美国股市财富是否构成自反性风险？

你好。

Hello.

我是迪恩·科努特，欢迎收听Alpha Exchange，我们将探讨与风险管理、收益生成以及另类投资行业中资本配置相关的金融市场话题。

This is Dean Kernutt, and welcome to the Alpha Exchange, where we explore topics in financial markets associated with managing risk, generating return, and the deployment of capital in the alternative investment industry.

各位听众，希望你们最近的日子过得顺利，尽管白天正在变短。

Gloria listeners, I hope your recent days have gone well even if they're becoming shorter.

如果你在纽约市或附近，日落时间现在已经早于晚上6点。

If you're in or near New York City, sunset is now before 6PM.

这与我们在6月21日接近早上8:30的日落时间相比，简直是天壤之别。

It's a far cry from when we peaked near 08:30 on June 21.

根据规定，我们将在11月2日再失去一小时宝贵的日照时间。

And by fiat, we'll lose an hour of precious daylight on November 2.

维克多·伯奇曾说过：‘我不介意回到夏令时。’

It was Victor Birch who said, quote, I don't mind going back to daylight savings time.

通货膨胀之下，这一小时将是我今年唯一节省下来的东西。

With inflation, the hour will be the only thing I've saved all year.

来吧，维克托。

Come on, Victor.

CPI即将突破3%。

The CPI is poised to pierce 3%.

前提是如果我们最近能拿到另一个数据的话。

That is if we get another reading anytime soon.

我心中所想，也是我希望用二十分钟左右的时间与你们探讨的，一如既往，是风险与不确定性这一主题。

On my mind and where I hope to engage your interest for twenty odd minutes is, as usual, the topic of risk and uncertainty.

我经常说，风险管理的问题在于我们想象力的匮乏。

I've often said that risk management suffers from the failure of our imaginations.

在上一期由法国巴黎银行大宗商品策略全球主管本·霍夫参与的Alpha Exchange播客中，我们谈到了2020年4月原油价格的史诗级崩盘。

In the last Alpha Exchange podcast featuring Ben Hoff, the global head of commodity strategy at SocGen, we touched on the epic melt in crude prices in April 2020.

当时，即期合约——或者说在那个市场领域被称为近月合约——跌至令人难以置信的负40美元水平。

The front or as they say in that corner of markets, prompt contract plummeted to a who could have thunk it level of negative 40.

我的天啊。

My goodness.

我们确实了解到利率可能变为负值。

We did learn that interest rates could go negative.

十年前，瑞士和德国就向我们展示了这一点。

The Swiss and Germans taught us that a decade ago.

但只是略微为负。

But just a little bit.

但负40？

But negative 40?

那波动率影响呢？

And what about the vol impact?

OVX，即石油波动率指数，在2020年4月21日飙升至3.25美元。

The OVX, the oil VIX, surged to $3.25 on 04/21/2020.

有人附议吗？

Can I get a second?

我的天啊。

My goodness.

为了好玩，我们用这个出色的波动率输入来为标普500的一月期跨式期权定价。

Just for fun, let's price a one month straddle on the S and P 500 using that fabulous vol input.

仅看看涨期权，其成本就占现货价格的36.4%，Delta值为68。

The call alone costs 36.4% of spot with a 68 delta.

加上看跌期权的溢价，这个跨式期权的总成本将达到现货价格的72.7%。

Add in the put premium, and the straddle will cost you 72.7% of spot.

但正如本指出的，实际上不可能以3.25美元的价格卖出原油波动率。

But as Ben points out, it's really not as if one could have sold crude vol at $3.25.

当市场崩盘时——我认为原油市场在前月合约跌至负40的过程中确实如此——价格，尤其是那些基于VIX方法论、强调尾部风险计算的价格，需要谨慎对待。

When markets break, as I think it's safe to say that the crude market did on its way to negative 40 on the front month, prices, especially those that are calculated as per the VIX methodology that emphasize the tails, need to be handled with care.

但这很好地说明了风险如何以超出我们想象能力的方式显现。

But this is a good example of how risks materialize in ways that overwhelm our capacity to imagine them.

现在或许是个合适的机会，来提一下大谷翔平最近对阵酿酒人队的季后赛比赛。

This might be a good time to mention Shohei Ohtani's recent playoff game against the brewers.

他击出三支本垒打，投了六局无失分，并送出十次三振。

Three home runs, six scoreless innings, and 10 strikeouts.

