoom-hnub xaiv lossis 0DTE, raug tso lossis hu uas tas sijhawm hauv 24 teev ntawm kev yuav khoom, nquag tso siab rau qhov loj heev intraday viav vias rau nyiaj ntsuab ntawm qhov muaj peev xwm nce.

Kwv yees li $ 1 trillion tus nqi ntawm 0DTE kev xaiv tau yuav txhua hnub, raws li JPMorgan kev tshawb fawb.

JPMorgan tus kws tshaj lij Marko Kolanovic tau hais lub hli tas los qhov kev nyiam ntawm cov kev lag luam no tuaj yeem ua rau "Volmageddon 2.0," ib qho kev sib koom ua ke ntawm volatility thiab Armageddon hais txog qhov nce siab hauv cov kev xaiv luv luv hauv lub Ob Hlis 2018, uas tshwm sim los S&P kom plam 4%, nws lub hli phem tshaj plaws hauv ob xyoos.

Lub sijhawm no, qhov cuam tshuam tuaj yeem yog qhov phem dua: Ib qho 5% intraday poob rau S&P tuaj yeem ua rau $ 30 nphom hauv 0DTE cov kev xaiv muag thiab 20% poob ntxiv rau qhov ntsuas, JPMorgan's Peng Cheng tau sau rau hnub Monday.

Kev Nkag Siab Hais

"Txawm hais tias keeb kwm tsis rov hais dua, nws feem ntau sib dhos," Kolanovic ceeb toom txog qhov nce ntawm 0DTE cov kev xaiv ua rau muaj kev sib tsoo sib piv rau 2018.

Contra

Bank of America cov kws tshuaj ntsuam tau thawb rov qab rau qhov muaj peev xwm poob ntawm 0DTE cov kev xaiv, sau rau hauv tsab ntawv ceeb toom lub lim tiam dhau los cov kev lag luam yog "sib npaug [thiab] nyuaj" dua li kev ua lag luam uas tsuas yog ib txoj kev twv ntawm qhov tsis tshua muaj, ib hnub swings.

Tus Keeb Kwm Tseem Ceeb

Txawm hais tias muaj txiaj ntsig zoo ntawm tib hnub kev xaiv, kev ua lag luam tau dhau los ua qhov tseem ceeb tshaj plaws rau kev txav mus rau hnub tseem ceeb: S&P tau poob lossis nce 1% lossis ntau dua 20 npaug ntawm xyoo dhau los, piv rau tsuas yog xya zaus hauv tib lub sijhawm. ib xyoo caum dhau los. Txawm tias khw muag khoom lag luam pab roj qhov muaj koob meej ntawm cov kev xaiv txhaj tshuaj ntev ntev, nws feem ntau yog Phab ntsa Street tom qab 0DTE kev xaiv craze: Institutional investor account for about 95% of the same-day S&P options trades, raws li Cheng.

Txaus Ntshai Qhov Tseeb

Hnub nrov tshaj plaws rau tib hnub xaiv kev lag luam nyob rau lub sijhawm peb lub hlis xaus rau hnub Monday kawg yog Lub Ob Hlis 3, thaum Lub Tsev Haujlwm Saib Xyuas Kev Ua Haujlwm tso tawm nws cov ntawv tshaj tawm txoj haujlwm txhua hli, uas feem ntau hloov pauv cov khoom lag luam, raws li Goldman Sachs tsom xam.

ntxiv nyeem ntawv

Volmageddon thiab Qhov Kev Ua Tsis Zoo ntawm Cov Khoom Siv Hluav Taws Xob luv luv (Financial Analysts Journal)

Dab tsi yog Zero-Day Tshuag Options? Vim Li Cas Lawv Tseem Ceeb? (Washington Post)

Cov khw muag khoom lag luam poob loj hauv kev xaiv lag luam, kev tshawb fawb qhia (MIT Sloan)