（转）为什么从外汇市场赚钱越来越难

hiro · 发表于 2012-7-6 17:04:34

这篇文章从市场参与者的类型角度回答了一个问题：为什么外汇市场的实际波动减少了？为什么赚钱越来越困难了。

结论是：FX市场中，天然Long Gamma的参与者所占比重越来越大，他们不断低买高卖，导致外汇市场区间交易态势越来越明显，Realized Vol持续低于Implied Vol。而且目前这种态势短期不会改变，除非发生event。但倒底什么是event? 中国硬着陆，还是欧债危机深化？即使中国或者欧洲所谓事件发生的概率很大，但市场依然无法走出当前低迷状态，根本原因还是整个市场被Long Gamma Sector主导了。

基于Tim的期权交易员背景，理解本文的关键点在于Gamma（或Convexity）。

何谓Long Gamma，原本指买入了期权，并通过调整Delta Hedge获取利润，如果在即期市场取得的收益高于期权费，那么就是期权买方盈利。Long Gamma的参与者，在即期市场的交易行为是典型的低买高卖，而不是追涨杀跌。所以他们的行为会天然使市场陷于区间波动。

有些市场参与者，并不持有期权头寸，但他们在即期市场的行为如果表现为低买高卖，也可以把他们理解为Long Gamma Sector。

譬如央行，储备多元化，汇率干预，甚至QE LRTO，这就等同于在市场低买高卖，限制了外汇的大幅波动。

譬如企业客户，他们的交易活动是对冲汇率风险，衡量标准是其财务成本，在外汇市场上天然倾向于低买高卖，而很少追涨杀跌。

再譬如个人投资者，他们都是单纯的sell option，但从来不hedge，那么他们就是天然的Gamma 供应方，也算Long Gamma sector.

银行，因为监管日益严格的缘故，他们需要对tail risk进行对冲，也限制了Volatility of Volatility的升高。

外汇投资者，自营交易者和HF，他们要靠赌市场方向盈利，天然喜欢趋势，追涨杀跌行为模式为主，而且他们只是buy option，从这个角度理解，他们是Gamma的最终购买方，也就是Short Gamma Sector（Need buy Gamma）。由于他们以市价（Implied Vol）购买了option，目前这种牛皮糖走势令他们很难赚钱。

分析了各类市场参与者的行为模式，我们可以看出，Long Gamma Sector（央行，企业，个人）的力量超过了 Short Gamma Sector（专业外汇投资者，HF等），前者低买高卖行为模式成为市场的主导力量，使得市场陷于区间，后者的盈利模式（追涨杀跌，buy option表达方向性观点）受到极大影响。而银行囿于日趋严厉的监管，不能投入大量资本金兴风作浪，而且还要对冲tail risk的风险。参与者的格局和力量对比，就决定了外汇市场很难走出波澜壮阔的行情。

这样的视角下，我们就理解了，为什么欧债危机恶化，中国硬着陆疑虑，欧美股市下跌，都不能使外汇市场活跃起来，implied vol也没有明显升高。

改变这样的格局，要么改变当前的参与者双方力量对比、放松监管，要么发生某些大事件。

可但是，什么才算大事件呢？！

以下为英文原文—— by Tim...

Why it is so hard to make money out of FX right now...

Whilst I may not be bearing gifts of foresight and immediate revenue opportunities, I believe I can at least bring some explanation and reason to satisfy the question many of you have been asking - 'why can't I make any money out of FX right now'!

Let us look at the five core groups of FX users, namely:

- Retail

- Investors

- Corporates

- Central banks/Governments

- Banks

We can then look at the effect of each of these on the dynamics of the markets. I will do this fairly quickly and at high level. We have a couple of more in depth articles coming out soon that will have the facts to substantiate the view.

I think we can safely say that Retail on the whole is on the 'random' side of spot direction - it is a classic portfolio effect. However, when we look at the Options markets, retail is a classic seller of options, and very acutely in the short end. This has the effect of supplying the sell-side with Gamma, and because of the way retail products work, the end user never actually trades the short gamma they have - so overall we can say that Retail is net long Gamma sector - all be it a fairly small part of the market.

The Investor community. The IC acts like a short Gamma sector. Because they are generally buying options and trading spot in the direction of movement, they are effectively a short Gamma player. They also have the double whammy of paying the sell-side market for options and as such take the sell-side short of Gamma too. In fact, as we shall see, this is in fact the only short Gamma section of the market. Investor volumes have been falling over the last 18 months in general and they are continuing that fall. The Investor community represents a very significant chunk of the FX markets and as such it is important if there volumes reduce. It is even more significant as the only short Gamma section of the market.

