股市有远虑而无近忧

    股市过于平静了？

    今年以来多数时间，股市呈现攀升态势，投资者看来也越来越不担心入市风险，但近期却出现了一些震荡。仅周二，波动率指数（VIX）就跌去了5%，回落到18.10。由于VIX指数跟踪的是有多少人在购买对冲市场下跌风险的工具，因此有时也被称为恐慌指数。周二的下跌是VIX指数近期跌势的延续，过去6个月该指数已经跌去了近30%，更别提去年夏季该指数还在45左右，又或者金融危机期间，该指数还曾创下了接近90的历史高点。

    但经常被引用的VIX指数现货价只是衡量该指数的方式之一，现货交易甚至都不那么活跃。金融危机爆发以来，VIX市场显著扩张，如今交易员根据对VIX指数未来1-6个月的判断买卖期货合约（当然也有7、8个月的合约，但交易量不大）。回到去年11月，当时市场预计未来六个月波动性将降低。随后的市场表现也的确也如此。但今年，这种关系已经反转。3月中旬，即便是在现货价格下跌之际，VIX指数现货价与投资者预测的6个月后水平的差值仍然创下了历史新高。近来两者之间的差值已有所收窄，但仍是金融危机以来平均值的三倍，VIX期货市场显示今年晚些时候股市波动率将上升33%（通常在股市下跌时，市场波动率会上升）。

    “投资者认为，接下来一年情况恶化的概率很大，”晨星（Morningstar）研究员保尔•贾斯泰斯表示。

    这个逻辑中存在的问题是，如果投资者认为未来6个月股市将下跌，为何什么不趁现在就卖出呢？大宗商品的期货价格往往高于现货价格。众所周知，随着供应减少，冬季的玉米价格通常会上涨。期货价格反映了的就是这个趋势。夏季的油价也是这个道理，因为夏季的汽油需求上升。交易员们甚至给期货市场的这种上涨倾向起了个名字，叫做“期货溢价”。但期货溢价或超期货溢价（有些人将VIX指数的差值称为期货溢价或超期货溢价）不应出现在股市中。（至少我们是这么想的，）未来情况应该已经体现在市场价格中。鉴于今年股市将有两位数增长，投资者似乎根本没有考虑未来的麻烦。

    那么，当前的情况是怎么回事？有些人说，VIX市场可能发出了错误的负面信号。跟踪VIX指数的交易所买卖票据（exchange traded note，类似于交易所交易基金，但不购买股票）有30多种。过去一年发行了十多只这样的基金。这些基金很多只关注期限较长的期货合约。有些市场观察人士称，这些新基金正在将更多资金送入VIX市场，从而推高了价格。

    另一种解释是，VIX市场原本就是不可理喻。“理论上，不应该存在期货溢价，但VIX期货是衍生品的衍生品，”基金管理公司Portfolio的创始人、《金钱之弊》（Rigged Money）一书的作者李•蒙森说。“肯定会出现差幅。”蒙森说，即使我们并不能真正理解为什么会出现这种差幅，也不能忽视它们。诚然，投资者似乎有很多理由担忧未来：比如，就业市场不景气、欧洲问题以及美联储（fed）可能实行进一步的量化宽松政策等等，不一而足。为什么他们现在不担心这些因素？这是个好问题，但这并不意味着无需担忧。

    译者：早稻米

    Is the market too calm?

    Despite some recent bumps, shares have mostly raced up this year, and investors seem to be getting less and less worried about risking their money in stocks. The VIX (VIX), which is sometimes called the fear index because it tracks how many people are buying insurance against a market drop, fell 5% on Tuesday alone to 18.10. That capped a big recent drop for the index, which is down nearly 30% in the past six months, not to mention last summer when the VIX was up in the mid-40s, or during the financial crisis when it hit an all-time high of nearly 90.

    But the spot price for the VIX, which is what is most often quoted, is just one way to measure the index, and not even the one that is actively traded. The market for the VIX has grown considerably since the financial crisis, and traders now buy and sell futures contracts based on where they think the index will be in one month to six months out. (There are seven and eight month contracts, but they don't get much action.) Back in November, the market was predicting that volatility would drop during the next six months. It did. This year, though, that relationship has reversed. In mid-March, even as the spot price was falling, the difference between where the VIX was and how much higher investors thought it would be in six months hit an all-time high. The gap has narrowed recently, but it's still three times as large as it has been on average since the financial crisis, with the VIX futures market predicting market volatility, which usually rises when the market falls, will jump 33% later this year.

    "Investors are saying over the course of the next year there's a pretty good chance something bad will happen," says Paul Justice, a researcher at Morningstar.

    The problem with that logic is that if investors think there is going to be a dip in the market in the next six months, why wouldn't they just sell now. It's normal in commodities markets for futures prices to be higher than spot prices. Everyone knows that corn will typically be more expensive in the winter when there is less of it available. Future prices reflect that. The same things goes for oil prices in the summer, when gas is in higher demand. Traders even have a name for that upward bias in futures markets - contango. But contango, or even super contango, which is what some people are calling the current state of the VIX, shouldn't happen with stocks. The future is supposed to be priced into the market, at least our best guess of it. And with the market headed for a double-digit gain this year, investors seem far from pricing in trouble ahead.

    So what's going on? Some say the VIX market could be sending a false negative. There are more than 30 exchange traded notes (like ETFs but not for stocks) that track the VIX. More than a dozen of those funds have launched in the past year. Many of these funds only focus on longer dated futures contracts. Some market watchers say that these new funds are driving more money into the VIX market, and sending prices up.

    Another explanation is that the VIX market is just weird. "Theoretically, you shouldn't get contango, but with VIX futures what we are talking about is a derivative of a derivative," says Lee Munson, founder of asset management firm Portfolio, and author of the book Rigged Money. "You are bound to get imbalances." And Munson says those imbalances shouldn't necessarily be ignored, even if we don't truly understand why they would occur. Indeed, there seems to be a number of reasons investors would be worried about the future - the recent job market stumble, Europe, and the possibility of more quantitative easing from the fed, to name a few. Why they aren't worried about that stuff right now is a valid question, but it doesn't mean that there isn't reason to worry.