杰姆·卡桑 - 市场的投票机器（第四季第一集）

嘿，大家好。

Hey, everyone.

我是科里。

Corey here.

感谢收听《与模特约会》的另一期节目。

Thanks for tuning into another episode of flirting with models.

如果你喜欢这个节目，我非常希望你能花点时间评分、评论，最重要的是，分享给朋友。

If you're enjoying the show, I'd greatly appreciate it if you take a moment to rate, review, and most importantly, with a friend.

口口相传是这个播客成长的方式。

Word-of-mouth is how this podcast grows.

如果你想了解更多关于Newfound的收益叠加型共同基金、ETF和模型投资组合平台，请访问returnstacks.com。

And if you'd like to learn more about Newfound's platform of return stacked mutual funds, ETFs, and model portfolios, head over to returnstacks.com.

现在，继续我们的节目。

Now on with the show.

好了。

Alright.

三、二、一。

Three, two, one.

让我们开始吧。

Let's boogie.

大家好，欢迎各位。

Hello, and welcome, everyone.

我是科里·霍夫斯坦，欢迎收听《与模型调情》，这档播客将揭开面纱，探寻量化策略背后的人性因素。

I'm Corey Hofstein, and this is flirting with models, the podcast that pulls back the curtain to discover the human factor behind the quantitative strategy.

科里·霍夫斯坦是Newfound Research的联合创始人兼首席投资官。

Corey Hofstein is the cofounder and chief investment officer of Newfound Research.

由于行业监管规定，他不会在本播客中讨论Newfound Research的任何基金。

Due to industry regulations, he will not discuss any of Newfound Research's funds on this podcast.

播客参与者表达的所有观点均为其个人意见，不代表Newfound Research的观点。

All opinions expressed by podcast participants are solely their own opinion and do not reflect the opinion of Newfound Research.

本播客仅作信息参考之用，不应作为投资决策的依据。

This podcast is for informational purposes only and should not be relied upon as a basis for investment decisions.

Newfound Research的客户可能持有本播客中讨论的证券。

Clients of Newfound Research may maintain positions and securities discussed in this podcast.

如需更多信息，请访问thinknewfound.com。

For more information, visit thinknewfound.com.

本季由Simplify ETFs赞助。

This season is sponsored by Simplify ETFs.

Simplify致力于通过其创新的期权策略帮助您现代化投资组合。

Simplify seeks to help you modernize your portfolio with its innovative set of options based strategies.

完整披露：在Simplify赞助本季之前，我们已在Newfound的ETF模型组合中纳入了一些Simplify的ETF。

Full disclosure: Prior to Simplify sponsoring the season, we had incorporated some of Simplify's ETFs into our ETF model mandates here at Newfound.

如果您想阅读一份关于原因和方法的简要案例研究，请访问simplify.us/flirtingwithmodels。

If you're interested in reading a brief case study about why and how, visit simplify.us/flirtingwithmodels.

节目结束后，请继续收听，我们将与期权凸性专家、Simplify的Harley Bassman继续探讨市场与凸性话题。

And stick around after the episode for an ongoing conversation about markets and convexity with the convexity maven himself, Simplify's own Harley Bassman.

本期嘉宾是IJEA资本管理公司的创始人兼高级管理合伙人Jem Kharsan。

My guest to this episode is Jem Kharsan, founder and senior managing partner of IJEA Capital Management.

杰姆的职业生涯始于交易场内，因此我们从讨论当今市场与过去市场的异同开始对话，更重要的是，探讨那个时代所积累的智慧。

Jem began his career in the pits, and so we begin our conversation with a discussion by comparing and contrasting today's markets versus days gone by, and perhaps more importantly, the wisdom gained from that era.

正是在交易场内，杰姆开始理解并培养他对市场的直觉，以及后来用来描述市场流动驱动因素的那些生动人物形象。

It was in the pits that Jem began to understand and develop his intuition for markets and what would become the colorful cast of characters he uses to describe what's driving flow.

加里大猩猩、瓦娜和查姆树懒。

Gary the gorilla, Vanna, and Charm the Sloth.

这些角色之间的合作或冲突，为杰姆提供了预测市场行为的依据。

How these characters cooperate or fight amongst themselves provides Jem with a forecast as to how markets should behave.

这些似乎都是新出现且不断增长的力量，但杰姆认为它们其实由来已久。

It seems like these are new and growing forces, but Jem argues they're as old as time.

更重要的是，即使人们对其有了更多认知，也不意味着它们能被简单套利消除。

And more importantly, increased awareness does not mean that they can just be arbed away.

它们可能是市场的根本性力量。

They are potentially fundamental forces of markets.

我们最后的讨论聚焦于这些流动如何对股票因子表现产生深远影响，以及这一切对选股者意味着什么。

We end our conversation with a discussion of how these flows can have a profound impact for equity factor performance and what this all means for stock pickers.

希望你们喜欢我与杰姆·卡尔赞的对话。

I hope you enjoy my conversation with Jem Karzan.

杰姆，欢迎来到节目。

Jem, welcome to the show.

非常高兴你能来。

Really excited to have you here.

不过我觉得我有点晚了。

I feel like I'm getting you a little late, though.

你一出现就在推特上火了。

You came hot on the Twitter scene.

突然间，所有人都知道了你是谁，知道了你那些生动的角色。

Everyone all of a sudden knew who you were, knew your colorful cast of characters.

你上了每一个播客，而我觉得我有点吃亏，因为我的播客是季节性的。

You showed up on every podcast, and I feel like I got got sort of the short end of the stick given the fact I do a seasonal podcast here.

你已经有过机会了。

You had your chance.

你本可以有的

You coulda had

我？没错。

me That's right.

没错。

That's right.

我故意装作很难追。

I was playing hard to get.

你是的。

You were.

