本集简介
双语字幕
仅展示文本字幕，不包含中文音频；想边听边看，请使用 Bayt 播客 App。
嘿，大家好。
Hey, everyone.
我是科里。
Corey here.
感谢收听《与模特约会》的又一期节目。
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和模型投资组合的信息，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，正式开始节目。
Now on with the show.
三、二、一。
Three, two, one.
我们开始吧。
Let's do it.
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的立场。
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，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.
今天，我与塔尔顿资本管理公司的合伙人、《期权交易》《波动率交易》以及即将出版的《持仓期权交易》的作者尤安·辛克莱尔进行对话。
Today, I chat with Euan Sinclair, partner at Talton Capital Management and author of the books Option Trading, Volatility Trading, and the upcoming Positional Option Trading.
我们的讨论从尤安作为做市商的经历开始，我试图更好地了解做市业务内部的真实运作方式，以及过去十五年来它发生了怎样的变化。
We begin our discussion with Euan's experience as a market maker as I try to get a better understanding of what a market making operation really looks like from the inside and how it has changed over the last fifteen years.
鉴于近年来做市商被大量污名化，尤安对关于做市商的误解所发表的见解尤其引起我的兴趣。
Of particular interest to me, given how much market makers have been villainized in recent years, were Euan's comments on misconceptions about market makers.
随后，我们转向买方领域，尤安近年来主要活跃于此，这也构成了他新书的核心内容。
We then turn to the buy side, where Euan has spent recent years and is largely the subject of his new book.
我们讨论了常见的错误、优势来源、对方向性交易与波动率交易的思考，以及期权交易中看似无穷无尽的自由度。
We discuss common mistakes, sources of edge, thinking about directional versus volatility bets, and the seemingly overwhelming degrees of freedom that options trading offers.
我知道，与他的对话让我不仅更加理解了这些话题的复杂性，也获得了若干关于优势构建和风险管理的新思路。
I know I walked away from our conversation with both an increased appreciation of the nuance in these topics, but also several new ideas for both edge and risk management.
请欣赏我与尤安·辛克莱尔的对话。
Please enjoy my conversation with Euan Sinclair.
Euan，感谢你今天加入我。
Euan, thank you for joining me today.
非常高兴你能来参加这个播客。
Really excited to have you on the podcast.
是的，谢谢你的邀请。
Yeah, thanks for asking.
我猜你一定很兴奋吧。
I imagine you are pretty excited.
和我聊天简直太棒了。
I'm pretty awesome to talk to.
除了你丰富的知识之外，让我特别兴奋的是，我之前本季和上季都邀请过QVR的本·艾弗特，我发现越来越多的听众对期权世界产生了浓厚兴趣。
Well, beyond that, beyond the wealth of information you have, I I guess what's super exciting for me is I did have Ben Eifert from QVR on earlier this season and last season, and I think there's more and more people who are listening to the podcast who are really excited about the world of options.
我相信你将提供与本截然不同但又互补的视角。
And I think you're gonna provide a very different and complementary perspective than what Ben has provided.
对于可能还不了解你的听众，你能否先简单介绍一下你的背景？
So I'm really excited to get your thoughts For the guests who maybe haven't heard of you before, would you mind starting off with a little bit of your background?
是的，我出生在新西兰。
Yeah, I was born in New Zealand.
我在那里完成了物理学的本科学习。
I did my undergrad in physics there.
然后我去了英国，攻读物理学博士学位，实际上是混沌理论。
Then I went to England and I did a PhD in physics, theoretical physics, actually chaos theory.
博士毕业后，我在找工作，原本一直以为自己会成为一名物理学教授，但后来我更清楚地了解了他们日常的工作内容，就不想那样做了。
At the end of that, I was looking for a job and I'd always thought I was going be a physics professor, but then I kind of got a better idea of what they did on a day to day basis and didn't want to do that.
如果我真的很出色，那就是另一回事了。
If I'd been really good, that's a different story.
但在学术界，你要么是超级明星，要么就一无所有。
But in academia, you're either a superstar or you are nothing.
所以我正在四处寻找工作，那是1995年，就在尼克·李森导致巴林银行倒闭之后不久，这可能是现代衍生品灾难中的第一起典型案例。
So I was looking around for a job, and this was 1995, And it was soon after Nick Leeson blew up Bearings Bank, which was possibly one of the first sort of modern derivatives disasters.
因此，这件事在英国引起了大量媒体报道，而英国的交易活动整体上远不如美国那样主流。
So it was getting a lot of press in England, and trading in general in England is nowhere near as sort of mainstream as it is in The USA.
我不确定为什么会这样，因为英国其实有很多赌博行为。
And I don't know why that is because there's a lot of gambling that goes on in England.
我认为这主要是由于市场结构造成的。
I think it's mainly due to the structure of the markets.
当时的交易成本非常高，税收也很重。
There were huge transaction costs, big taxes.
但不管怎样，直到那时，还没人把这当成一条职业道路，直到我开始读到一些关于他们的故事，比如在《新科学家》这类杂志上，他们谈论着‘火箭科学’，以及人们如何招聘物理学家和工程师。
But anyway, that wasn't really a career path anyone ever thought of until this, when I started reading stories about them and like New Scientist and things when they were talking about rocket science and how people were hiring physicists and engineers.
我的意思是，那时候还没有金融工程硕士这个专业。
And I mean, this was in the days before your master's in financial engineering existed.
如果你想学习布莱克-斯科尔斯模型，就得自己买本书来学。
If you wanted to learn Black Scholes, you got a book and learned it yourself.
当时根本没人教这些东西。
There was no one teaching this stuff.
所以我只是无意中进入了这个行业。
So I kind of just fell into it.
我很幸运，被一家小型做市商公司雇用了。
I was lucky that I was hired by a small firm of market makers.
我认为在一家小公司工作很棒，因为你能做很多事情，而且基本上是自我驱动的。
And I think being in a small firm was great because you get to do a lot of things and you kind of are fairly self directed.
而在一家做市商公司工作也很棒，因为你实际上会进行大量交易。
And being in a market making firm, I think was great because you end up it's like you do a lot of trades.