在这一令人难以置信的壮举之前，如果有人想象一名球员在一场比赛中所能完成的最出色表现，可能会想到投手投出一场无安打完美比赛，或者打者击出四支本垒打。

Before this mind bending feat, if one were to imagine a single best performance by a player in a game, it might include a no hit perfect game by a pitcher or perhaps four home runs by a batter.

但这些都与大谷翔平刚刚完成的成就截然不同。

But it would look nothing like what Ohtani just pulled off.

我们根本无法想象这样的表现。

We simply could not have imagined it.

我认为这与市场有相似之处，我们必须不断逼迫自己去思考那些挑战传统思维的情景。

I think there are corollaries to markets, and we've got to constantly press ourselves to entertain scenarios that challenge conventional thinking.

在最近与本·奥夫的播客中，有更多内容聚焦于商品市场如何被设计为吸收波动性。

There's much more on the recent podcast with Ben Off with an emphasis on how commodity markets are structured to absorb volatility.

我建议你们去听一听。

I encourage you to listen.

本将商品生态系统比作一种吸收风险的CDO结构。

Ben likens the commodity ecosystem to a CDO structure of risk absorption.

第一层损失档是所谓的‘时间上的选择权’，即通过储存将供应提前，从而平滑冲击。

The first loss tranche is, quote, optionality in time, where storage smooth shocks by shifting supply forward.

夹层通过空间和形式进行缓冲，重新引导不同地区的流动或在产品之间进行替代。

The mezz tranche cures through space and form, rerouting flows across geographies or substituting between products.

只有当这些缓冲机制耗尽时，股权层的金融波动才会接管。

Only when those defenses are depleted does the equity tranche financial volatility take over.

这种层级结构解释了为何大宗商品的波动性持续时间较短，但一旦出现往往更具爆发性。

This hierarchy explains why vol in commodities is less persistent but often more explosive when it surfaces.

当然，谁又能忘记OptionsSellers.com的詹姆斯·科米尔，他不幸涉足天然气期权跨式策略交易？

Of course, who could forget James Cormier of optionsellers.com and his unfortunate foray into selling straddles on Natgas?

让我简要预览一下我们播客的嘉宾阵容。

Let me briefly preview our lineup of guests on the podcast.

我非常期待分享我与布鲁克林集团地缘政治风险业务合伙人兼联席主管亚历克斯·卡赞的对话。

I'm eager to share my discussion with Alex Kazan, partner and co head of the geopolitical risk practice at The Brunswick Group.

我们探讨了一个我认为非常重要的议题：美国长期以来被视为全球稳定之堡垒，如今却因其制裁武器化、关税谈判方式以及两党极化程度，成为市场风险的来源。

We explore a topic I think is very important, the notion that The US long considered a bastion of global stability is now a source of market risk via its weaponization of sanctions, its negotiating style with tariffs, and the degree of partisanship in The US two party system.

Kalshi现在认为，政府停摆持续超过五十天的概率接近三分之一。

Kalshi now has an almost one third chance that the shutdown will last more than fifty days.

即将登陆Alpha Exchange播客的还有与Visser Labs的Jordi Visser的对话。

Also coming soon to the Alpha Exchange podcast is a conversation with Jordi Visser of Visser Labs.

Jordi将阐述人工智能革命的前景，反驳我们正处于泡沫之中的观点。

Jordy will lay out the promise of the AI revolution arguing against the notion that we are in a bubble.

他在Substack上的文章极具启发性，非常值得一读。

His writing on Substack is really thought provoking and very much worth reading.

我还将很快与Fortress多经理平台的首席执行官Todd Rapp进行对话，讨论Todd如何思考在内部和外部配置另类资产。

I'll also chat with Todd Rapp, CEO of the Fortress Multi Manager Platform in short order, a discussion that will focus on how Todd thinks about allocating capital to alternatives both internally and externally.

好了，让我们回到当下。

With that, let's get into the here and now.

就在我说话时，标普500指数已创下历史新高。

The S and P is at an all time high as I speak these words.

与此同时，该指数具有若干值得仔细考量的特征。

Along with this, the index has several characteristics worth carefully considering.

首先，它呈现出显著的头部集中现象。

First, it is remarkably top heavy.

市值的38%集中在前八大公司。

38% of the market cap is in the top eight names.

值得注意的是，这八大公司占全球股票市值的五分之一。

Notably, these eight names constitute a fifth of the global market equity cap.

许多东西都押在了几只股票的成功上。

There is just a ton riding on the success of a few stocks.