看到了吗？

See?

这就是会发生的事。

That's this is what happens.

就这样

That's all

确实是。

it was.

嗯，我知道，对我们听众来说，一个好消息是，我们将尝试以不同于你们在其他播客中探讨的一些话题的角度来处理这个问题。

Well, know, I think the good news is, at least for our listeners, is that we're gonna try to take this a little bit of a different angle than maybe some of the topics you've tackled on other podcasts.

我知道，如果听众想更多了解你的背景，比如你的生活经历和你作为世界旅行者的故事，他们可以在其他地方找到这些内容。

I know if folks want more of your background in terms of your life story and you being a world traveler, they can sort of get that other places here.

我们希望能深入探讨一些更技术性的细节。

We're hopefully gonna dive into some more technical detail.

那么，不废话了，我们直接开始吧，先提供一些背景信息作为铺垫。

So without further ado, let's jump into it and maybe to get started and set the table with a little bit of context.

你能简单概述一下你实际管理的一些策略吗？

Can you provide a little bit of a high level overview of some of the strategies that you actually manage?

比如，你交易哪些工具，交易的时间跨度是怎样的，诸如此类？

For example, what instruments you're trading, the horizons you're trading over, that sort of thing?

当然可以。

Yeah, absolutely.

我的背景是波动率套利，特别是股票套利，我们有三种策略。

So my background is in volatility arbitrage, particularly equity arbitrage, our three strategies.

我们的传统策略是一种长期波动率策略，专注于股票和股票指数曲线的前三到四个月。

Our legacy strategy is a long vol strategy that focuses on the first three to four months of the curve in both equities and equity indices.

它在相关性和分散性基础上进行长期波动率交易，但同时也始终持有单位和凸性。

It trades long vol on both a correlation and dispersion basis, but it also is always long kind of units and convexity.

它做多偏度，这在大多数长期波动率策略中很罕见，除非你是尾部基金。

It's long skew, which is rare for a lot of long vol strategies unless you're a tail fund.

但我们是相对价值策略。

We are relative value though.

因此，尽管市场一路飙升，而波动率（特别是近几年）表现不佳，2016年和2017年更是创下历史最低表现，我们的长期波动率策略在过去八年中仍实现了超过15%的超额收益，这是一项值得骄傲的成就。

So in being long vol, our long vol strategies kicked off over 15% alpha for over eight years, which is a badge of honor despite the market going straight up and volatility, particularly several years, they're not doing very well in 2016, 'seventeen with the lowest performance of all time.

这是我们最古老的战略。

That was our oldest strategy.

我们还有一种波动率中性的版本，专注于相同的阿尔法生成部分，但不承担长期波动率风险。

We also have a vol neutral version of that that focuses on the same kind of alpha generating piece, but without the long volatility exposure.

然后我们有一个第三种较新的策略，专注于这些长期波动率和波动率中性策略所依赖的底层分布，随着市场方向和波动率的不断改善，这一策略也日益优化。

And then we have a third newer strategy, which is focused on the distributions underlying those long vol and vol neutral strategies for market direction and vol have gotten better and better over time.

我经常谈到BANA和charm，以及这些影响市场方向的反射性函数。

And I talk a lot about BANA and charm and these functions of reflexivity that affect market directions.

这些策略利用这些因子的分布，真正用于方向性波动率、SKU和市场方向性押注。

Those take those distributions from those factors and really use them for directional vol, SKU, and market directional bets.

所以这就是我们的三种产品。

So those are the three products.

但这一种显然完全不同，它不是波动率套利，而是源于另外两种产品的必要性。

But that one's completely different, obviously, not volatility arbitrage, but really came out of necessity from the other two products.

你职业生涯初期是在交易大厅度过的，那时正值互联网泡沫时代。

Now you started your career in the pits and were working there during the .com era.

如今，许多人看着市场，认为市场过热。

A lot of people are looking at markets today and saying they're frothy.

他们所说的与互联网泡沫时期发生的情况有很多相似之处。

They sort of echo with a lot of what was happening during the .com era.

你能帮我比较一下当时的市场和今天的市场吗？特别是波动率市场现在发生了什么？

Can you compare and contrast for me markets then versus markets today and maybe in particular what's going on in the volatility markets?

是的，我是在1998年进入这个行业的。

Yeah, so I started in this business in 'ninety eight.

正好赶在长期资本管理公司出事之后。

So right on the tail of long term capital.

所以2000年科技泡沫破裂是我作为交易员经历的第一次波动率事件。

So 2000, the tech bust was really my first volatility event that I experienced as a trader.

这深刻影响了我对世界的看法，尽管大家都把它当作一种对当时情况的评估。

And it really informed a lot of how I see the world, even though everybody speaks about it as a kind of evaluation of that.

2000年至2003年间发生的事情，背后有很多由波动率驱动的因素。

There were a lot of vol driven factors that led to what happened in 2000 through 2003.

而这些因素如今比以往任何时候都更强大。

And those factors are now stronger than they've ever been.

所以我认为，尽管存在相似之处，但关键在于，现在的波动率市场比以往任何时候都要庞大得多。

So I think that although there are similarities, the key here is that there is a much bigger vol complex now than there ever was.

影响波动率市场的这些因素，曾导致2000年大量去杠杆，如今规模更大、重要性更高。

The factors that are at play in the vol markets that drove a lot of kind of the unwinds in 2000 are significantly bigger and significantly more important now.

从这个角度看，现在的市场杠杆率几乎是2000年的两倍。

So in that sense, now this market is almost a 100% more leveraged than it was in 2000.

我认为这是关键区别。

So I think that's a key difference.

美联储的应对机制已经大不相同。

The Fed reaction function is very different.

显然，2000年时，美联储还有很大空间降息并提供流动性。

Obviously in 2000, the Fed had a lot of room to move interest rates lower and to provide liquidity.