所以你的学习过程可以获得大量反馈。
So it's like your learning process, you can get a lot of feedback.
但如果你在银行的场外交易柜台，可能一周只做一两笔交易。
Whereas if you're in a bank OTC desk, you might only do one or two trades a week.
所以我认为你获得的是非常集中的学习体验。
So I think you just get a very concentrated learning experience.
我当时什么都不知道。
And I knew nothing.
我的意思是，我本可能被安排到销售柜台。
I mean, I could have ended up on a sales desk.
我本可能成为一名结构化产品专家、量化分析师或程序员。
I could have ended up being a structure or a quant or a coder.
我完全不懂。
I had no clue.
所以我觉得我在第一份工作中的运气非常好。
So I just think I was very lucky in that first job.
我很想深入探讨一下做市这一方面。
I'd love to dive in there on the market making side of the equation.
我认为，对于我们这些在市场中运作的人来说，做市仍然是一个相对神秘、不透明的部分。
I think for a lot of us who operate in markets, market making is still somewhat of an opaque mysterious part of what happens.
电子做市和高频交易确实随着时间推移显著增长，并获得了大量媒体报道，但对我们大多数人来说，做市在过去二十年里究竟如何变化，仍然缺乏透明度。作为在做市领域投入了大量时间的人，我很想听听你的看法。
It's certainly electronic market making and high frequency trading has grown significantly over time and it's gotten a lot of headline press, but I think there's very little transparency for most of us as to how market making has really changed in the last twenty years and as someone who spent considerable time on the market making side, I'd love your thoughts on that.
是的。
Yeah.
这几乎已经不是同一个工作了。
It's almost not the same job.
这几乎完全认不出来了。
It's almost unrecognizable.
显然，我想先从这里说起。
Obviously and I just wanna start here.
我经常取笑做市商。
I make fun of market makers a lot.
我会说他们有多蠢、多懒，诸如此类的话。
I call them say how stupid they are and how lazy they are and all this kind of stuff.
但这不是趋势交易。
But it's not flow trading.
你没有任何固定流单。
You don't have any captive flow.
这是一种非常非常困难的交易策略。
It's a very, very difficult trading strategy.
你完全受订单流的摆布，并且面临巨大的逆向选择风险。
You are completely at the mercy of the order flow, and you have massive amounts of adverse selection.
你必须为所有东西都报出买卖价。
You have to make a market on everything.
如果你报出完美的市场报价，客户会说，哦，这个报价真不错。
If you make a perfect market, the customer will be like, Oh, that's a great market.
我就不做任何交易了。
I'm not going to do anything.
所以你会被每一个错误都交易到。
So you get every mistake you get traded on.
因此，这是一个非常非常困难、利润率极低的行业。
So it's a very, very difficult, very low margin business.
所以当我刚入行时，交易大厅还处于生命周期的末期，全球各地仍有开放的公开喊价交易厅。
So when I started, it was sort of still at the end of the life floor, and there were still open outright floors all around the world.
那时所需的核心技能主要是速度。
And the skill involved then was largely about being fast.
我的意思是，如果你能瞬间报出一个四向策略的市场报价，比如给我这个日历价差，加上这两个看涨期权，你就是第一个被经纪人听到的人。
I mean, if you could make a market in a four way strategy, like give me this calendar spread with two of these calls and you can do it instantaneously, You're the first one the broker hears.
当客户交易时，他会跟你交易，然后把剩下的部分分给其他人。
When the customer trades, he'll trade with you and then split up the rest amongst everyone else.
所以核心技能是快速进行算术运算，因为那就是执行。
So the core skill was being really fast, arithmetic, because that was execution.
而执行仍然是做市交易中非常重要的一部分。
And execution is still a very important part of market making trading.
我们现在就能看到这一点。
We see it now.
大家都了解我们的高频交易，需要非常快速的机器、高速线路和托管服务器等等。
Everyone knows our high frequency trading, you need really fast machines and fast lines and colocated servers and so forth.
在过去，仅仅是能快速加总数字，然后喊得最大声。
Back in the old days, it was just the ability to add up numbers quickly and then scream loudest.
这确实是一种真实的能力。
And it's a real thing.
那是一项重要的技能。
It was an important skill.
我绝不会因此就说这不是真正的交易之类的而贬低它。
And I wouldn't in any way minimize that by saying that's not real trading or anything.
这确实是真正的交易。
It absolutely is.
做市的另一个绝佳之处在于，学习如何交易时，当做市商完成一笔交易时，至少在理论上，他们会获得买卖价差的一半。
The other great thing about market making, learning how to trade, is when a market maker makes a trade, at least in theory, they get half of the bid ask spread.
他们的理论价值是10。
Their theoretical value is 10.
他们报出9买11卖的盘口。
They make the market nine bid at 11.
他们以9的价格买入。
They buy nines.
这在理论上是一档的利润。
That's, in theory, a one tick profit.
困难之处在于如何留住这些钱。
The hard thing is keeping any of that money.
因为你面临逆向选择，很多与你交易的人要么拥有能推动市场朝某一方向移动的订单流，要么掌握真实信息。
Because you get this adverse selection, a lot of the people you're trading with have either flow that they're used to drive the market one way or real information.
作为做市商，你无法像持仓交易者那样进行深入的分析。
As a market maker, you can't do anywhere near the sort of analysis that a positional trader can do.
作为持仓交易者，你可能会花三四个小时分析波动率，然后只做一笔交易。
As a positional trader, you might sit down and analyze volatility for three or four hours and then do one trade.
而作为做市商，在这段时间里你已经完成了500笔交易。
I mean, as a market maker, you've done 500 trades in that time.
你甚至记不清第一笔交易是什么了。
You can't even remember what the first ones were.
所以，留住利润真的非常困难。
So keeping the money is really difficult.
因此，做市商都成了出色的风险管理者，因为他们大部分的持仓技巧其实都是风险管理。
So market makers become very good risk managers because most of the position skill they have is risk management.
那就是识别仓位可能出现问题的环节，并找到对冲这些风险的最低成本方式。
It's identifying where their positions can go wrong, finding the cheapest ways to hedge that.
这完全是关于管理业务风险，而不是头寸风险。
It's entirely about managing the risk of the business rather than risk of the position.
