Is The Market Too Calm?

評析:

1. 歷史不必然會重演, 況且取樣數目過少時, 不足以有據地推論母體
2. 多空有循環, 相信波動率也有循環 --- 高至低 & 低到高
3. 金融海嘯年2008之後的多頭持續到現在, 波動率已經由高至低得離譜的境地, 很可能會用下跌來拉升
4. 雖說波動率循環發生的必然, 但沒人知道何時發生
5. 現階段先去做波動率會往上循環的人, 便是在做預測, 那是只有上帝才知道的事情
6. 預測失敗的機率很高, 伴隨部位擴大的話, 損失會很慘
7. 操作獲利要不做預測, 且跟上目前正在發展的趨勢
8. 當有足夠的 [價格] 面證據說要反轉的時候, 再去做波動率會往上循環的相應動作, 才是相對較佳的策略

原文出處: http://www.econmatters.com/2014/05/is-market-too-calm.html

By Alan Gula for Wall Street Daily

The question of the moment seems to be whether or not investors are feeling a bit too secure.

Is the market outwardly unconcerned – or largely unaware of actual dangers lurking beneath the surface?

Well, to begin answering that question, we can turn to the Chicago Board Options Exchange Volatility Index (VIX), which is somewhat mischaracterized as the market’s “fear gauge.”

A complacent market is often associated with a low VIX reading.

And, sure enough, the VIX recently dropped to the lowest level since March 2013.

Simply put, the S&P 500 has not been very volatile recently, and traders expect this tranquility to continue in the short term.

But this lack of stock market volatility – both historical (realized) and expected (implied) – is only one part of the story.

The sense of calm permeates the markets of other asset classes, as well…

When Déjà Vu Becomes Dangerous

The BofA Merrill Lynch Market Risk Index measures future price swings implied by options markets in global equities, interest rates, currencies and commodities.

As you can see from the red shading in the chart below, the financial markets haven’t been this complacent since May 2007.

When an indicator hits a level that’s only been seen once in the past 15 years, we should all take notice.

Especially when you consider that the S&P 500 reached a pre-credit crisis high in October 2007 – just five months after similarly low volatility expectations.

So what does that mean for us going forward?

A Fragile Market

It’s important to realize that a lack of volatility can be destabilizing.

In The Black Swan of Cairo, Nassim Taleb and Mark Blyth describe a dynamic that’s very applicable to our current situation:

“Complex systems that have artificially suppressed volatility tend to become extremely fragile, while at the same time exhibiting no visible risks. In fact, they tend to be too calm and exhibit minimal variability as silent risks accumulate beneath the surface.”

You see, while the S&P 500 is making fresh all-time highs, it’s being aided by a flood of liquidity (money) due to quantitative easing (QE). This liquidity has been competing to find investments, driving up financial asset prices.

And the last two significant spikes in volatility and implied volatility (circled in green on the chart above) occurred in 2010 and 2011 – during the absence of Federal Reserve stimulus.

So with the Fed currently tapering its QE program, it’s going to be very interesting to see how the markets respond once QE is completely halted.

I happen to think that the fragility of the market will be exposed and volatility will return with a vengeance, once again.

Of course, now it seems as though the market is expecting the European Central Bank (ECB) to come through with its own stimulus.

One has to wonder what would happen if central banks around the world simply let the “free” markets find equilibrium.

The longer we have to wait to find the answer – that is, the longer central planners attempt to suppress volatility and the business cycle – the greater the eventual carnage.

So don’t be lulled into a false sense of security.

Next week, I’ll talk about the implications of this complacency for our portfolios, and discuss a sector divergence that not only serves as a sign of underlying fragility, but should also guide our asset allocation and stock selection.