Bottom-line: 투자자들은 중앙은행이 무엇을 던져도 그것을 이겨 낼 정도로 강한 경제와 기업 지표를 보며 생각을 바꾼 듯 함. 기존에 투자자들은 나쁜 소식들로 인해 중앙은행이 금리인상을 중단하고 나아가 인하에 이를 것이란데 환호했지만, 이제는 2년래 최고 수준의 소매판매나, 시스코가 제시한 기존보다 높은 매출 전망처럼 긍정적 사실을 객관적으로 받아들이기 시작하며 주식시장의 동력으로 생각하는 듯 함.
It seems there’s been enough positive economic surprises this year for equities markets to decide that we are now in an environment where good news is good news. That’s a switch from some of the action around the turn of the year when bad news was welcomed as signaling a rapid pivot by the Federal Reserve away from interest-rate hikes. US retail sales in January jumped by the most in almost two years to add to the drumbeat of reports underscoring the strength of the economy. That also highlights the potential the Fed will step up its efforts to tame inflation. However, investors are looking at the data — along with robust earnings news such as Cisco Systems Inc.’s upbeat revenue forecasts — and deciding the economy may be able to ride out whatever the central bank throws at it. Investors Switch Focus to See Good News in Strong Data.
It seems there’s been enough positive economic surprises this year for equities markets to decide that we are now in an environment where good news is good news. That’s a switch from some of the action around the turn of the year when bad news was welcomed as signaling a rapid pivot by the Federal Reserve away from interest-rate hikes. US retail sales in January jumped by the most in almost two years to add to the drumbeat of reports underscoring the strength of the economy. That also highlights the potential the Fed will step up its efforts to tame inflation. However, investors are looking at the data — along with robust earnings news such as Cisco Systems Inc.’s upbeat revenue forecasts — and deciding the economy may be able to ride out whatever the central bank throws at it. Investors Switch Focus to See Good News in Strong Data.
Docent: 물가지표가 발표된 뒤 주가지수는 변동없이 마감했지만, 변동성 지수는 왜 -7%나 하락했을까? 만기가 24시간도 남지 않은 옵션의 거래는 어떤 영향을 미치고 있는지에 대한 도슨트임.
1) 물가지표가 발표 된 뒤, 시장 참여자들의 반응은 어땠냐 물어본다면, 그 대답은 언제 그 질문을 했는가에 따라 달라질 것임. 지표가 발표 된 직후 시장은 환호했지만, 3시간 30분 뒤 비관했고, 장 종료를 마주하고는 다시 냉정을 찾았기 때문임.
how did equity traders feel about inflation after Tuesday’s consumer price index hit? Depends on when you asked. Everyone was bullish right after it came out. S&P 500 futures soared 1% as traders decided disaster had been avoided. Three and a half hours later, that optimism had evaporated: the index was down 1%. By the close stocks were back where they started, marking the third time they’d swung so widely this month alone.
how did equity traders feel about inflation after Tuesday’s consumer price index hit? Depends on when you asked. Everyone was bullish right after it came out. S&P 500 futures soared 1% as traders decided disaster had been avoided. Three and a half hours later, that optimism had evaporated: the index was down 1%. By the close stocks were back where they started, marking the third time they’d swung so widely this month alone.
2) 중앙은행의 정책 방향에 대한 추측이 난무하고 경제가 침체에 이를지 혹은 극복할지에 대해 서로 다른 이야기들로 대립하는 상황에서 만기가 24시간도 남지 않은 옵션 거래는 이에 대한 판단을 더욱 어렵게 만들고 있음.
Granted, the wild swings reflected conflicting narratives at a time when the path of Fed policy and economic growth remains very hard to track. While Tuesday’s inflation data reinforced the bear case that interest rates will stay higher than longer, it also fed an argument that the economy will avoid a recession. Yet the proliferation of 0DTE options is likely complicating matters, turning small moves into big ones and inducing violent reversals that make mincemeat of narratives.