接下来，这种集中性来自于波动性极高的股票。

Next, this top heaviness comes from very high volatility names.

这八大公司的平均第三季度期权隐含收益波动为5.8%。

The average third quarter option implied earnings move for the eight is 5.8%.

而排名后492家公司的平均波动仅为4%。

This is versus the bottom four ninety two average move of just 4%.

此外，这八大公司以及整个指数在很大程度上——我将继续坚持认为——是严重且不可持续的低相关性。

Next, these eight names and the index at large are substantially, and I will continue to argue, unsustainably uncorrelated.

标普500指数一个月的实际相关性最近为零。

S and P one month realized correlation was recently zero.

一个月的隐含相关性目前为9%。

One month implied correlation is currently 9%.

最后，估值方面。

And lastly, valuation.

FactSet告诉我们，标普500的未来十二个月市盈率为22.4。

FactSet tells us that the forward twelve month PE ratio for the S and P is 22.4.

这一市盈率高于五年平均值19.9，也高于十年平均值18.6。

This PE ratio is above the five year average of 19.9 and above the ten year average of 18.6.

让我们把这些内容总结一下。

Let's put all of this into a neat summary.

该指数高度集中，由波动剧烈、估值昂贵但彼此不相关的科技巨头构成。

The index is highly concentrated with volatile and richly valued but uncorrelated tech behemoths.

这非常独特。

That's very unique.

现在让我们深入探讨。

Now let's dive in.

谷歌、Meta和微软将于10月29日率先公布财报。

Google, Meta, and Microsoft are the first to report on October 29.

它们的业绩结果会对10月30日公布的苹果和10月31日公布的亚马逊产生任何影响吗？

Will their results have any implication for Apple coming on 10:30 and Amazon on October 31?

过去两年的经验表明，不会。

The experience over the last two years has been no.

市场定价，包括波动率和相关性，都与近期的经验完全吻合。

Market prices, including both vol and correlation, make perfect sense in light of recent experience.

但是否存在一种风险，即这些所谓的‘循环收购团队’所取得的惊人收益，仅仅是现金和市值被循环利用的结果？

But is there a risk that some of the spectacular gains through this, quote, circular acquiring squad are the result of cash and market cap simply being recycled?

对此观点众多，持怀疑态度的人如Research Affiliates的Rob Arnott指出，思科和朗讯在上世纪90年代互联网泡沫高峰期曾通过向财务较弱的客户提供供应商融资来延长周期。

There are plenty of opinions on this with skeptics like Rob Arnott from Research Affiliates citing the vendor financing arrangements that Cisco and Lucent utilized with weaker customers to prolong the cycle during the height of the .com bubble a quarter century ago.

其他人，如Jordy Visser，则更为乐观。

Others, like Jordy Visser, are more sanguine.

他在最近一篇名为《爱迪生给人工智能时代的启示：为何资本支出热潮并非泡沫》的Substack文章中，提出了一个深思熟虑的论点，大量引用历史案例，将当今的创造性破坏置于历史背景中加以分析。

In his recent Substack entitled Edison's lesson for the AI age, why the capex boom isn't a bubble, Jordy presents a thoughtful argument with much reference to history that puts today's creative destruction into context.

我们将在播客中继续探讨这个话题以及其他内容。

We'll take this and more up on the podcast.

无论你是人工智能的看涨派还是看跌派，我们都必须承认当前指数高度集中所带来的独特风险。

Whether you are an AI bull or bear, one thing we must acknowledge is the unique degree of index concentration and the risks that accompany it.

有一句老话这样说：'如果你的头在烤箱里，脚在冰柜里，从平均温度来看，你感觉还不错。'

There's an old saying that, quote, if your head is in the oven and your feet are in the freezer, on average, you feel just fine.

今天的经济似乎给美联储带来了极大的困境，这不仅仅是因为政府停摆导致其不得不在数据迷雾中运作。

Today's economy would seem to present quite a dilemma for the Fed, and that's not just that it has been forced to operate in the fog of data war due to the shutdown.

当然有迹象表明劳动力市场正在放缓，但GDP增长依然坚挺。

There are surely signs that the labor market is slowing, but GDP growth is holding up.

杰森·弗曼最近估算，美国经济需求增长的92%仅来自GDP中的两个类别：信息处理设备和软件。

Jason Furman recently estimated that 92% of the increase in demand in The US economy was due to just two categories in GDP, information processing equipment and software.

