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期權大單 | 拜登重申,美國不會出現債務違約

市場概覽 (5月17日)

美股週三收高,三大指數均漲超1%,地區性銀行股普漲。投資者期待白宮與美國國會就債務上限問題進行的談判能取得進展,以避免出現災難性的違約。拜登重申,美國不會出現債務違約。

週三美股期權市場總成交量41,591,813張合約。其中,看漲期權佔比52%,看跌期權佔比48%。

消息面上,美國總統拜登週三說,有信心就預算達成一致;而共和黨衆議院領袖麥卡錫則表示對拜登的談判意願感到鼓舞。也就是說,雙方仍然沒有找到答案。

所以,幾乎可以肯定的是,債務上限的“X日”將在6月初到來。美國財長耶倫認爲X日是6月1日,彭博分析師估計最早可能是6月5日,德銀、巴克萊均認爲債務上限將在6月初觸發。

在當前背景下,美銀認爲,大多資產仍沒表現出畏懼情緒,很可能在危機關頭“跳崖式大跌”。

買期權可避險?

通過對比期權價格,美銀髮現,標普500指數、波動率指數(VIX)和黃金定價暗示發生類似2011年危機的概率爲4-6%,僅爲當年危機爆發前兩個月的一半。

基於不同資產的反應,美銀評估各種對衝策略在2011年危機重演時的表現,結果發現:

以當前價格購買的100萬套期保值產品的支付比率爲2011年的一半。例如,如果標普指數在下個月下跌17% ,就像2011年7月-8月那樣,標普指數100萬套期保值產品的支付比率爲8.5%。因此,現在買進標普500指數期權的回報率仍爲35倍。

買進黃金期權的回報率爲39倍,波動率指數期權的回報率爲19倍。另外,長期美債暗示發生這種衝擊的概率比之前高出兩倍,達到10%。因此買進iShares  20+年期國債ETF可能獲得15倍的回報。

美銀表示,對股票和黃金進行尾部對衝相當於購買“廉價彩票”,可以獲得超過30倍的回報率,對衝債務上限危機。

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