过去二十年，我们已经看到了这种做法的影响。

We've seen the effects of that over the last twenty years.

他们显然将泡沫从股市推到了房地产市场。

They obviously pushed the bubble from equities over into the real estate market.

随后在2008年，我们又经历了由此引发的第二次震荡。

And then we had the second kind of tremor from that in 2008.

我认为，目前的TINA效应、财政政策的转向以及由此带来的影响，将使这一局面与以往大不相同。

I think right now the Tina effect and the move to fiscal and the change that that's going to have on how this plays out is going to be very different.

我认为，当前市场的尾部风险比那时要危险得多。

I think the tails are much more dangerous in this market than they were back then.

这不仅是因为波动率市场中参与者的规模庞大和流动性不足，还因为美联储出于财政政策转向和通胀上升的考虑，几乎不可能像以前那样提供同等规模的流动性。

And not just because of the size of players in the volatility market and the lack of liquidity, but also the fact that the Fed will not be able to come provide the same amount of liquidity almost by choice as well because of the move to fiscal and increasing inflation.

在我们更深入探讨这些因素之前，我想花点时间承认，许多实体交易池已经消失，如今的新交易员未必能学到那些在交易池中培养的技能。

Before we sort of dive into those factors more deeply, I do want to take a moment to sort of acknowledge that a lot of the physical pits have disappeared and the skills learned in those pits aren't necessarily learned by traders that are coming up today.

我总是很好奇，想问问那些曾在交易池工作过的人。

I'm always curious to ask people who worked in those pits.

你认为那个时代有哪些经验是持久不变、至今仍对你重要的？又有哪些经验已经过时了？

What lessons from that era do you think are sort of permanent and are still important to you and what lessons are now outdated?

是的。

Yeah.

在社交媒体上，我经常谈论这些资金流动。

So on social media, I talk a lot about kind of these flows.

我之所以认识到它们的重要性，完全是出于必要。

The reason I came to learn about their importance was really a function of necessity.

作为2007年至2010年金融危机期间标普500指数和股票指数最大的做市商之一，我和其他交易商一样，持有大量头寸。

As one of the biggest market makers in the S and P 500 and equity indices during the financial crisis from 2007 to 2010, I had what all the dealers had on and in size.

因此，你会根据市场流动的方向来调整头寸，这是所有做市商的常规做法。

And so variably you would set the positions against kind of where the flow was going as all market makers do.

在建立交易时，你总会确保有足够的优势。

You'd always make sure to have a significant amount of edge in the trades when you put them on.

对于那些结构上良好的交易，你会尝试持有更久一些。

And that structurally good trades, you'd try and hold for a little bit longer.

但当你回头进行分析时，总会发现这些交易大多时候并不盈利，尤其是那些大额交易。

But invariably, when you went back and did your analysis, you'd realize that those were not profitable trades more times than not, especially the bigger ones.

然后你会进行归因分析，问自己：为什么会这样？

And then you go do an attribution analysis and say, Okay, why is that?

我们很早就发现，这种优势实际上流向了市场的其他地方。

What we came to learn very early on was that that edge was going into other places in the market.

这些影响了市场的分布。

That was going into the distribution of markets.

它在推动市场变动。

It was moving the markets.

它改变了偏度动态。

It was changing the skew dynamics.

随着这些头寸随时间推移和市场变化，它也在改变隐含波动率的动态。

It was changing the implied volatility dynamics at play as those positions kind of move through time and market move.

因此，我在那里学到的这些经验，真正塑造了我们公司如今生成的大部分优势和阿尔法收益，尽管我们已不再做市。

And so those lessons, what I learned there has really informed a lot of the edge and alpha that we generate now as a firm, even though we're not making markets anymore.

所以我认为这些经验极其宝贵。

So I think those lessons are incredibly valuable.

我真心认为，没有比亲自在交易池中、亲眼目睹订单流如何传递、客户是谁、他们在做什么、如何管理投资组合、以及他们对不同情景可能做出何种反应更好的学习场所了。

I honestly don't think there's a better place to learn than actually physically being in a pit, seeing how actually the flow comes through, who the customers are, what they're doing, how they're managing the portfolio, what kind of reactions they may have to different scenarios.

这种理解极大地帮助我们更好地解读如今所分析的数据。

That understanding has really allowed us to understand the data that we look at now much better.

我根本不可能仅通过数据挖掘或查看现有数据就建模或提出这些理论。

I couldn't have modeled or come up with these theories by just data mining, by looking at the data on hand.

因为很多内容涉及非常复杂的多维决策问题。

Really, because a lot of it is very complex multi kind of dimensional decision making stuff.

因此，拥有这种定性理解对于构建一个稳健的量化框架至关重要。

So really having that qualitative understanding has been incredibly powerful for coming up with a sound quantitative framework.

对于今天刚入行的人而言，既然交易池已经不复存在，他们还能否学到这种技能？

For folks coming up today, is that still a skill set they can learn given that the pits are no longer here?

现在这种技能是否只能通过学徒制来学习？

Is that something you can really only learn through apprenticeship at this point?

我的意思是，我们所有人都是怎么学习的呢？

Well, I mean, how do we all learn?

对吧？

Right?

我们所有人都是通过，如你所说，向他人学习的学徒方式来学习的。

We all learn through, like you said, apprenticeship from learning from others.

交易所大厅的美妙之处在于，它就像有三百名交易员同时围绕着你的学徒制环境。

The beauty of the pit was it was like apprenticeship with 300 other traders surrounding you at once.

你正在观察那些已经从业二三十年、甚至四十年的伟大交易员，他们亲身经历过市场压力，在同一环境中承受过这种煎熬。

You're watching great traders who have been around for twenty, thirty, forty years, who have lived through it, have gone through that pressure cooker all at once in the same environment.