国际货币基金组织前首席经济学家吉塔·戈皮纳特最近在《经济学人》上发表了一篇评论文章，重点阐述了她的研究：资本支出泡沫破裂对美国乃至全球经济的影响。

Jita Gopinath, former chief economist at the IMF, wrote a recent op ed in The Economist highlighting her work on the impact of a CapEx bust on not just The US but the global economy.

在金融媒体中，恐惧确实能带来流量。

In financial media, fear certainly does sell.

因此，这篇文章的标题——‘可能摧毁三万亿美元财富的崩盘’——或许有些危言耸听。

So the title of the piece, quote, on the crash that could torch 35,000,000,000,000 of wealth might be a tad alarmist.

不过，她提出了一些有价值的见解。

That said, she makes some valuable points.

无论是家庭还是外国投资者，对美国股市的敞口都和以往一样大。

Both households and foreign investors are as exposed as ever to The US stock market.

如果你是北欧银行，你会迫不及待地将资金配置到CAC 40指数吗？

If you were Nordisk Bank, would you be chomping at the bit to allocate to the CAC 40?

其近20万亿美元的投资组合中，有38%投向了美国股市，几乎是其对所有欧洲股票配置的两倍。

38% of its nearly $20,000,000,000,000 portfolio is in The US stock market, essentially two times its allocation to all of European equities.

戈皮纳特女士

Ms.

戈皮纳特估计，一场与互联网泡沫崩盘相当的股市调整，可能会抹去美国家庭20万亿美元的财富，相当于2024年GDP的70%。

Gopinath estimates that a stock market correction on par with the .com crash could wipe out $20,000,000,000,000 of wealth for American households, the equivalent of 70% of GDP in 2024.

由此引发的消费连锁反应将十分巨大，导致整体GDP增长下降2%。

The consumption aftershocks would be huge, translating to a 2% hit to overall GDP growth.

接下来，鉴于外国机构对美国股市的高投入，她估计美国以外投资者的损失可能高达15万亿美元，占世界其他地区GDP的20%。

Next, given how invested foreign entities are in The US stock market, she estimates losses for investors outside The US as high as 15,000,000,000,000, 20% of the rest of the world's GDP.

这听起来确实很多。

It sure does sound like a lot.

现在以互联网泡沫破裂作为你的模型场景相当极端，在某些方面可能会让读者认为这种预测过于悲观而加以忽视。

Now using the .com crash as your modeling scenario is pretty extreme and in some ways may cause the reader to dismiss it as too bearish.

但核心观点应该非常明确。

But the point ought to be pretty clear.

科技七巨头股价暴跌存在巨大风险。

There is a ton of risk in a mag seven sell off.

这感觉像是一种非常反应性的风险。

It feels like a very reflexive risk.

市值的增长是推动更多资本支出的货币。

The gains in market cap are the currency for more CapEx.

它们对美国消费者而言也日益成为一项极具价值的资产。

They are also an increasingly valuable asset for US consumers.

关于股票市场财富的消费倾向，各种估算差异巨大。

The estimates of the propensity to spend stock market wealth are all over the map.

当财富迅速积累时，我们预计消费的边际倾向会较低。

When the riches come very quickly, we'd expect the spending beta to be lower.

但这种财富是在一个总体低波动的环境中持续积累的。

But this wealth has been building and building over time amidst a generally low volatility environment.

正如我反复所说，标普指数虽然包含一些波动性较大的股票，但由于它们彼此相关性很低，指数层面的波动率一直非常温和，除了四月份的意外下跌。

As I've said over and over, the S and P may be composed of some volatile stocks, but because they are so uncorrelated, vol at the index level has been quite tame, but for the unwelcome drawdown in April.

我关于低相关性不可持续性的研究，加上杰森·弗曼和吉塔·戈皮纳特等专家的观点，共同构成了对风险的警示性图景。

My own work on the unsustainability of low correlation along with what experts like Jason Furman and Jita Gopinath are saying form part of a cautionary mosaic on risk.

如果股价上涨支撑了庞大的资本支出周期，并在经济整体疲软的情况下维持了一部分财富效应带来的消费支出，那么当股价出现相关性冲击下跌时，会发生什么？

If share price success underpins both the giant CapEx investment cycle and some portion of a wealth effect that keeps consumer spending even amidst an otherwise tepid economy, what happens should shares experience a correlated shock lower?

我们必须强迫自己考虑那些非传统的可能性。

We have to force ourselves to entertain wayward scenarios.