这些风险随时间变化了吗？
Have those risks changed over time?
我想到的是，从公开喊价交易过渡到电子做市，交易者可能从只交易几只股票变为非常快速地交易数百只股票。
I'm thinking as you're talking about going from open art outcry, maybe someone who's trading is trading on a couple of names to more electronic market making where you might be trading hundreds of names very, very quickly.
这是一种不同的交易簿风格，我立刻联想到类似骑士资本集团在十五分钟内亏损超过四亿美元的灾难性事件。
It's a different style of book, and I immediately go to some sort of catastrophe like a Knight Capital Group losing 400 plus million in fifteen minutes.
我想在公开喊价模式下，这种事可能更难发生。
I imagine that would be potentially harder to do in an open outcry type model.
那么，做市的基本风险随时间发生了变化吗？
So have the fundamental risks of market making shifted over time?
是的，这是个很好的观点。
Yeah, that's a good point.
市场风险本身其实并没有太大变化。
The market risks themselves haven't really.
我的意思是，股票跌到零或暴涨300%，或者波动率任意变化的风险依然存在，但技术风险显然已经大大增加了。
I mean, you've still got the risk of the stock going to zero or blasting 300% higher or volatility doing whatever, but the technological risks obviously have increased enormously.
你必须意识到，如果我的网络连接中断，我还能继续交易吗？
You have to be aware, can I keep trading if my internet connection goes down?
我的技术备份措施是什么？
What are my technological backups?
在早期，很多操作还没有完全自动化的时候，你仍然会遇到经纪人通过电脑执行交易的问题。
And in the early days, before a lot of these things were completely automated, you would still have problems with brokers doing an execution over the computer.
那时经纪人 literally 会说，我要在这个行权价下下单，你得立刻下相反的单子。
It was literally the brokers about to say, I'm going to throw an order in in this strike, and you have to throw the opposite order in.
一、二、三，开始。
One, two, three, go.
所以当时就有这种状况。
So there was that kind of thing.
现在这种情况不会发生了，但你会遇到类似的问题。
Now that doesn't happen today, but you get similar sort of issues.
你的执行问题截然不同，因为在过去，你不会说‘卖出一千，卖出一千，卖出一千，卖出一千’，然后经纪人会问：‘你这是在干什么？’
Your execution issues are significantly different because back in the old days, you're not going to say sell a thousand, sell a thousand, sell a thousand, sell a thousand, and the broker is going to be like, what are you doing?
你午餐时喝了多少钱？
How many martinis did you have at lunch?
而如今，这类电子算法失控的问题确实存在。
Whereas now, those sort of electronic runaway algorithms, it's a problem.
正如你所见，这种情况并不常发生，但一旦发生，后果可能极其严重。
And as you've seen, it doesn't happen very often, but when it happens, it can be absolutely catastrophic.
对于交易另一方的人来说，也可能造成灾难性后果。
And it can be catastrophic for the people on the other side of the trade as well.
很多这类交易最终会被取消。
A lot of these trades will get busted.
如果你做的交易被取消了，而你已经做了相反的交易，那就麻烦了。
And if a trade you do gets busted and you've already done another trade against it, that's a big problem.
所以你必须留意这类问题。
So you have to be aware of things like that.
如果你遇到一笔看起来与市场走势相反的绝佳交易，就不要对冲它。
And if you get a really good trade that looks offside in the market, you just don't hedge it.
你必须把它从你的仓位中剥离出来，三小时后再查明它是否被交易所取消了。
You have to pull it out of your position and find out what happened to it three hours later, whether the exchange busts it or not.
那么，从内部来看，做市业务的日常运作究竟是什么样的？
So what does the actual day to day of a market making operation really look like from the inside?
我认为，对于大多数交易形式来说，重要的工作都是在开盘前完成的。
Well, I guess for most forms of trading, the important stuff gets done before the market opens.
我认为做市也是如此。
And I think that's true with market making as well.
最重要的是检查你的库存。
The big thing is to check your inventory.
你的库存要与清算公司所记录的库存，以及你的系统或你认为你拥有的库存进行核对。
Your inventory as your clearing firm knows it against the inventory that your systems have or what you think you have.
几乎所有问题都是从这里开始的。
That's where almost all problems begin.
如果你想想所有衍生品爆仓的案例，总会有一些细节涉及事件发生的原因——是股价变动了，还是波动率变化了，或者交易背后的合约规格出了问题。
If you think about all the derivatives blowups, there's always details about whether it happened because the stock moved or whether volatility moved or whether there's a problem with the specifications behind a trade.
除非你持有头寸，否则这些情况都不会对你造成伤害。
None of these things can hurt you unless you have inventory.
所以，头寸始终是你最主要的风险。
So inventory is always your primary risk.
你看尼克·李森，巴林银行根本不知道他的仓位是多少。
You look at Nick Leeson, bearings didn't know what his positions were.
你看住友商事，他一直在隐瞒仓位。
You look at Sumitomo, he was hiding the positions.
你看库维尔，他也在隐瞒仓位。
You look at Curvil hiding the positions.
你看许多爆仓对冲基金和庞氏骗局。
You look at a lot of the hedge funds and Ponzi schemes that have blown up.
投资者根本不清楚发生了什么。
The investors didn't really know what was going on.
因此，库存绝对是您最大的风险。
So inventory is by far your biggest risk.
我们总是被提醒，在市场开盘前，要平掉您的库存。
And we were always told that in the morning before the market opens, square up your inventory.
您会核对您的损益是否正确，但这些事后总可以调整。
You check your P and L that it was correct, but you can always change that later.
您总能找到价格出错的地方。
You can always find prices that were wrong.
但如果您库存有误，您就是在黑暗中交易。
But if your inventory is wrong, you're just trading in the dark.
所以我认为这一直是主要问题。
So I think that's always been the big issue.
过去，您每天早上会去交易所参加交易对账会议，与经纪商沟通，试图弄清谁做了什么，也许还会核对交易记录。
Used to be you'd go to an out trade meeting at the exchange in the morning, talk to the brokers and try and figure out who did what, maybe check the tapes.