这是一个极其紧张的环境。

It's an intense place.

你学到的东西可能是平时的十倍，速度也快十倍，对吧？

You learn probably 10x what you would at 10x the speed, right?

所有这些同时发生。

All at once.

所以我认为，那里还有一些其他的教训，对吧？

And so I think, there are some other lessons too there, right?

了解自己，学会控制在管理资本和身处高压环境时的情绪。

Learning about yourself and how to control the emotional aspects of managing capital and being in stressful environments.

我认为，如果没有至少在有过这种经验或具备这种专业能力的人手下工作，要在其他地方学到这些是非常困难的。

All those things, I think it's a very hard thing to learn in other places without working at least for other people who have had that experience or have that expertise.

所以你在推特上掀起了一阵风潮，用大量生动的角色来传达你的观点。

So you've taken Twitter a bit by storm and you use a large number of colorful characters to sort of get your point across.

我想有加里大猩猩、查姆树懒，还有凡娜·怀特。

I think there's Gary the gorilla, there's Charm the sloth and Vanna, Vanna White.

你用这些角色来阐释你的观点，这是一种非常有趣的方式传递信息，但我知道它们也承载着对你投资哲学和多年经验教训的重要拟人化意义。

And you use these characters to illustrate your views and it's a really fun way to get your message across but I know that it's also they serve as really, really important personifications of your investment philosophy and the lessons you've learned over time.

那么你能解释一下这些角色是谁，以及为什么它们对你如此重要吗？

So can you explain who these characters are and why they're so important to you?

是的，人们不知道的是，除了金融数学和宏观政策，我在大学还学习了英语文学。

Yeah, so one thing people don't know is along with financial mathematics and macro policy in college, studied English literature.

作为推动这一点的动力，我觉得既然我要传达这些东西，那就用一点色彩吧。

As part of the driving force here, it's like I figure if I'm going to be communicating this stuff, want to do it with a little bit of color.

但没错，它们非常重要。

But yes, they're very important.

这一切始于一个理解：期权头寸、交易商头寸会变动，它们的德尔塔和波动率特性会随时间变化。

So this all starts with an understanding that options, positions, dealer positions move, their deltas change and their vol aspects change over time.

如果交易商持有大量头寸并且持续增加波动率敞口，这自然会反过来对波动率产生抑制作用。

And if dealers are positioned with major positions and are getting longer and longer vol, that naturally reflexively is going to have a dampening effect on vol.

如果他们增加了SKU敞口，这将对该SKU产生抑制作用。

If they're getting longer SKU, that's going to have a dampening effect on that SKU.

如果他们增加了德尔塔敞口，这将推动市场上涨。

If they're getting longer deltas, that's going to drive the market up.

所有这些都属于反身性。

All of this is reflexivity.

最终，我早些时候发布过一篇关于交易场中一名叫加里的小职员的文章。

At the end of the day, I put out a piece a while back early on about a clerk named Gary in the pits.

加里总是被挑战去吃下500块麦乐鸡，或者投进100个罚球，诸如此类疯狂的任务。

And Gary would always be challenged to eat 500 chicken McNuggets, something crazy, or shoot 100 free throws and make them.

但押注加里会失败总是个糟糕的主意，因为加里几乎总是在这些交易中赢面更大。

But And betting against Gary was always a bad idea because Gary was invariably on the winning end of these trades.

如果他完成了任务，人们就会给他钱或分他一份收益。

People would give him money or a cut of the pie if he accomplished the task.

与保险不同，比如龙卷风保险，你是否拥有保险并不会影响龙卷风是否经过城镇。

So unlike insurance, tornado insurance, where you want to have if you have insurance, tornado having the insurance doesn't affect whether the tornado comes through town or not.

这才是真正的保险。

That's real insurance.

在这种情况下，存在反身性。

In this situation, there's reflexivity.

加里会更加努力，确保自己能够成功下注X、Y、Z。

Gary is going to actually work harder, make sure that he knows that he's going to be able to make X, Y, Z bet.

因此，你不想与加里对赌。

And so you don't want to bet against Gary.

你不想与反身性对赌。

You don't want to bet against the reflexivity.

这正是我要表达的重点。

That was the point.

加里的故事就是从这里来的。

That's where kind of Gary came from.

交易商头寸这一概念至关重要。

This idea of dealer positioning is critical.

一般来说，市场中的头寸，人们在其他所有资产上都意识到这一点，对吧？

Positioning in general in the markets, people realize this across all other assets, right?

空头头寸，比如人们会关注空头头寸，对吧？

Short interest, like people look at short interest, right?

这也是反身性。

That's reflexivity too.

类似这些因素，我研究过很多不同的方法，但人们并不理解它们在杠杆率极高、快速增长且具有显著波动率敞口的市场中有多么重要。

Things along those lines, I looked at lots of different ways, but people don't understand how important they are in a leveraged market that's growing tremendously and has very kind of significant exposure like vol exposure.

所以这里有加里，他是交易商头寸的代表，我通常用伽马来指代他。

So there's Gary who's dealer positioning, particularly Gamma is what I tend to refer to him as.

还有凡娜，即波动率变化引起的交易商头寸德尔塔变化。

And there's Vanna, which is change in per change in volatility, the change in delta of dealer positioning.

查姆，我们用树懒来形象地代表他，因为他非常缓慢，只是随着时间慢慢发挥作用。

Charm, who we colorfully use a sloth for because he's very slow and just kind of works over time.

Charm 是指单位时间内的德尔塔变化。

Charm is per amount of time, the change in delta.

还有一些我较少提及的其他指标，比如 Volga 和 VOMA，它们是同样的效应，但作用于波动率上。

There's also other ones that I don't talk as much about, like Volga and VOMA, and those two are those same effects but on volatility.