截至2025年，标普指数按总回报计算上涨了17%。

The S and P is up 17% in 2025 on a total return basis.

这是在2023年上涨26%、2024年上涨27%之后的结果，总体回报率达81%，而波动率仅为15。

That is after gains of 26% in 2023 and twenty seven percent in 2024, an 81% return altogether with just a 15 vol.

这些锐利的比率是我们只能梦想的。

These are sharp ratios that we can only dream about.

难怪美国股市如此备受追捧。

No wonder The US equity market is so well subscribed.

现在让我们回到市场定价，随着这个关键的财报季拉开帷幕。

Let's return now to market pricing as this critical earnings season gets underway.

本周是财报界的超级碗，标普500指数中市值一半的公司将公布财报。

It's the Super Bowl of earnings this week with half the S and P 500 by market cap reporting.

正如我之前讨论过的，CBOE为几乎所有事物计算VIX，包括构成标普指数的个股下跌的加权平均值。

As I've discussed before, the CBOE calculates a VIX for just about everything, including a weighted average of single stock fall on the names that comprise the S and P.

他们使用与计算NVIDIA、微软、苹果等个股VIX相同的方法，然后根据各股票在标普指数中的权重进行加权。

They apply the same methodology used to calculate the VIX on NVIDIA, Microsoft, Apple, etcetera, and then weight all the names according to their weights in the S and P.

VIX EQ（个股成分VIX）与实际VIX之间的关系，揭示了市场如何为个股之间的相关性定价。

The relationship between VIX EQ, the single stock constituent VIX, and the actual VIX tells us something about how the market prices correlation among the stocks.

目前，VIX EQ与VIX之间的利差为25，基本达到十年高位。

Currently, the spread of the VIX EQ to the VIX is 25, essentially a decade high.

在财报季期间，这一利差几乎总是扩大，反映出标普指数预期波动的很大一部分源于个股因企业财报结果而产生的波动。

The spread nearly always widens during earnings season, a reflection of the fact that a large degree of the expected moves in the S and P will result from the stock volatility that comes via corporate earnings results.

请查看我在X平台（即前身为Twitter的社交媒体）发布的精彩图表，以更好地说明这一点。

Please do check out a cool chart I posted to make this point on X, that social media platform formerly known as Twitter.

它展示了个股波动率与指数波动率之间利差的明显季节性特征，因为企业财报每年发布四次。

It shows the distinct seasonality of the spread of single stock vol to index vol as corporate earnings are released four times a year.

明显的峰值表明市场在为个股期权支付溢价，但这一额外溢价并未显著转化为标普期权的额外价值。

The prominent spikes are the market paying for single stock options, but that extra premium not really translating all that much to additional value in S and P options.

这正是低相关性的体现。

That is low correlation in process.

这种利差一直存在，但今天的创纪录利差值得深思。

The spread is always there, but today's record spread is worth thinking about.

市场正在为财报前的个股下跌支付高昂代价。

The market is paying a lot for single stock fall ahead of earnings.

彭博社估计，标普指数成分公司平均收益隐含波动率是自2022年以来最高的。

Bloomberg estimated that the average earnings implied move for the companies in the S and P is the highest since 2022.

VIX EQ在过去十年中处于第九十四百分位，而VIX仅处于第六十七百分位。

The VIX EQ is in the ninety fourth percentile over the last decade, but the VIX is in just the sixty seventh percentile.

VIX远远落后于VIX EQ，因为市场discount了大型权重股之间协同波动的可能性。

The VIX trails the VIX EQ by so much because the market discounts the potential for co movement among the super caps.

终有一天，这种创纪录的低相关性将会打破。

At some point, this record low correlation will break.

我认为从风险管理的角度来看，这一点至关重要。

I think this is incredibly important from a risk management standpoint.

如果你有二十五分钟，请回去听听我最近的播客，低相关性是市场的核心风险。

If you've got twenty five minutes, please do go back and listen to my recent podcast, low correlation is the defining risk in markets.

由于标普指数是一个如此庞大的基准，我建议尽管存在显而易见的相关性风险，仍保持多头头寸。

Because the S and P is such a beast of a benchmark, I've suggested staying long despite the correlation risks hiding in plain sight.

但我确实喜欢通过资产多元化和购买保险来采取防御策略。

But I do like playing defense through diversifying assets and the purchase of insurance.

