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就去干欧美图片 _芝加哥商品交易所观点:在平静的夏季过后英镑汇率将大跌吗?

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译者 王为

文中黑字部分为原文,蓝字部分为译文,红字部分为译者注释或补充说明

Brexit: Pound Set For Volatile Fall after Calm Summer?

By Erik Norland

芝加哥商品交易所观点:在平静的夏季过后英镑汇率将大跌吗?

On July 23, the UK’s Conservative Party will announce it new leader, who will also become the country’s next Prime Minister, succeeding Theresa May. That will almost certainly be Boris Johnson, leader of the 2016 official “leave” campaign (the unofficial campaign was spearheaded by the newly formed Brexit Party chief Nigel Farage). Oddsmakers favor Johnson 95% to 5% over former “remain” supporter Jeremy Hunt, the current Foreign Secretary. In Johnson’s words, Brexit by October 31, 2019, is a “do or die” issue for the Tories. If they fail to achieve the UK’s departure from the European Union, the rising Brexit Party will assure that the Conservative Party’s goose is cooked in time for Christmas.

7月23日,英国保守党将公布新的党首,这位新党首同时还将接替特雷莎·梅成为英国下届首相。几乎可以肯定即将胜出的是2016年在保守党内部主导“脱欧”运动的鲍里斯·约翰逊(在民间主导脱欧运动的是新成立的英国脱欧党党首奈杰尔·法拉奇)。场外赔率显示约翰逊和主张“留欧”的现任外交大臣杰瑞米·亨特的胜选概率分别为95%和5%。按照约翰逊的说法,2019年10月31日是英国保守党在脱欧问题上的生死大限,届时如果英国未能脱离欧盟,势头正猛的英国脱欧党就将把保守党一脚踹进下水沟。

Curiously, the same oddsmakers who give Johnson overwhelming odds of becoming Prime Minister don’t think that Brexit is all that likely by December 31, 2019, much less by the October 31 deadline. They price a 55% chance that the UK will still be in the European Union (EU) by year’s end, and only a 45% chance that the UK will have left either with a deal (16%) or without one (29%).

有意思的是,那些一边倒地赌约翰逊将接任英国首相的人却并不怎么确信英国会在2019年12月31日前完成脱欧,认为届时英国将实现脱欧的赔率大大低于认为10月31日将完成脱欧的赔率。这些人认为年底前英国仍留在欧盟的概率为55%,脱欧的概率只有45%,其中无协议脱欧的概率为29%,有协议脱欧的概率为16%。

Furthermore, the oddsmakers price a 77% likelihood of a no-confidence vote in 2019, presumably shortly after Johnson moves into 10 Downing Street. If the government loses a no-confidence vote, this will lead to new elections, which would almost certainly delay Brexit further. Opinion polls show a very fluid political situation in the UK, with traditional loyalties breaking down as leave-versus-remain supersedes the traditional left-right divide.

此外,投注者认为2019年内一场不信任投票发生的可能性有77%,时间应该是在约翰逊入主唐宁街10号之后不久。如果内阁在不信任投票中落败,将会导致新的选举产生,而这几乎可以肯定进一步延迟英国脱欧的进程。民意测验显示英国的政局相当动荡,传统的左右两派的政治分野被脱欧和留欧的政治分歧所取代。

Given the potential, and near certitude, of high stakes political drama this fall, it’s not surprising that the options markets on the British pound (GBP) price a volatile fourth quarter. Three-month (3M) at-the-money (ATM) options, which don’t cover the October 31 deadline, traded at an 7.25% implied volatility recently. Six-months options, which do cover the October 31 deadline, traded at closer to 8.5% implied volatility. This connotes that the implied volatility for 3M options three months from now (3M3M) is close to 9.75%. Basically, traders expect a relatively calm summer for the GBP-US dollar exchange rate but a significantly more volatile period in the fall (Figure 1). That said, the implied volatility is hardly at extreme levels and for either 3M or 6M options, and it has the potential to drift significantly higher as the Brexit drama heats up again this fall.

考虑到今年秋季有可能甚至是几乎可以肯定英国政局将“上演大戏”,因此看到英镑期权市场在定价中预测英镑汇率将在四季度出现动荡也就没那么令人感到奇怪了。到期日未跨越10月31日英国脱欧大限的期限为三个月的英镑/美元平价期权的隐含波动率水平近期为7.25%,而到期日跨过10月31日的期限为六个月的英镑/美元平价期权的隐含波动率水平接近8.5%,这就意味着三个月之后起息的期限为三个月的英镑/美元平价期权的隐含波动率水平接近9.75%。总的来看,交易员认为今年夏季英镑/美元将处于比较平静的状态,但是进入秋季后汇率的波动率将明显提升,见图1。尽管如此,英镑/美元期权的隐含波动率水平不管是三个月期限还是六个月期限均很难维持在历史极端的低位,随着英国的脱欧政治大戏在今秋再次上演,英镑/美元期权的隐含波动率有可能将大幅上扬。

Figure 1: British pound options project greater, but hardly exceptional, Q4 volatility.