所有这些指标，我们都会密切监控。

All of these really, we measure them very closely.

我们关注交易商的头寸。

We look at dealer positioning.

在不透露核心机密的前提下，我们从实际执行的经纪商处获取所有交易流，包括主经纪商的结构化交易以及交易所交易的数据。

We take, without giving too much secret sauce, we take from the actual executing brokers, all of the flow, both prime brokers as well for structured trades, as well as exchange traded.

我们标记这些交易是来自交易商还是其他类型的客户，以及是否进行了对冲。

And we mark them as whether they're dealers or type of customer that's executing it, whether it's hedged, not hedged.

我们对这些数据进行结构化处理，然后结合我们自己的方法，分析波动率曲面。

And we structure this data and then we use our own kind of, we look at the volatility surfaces.

我们构建了一些模型，能够处理所有这些数据，从而对我们不同到期日的交易商头寸状况做出准确的估算。

We kind of create some models that allow us to kind of process all this data and give us a real good sense of estimation of what the dealer positioning is like over different expirations.

这使我们能够大致判断出我们持有的Volga、VOMO、Orvana、Charm或Gamma敞口有多少。

And that allows us to essentially say, okay, this is about how much Volga or VOMO or Orvana or Charm or Gamma exposure we have.

这对我们波动率和市场的分布而言是一个主要输入因素。

And that is a major input to our distributions, both for volatility as well as market.

因此，我们的策略主要关注市场波动、每个市场变动中的波动率分布，以及所谓的SKU变动。

And so our strategies really look at these distributions of market, vol moves in each market move, as well as kind of SKU moves.

所有这些因素都是这些分布的输入，并驱动了相当可观的结构性阿尔法。

And so all of these are inputs to those distributions and drive a significant amount of structural alpha.

2020年感觉像是期权交易商对标的资产产生重大反身性影响这一概念走向主流的一年。

2020 felt like a year where this concept of option dealers having a major reflexive impact upon the underlying went mainstream.

你开始在新闻中频繁看到这种现象。

You started to see it appear in the news a lot more.

许多人提出了各种理论，试图解释究竟是什么驱动希腊字母的核心因素。

And there's been a lot of people putting different theories out there as to why as to really what the driving greek is.

很多人在讨论Gamma或Delta。

A lot of people talking about gamma or delta.

你显然非常关注Vanna和Charm，认为它们才是真正的关键驱动因素，我认为你的这种观点非常独特。

You very much seem to focus on Vanna and charm as being the real meaningful drivers, and I think you're very unique in that view.

我是少数真正听到有人特别讨论这些希腊字母的人之一。

One of the few I really hear talk about those Greeks in particular.

你为什么认为它们比其他因素重要得多？

Why do you think they're so much more important than the others?

是的，很高兴你问这个问题，因为这实际上是我觉得自己讨论得还不够多的一点。

Yeah, so I'm glad you asked that question because it's actually the one thing I haven't really discussed as much as I think is necessary.

如果你仔细想想，尾部事件并不会经常发生，对吧？

If you think about it, tail events don't happen frequently, right?

而尾部事件中的凸性正是Gamma真正起作用的时候，尤其是在指数和整体市场中，对吧？

And tail events, that convexity is when gamma really matters, especially for indices, especially for markets writ large, right?

对于像GameStop这样的个股，Gamma可能更重要，因为它们具有独特的尾部风险。

For single stocks like GameStop or whatever, gamma might be more important because of the idiosyncratic kind of tail risk.

但对于整体市场、指数而言，这些尾部事件是罕见的。

But for markets writ large, for indices, broadly those tail events are rare.

因此，对于这些事件来说，伽马非常重要。

So gamma matters a lot for those events.

我并不是在贬低伽马在风险管理以及理解大幅波动时的作用，比如三月份，伽马就是一切，对吧？

I'm not diminishing the value of gamma for risk management and for understanding kind of for a big move, how much gamma effects there are, like March, gamma was everything, right?

但在95%到97%的情况下，这些都不是尾部事件。

But in 95, 97% of scenarios, they're not tail events.

它们是日常市场中发生的事情。

They are day to day, what's happening in the market?

推动市场的力量是什么？

What are the driving forces?

我们如何预测和理解正在发生的事情？

And how can we predict and understand what's happening?

而瓦娜和魅力建立的，正是像伽马那样的德尔塔效应，但适用于另外95%的情景。

And what Vana and Charm are, are those delta effects like gamma are, but for those other 95% of scenarios.

它们真正驱动了大量关于市场运作的传统说法和理解。

And they really drive so much of kind of these old market adages and understandings of how markets work.

如果你理解了Vana和Charm，你就真正理解了风险溢价及其影响，包括那些被对冲、管理和仓储的凸性，以及用线性对冲工具对冲这些影响、时间对这种结构、这些套利交易的影响，还有波动率对这些结构、这些产品风险水平的影响。

If you understand Vana and Charm, you're really understanding risk premia and you're really understanding the effects that risk premia have, that convexity, which is being hedged, managed and warehoused in places and hedged with linear hedges and the effects of time on that construct, on these carry trades, so to speak, and the movement of volatility on those constructs, like the risk levels in those products.

所以，我还能举出上百万条市场格言。

So again, could name a million adages.

我其实想某天在社交媒体上做这件事，让人们提出一条格言，然后我解释为什么Vana和Charm在驱动它。

I actually want to do this on social media at some point, just have people throw an adage and give them an explanation for why Lana and Charm are driving that.

因为几乎每一条格言背后都有其动因，比如‘永远不要做空平淡的市场’，对吧？

Because almost every single one is driven, never short a dull market, right?

为什么这么说？

Like why?

因为当你坐在那里，市场毫无动静时，时间仍在流逝。

Because if you're sitting there and nothing's happening, time's going to pass.