但现在，这主要只是检查日志，确保您与经纪商进行的交易被清算公司正确记录，诸如此类的事情。
But now it's mainly a matter of checking the logs, making sure that the trades you did with a broker got picked up correctly by the clearing firm, that kind of thing.
确保你的技术设备没有故障，确保所有波动率都保持在前一天设定的水平。
Making sure none of your technology is broken, making sure all your vols are sort of where you set them the day before.
我的意思是，你可能有一个系统会在夜间略微调整波动率，但如果前一天是30，而那天早上变成2，那就出问题了。
I mean, you may have a system that slightly adjusts your volatility overnight, but obviously if it was thirty the day before and it's two that morning, you've got a problem.
然后检查公司行动，比如你的股票是否有财报发布等。
Then you check for corporate actions like any of your stocks have earnings and so forth.
同样，很多内容都是通过电子方式追踪的。
Again, a lot of the stuff is tracked electronically.
这其实只是需要检查并确保，即使所有操作都是基于算法的，你也必须保持警觉，因为你得知道达美航空今天下午要发布财报。
It's just really a matter of checking it and making sure even if everything's operating on an algorithmic basis, you have to be aware of it because you have to know that Delta Airlines have earnings this afternoon.
这才是我应该预期的，而不是指望系统自动提醒我。
This is what I can expect rather than it'll be in your system.
但如果你发现，为什么我一直在卖出这么多达美航空的跨式期权呢？
But if you're like, why am I selling all these Delta Airlines straddles or whatever?
你需要弄清楚这是好事，还是你尚未计入的新交易流。
You need to know whether that's a good thing or whether it's new flow that you just haven't accounted for.
然后就是很多坐着闲逛和抱怨。
And then there's a lot of sitting around and complaining.
他们很擅长这个。
They're good at that.
我认为，做市作为一个整体，尤其是随着高频交易的兴起，在过去十到十五年里被一定程度地妖魔化了。
I would say that market making as a whole, especially with the rise of high frequency trading has been somewhat villainized over the last ten, fifteen years.
虽然我对于波动率领域还算个门外汉，但我很喜欢听各种闲聊，尤其是在推特上。
And admittedly a bit of a tourist in the volatility space, but I love sort of listening to the chatter, especially on Twitter.
经常出现的一个话题就是做市商‘压盘’之类的说法。
And one of the things that comes up all the time is this idea of market makers pinning, for example.
你认为关于做市最大的误解是什么？
What do you think the biggest misconceptions are about market making?
我觉得你提到一个很有趣的观点：你说他们——我已经不干这行了——在过去十年里被妖魔化了，但实际上情况已经好太多了。
I think it's interesting you said, well, they, I'm not in the game anymore, have been villainized over the last ten years because things have actually got considerably better.
在场内交易的时代，尤其是某些交易所，情况真的很糟糕。
When there was floor trading, particularly at well, a couple of exchanges are really bad.
纽约证券交易所糟糕透顶。
New York Stock Exchange was terrible.
我的意思是，做市商经常就坐在你的订单上，根本不成交，即使你知道你的订单已经触及了他们展示的买价或卖价。
I mean, often the specialists would just sit on your order without even filling it, even when you know it's through the bid or the offer that he's showing.
过去有些交易池简直糟糕至极，他们玩的那些把戏也令人咋舌。
There were a few pits in life that were absolutely appalling and some of the tricks they did.
我的意思是，那完全是赤裸裸的市场操纵——说好要成交却不成交，诸如此类的行径。
I mean, it was just the most grotesque market manipulation, not taking trades when you said you would, all this kind of stuff.
现在一切都电子化了，这种事根本不可能再发生了。
Now that things are electronic, you just can't do that.
如果你挂出了报价，有人点击成交，你就必须成交。
If you've got a market out there and someone hits it, you get filled.
所以我不认为做市商变好了，但市场的结构确实现在对客户有利多了。
So I don't think the market makers are better people, but the way the market's structured, it's definitely better for customers now.
高频交易也是如此。
And high frequency trading is the same.
它被妖魔化了，但确实极大地缩小了买卖价差。
It gets villainized, but it certainly decreased spreads enormously.
我不喜欢他们只在心情好的时候才充当做市商的做法。
I don't like the idea that they essentially act as market makers when they feel like it.
但当市场真正需要流动性时，他们往往却不在场。
But when the market really needs liquidity, they tend to not be there.
但这更多是市场结构和监管方式的问题。
But that's more of a problem about the way the market's set up and regulated.
我们可以直接规定，如果你要报双向价格，那你就是做市商，必须一天的80%时间都履行这个职责。
We can always just say, if you want to post two way prices, you're a market maker and you have to do this 80% of the day.
我的意思是，很多地方都有这样的规定。
I mean, a lot of places have those rules.
我们这里交易所的设置方式，尤其是在股票市场，有这么多交易所，很多交易所根本不会制定这样的规则，因为这会限制他们的交易量。
The way we've got the exchanges set up here, particularly in the stock world where there are so many exchanges, I mean, lot of the exchanges just wouldn't put a rule like that in place because it would limit their traffic.
但确实，另一个很大的误解是认为做市商能控制市场走势。
But yeah, the other really big misconception is the idea that market makers have any control over what's going on.
比如，他们在到期日会将股价锁定在行权价附近，导致所有客户的期权变得一文不值。
Like they'll pin a stock at expiration so all the customers options go out worthless.
我的意思是，我不是说如果可能的话他们不会这么做，但做市商通常是受订单流影响最大的人。
I mean, again, I'm not saying they wouldn't do that if it was possible, but market makers are generally the people who are most at the mercy of order flow.
而像锁定股价这样的现象，实际上只是一种反馈效应。
And the way pinning, for example, happens, it's actually just a feedback effect.
假设做市商持有很多期权。
If you will let's say a market maker is long a lot of options.
他持有了100行权价的跨式期权。
He's long the 100 straddle.
随着到期日临近，他的伽马风险会越来越大。
He's going to get longer and longer gamma as we come close to expiration.
因此，他的伽马对冲策略会变得越来越紧密。
So his gamma hedges are coming tighter and tighter.
所以一旦股价跌破100，他就会疯狂买入。
So the moment you drop below 100, he'll start buying frantically.
