美债波动率接近纪录低点,但历史表明不可对8月掉以轻心

新浪财经
24 Jul 2020

美国国债波动率已经降到接近纪录最低水平,但过去十年的历史走势提醒着利率交易员,要警惕这种夏日淡静行情带来的安全错觉。法国兴业银行利率研究董事Michael Chang的分析显示,自2010年以来,较长期美国国债的波动率往往在8月回升。一些交易员为了从这个死气沉沉的市场中获利而进入曲线最长端,对他们而言这将构成风险。本周,一个30年期美国国债波动率空头操作令人瞠目结舌。由于预期美联储将在未来几年保持...

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