2023年4月15日

芝加哥期權交易所(CBOE)波動率指數(VIX)基於標準普爾500指數期權衡量波動率，目前仍處於20%左右的低位，與債券波動率趨勢形成鮮明對比。人們普遍認為，債券為對衝股票提供了天然的對衝，因為高風險時期通常會出現對債券提供的穩定現金流的需求增加，反之亦然。然而，在大流行之後，這種傳統的相關性不斷受到挑戰，這解釋了市場特殊性的巨大程度。這些天，我們讀到高通脹和低增長的結合，或者在某些情況下，我們讀到“壞數據應該是好數據”的敘述。債券市場的波動性最近達到了自2008年至2009年全球金融危機以來的最高水平。通過期權定價衡量美國國債利率波動率的ICE - BofA - Merrill Lynch期權波動率估計(Move)指數在3月中旬觸及近200個基點(bps)，並在接近月底時穩定在140個基點左右。值得注意的是，目前的水平標誌著自全球金融危機以來債券市場波動的最高水平。銀行業動蕩後債券收益率的大幅波動是造成這種波動的原因之一:隨著金融市場如何看待聯邦基金方向與聯邦公開市場委員會(fomc)預測中值之間的拉鋸戰將繼續下去，這種情況可能會持續下去。這表明，至少在2023年上半年結束之前，這段旅程不太可能是平穩的。然而，與債券市場相比，股市的波動描繪了一幅不同的畫麵。 The CBOE Volatility Index (VIX), which measures volatility based on S&P 500 index options, remains low at around 20%, a stark contrast to bond volatility trend. Significant correlation There is a significant correlation of 67% between Move and VIX indices at least since 2005. The recent outcome, however, leads to a different conclusion whereby bond volatility has been moving north while equity market volatility indicates a calmer situation. The banking turmoil appears to be under control as there is no major domino effect thus far, but it remains to be seen if it has really ended. Therefore, we think that equity market has yet to price in all potential downside. Historical experience suggests that financial-related crisis took more than just a few months before any victory is declared. The GFC, for instance, saw early signs emerging towards the end of 2007 while the eurozone debt crisis lasted for a few years. That said, authorities in the United States and Europe had acted swiftly to contain the spillover risk as well as restoring market confidence. With credit condition tightening further and more weaknesses observed at the US housing market front, we opine that there is more downside risk in the economy which somewhat explains the bond market volatility. Furthermore, cumulative effects from steep interest rate hike to combat elevated inflation level certainly has its price. While the focus of late has been centred on mark-to-market impact on the banks’ bond exposure, our emphasis is more towards the real economic impact. Contractionary region Manufacturing PMI has been in the contractionary region for five straight months since November 2022 while new orders which offers business direction ahead also remained stuck in the contractionary region. House prices, as indicated by the S&P Case-Shiller 20-City Aggregate Price Index, have already witnessed a sharp correction as a cumulative 475 bps of rate hike by the US Federal Reserve saw the 30-year Fixed Mortgage Rate climb to 7%. Credit conditions have also tightened even before the banking turmoil. The senior loan officer opinion survey on bank lending condition pointed to net tightening in credit condition which may make it harder for businesses and household to access funding. We opine that the cumulative effects from present rate hike regime would further manifest in the coming months. The only strength in the US economy will come from its still overheated job market which explains the present stickiness in inflation. For FX enquiries, please contact: ambank-fx-research@ambankgroup.com For Fixed Income enquiries, please contact: bond-research@ambankgroup.com Article type: metered