一旦你突破100，他就会大量卖出。
The moment you go above 100, he'll sell a lot.
这种对冲压力最终会把你推回行权价。
And that hedging pressure will end up pushing you back to the strike.
所以钉住现象正在发生。
So the pinning is happening.
这是真实存在的。
It's a real thing.
但受其伤害的和造成这一现象的都是做市商。
But the one who's getting hurt by it and the one who's causing it is the market maker.
我的意思是，他们其实对此并无控制力。
I mean, they don't really have any control over it.
如果他们持有正Gamma，我倒希望没有钉住效应。
I'd rather there wasn't a pinning effect if they were long gamma.
但因为他们是最积极进行Delta对冲的一方，所以才造成了这种现象。
But because they are the ones who are most aggressively delta hedging, they're causing that.
他们之所以最积极地进行delta对冲，是因为在资本规模和杠杆方面，他们不得不这么做。
And they're most aggressively delta hedging because in terms of capitalization and leverage, they kind of have to.
而大型对冲基金客户虽然也可能对冲，但并不会每一分钱都对冲。
Whereas a big hedge fund customer, they might hedge, but they're not doing it every cent.
我知道你现在已转到买方了。
Now I know you have since moved to the buy side.
我非常想知道，从做市商转变为构建买方策略并试图从期权中获利后，你对期权世界的看法发生了怎样的变化？
I would love to know how has your thinking about the world of options changed from going from market maker to actually constructing buy side strategies and trying to profit from options?
我认为最大的区别在于你进行delta对冲的次数，以及这如何改变了你对期权运作方式的理解。
I think the big difference is in the number of delta hedges you do and the way that changes your view of how options work.
如果你想想期权最简单的例子，你买入看涨期权是因为你认为股价会上涨。
If you think about the very simplest example of an option, you buy a call because you think the stock's going up.
那么你真正关心的是股票的到期价值。
What you're really interested then is the terminal value of the stock.
作为做市商，你一天内会进行多次delta对冲。
As a market maker, you're delta hedging several times a day.
所以你不仅对最终分布敏感，还对路径本身非常敏感。
So you're very, very exposed not just to the terminal distribution, but to the path.
当做市商担心波动率时，他们担心的是股票在时间路径上的波动。
When market makers worry about volatility, they're worrying about volatility along the stock's path in time.
而当买方担心波动率时，他们更关注期权到期时股票价格的分布离散程度。
Whereas when a buy side is worried about volatility, they're more worried about the dispersion of the stock at the expiration of the option.
有些随机过程里，这两者本质上是相同的，但市场并不知道这一点。
There are certain stochastic processes where those things are essentially the same, but the market doesn't know that.
但在实践中，这两者并不相同。
And in practice, those things are not the same.
这才是关键差异。
And that's the big difference.
即使在买方这边，我也会进行Delta对冲，但我通常每周只对冲一两次，这让我对路径依赖有了完全不同的看法。
And even when on the buy side, I delta hedge, but I try and delta hedge maybe once or twice a week, it's a very different view of path dependency.
这本质上取决于你进行Delta对冲的频率。
It's kind of like the number of times you delta hedge.
这就像是你看到地上一块浇筑好的混凝土，以为它是一个完全平坦的表面。
It'd be like if you see a piece of laid concrete on the ground, you think it's a perfectly flat surface.
但对于蚂蚁来说，它却是一个极其崎岖不平的地形。
But to an ant, it's an incredibly hilly surface.
它上下起伏，穿越一个个山谷。
He's going up and down and cross through valleys.
而做市商就是那只蚂蚁。
Well, the market maker is the ant.
他要穿越每一个微小的凸起，而客户只是从一个更宏观、更不同的视角来看待问题，这确实会带来根本性的差异。
He's going across every little tiny bump, Whereas the customer is just looking at things from a much, much, I wouldn't say, it's just a different viewpoint and it really does change things.
当谈到在买方端识别盈利机会时，你的总体框架是什么？
When it comes to thinking about identifying profitable opportunities on the buy side, What is your general framework?
我知道，在股票方面，我们可能会有一个框架，涉及不同类型的因子，比如我们从中获取风险溢价、行为溢价，或者某些结构性效应。
Is there I know on like when you think of equities, we might have a framework about different types of factors that we might harvest a risk premia from or a behavioral premium or there's certain structural effects we can try to exploit.
当你思考在期权领域生成交易想法时，有没有一套你偏好的框架？
When you sort of think about generating trade ideas in the option space, is there a framework you like to use?
是的，我认为你提到了第一个非常重要的点。
Yeah, I think you've hit upon the first one I think is very important.
当你进行一笔交易时，我认为这在期权交易中尤其成立，因为你总是在应对波动率溢价，你必须清楚你的优势是来自风险溢价还是真正的市场无效性。
When you do a trade, and I think this is definitely true for options because you're always dealing with the variance premium, You have to know if your edge is coming from a risk premium or a genuine inefficiency.
例如，波动率溢价就是一种风险溢价。
The variance premium, for example, is a risk premium.
一般来说，我不喜欢这种细微差别。
It's generally speaking, I hate this nuance.
‘细微差别’这个词，人们已经完全遗忘了。
Nuance is a word people have completely forgotten.
我正要谈论波动率溢价，然后迟早会有人跳出来说：‘你不是说波动率溢价一直存在吗？’
I'm about to talk about the variance premium, and then someone is eventually going to say, you said the variance premium is always there.
不，我没这么说。
No, I didn't.
波动率溢价意味着期权的价格通常相对于后续实现的波动率被高估了，但并非总是如此。
The variance premium means that options are usually overpriced relative to the subsequent realized volatility, but not all the time.
而这个溢价是高度变化的。
And that premium is very variable.
所以它是一种风险溢价，但并不总是定价合理。
So it's a risk premium, but it's not always fairly priced.
你正在收取风险。
You are collecting risk.
当你卖出期权时，你是在承担风险。
You're taking on risk when you sell options.
这是个正确的观点。
That's true thing.
但你获得的利润并不总是与所承担的风险相匹配。
But you're not always taking on the right amount of risk for the profit you're getting.