Granted, the wild swings reflected conflicting narratives at a time when the path of Fed policy and economic growth remains very hard to track. While Tuesday’s inflation data reinforced the bear case that interest rates will stay higher than longer, it also fed an argument that the economy will avoid a recession. Yet the proliferation of 0DTE options is likely complicating matters, turning small moves into big ones and inducing violent reversals that make mincemeat of narratives.
3) '0DTE(zero-day-to-expire)' 옵션은 2022년 중순부터 인기를 얻은 거래 수단이 되었으며, 파생상품이 그 기초자산을 되려 끌고 움직이게 만드는 현상을 강화했음. 이처럼 만기가 극단적으로 짧은 옵션은 특정 이벤트를 앞두고 포트폴리오의 위험을 방어하기 위한 수단으로 사용되며, 이벤트 발표 때 생각했던 위험이 발생하지 않으면 즉시 그 옵션을 청산하면서 파생상품의 기초자산이 회복하는 과정을 증폭시킴. 물가지표 발표 시기 S&P 500 지수가 -0.03%로 거의 제자리에 끝났지만, 변동성 지수가 -7% 하락한 것도 이와 같은 원인 때문임.
These contracts, with shelf lives shorter than 24 hours, comprise a category known as zero-day-to-expire options that have exploded since mid-2022, at times causing derivatives to amplify moves in underlying assets. Single-day options are also part of hedging strategies that may be exacerbating moves when news breaks. When the worst didn’t happen, these hedges were unwound, helping propel a recovery in futures. It’s partly why the Cboe Volatility Index, or VIX, dropped 7% in a seemingly outsize reaction in a market when the S&P 500 ended the session basically flat.
These contracts, with shelf lives shorter than 24 hours, comprise a category known as zero-day-to-expire options that have exploded since mid-2022, at times causing derivatives to amplify moves in underlying assets. Single-day options are also part of hedging strategies that may be exacerbating moves when news breaks. When the worst didn’t happen, these hedges were unwound, helping propel a recovery in futures. It’s partly why the Cboe Volatility Index, or VIX, dropped 7% in a seemingly outsize reaction in a market when the S&P 500 ended the session basically flat.
4) 골드만삭스의 분석에 따르면, 최근 S&P 500의 거래에서 40% 이상이 24시간 미만의 만기를 가진 옵션으로 인해 발생하는 것으로 추정하고 있음. 제이피모건에 따르면, 이러한 하루가 되지 않는 만기의 옵션이 지수를 움직일 수 있는 범위는 -0.6%에서 +1.1% 사이라고 함. 이는 옵션을 거래하는 투자자의 반대편에 있는 딜러 때문인데, 투자자가 옵션을 거래하면 그에 상응하는 기초자산을 시장중립 포지션을 유지하기 위해 딜러가 거래해야 하기 때문임.
Taken up first by retail traders during the 2021 meme mania, 0DTE options have gained popularity among big money managers. During the second half of 2022, such options made up more than 40% of the S&P 500’s total trading volume, data compiled by Goldman Sachs Group Inc. show. That’s almost double from six months ago. In a study by JPMorgan Chase & Co. in November, strategists including Peng Cheng found that the market impact from those trades can vary from a drag of as much as 0.6% to a boost of up to 1.1%. The group at the center of it all is options dealers, who take the other side of trades and must buy and sell stocks to keep a market-neutral stance. As options traders rush to buy calls to catch up with a market rally, those purchases theoretically force dealers to snap up stocks. The same happens in reverse.
Taken up first by retail traders during the 2021 meme mania, 0DTE options have gained popularity among big money managers. During the second half of 2022, such options made up more than 40% of the S&P 500’s total trading volume, data compiled by Goldman Sachs Group Inc. show. That’s almost double from six months ago. In a study by JPMorgan Chase & Co. in November, strategists including Peng Cheng found that the market impact from those trades can vary from a drag of as much as 0.6% to a boost of up to 1.1%. The group at the center of it all is options dealers, who take the other side of trades and must buy and sell stocks to keep a market-neutral stance. As options traders rush to buy calls to catch up with a market rally, those purchases theoretically force dealers to snap up stocks. The same happens in reverse.