交易商在股指上做空看跌期权、做多看涨期权，因为每个人都在做多。

Dealers are short put long call in the indices because everybody's long.

整个市场都在做多。

The whole world is long.

如果你活着，吃饭、睡觉、呼吸，你就是多头。

If you live, you eat, sleep, breathe, you're long.

你拥有房产，有份工作，你就是多头。

You own a home, you have a job, you're long.

因此，所有人，所有交易商都在做空携带交易，即做空看跌期权、做多看涨期权。

And so everybody, all dealers are short the carry trade of short put, long call.

这就是为什么标普SKU如此之高，是全球最高的。

That's why S and P SKU is as high as it is, the highest in the world.

如果真是这样，交易商就需要买入股票。

And if that's the case, dealers have stock to buy.

每过一分钟，时间流逝，我们越不动，波动率也会下降。

Every minute day time passes, the more we don't move, vol comes down as well.

期限结构呈向上倾斜。

Term structure is upward sloping.

因此，当波动率沿着期限结构下滑时，市场中自然存在瓦纳。

So there's a natural Vauna in the market as vol slides down the term structure.

因此，这些因素每天都在向你展示波动率将如何被买回。

So all of these factors every day show you kind of how the vol is going to be bought back.

还有，买回波动率的时间点，以及人们何时会重新对冲他们的头寸。

Also, times it's going to be bought back, when people are going to re hedge their books.

这解释了大量周末效应以及其他日常市场现象。

It explains a lot of kind of weekend effects and a lot of other day to day things.

我现在要给你一个机会，因为我找到了你的一条推文，我想读给你听：许多看似描述近乎神奇市场现象的陈词滥调，其实都可以通过结构性衍生品的流动相对容易地解释。

I'm actually gonna give you the opportunity now because I found a tweet of yours that I wanna read to you where you said, so many cliche market adages, which seem to describe almost magical market phenomenon can be relatively easily explained by structural derivative flows.

现在我有两个想法。

Now I sort of have two thoughts.

第一，我当然希望你能解释你刚才提到的内容；第二，这让我想到一个问题：这是新现象吗？

One, I obviously want you to explain that which you just mentioned, but two, what it brings up for me is this idea of is this new?

对我们许多思考现代市场的人来说，这种具有巨大影响、像尾巴摇狗一样的反射性期权对冲流动，似乎是一种新现象。

For many of us thinking about modern markets, it does seem like this reflexive option based hedging flow that's having such a large tail wagging the dog impact seems like a new phenomenon.

但对你来说，这似乎并不是新事物。

It sounds like to you it's not.

我不想替你说话，但我很想了解，你认为这一切究竟是从什么时候开始的，以及是否随着时间推移而加速了。

And I don't want to put words in your mouth, but I'd love to know when you think this really all started happening and maybe whether it's accelerated over time.

至少从我进入这个行业算起，已经二十二年了，这种现象一直存在。

At least since I've been in the business, which is twenty two years, this has been a phenomenon that's existed.

我确信这一点，因为我一直以此进行交易。

I know that for a fact because I've traded off of it.

但我的总体看法是，这种现象几乎自古以来就存在了。

But my broad view is that this has been around almost since the beginning of time.

事实上，风险溢价并不是新事物。

And the reality is that risk premia is not new.

风险溢价一直都在。

Risk premia has always been there.

对所有资产进行结构性长期敞口对冲的需求，对吧？

The need to hedge structural long exposure in all assets, right?

这种需求一直存在。

Has always been there.

保险的需求一直存在。

The need for insurance has always been there.

最大的风险溢价之一就是市场敞口，对吧？

And one of the biggest risk freemias is market exposure, right?

每个人，正如我所说，都是多头。

Everybody, like I said, is long.

所以这是一种结构性的套利交易。

So that is a structured carry trade.

我们还有其他套利交易，对吧？

We have other carry trades, right?

我们有货币套利交易。

We have currency carry trades.

我们有各种各样的其他套利交易，但它们都是结构性的，不会消失。

We have all kinds of other carry trades, but they're structural and they're not going away.

当你拥有这种风险溢价时，就会产生这些效应。

And when you have that, that risk premia, that's going to create these effects.

我们称它们为希腊字母，并且似乎把它们与期权挂钩，但风险溢价本质上就是我所说的这种套利交易、这种波动性暴露。

We call them Greeks and we refer to them as if they're tied to options, but risk premia itself is essentially this carry trade, this volatility exposure that I'm talking about.

所以在我看来，这些效应一直存在已久。

So these effects have been around forever as far as I'm concerned.

它们可能在增长，并且变得更加可预测，我相信现在确实如此，因为不仅参与的人更多了，而且人们使用的标准化产品也更多了。

They may grow and they may be much more predictable, which I believe they definitely are now because not just are there more people doing it, but there are more set products that people use.

因此，预测这些风险溢价的时机以及何时被回补等变得更加容易。

So it's easier to predict kind of timing of some of that risk premia and when things get bought back, etcetera.

但这种暴露本身一直存在。

But the exposure itself has always been there.

我在这里抛出几句俗语，让这个话题更有趣一些：市场总是在忧虑之墙上攀爬，对吧？

I'll throw a couple of adages out here just to kind of make this fun, but markets climb a wall of worry, right?

为什么市场总是在忧虑之墙上攀爬？

Why do markets climb a wall of worry?

大家都认为这是因为市场上有一些空头，对吧？

Everybody thinks it's because, well, there are some shorts out there, right?

做空者更多了，而且他们可以平仓。

There are more shorts and they can be bought back.

这只是其中一部分。

That's some of it.

这也是反身性。

That's reflexivity as well.