因此，如果你在交易波动率溢价或任何一般的风险溢价，你必须了解该溢价的动态。
So if you're trading a variance premium or any risk premium in general, you have to know the dynamics of that premium.
当它昂贵时，为什么昂贵；当它便宜时，为什么便宜。
When it's expensive, why it's going to be expensive, when it's cheap, why it's going to be cheap.
这是一个困难的交易，因为这些市场往往不一定有效，但被研究得非常透彻。
And it's a difficult trade because those markets tend to be not necessarily efficient, but very well studied.
这就像你是个赌徒，相当于在赌NBA比赛。
It's like if you're a gambler, that's the equivalent of gambling on the NBA.
你可以从中赚钱，但这非常困难，而且你赚的钱会很少。
You can make money on it, but it's really difficult and you're going to be making small amounts of money.
但另一方面，这种机会始终存在。
But on the other hand, that's always going to be there.
你总是可以交易风险溢价。
You can always trade a risk premium.
因此，你可以围绕它建立一项业务，因为你清楚它会一直存在。
So it's something you can sort of build a business around because you know it's going to be there.
另一种交易类型是市场中的低效现象，那些人们可能尚未注意到的小细节。
The other type of trade is the inefficiency, the little wrinkle in the markets that people just might not have noticed.
在股票市场中，这类机会在特殊情境下很常见，比如配股、财报发布、股票分割、收购等。
And you get that in the equities quite a lot around special situations like rights issues, around earnings events, around stock splits, takeovers, and so forth.
这些是你能识别为好交易的类型，但难点在于如何入场，因为这些情况往往流动性很差。
These are the sort of trades that you can identify as good trades, but the trick is putting them on because those situations can often be very illiquid.
入场可能很困难，之后退出也可能同样困难。
They can be difficult to get into, and they can also subsequently be difficult to get out of.
你无法像依赖风险溢价那样以此建立业务，因为你永远不知道它们是否会出现。
And you can't build a business around those to the same degree because you never know if they turn up or not.
比如，我有一个VIX交易，实际上从未亏过钱。
Like, I've got a VIX trade which has literally never lost money.
过去四年我一直做这个交易。
I've done it for the last four years.
它从未出现过亏损的交易。
It has never had a losing trade.
我的意思不是说它永远不会亏。
I mean, I'm not saying it never will.
而盈利与亏损的比例可能非常糟糕。
And the payoff to the win to loss ratio is probably terrible.
当亏损发生时，亏损额可能是盈利的十倍，但即便如此，我整体仍是盈利的。
The losses when they turn up are probably 10 times the size of the wins, but I'm still ahead if that happens.
另一方面，这种情况一年只出现四到五次。
On the other hand, it only turns up four or five times a year.
所以当它出现时，你会想，太好了，我要做这笔交易。
So when it turns up, you're like, great, I'll do it.
但我无法围绕这种交易建立对冲基金。
But I can't build a hedge fund around that kind of trade.
所以我认为，首先，你必须把交易分为无效市场和风险溢价两类。
So I think, first of all, you've got to split your trades into inefficiencies and risk premia.
区分你面对的是哪一类很重要，因为它能告诉你应该如何应对。
And identifying which of those you're dealing with is important because it tells you how you should be dealing with it.
对于无效市场，你可以尽可能大规模地交易。
You can trade an inefficiency often as big as you can.
而对于风险溢价，你必须更加谨慎地交易，但你知道你可以永远持续做下去。
Whereas with a risk premium, you have to trade it much more cautiously, but you know that you can keep trading it forever.
我看待事物的另一种方式是，把交易分为情境驱动和模型驱动两类。
And the other way I tend to look at things is I think of trades as either situational or model driven.
这是一种互补的方法。
This is kind of a complementary approach.
比如，模型驱动的交易是指你有一个描述整个世界状态的模型。
Like a model driven trade is something where you've got a model that describes the entire state of the world.
例如，布莱克-斯科尔斯模型就是模型驱动的。
So Black Scholes, for example, would be model driven.
你根据输入值，随时都能计算出每个期权、每个行权价的具体价值。
You have a value based on your inputs, obviously, for every option, every strike, all the time.
而比如在财报季交易期权时，我可能并不清楚跨式期权的实际价值是多少。
Whereas, say for trading options over earnings, it could be like, I don't really know what the straddle is worth.
但根据我的历史分析，我知道它们往往被高估了。
But based on my historical analysis, I know that they tend to be overpriced.
你并不是基于理论价值来做交易的。
You're not making a trade based on a theoretical value.
你是在基于过去发生过的类似情况来做交易。
You're making a trade based on similar situations that have happened in the past.
因为这些交易往往处于不确定性层面，而不是风险层面。
Because those trades tend to be You tend to be at the uncertainty level rather than the risk level.
很难准确知道任何一笔交易的实际统计结果。
It's difficult to know what your actual statistics of any given trade are.
它们往往更盈利，但单笔交易的波动性也很大，因为你根本无法分辨什么是好交易，什么是坏交易。
They tend to be more profitable, but they tend to also individually be quite noisy because you never really know what a good one and bad one is.
你只是总体上知道这一类交易看起来是这样的。
You just know overall this class looks like this.
而模型驱动的交易往往盈利较少，但你可以广泛地进行这些交易，因为你几乎可以随时交易。
Whereas the model driven trades tend to be less profitable, but you can have a lot of breadth on them because you can literally be trading all the time.
所以我认为这也是一个有用的组织原则。
So I think that's a useful organizing principle as well.
模型驱动的交易让我觉得，如果你对市场运行方式的模型判断错误，可能会亏很多钱。
The model driven trades strike me as something that you can lose a lot of money on if you just have the wrong model for the way the market operates.
对吧？
Right?
你可以尝试拟合波动率曲面，从而看出期权价格是高于还是低于你的拟合值。
You can perhaps try to fit the volatility surface and you can see where options are priced above or below your fits.
也许这只是一个非常通用的概念。
Maybe it's just a very generic concept.
如果价格低于拟合值，你就买入；如果高于，你就卖出。
And if it's below, you buy and above, you sell.