5) 경제가 연착륙도 경착륙도 하지 않을 것이라 주장과 중앙은행이 꽤 오래도록 금리를 높게 유지해야 한다는 주장으로 대립하는 동안, 24시간 미만 만기의 옵션을 사용해 양방향에서 빠르게 수익을 달성할 수 있는 조건이 형성되어 있음. 이를 증명하는 것이 지난 달 옵션 거래의 절반이 이런 옵션이었음. 이런 거래들이 결국 시장을 전망하거나 예측하는 것이 쓸모없을 지경으로 만들고 있는 것임.
As the market is stuck in a war between bulls eying a “no landing” and bears warning over “higher for longer” rates, that’s emboldening the use of 0DTE options to make quick profits. Over the past month, nearly one of two every options traded on the S&P 500 was 0DTE, according to Nomura Securities International’s cross-asset strategist Charlie McElligott. That’s adding another lay of noise to a market that has been defying efforts to predict or explain it.
As the market is stuck in a war between bulls eying a “no landing” and bears warning over “higher for longer” rates, that’s emboldening the use of 0DTE options to make quick profits. Over the past month, nearly one of two every options traded on the S&P 500 was 0DTE, according to Nomura Securities International’s cross-asset strategist Charlie McElligott. That’s adding another lay of noise to a market that has been defying efforts to predict or explain it.
6) 결론적으로, 노무라증권의 분석가는 이런 옵션 거래들 때문에 미국 시장은 거래가 어려운 혼란 속에 있다고 한 것임.
“US equities are such an untradable mess right now,” McElligott said.
“US equities are such an untradable mess right now,” McElligott said.
7) 제이피모건의 경우 이러한 옵션들의 거래가 변동성을 매우 낮게 만들고 있기 때문에, 2018년 변동성 지수가 큰 폭으로 증가하면서 변동성과 관련 된 투자 상품들을 한 순간에 상장폐지로 쓸어버렸던 일을 다시 한 번 재현할 수 있다고 경고하고 있음. 이 옵션들이 가지는 포지션의 가치는 일간 1조 달러에 달할 정도며, 그의 표현으로는 이 옵션들이 일으킬 수 있는 변동성 폭발 위험은 ‘Volmageddon 2.0’라 부르고 있음.
The explosive rise of short-dated options is creating event risk on the scale of the stock market’s early-2018 volatility implosion, according to JPMorgan Chase & Co.’s Marko Kolanovic. That episode, known as Volmageddon, sparked market chaos exactly five years ago and forced the shuttering of one major volatility-focused exchanged-traded product. The latest proliferation of options with zero days to expiry has similar potential to create market turmoil, the top-ranked strategist says. By his team’s estimate, daily notional volumes in such short-term options — known as 0DTE in industry parlance — is around $1 trillion.
The explosive rise of short-dated options is creating event risk on the scale of the stock market’s early-2018 volatility implosion, according to JPMorgan Chase & Co.’s Marko Kolanovic. That episode, known as Volmageddon, sparked market chaos exactly five years ago and forced the shuttering of one major volatility-focused exchanged-traded product. The latest proliferation of options with zero days to expiry has similar potential to create market turmoil, the top-ranked strategist says. By his team’s estimate, daily notional volumes in such short-term options — known as 0DTE in industry parlance — is around $1 trillion.
Reaction: Stocks extended losses, the dollar turned positive on the session and yields ticked up after higher-than-expected PPI data for January.
Bottom-line: Back to 50-bp Fed hikes?
James Bullard won't rule out supporting a half-percentage-point increase in March, citing "a long battle against inflation." Loretta Mester said she saw a compelling case for a similar move at the FOMC's last meeting, and predicted officials will take the benchmark above 5% "and hold it there for some time." Investors are ramping up bets on how far the Fed will go. Money markets now expect a peak of 5.2% in July, up from 4.9% two weeks ago.
James Bullard won't rule out supporting a half-percentage-point increase in March, citing "a long battle against inflation." Loretta Mester said she saw a compelling case for a similar move at the FOMC's last meeting, and predicted officials will take the benchmark above 5% "and hold it there for some time." Investors are ramping up bets on how far the Fed will go. Money markets now expect a peak of 5.2% in July, up from 4.9% two weeks ago.