我所倡导的‘史上最佳机会与风险组合’由84%的标普指数、10%的黄金、5%的比特币，以及1%的标普指数三个月95/80看跌价差构成。

The GOAT, great opportunities and threats portfolio I've been advocating for consists of 84% S and P, 10% gold, 5% Bitcoin, and a 1% allocation to three month ninety five eighty put spreads on the S and P.

这一组合在2025年的风险调整后收益远超标普指数，并且四月份的回撤仅为标普指数的一半。

This is vastly outperforming the S and P on a risk adjusted basis in 2025 and experienced only half the April drawdown.

让我回顾一下在黄金大幅回调之前，我在推特上积极发布的一些内容。

Let me review some of what I was actively posting on Twitter in the run up to the dramatic gold unwind.

也许很多人已经预见到这一点，但对我而言，黄金隐含波动率的行为才是最明显的信号，表明黄金的强劲上涨正在为一次迅速（即使短暂）的回调铺路。

Perhaps many did see this coming, but for me, it was the behavior of gold implied vol that was the best tell that a sharp rally in gold was paving the way for a sharp, even if fleeting, unwind.

你可能还记得，我关于波动率与风险的35条格言之一是：‘风险偏好与风险规避是奇怪的表亲。’

You may recall that one of my 35 sayings on vol and risk is that, quote, risk on and risk off are curious cousins.

这句话意在说明，一笔交易的盈利往往会吸引关注，并引诱新资本涌入，从而逐步侵蚀安全边际。

It's a nod to the way in which profits from a trade invariably draw attention and lure in fresh capital, eroding the margin of safety in the process.

当一次风险偏好行情的成功足够显著时，它就会为一次壮观的回调铺平道路。

When the success of a risk on episode is significant enough, it paves the way for a spectacular unwind.

在极端情况下，就像2021年1月的GME一样，这种回调的发生是必然的。

In the limit, like a GME in Jan twenty one, it's a certainty that it will occur.

股票上涨，波动率上升，最终总是股票下跌，波动率下降。

Stock up, vol up always ends in stock down, vol down.

黄金就是一个很好的例证。

Gold has been a good case in point.

它确实是一种由FOMO驱动的资产，估值框架模糊，但这也正是它的关键所在。

It's truly a FOMO asset with only a vague valuation framework, but that's mostly the point.

逆势对抗脱离价值的价格是危险的。

It's dangerous to fade a price that is untethered to value.

我曾指出，近期黄金涨幅的强劲实际上同时带来了两方面影响。

I argued that the strength of the recent gains in gold paradoxically was doing two things at once.

首先，价格上涨本身就是一种广告，促使人们买入。

First, the rising price was the advertisement compelling folks to buy.

这里不需要格雷厄姆和多德式的估值分析。

There's no Graham and Dodd valuation work to do.

正如索罗斯所说：‘当我看到泡沫形成时，我会冲进去买入，进一步助长火势。'

As Soros said, quote, when I see a bubble forming, I rush in to buy, further adding fuel to the fire.

价格上涨成为新需求的燃料。

The rising price was the fuel for new demand.

最近上行走势的变化速率加速了。

The rate of change of upside moves recently accelerated.

自2023年以来，GLD在单日内上涨2%或以上的交易日共有十九天。

Since 2023, there were nineteen days when the GLD move was up 2% or more in a single day.

这19天中有13天发生在四月之后。

13 of those 19 have occurred since April.

第二，随着‘天空才是极限’这一叙事通过价格上涨而建立，隐含波动率急剧上升，反映出市场意识到风险正变得更具双向性。

Second, as the, quote, sky is the limit narrative was built through the ascending price, implied vol rose sharply, reflecting the market's understanding that the risks were becoming more two way.

对于希望参与上行行情的投资者而言，购买看涨期权成为一种选择，因为现货近期的强劲涨势可能迅速反转。

That is for folks wanting to play the upside, using call options became a consideration as the recent strong gains in spot could quickly prove to reverse.

看涨期权赋予你权利，若判断错误，你可以选择放弃。

The call option permits you the right to walk away if you are wrong.

从8月到10月16日，黄金VIX（GVZ）从15飙升至33，而同期GLD的一月实际波动率仅为21。

The GVZ, the gold VIX, went from 15 to 33 from August to October 16 even as one month realized vol on the GLD was just 21.

这纯粹是关于对期权性的单向需求。

This was simply about one way demand for optionality.