但如果你的曲面本身是错的，或者你忽略了一些事件，我觉得这显然是一个在模型错误地描述世界时很容易亏钱的方式。
But if your surface is just wrong or you're missing some sort of event, it just seems to me like it's could be inherently a very easy way to lose money if you're modeling the world incorrectly.
你觉得这个模型需要有多精细？
How nuanced does that model really need to be, do you think?
是的。
Yeah.
当你根据模型交易时，你必须拥有一个良好的模型。
When you're trading according to a model, you have to have a good model.
这可以说并不明显，因为很多人会忽略这一步。
That's sort of I wouldn't say it's obvious because a lot of people kind of miss that step.
但我会说，如果你相对于市场规模来说比较小的话。
But I would say if you're relatively small relative to the size of the market.
比如说我在交易标普期权，我认为几乎每个人相对于这个市场的规模来说都是小的。
So let's say I'm trading S and P options and I think pretty much everyone is small relative to the size of that market.
我的任何一笔交易都不会左右市场。
I'm not going to boss the market around with any one of my trades.
当我判断错误时，我实际上只是损失了买卖价差的一半。
When I become wrong, all I'm really losing is half of the bid ask spread.
因为我不太可能长期系统性地犯错，因为最终我的盈亏统计——你必须将其作为独立的指标来监控以判断自己是否正确——会告诉我我错了。
Because it's unlikely I'm going to be always systematically wrong for a long period of time because eventually my P and L statistics, which you have to monitor as a separate kind of indicator if you're right or not, eventually they're to tell me I'm wrong.
比如说我认为某物值10，而市场定价为5，我会买入一些，但我会根据我的优势、我所感知的优势，以及你所遵循的任何仓位管理原则来买入。
And let's say I think something's worth 10 and the market has it priced at 5, I'll buy some, but I'll buy some according to my edge, my perceived edge, according to whatever sizing principle you adhere to.
我不会一直买、一直买、一直买下去。
I'm not just going to keep buying it and keep buying it and keep buying it.
我会在5的位置做多，但那是错的。
I'll be long at five and that'll be wrong.
但真实价值可能只有4又
But the true value is likely to be four and
二分之一。
a half.
我只亏了半个点。
I've only lost half a point.
我没有亏五点或更多。
I haven't lost five or anything.
所以在流动性相对较好的市场中，赚钱很难，但亏大钱也很难，除非你规模很大并能左右市场，否则你本质上只会因为交易成本而系统性地偏离。
So I'm not if you're trading in relatively liquid markets, it's difficult to make money, but it's also really difficult to lose a ton because unless you're really big and you're pushing the market around, you're only really going to be systematically off by the costs.
我想回到你之前说的一个观点。
I want to go back to a point you said.
那句话很微妙，你谈到波动率风险溢价，说的是它在预期层面存在，而不是始终存在。
It was a subtle subtle sentence, but you were talking about the variance risk premium and you're talking about it being on expectation versus always being there.
最近有一些讨论提到，期权市场的规模确实大幅增长，机构采用看涨期权覆盖计划和看跌期权承销计划，可能已经将波动率风险溢价压低到甚至不再存在，或者近年来变得极其难以捕捉。
And there has been some discussion lately about just the scale of the options market really growing so substantially, potentially the role of institutions adopting call overriding programs and put underwriting programs actually depressing the variance risk premium to the point where it maybe doesn't even exist anymore or just has become incredibly so much harder to squeeze out in recent years.
你看一些SIBO指数，比如铁鹰期权和蝶式期权，自推出以来就完全持平了。
So you look at some SIBO indices like the iron condor, the butterfly, and they've completely flatlined since they launched.
在你看来，这是否是一个拥挤的交易？
In your opinion, is this a crowded trade?
还有其他因素在起作用吗，还是只是因为——
Are there other issues at play, or is this just, hey.
有时候某些策略会不再受欢迎。
Sometimes things go out of favor.
可能所有这些因素都有影响。
Probably all of those things.
这确实是事实。
It's definitely true.
已经有一些大型机构基金设立起来，专门捕捉波动率溢价，但它们的操作方式并不特别精细，因此确实降低了这一溢价的价值。
There have been some big institutional funds set up to harvest the variance premium, and they're not doing it in a particularly sophisticated way, so they are definitely lowering the value of it.
而且有时候它可能是负的，今年年初我们确实看到了这种情况。
And sometimes possibly it could be negative, and we've seen that definitely early this year.
我的意思是，今年如果你卖出了期权，那你这一年肯定不太顺利。
I mean, this year, a doubt, you'd sold options, you're just not having a great year.
三月和四月你肯定过得非常艰难，这很明显。
You would have had a very tough time in March and April, obviously.
我认为二三十年前，波动率溢价非常强劲且持久，你几乎做什么都能从中赚钱。
I think twenty or thirty years ago, could have the variance premium was so strong and so persistent, you could have done almost anything and made money from it.
所以你完全可以盲目地卖出铁鹰价差。
So you could just blindly sell iron condors.
你也可以盲目地卖出蝶式价差。
You could blindly sell butterflies.
你都会没事的。
You'd be fine.
我相信它在未来仍然会存在。
I believe it's still going to be there in the future.
展开剩余字幕（还有 388 条）
我相信这一点的原因是，这并不仅仅有一个原因。
And the reason I believe that is because there's not just one reason for it.
有心理层面的原因。
There are psychological reasons.
有分布层面的原因。
There are distributional reasons.
你通过卖出期权，实际上是在出售保险。
There are you're basically by selling options, selling insurance.
每一家保险公司都长期存在。
And every insurance company has been around.
保险是一个非常好的行业。
Insurance is a great business.
你出售保险就能获得报酬。
You get paid for selling insurance.
我不认为期权市场会有什么特别之处。
And I don't see why the options market would be special.
在每一个有期权的国家，这都已经被研究过了。
It's been studied in every country that has options.
在我们所拥有的所有时间段内，这都已经被研究过了。
It's been studied over all the time periods we have.
我找到了一些可追溯到1895年的相关文献。
I found references to it going back to 1895.
我很难相信它已经消失，并且永远不会再出现了。
I find it hard to believe it's gone away and it's gone away forever.
另一方面，就像所有事情一样，你需要在交易方式上变得更加复杂。
On the other hand, just like everything, you have to become more sophisticated in the way you trade it.