Bottom-line: 채권 투자자들은 중앙은행이 50bp 금리인상으로 돌아갈 가능성을 매우 낮게 보고 있음. 두 인사들이 경제지표를 보며 금리인상폭을 다시 높일 수 있단 논란을 만들었지만, 중앙은행은 2월 25bp의 금리인상을 하며 그렇게 할 수 있는 기회와 명분을 이미 멀리 보냈기 때문임. 특히, 중앙은행 인사들이 5.25%의 최종 정책금리를 동의한 마당에, 이유없이 왜 25bp의 적은 인상폭으로 그곳에 도달하는 길을 멀게 만들고 있는가? 생각해 볼 일임. 그럼에도 불구 금리인상폭을 다시 높일 경우, i) 중앙은행이 인플레이션을 통제해가고 있단 설득을 잃고, ii) 경기의 연착륙이란 목표도 포기하는 것이며, iii) 정책의 일관성 상실, iv) 인플레이션이 통제 불가능하다는 공황과 부정적인 상호작용을 반복적으로 만들게 될 것임.
On Thursday afternoon, Federal Reserve Bank of Cleveland President Loretta Mester remarked that she saw a compelling case for a bigger increase earlier this month when policymakers met. Not much later in the day, her colleague James Bullard commented that he would not rule out supporting a 50-basis point hike at the March meeting. Whatever their comments, the Fed’s February move of 25 basis points will remain a missed opportunity to hike more, and it would seem that there is now little chance of reviving such a possibility. By the middle of January, it was clear from Fed officials’ steer that the monetary authority was only considering a 25-basis point increase — an end-of-season folly that is coming to haunt it two weeks after the decision. After all, if an overwhelming majority of policymakers have already penciled in a rate of 5.25%, and all economic participants are working on that assumption, why drag your feet without good reason and prolong getting to the destination? There is little doubt that if the Fed were to have met in the aftermath of January’s non-farm payrolls expansion, resurgent inflation data and stand-out retail sales, it would have probably raised rates by a bigger margin. But having dialed down the pace, it’s too late for the Fed to accelerate again, for that would a) send a message to the markets that policymakers have lost the narrative on inflation; b) that the Fed is abandoning its avowed goal of a soft landing; c) that there is no policy coherence; and d) that the Fed is panicking that inflation is out of control, spurring a negative feedback loop. None of this is lost on the markets. Even in the wake of comments by both Mester and Bullard — notwithstanding the fact that neither is a voter this year — interest-rate traders see a bigger move next month as just a fractional tail risk.
On Thursday afternoon, Federal Reserve Bank of Cleveland President Loretta Mester remarked that she saw a compelling case for a bigger increase earlier this month when policymakers met. Not much later in the day, her colleague James Bullard commented that he would not rule out supporting a 50-basis point hike at the March meeting. Whatever their comments, the Fed’s February move of 25 basis points will remain a missed opportunity to hike more, and it would seem that there is now little chance of reviving such a possibility. By the middle of January, it was clear from Fed officials’ steer that the monetary authority was only considering a 25-basis point increase — an end-of-season folly that is coming to haunt it two weeks after the decision. After all, if an overwhelming majority of policymakers have already penciled in a rate of 5.25%, and all economic participants are working on that assumption, why drag your feet without good reason and prolong getting to the destination? There is little doubt that if the Fed were to have met in the aftermath of January’s non-farm payrolls expansion, resurgent inflation data and stand-out retail sales, it would have probably raised rates by a bigger margin. But having dialed down the pace, it’s too late for the Fed to accelerate again, for that would a) send a message to the markets that policymakers have lost the narrative on inflation; b) that the Fed is abandoning its avowed goal of a soft landing; c) that there is no policy coherence; and d) that the Fed is panicking that inflation is out of control, spurring a negative feedback loop. None of this is lost on the markets. Even in the wake of comments by both Mester and Bullard — notwithstanding the fact that neither is a voter this year — interest-rate traders see a bigger move next month as just a fractional tail risk.