你最终会陷入一种局面：风险偏好情绪的强劲反而制造了风险规避情绪的脆弱性，因为早期投资者获利了结，而后期投资者试图限制损失。

You wind up in a situation where the strength of the risk on creates the vulnerability for the risk off as those investors in early take profits and those in late try to limit losses.

这是一次剧烈的平仓，清除了持仓。

It's a sharp unwind that clears out positioning.

在推特上，我说过：‘如果历史可以作为参考，黄金及其隐含波动率的进一步上涨，将使我们更接近于一次剧烈的回调，即使这种回调可能是短暂的，也会抹去部分近期涨幅。’

On Twitter, I said, quote, if history is some guide, further increases in both gold and its implied vol bring us closer to a sharp, even if short lived, unwind of some of the recent gains.

时机无法预测，但GVZ是其中的一部分。

Timing is impossible, but the GVZ is part of it.

由于对美联储独立性的担忧，GVZ在4月21日飙升至28，到5月1日又回落至21。

On the back of Fed independence concerns, the GVZ spiked to 28 on April 21, and it was back to 21 by May 1.

在此期间，黄金下跌了4.4%。

Gold drew down 4.4% over that period.

我曾指出，几天内出现3%至5%的下跌是合理的，并指出期权动态可能会加速这一过程。

I suggested that it would be good for a three to 5% decline over a few days, noting that the option dynamics might accelerate it.

如果所有在GLD上交易的看涨期权的买方都是直接买入，而卖方在进行对冲，那么当这些对冲者需要通过在下跌市场中卖出以重新平衡其delta时，理论上可能会产生某种反馈效应。

If the buyers of all the calls that have traded in the GLD are outright and the sellers are hedging, you can conceivably get some feedback as these hedgers need to rebalance their deltas by selling into a falling market.

还值得考虑黄金矿业股上的杠杆ETF叠加效应，包括两倍每日杠杆的NUGT、同样为两倍每日杠杆的JNUG，以及三倍每日杠杆的GDXU。

It was also worth considering the overlay of leveraged ETFs on the gold miners, including NUGT, a two x daily, JNUG, also a two x daily, and GDXU, a three x daily.

这些杠杆ETF理论上会为这一资产类别引入一定的短期伽马压力，因为在大幅下跌日结束时的再平衡会导致更多卖出。

These would conceivably impose some short gamma into this asset class as the rebalancing at the end of a large down day would lead to more sell in.

需要明确的是，我仍然认为黄金应当成为投资组合的一部分。

To be clear, I still think gold ought to be part of the portfolio.

但我们应当思考的是，这一资产的波动率特征可能已经结构性地升高了。

But what we ought to contemplate is that the vol profile of this asset might have structurally moved higher.

截至十月初，两个月的实际波动率仅为12。

Two month realized vol was just 12 as of early October.

现在已升至25。

It's now 25.

当然，这一数字包含了10月21日6.4%的大幅下跌。

Of course, that incorporates the giant move lower of 6.4% on October 21.

我认为黄金在投资组合中仍应占10%左右，但需要密切关注，看看这个约25的波动率——即每天约1.5%的波动——是否能持续下去。

I think gold still ought to be around 10% of the goat portfolio, but want to monitor it to see if that 25 vol, roughly 1.5% per day daily move sustains itself.

从我的角度来看，10%的仓位配置如此高的波动率有点过高了。

That's a bit too high for a 10% allocation from my perspective.

就此，我想用一些关于预测市场的想法来结束这个简短的讨论。

With that, let me close this short pod with some thoughts on prediction markets.

虽然这些平台上的某些文化类赌注——比如埃隆一周会发多少条推文、谁会赢得奥斯卡最佳影片——看似无关紧要，但预测市场的语言实际上非常清晰。

While some of the culture bets on these platforms are rather unimportant, how many times will Elon tweet in a week, who will win best picture at the Oscars, for example, the language of prediction markets is actually quite clean.

我们在投资领域所做的几乎所有事情，都包含某种形式的概率评估。

Most all of what we do in the land of investing includes some version of evaluating probabilities.

当市场价格的概率与你的判断不一致时，可能就存在获得有利风险调整回报的机会。

When the market prices the odds differently than you do, there may be an opportunity to earn a favorable risk adjusted return.

每个人都能迅速理解是非型结果——本质上是二元期权，如果结果成立，可能支付一美元。

Everyone can quickly get their arms around a yes or no outcome, essentially binary options that potentially pay a dollar if they hit.

通过行权价，普通期权价格为我们提供了资产移动特定幅度的隐含概率映射。

Vanilla option prices via strike prices give us a mapping of the implied probability of moving a certain distance.