但现实情况是，就像我们在选举中看到的那样，当我们能够预测那次选举时，从我们的角度来看，其结果的分布是很容易预测的，因为我们了解了仓位情况。

But the reality, like we saw at the election, when we were able to predict that election, the distributional outcome of that was fairly easy to predict from our point of view because we understood the positioning.

人们非常担忧。

People were very worried.

隐含波动率非常高。

Implied volatility was very high.

SKU也非常高。

SKU was very high.

这就积累了大量的潜在能量，对吧？

That leads to a ton of potential energy, right?

以瓦纳和charm的形式出现，尤其是在如之前那样的反向市场曲线中。

In the form of Vana and charm, especially when the curves in backwardation like it was.

这就像一根等待释放的弹弓，一旦该事件或保险溢价、风险溢价被撤回，就会立即释放。

This is a slingshot waiting to be kind of released the second that event or that insurance premium, that risk premium gets pulled out.

市场向上走楼梯，向下乘电梯。

Markets take the stairs up and the elevator down.

为什么会这样？

Why is that?

不仅仅是因为人们在下跌时感到害怕而抛售，同时又保持多头头寸。

Not just because people are scared on the way down and they sell and they're long.

这些因素与保险溢价的需求相关，交易商通过做空该溢价来承担风险，这在下跌时引发伽玛效应，具有反身性，导致在溢价衰减时出现瓦纳和charm的流动。

Those things are connected to the need for insurance premium and dealers are essentially embody that risk by being short that premium, which causes gamma effects on the way down, which is reflexive, which causes Vauna and Charm flows on a decay of those premium.

我已提到过，永远不要做空平淡的市场，卖谣言，买新闻。

I already mentioned never short a dull market, sell the rumor, buy the news.

同样的道理，对吧？

Same thing, right?

我的意思是，所有这些事情，如果你仔细想想，都是我们日复一日交易市场的核心原则。

I mean, all of these things, if you think about, these are core principles to how we trade markets day in, day out.

它们在结构上与市场中的保险溢价和风险溢价这一概念紧密相连。

And they're structurally tied to this idea of insurance premium in the market and risk premium.

无论如何，我还可以继续说下去。

Anyway, I could keep on going.

永远不要接飞刀。

Never catch a falling knife.

牛市生于悲观，长于怀疑。

Bull markets are born on pessimism and grow on skepticism.

所有这些，再次强调，是日常交易中真正重要的格言，我认为它们都与风险溢价及这些效应相关，而这些效应其实是可以衡量的。

All of these things, which are again, the adages that really matter in day to day are again, in my view, tied to risk premia and these effects, which we could actually measure.

我认为这才是关键所在。

And I think that's the important part.

它们不仅仅是概念、想法或泛泛而谈的观点。

They're not just concepts and ideas and general views.

我们可以衡量这些因素，以及由此产生的资金流动和需求，从而为我们的交易增添结构性阿尔法。

We can measure these and measure the flows and demand that come out of them and really add structural alpha to our trades.

当你讨论这些效应时，存在一个重要的时间因素。

There's a big time based element when you discuss these effects.

例如，你经常提到窗口的开启或关闭、Vanna去度假，或者一些看似影响你观点路径依赖的具体日期。

So for example, you often mention windows opening or closing, Vanna going on vacation, or really specific dates that seem to impact the path dependency of your views.

你能详细谈谈你关注的是什么，以及为什么某些日期比其他日期更重要吗？

Can you expand on what you're looking at and why certain dates are more important than others?

是的。

Yeah.

时间的一个绝佳之处在于它是可预测的，不仅包括秒、分钟、天，还包括到期周期，以及对周末和交易商衡量时间方式的理解——这种时间并非线性的。

So one of the great things about time is it's predictable, not just seconds and minutes and days, but also expiration cycles, understanding also weekends and how dealers measure time, which is not linear.

这涉及到交易日与日历日的区别，还有事件，对吧？

It has to do with trading days versus calendar days, also events, right?

在事件发生前后，时间的含义是不同的。

Time is different around events.

因此，如果你能理解这些概念，并了解围绕这些不同期权到期日或其他到期周期的持仓情况，当风险溢价从市场中释放时，你就能真正理解这些Vanna和Charm资金流何时会显现。

And so if you can understand those concepts and understand the positioning around these different OpEx or other expiration kind of cycles, when that risk premia is coming out of the market, you can really understand when these Vana and Charm flows are coming to fruition.

此外，这不仅仅是理解市场上存在的风险溢价。

There's also, again, this isn't just understanding the risk premium that's out there.

而是要理解市场参与者以及他们如何管理或不得不管理这些头寸相关的风险。

It's understanding the participants in the market and how they are managing or having to manage risk around these positions.

其中一些较大的参与者，但请记住，每个人的基本持仓都差不多。

And some of the bigger ones, and again, remember, everybody's got kind of the same position on.

这是一个不错的持仓。

It's a good position.

它具有结构性优势。

It has a structural edge to it.

这是一种套利交易。

It's a carry trade.

由于所有人都持相同头寸，因此存在尾部风险，但同时也存在追逐现象，对吧？

It has a tail because everybody's in the same position, but there's a chase, right?

每个人都试图提前把握这些流动。

Everybody's trying to get ahead of these flows.

而一些规模较大的实体，比如银行等，由于不够灵活，通常会在每天结束或开始的可预测时间段内进行操作。

And the bigger entities, which are sometimes not as nimble like banks, etcetera, really do it at a somewhat predictable end of day, beginning of day kind of window.

所以人们已经注意到这些流动了，对吧？

And so people are onto some of these flows, right?

然后人们会试图抢先交易或提前布局这些流动，对吧？

And then people will try and front run or get ahead of these flows, right?

因此，理解这些市场参与者，知道他们必将出现，以及市场将如何应对，至关重要。

And so understanding these participants, understanding that they're coming, that they're inevitable and how the marketplace is going to react to that is critical.