芝加哥商品交易所观点:在平静的夏季过后英镑汇率将大跌吗?

Options skew also hints a greater downside potential for the pound in the fall than over the summer. 3M 0.25 delta out-of-the-money (OTM) puts trade for about 1% implied volatility more than 3M 0.25 delta OTM calls. On the 6M options that difference is closer to 2%. In other words, the downside potential for the pound becomes more acute as we enter the fall months in the view of options traders.

期权波动率的偏斜程度也显示今年秋季英镑对美元汇率贬值的可能性要大于夏季。德尔塔值为0.25的三个月期价外看跌期权的隐含波动率比德尔塔值相同期限也相同的价外看涨期权的隐含波动率高了约1%,如果期限换成六个月,那么德尔塔值为0.25的六个月期价外看跌期权的隐含波动率比德尔塔值相同期限也相同的价外看涨期权的隐含波动率高了约2%。也就是说,在期权交易员看来今年秋季英镑对美元的汇率贬值的可能性越来越大。

That said, traders don’t see the downside skew on the pound as being anywhere near as extreme as it was in 2016 prior to the Brexit referendum. At that point, OTM puts traded at an implied volatility as high as 5-7% more than equivalent OTM calls (Figure 2). This could be because the pound is already depressed by historical standards, having recently sunk to two-year lows. A longer historical view, however, suggests that if Brexit goes badly for the UK, the downside could be more substantial: the pound’s all time low was 1.05 versus USD set in 1985, about 15% below current levels (Figure 3). In any case, with so much bad news priced into the pound already, its not too surprising that the skewness isn’t especially negative. Indeed, the pound has substantial upside risk in the event of an exit with a deal or without.

即使如此,交易员们也不认为英镑/美元期权隐含波动率的向下偏斜程度会达到2016年英国脱欧公投前那样的极端程度。当时,英镑/美元价外看跌期权的隐含波动率水平比德尔塔值相同期限也相同的价外看涨期权的隐含波动率要高5%-7%,见图二。原因有可能是因为当时英镑的汇率已经明显低于历史平均水平,而近期英镑的汇率只是处于近两年来的最低点。但是从更长一点的历史视角来看,如果英国脱欧过程不顺利,英镑汇率的下行幅度将更大,英镑/美元汇率的历史最低点为1985年的1.05,比当前的汇率水平要低大约15%,见图三。但是不管怎样,由于当前的英镑汇率已经消化了太多的利空因素,因此如果见到英镑/美元期权隐含波动率的偏斜形态并没有变得过于向下也就不令人感到奇怪了。甚至不管是有协议脱欧还是无协议脱欧,英镑汇率大幅反弹的可能性都是存在的。

Figure 2: Options traders see downside risks somewhat outweighing upside risks for GBP this fall.

芝加哥商品交易所观点:在平静的夏季过后英镑汇率将大跌吗?

Figure 3: The pound is historically weak versus EUR and USD.

芝加哥商品交易所观点:在平静的夏季过后英镑汇率将大跌吗?

Figure 4: UK rate markets have abandoned rate hike expectations; BoE’s next move could be a cut.

芝加哥商品交易所观点:在平静的夏季过后英镑汇率将大跌吗?

Lastly, UK interest rate markets have abandoned pricing rate hikes and SONIA now prices that the Bank of England’s next move is more likely to be a rate cut than an increase. This reflects in part the global decline in interest rates which has swept both the US and European bond markets, as well as domestic factors such as a slowing UK economy and continued uncertainty surrounding Brexit.

最后,英国利率市场在定价中已经不再对加息抱有期望,作为市场同业融资利率的英镑隔夜拆借平均利率指数当前的水平正在预判英格兰银行的下一个动作很有可能是降息而不是加息,该预期在一定程度上体现了全球利率水平整体下行的大方向,美国和欧洲债券市场已因此大受影响,同时也体现出一些英国国内因素的影响,诸如英国经济增速放缓和英国脱欧问题上的不确定性。

Bottom Line

要点

  • Options traders see a calm summer but volatile fall for GBPUSD.

    期权交易员认为今年夏季英镑/美元的汇率将表现平稳,但进入秋季后将迎来大的波动;

  • Implied volatility is far below 2016 levels.

    英镑/美元期权隐含波动率的水平远低于2016年的水平;

  • Options skewness is negative, especially for this fall, but not exceptionally so.

    英镑/美元期权的隐含波动率为向下偏斜形态,尤其是秋季的偏斜程度更甚,但并未处于极端状态;

  • A great deal of bad news has been priced into the pound.

    英镑当前的汇率水平已经消化了很多的利空因素;

  • SONIA futures have abandoned hopes for the BoE rate hike, now suggest a cut is more likely.

    如今英镑隔夜拆借平均利率指数的期货合约报价显示市场已不再认为英格兰央行将加息,而是认为更有可能迎来降息。

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