事件合约还能帮助我们估算某事会发展到何种程度。

Event contracts can also help us estimate how far something will go.

此外，它们还能帮助我们了解某事可能持续多久的概率分布。

In addition, they can help us see a probability distribution of how long something might take.

在此背景下，Polymarket 和 Kashi 正受到CNN等媒体越来越多的关注，它们引用了关于停摆持续时间的投注赔率。

In this context, both Polymarket and Kashi are getting increasing attention from the likes of CNN, citing the odds placed on the duration of the shutdown.

预测市场一个有趣且有价值的特点是，在某些情况下，它们在披露突发新闻方面可能比新闻机构更有效。

One interesting and valuable aspect of prediction markets is that in some instances, they can be more effective at breaking news than news organizations can be at breaking news.

尤其是在非主流投注中，关键信息能迅速反映在价格中，从而剧烈推动市场变动。

This is especially the case in off the run bets where critical information can quickly make its way into pricing, moving the market sharply in the process.

因此，概率的重大变化不仅仅是对新闻的反映。

In this way, a big change in probability doesn't just reflect the news.

它本身就是新闻。

It is the news.

一个很好的例子是2024年7月，拜登在糟糕的辩论表现后努力维持立场并继续参选。

A good example was July 2024 as Biden struggled to hold the line and stay in the race post the awful debate performance.

概率波动剧烈，有时在盘中就大幅变动。

The probabilities moved wildly, sometimes intraday.

我们会看到价格变动，然后才通过观看新闻了解价格变动的具体原因。

We'd see the prices move and only then get the specifics of why they had moved by watching the news.

我们能够实时看到关于一个尚未发生事件的市场概率波动。

We were able to see a market price probability fluctuate in real time about a preconsequential issue.

这是有价值的价格发现。

This is valuable price discovery.

通过事件合约，我们还了解了相关性和条件概率。

Through the event contracts, we also learned about correlations and conditional probabilities.

显然，拜登胜率的骤降会导致哈里斯胜率大幅上升，反之亦然，但这种情况只发生在纽森最初超越哈里斯的几率消退之后。

Clearly, a plunge in Biden's probability would lead to a big rally in Harris's probability and vice versa, but that was only after Newsom's initial chances at times above Harris's died down.

就政治预测市场而言，存在一个有趣的反身性因素。

With respect to political prediction markets, there's a fascinating reflexive element.

合约不仅仅是反映结果的概率。

The contract isn't merely reflecting outcome probabilities.

这些赔率本身可能会对身处其中的人的决策产生影响。

The odds themselves can conceivably impact the decisions of those enmeshed in the situation.

随着7月份拜登与哈里斯赔率的波动，我们实时看到了这对特朗普赔率的影响。

As the Biden versus Harris odds moved around in July, we saw in real time how that impacted Trump's odds.

因此，很明显市场认为哈里斯击败特朗普的机会比拜登更大，而这一信息很可能反馈给了佩洛西等人，进一步强化了拜登必须退选的观点。

Thus, it became clear that the market thought Harris had a better shot at beating Trump than Biden did, And this information likely fed back into the course of action taken by Pelosi, etcetera, furthering the view that Biden had to drop out.

好了，朋友们，我目前就说到这里。

Well, folks, that is it for me for now.

我非常期待继续邀请深思熟虑的思想家，就市场和政策展开对话，并将这些对话带给你们。

I'm excited to continue to host conversations with deep thinkers on markets and policy and bring these conversations your way.

请继续提供反馈。

Please keep the feedback coming.

你们的反馈既很有帮助，也令人感激。

It is both helpful and appreciated.

祝你们度过美好的一周。

I wish you a wonderful week.

您正在收听《Alpha Exchange》。

You've been listening to the Alpha Exchange.

如果您喜欢这个节目，请告诉您的朋友。

If you've enjoyed the show, please do tell a friend.

在结束之前，我想邀请您给我们一些反馈。

And before we leave, I wanted to invite you to drop us some feedback.

我们旨在利用这些对话帮助投资界更好地理解风险，您的意见非常宝贵，能为我们指明努力的方向。

As we aim to utilize these conversations to contribute to the investment community's understanding of risk, Your input is valuable and provides direction on where we should focus.

请发送邮件至 feedback@alphaexchangepodcast.com。

Please email us at feedback@alphaexchangepodcast.com.

再次感谢，下次再见。

Thanks again, and catch you next time.