Corporate sector by its nature act like long Gamma participants. They are typically hedging against the direction of the spot market. Obviously they typically take the Options market short of Gamma, however, it is typically much longer duration than the Investor group and as such has more implications on Vega than Gamma - thus the corporate sector is also a net long Gamma sector.

Coming on to Central Banks/Governments. Here we see the opposite effect of the Investor community (I count SWFs in the Investor community for this purpose). That is to say that firstly CBs are typically hedging against the movement of spot - both for intervention and rebalancing - and hence act like they are long Gamma, and secondly the volumes and activity for the sector of participants is still increasing. This sector is having a much larger effect on the underlying FX market volatility than they have for 15 years. We are seeing more intervention around the world, and we are also seeing more policy intervention in terms of LTRO, QE etc - all of which you might say is currency neutral - which it is on the whole, but it is unarguably a dampener to volatility. We know that currency reserves are larger than they have ever been too.

We should of course look at a fifth group - namely banks. Here we have to start looking at the effects of regulation - both active and intended. There can be no question that the effect of the regulatory environment is to dampen volatility here. By definition the Regulators are seeking to 'remove' tail risks (we can argue about whether they are decreasing or increasing tail risk of course). This means that whether its through liquidity provision, or the ever tighter demands of the stressed VaR, the market is a) being provided an implicit insurance that there are low tails risks, and b) banks are now required to carry tail insurance. With increased requirements and much more rigour around these stress requirements the banking community is long tails now - and we can see this through the high levels of flies even though the V-Vol isn't really there.

There is a last piece of this puzzle as well - namely the carry trade. The Carry trade has always created huge asymmetry in markets and has been responsible for many of the large discontinuities we have seen over the last 20 years in the FX markets - Latam in the 90's, JPY since 1995 onwards, AUD in 00's etc etc. With so many of the worlds liquid currencies with zero, or close to zero rates, this trade is very limited and so another large short convexity position has been removed.

I appreciate I have shot through this very quickly and would be happy to discuss further, but I think this is the key theme at the moment in the FX markets and I suspect in all flow parts of other asset classes.

Owning volatility isn't very profitable as there are no breakout events, and the G10 currencies are on the whole mean reverting within a range. You also still have to pay over historics for the right, so it remains very hard to extract value. We see this in our FXO business which has been using our high frequency Gamma trader (Agile) at an ever increasing rate, as have some of our larger HF clients to extract every last drop of value from the long positions. However, even though most of the underlyigns are mean reverting within a range, it is just as hard to extract any meaningful value from being short as the daily realised is still significant - tough tough markets to extract too much value from.

So in summary the market is effectively much longer of wings then it ever has been. Those will not come down in price because some of it is from 'virtual' positions - Corporates, Central Banks, regulation - and only some from 'real' positions - Banks mainly, and Banks will continue to get wings from Retail, and they will have to continue to hold for risk reasons. In addition to this, the main participants who act like short gamma and wings - the Investor community - are reducing their FX activity and volumes as many are struggling to make returns. We are seeing a large shift in terms of the split of market activity between these groups and so the long wings/Gamma participants are a much larger % of the volumes than they have been for a very very long time.

The FX markets long convexity, but the price of convexity will not come down due to its virtual nature and the stress testing requirements. Volatility is not lower because there are some reasonably serious contending issues between many of the worlds larger economies. It is not a world where trading FX from a Macro standpoint will work. Despite the large macro themes - Periphery is still exposed, China hard/soft landing, US growth or not JPY - too weak or too strong - the market will not push these to the test for now as it is not mechanically set up to do so. We have started trading less from a Macro view and more from counter-positioning view. I believe others are also starting to do this. This will only compound the issue.

We do know that history teaches us this will pass, but we are unsure on how long it will take. There is no question that some of these drivers are material and here for some time to come - regulation, liquidity provision, reduced Investor volumes if there are no returns. So what can change it? Well, in the medium longer term it will be a reduction of reserve balances, greater understanding and actual implementation of the regulation. Rising interest rates would also undo this dynamic, but this looks very unlikely at this point. The only short term correction would be an 'event'. We need to be clear about an 'event'. Something actually needs to happen - and this is the point - the whole reason why people lost so much money betting on a lower EUR was because of the above - the event needs to happen as the market is long convexity - only after an event do we blow through that virtual reality. A break up of the Euro - hard or soft - would be just such an event, as would a hard landing in China. Personally I think the chances of an event of this nature is low in 2012.

I apologies for not being more upbeat, but I do believe these are the market dynamics at the moment, and we need to learn a different way to trade them...