但当我们考察与时间相关的路径依赖性以及驱动这些因素的原因时，这些正是我们关注的重点。

But these are the things that we're looking at when we look at kind of the path dependency tied to time and what's driving these factors.

我们对行为进行建模，而这种行为正在随时间变化，对吧？

We model the behavior and it's changing over time, right?

随着人们越来越意识到这一点，我们已经多次讨论过隔夜表现的超额收益。

As people become more cognizant, we've talked a lot about the overnight kind of outperformance.

这在某种程度上一直存在，但最近确实加速了。

That's something that has always existed to some extent, but has really accelerated.

在我们看来，这种加速与Vana和Charm的资金流密切相关，这些资金流随时间增长且非常稳定，市场参与者已经意识到这一点，并认识到提前布局这些资金流能获得优势。

And that acceleration, in our view, we feel very strongly is tied to these flows from Vana and Charm, which are growing over time and which are quite consistent and participants have realized it and realized that there's an edge to kind of getting ahead of these flows.

因此，这极大地推动了盘后交易的超额收益。

And so this really drives an outperformance in the extended day.

问题是，是否会有人提前交易这些资金流？这又将如何影响所有这些因素？

Now question is, will there be front running of that and how does that affect all of this stuff?

这些资金流不会消失。

Those flows aren't going away.

相反，它们还在增长。

They're growing if anything.

从中获得的优势和阿尔法收益正在增加，但这也会对市场产生影响，影响参与者如何把握时机。

The edge and alpha that you can gain from it is growing, but that also kind of affects the market, you know, and how participants are going to time that.

因此，这些正是我们正在关注的问题。

So those are kind of the things we're looking at.

说到这些事件的加速，我们在之前的对话中提到，你认为2015年万达的估值实际上起到了警告作用，预示了新市场格局的来临。

So speaking about the acceleration of these events, in a prior conversation that we had, you said that you thought the Wanda valuation in 2015 really served as, and I'm quoting here, a warning shot for what the new market regime was gonna look like.

你这话是什么意思？

What do you mean by that?

是的。

Yeah.

这很有趣。

It's interesting.

人们经常谈论2018年XIV的崩盘，认为那是市场变化的首个信号，但其实大家并没有真正理解。

People don't really you know, you hear a lot of talk about twenty eighteen XIV blowout and how that may have been kind of a first kind of clue that things are changing in the market.

在我看来，2015年8月才是真正的新转折点。

My view is August 2015 was really kind of a new thing.

在我二十二年的从业经历中，从未有过比这更令人紧张的时刻，尽管当时市场波动幅度相对较小。

In my twenty two years of doing this, there was no more stressful, given how small a move that relatively was.

当时屏幕黑了大约三十分钟到一小时。

Screens were black for about thirty minutes to an hour there.

市场根本不存在。

There was no market.

尽管那次波动幅度很小，但它真正暴露了如今显著存在的尾部流动性枯竭问题——这种问题一直以某种形式存在，但现在已成为一种结构性现象。

For how small a move that was, it really exposed this illiquidity on the tails that now exists dramatically, that has always existed to some extent, but as a structural phenomenon.

由于保证金追缴，SKU达到了历史最高水平。

And we had a situation where SKU was at a record level because of margin calls.

这再次发出了一记警告信号，预示着即将到来的变化。

It really spoke to kind of, again, a warning shot to what was coming.

2018年2月的XIV崩盘情况类似，但至少一些市场参与者曾经历过类似事件，尽管有些混乱，但整体比2015年8月的情况更可控，因为当时至少还有历史数据可参考。

2018 was a similar scenario in February with the XIV blowout, but at least people had, some participants had experienced something and it was a bit more controlled despite being somewhat chaotic than August was because it was at least something that was in the dataset then.

我认为那是一个重要的时刻。

I think that was an important moment.

而如今，我们已经经历了两次这样的事件，如果算上三月，那就是三次了，我认为人们开始意识到，这种市场已不再相同，尤其是随着我之前提到的财政政策导致流动性逐步退出。

And now that we've had two events like that, call it three now with March, I think people are beginning to realize that this is not the same market in that extent, especially with a moving towards a removal of liquidity with the move to fiscal that I had mentioned earlier.

我认为人们正在意识到，当前的波动率市场规模庞大，尾部流动性枯竭，再加上应对所需流动性能力日益下降，这构成了一套非常有毒且危险的风险组合。

I think people are waking up to the fact that there's a very toxic, dangerous kind of set of risks here with a volatility market that's as big as it is with illiquidity on the tails and an increasingly lack of ability to respond with the liquidity necessary given that.

我记得我们最早一次深入的对话之一，实际上对我而言非常有启发性，那是在我撰写流动性 cascades 论文的时候。

So I remember one of our first really in-depth conversations, which was incredibly illuminating for me actually occurred when I was writing my liquidity cascades paper.

你是我最早一批向我指出，衍生品和期权市场中的指数资金流效应，实际上可能对基础股票的收益结构产生深远影响的人之一。

And you were one of the first people to really highlight for me how these index flow effects within the world of derivatives and options could actually be having profound impacts upon the return structure of the underlying stocks.

例如，你实际上曾认为，2017年的波动率很低。

So for example, you actually argued that volatility in 2017 was low.

大多数人会认为，2017年波动率低是因为股票相关性低。

Most people would argue that volatility in 2017 was low because stock correlations were low.

但你可能会提出相反的观点，认为相关性低是因为波动率被压制了。

You might actually argue the inverse that correlations were low because volatility was pinned.

我认为这对很多人来说是反直觉的。

And I think that's counterintuitive for a lot of people.

所以我希望你能进一步阐述这个观点。

So I was hoping maybe you could expand on that idea.

是的。

Yeah.