它不再像过去那样是一个极其简单的交易了。
It's not the incredibly simple trade it used to be.
它过去之所以如此简单，其中一个原因是执行起来更困难。
And one of the reasons it used to be a very simple trade is because it was harder to execute it.
我记得在我还在富时指数交易池边做助理时，一千手的跨式组合交易简直是天价。
I remember on the life floor when I was clerking at the side of the footsie pit, a thousand lot straddle was absolutely enormous.
人们会为此讨论好几天。
People would be talking about that for days.
现在你做一千手的交易甚至都不会多想。
Now you can do a thousand lot without even thinking about it.
这根本算不上什么大单子。
It's not even an order anyone would consider big.
我觉得，这本书中的这部分内容在未来几年内可能不会显得过时。
This is, I feel, is a part of my book that isn't going to age particularly well over the next couple of years.
但我相信波动率溢价。
But I do believe in the variance premium.
我相信，当任何这样的因子经历困难时期时，很多人都会急于说它已经死了。
And I believe that when any factor like this goes through tough times, a lot of people rush to say it's dead.
就像在你的领域，股票市场中，人们已经谈论了多年‘价值投资已死’，但它很可能还会回来。
Like in your world, in the stocks, people have been talking about how value is dead for years, and it'll probably come back.
因为一旦所有人都开始投资成长股，成长股就会被严重高估，而价值股相比之下就变得更便宜。
Because once everyone starts investing in growth, well, the growth stocks get massively overpriced and then value relatively is cheaper.
这只不过是现状而已。
It's just sort of the way it is.
而且，关于你提到的细微差别，即使在价值投资领域，如果你做了一些相当明智的价值投资，对吧？
Well, and to your point about nuance, even in the value space, if you had done something reasonably intelligent in value, right?
不是那种简单的市净率，而是做了综合指标，还在行业内进行比较，并且小心避免了无意中的偏差。
Not just a naive sort of price to book, but you did a composite and you did it intra industry and you were careful about avoiding your unintended bets.
价值投资一直有效，直到大约2017年。
Value did work until about 2017.
所以现在你谈论的只是两年的回撤，而不是一个失落的十年。
So now you're just talking about a two year drawdown instead of a lost decade.
我不得不想象，波动率风险溢价也是如此，也许那些天真的交易方式确实如你所说已经失效了，但还有其他方式可以应对。
And I have to imagine it's much the same with the variance risk premium that perhaps those naive trades have really stopped working to your point, but there are other ways in which it can be tackled.
而且，正如你所言，市场情绪会来回摆动，如果有利润机会，尤其是超额利润机会，人们一定会去追逐。
And further to your point, the pendulum swings, If there's profit opportunity and outsized profit opportunity, people are gonna pursue it.
如果盈亏状况开始逆转，人们就会退出这笔交易，而这可能会让这种策略重新焕发生机，尤其是如果它在风险或行为层面本就该存在于市场中的话。
If the P and L starts going the other way, people are gonna get out of the trade and it might breathe life back into the trade, especially if it's something that deserves to be there for a risk basis in the market or behavioral.
对。
Right.
我认为这确实没错。
And I think that's definitely true.
我的意思是我过去四五年基本上一直在做空波动率，而且确实赚了钱。
I mean, I've pretty much been short volatility for the last four or five years and it's pretty much made money.
作为波动率卖方，你永远讲不出什么好故事。
You've never got a good story as a vol seller.
如果你管理的是一个多头波动率基金，你总能编出一个精彩的故事，说世界即将崩溃，这次尾巴风险一定会大幅回报。
If you're running a long vol fund, you can always write some sort of great story about how the world's about to end and how this is time it's going to blow up, this time the tails will pay off enormously.
而当你这么写的时候，你会上CNBC，获得大量免费宣传。
And when you write, you'll end up on CNBC and get tons of free advertising.
作为波动率卖方，你唯一能说的是：我不知道，我觉得世界会继续像以往那样运行。
As a Volat seller, your only story is, I don't know, I think the world's going to continue to do pretty much what it's always done.
但这并不是一个很好的故事。
And that's not a very good story.
同样的老故事并不好，因为人们已经听过了，但这并不意味着它不真实。
The same old story is not a good story because people have heard it before, but it doesn't mean it's not true.
所以我只是觉得，一直存在的东西不太可能突然彻底消失。
So I just think it's very unlikely that a thing that's always been there is just going to completely die.
我真的无法想象这种情况会发生。
I just can't see it.
另一点是，目前所有做多波动率的人，那些长期做多波动率的人，他们可以回溯到一个最近的时期，人人都还记得。
The other thing is all the longs right now, the persistent long vol guys, they've got a very recent period they can point back to where everyone remembers.
每个人都会说，哦，但2020年呢。
Everyone's going to be, oh, but 2020.
每个人都会记得2020年。
Everyone's going to remember 2020.
没人会记得2017年是什么样子，因为人们不会记住那些什么也没发生的日子。
No one's going to remember what 2017 was like because you don't remember the years when not much happened.
你刚才 briefly 提到你的书，我很想转到这个话题上。
So you briefly mentioned your book, which I would love to sort of switch over to.
你有一本新书即将出版，名叫《位置期权交易》，你很慷慨地给我看了你最新草稿的预览，我真的很喜欢。
You've got a new book coming out called Positional Option Trading, which you were kind enough to show me a sneak peek of your most recent draft that I really enjoyed.
不过在深入探讨之前，我想知道，你可是位高产的作家。
Before we dive into that though, I would love to know, I mean, you're a prolific writer.
是什么促使你写这些书？为什么写这本新书？
What sort of draws you to writing these books and why the new book?
我的意思是，在很多方面，这和你做播客的动机是一样的。
I mean, I think in a lot of ways, it's the same thing that draws you to doing podcasts.
我的意思是，这挺有意思的。
I mean, it's sort of interesting.
我的意思是，我并没有像你那样建立直接的个人联系。
I mean, I'm not making the same sort of personal connections that you might be.
就像你读很多书，会促使你去填补知识上的空白。
It's like you read a lot, challenges you to fill in the holes in your knowledge.
有些东西你以为自己懂，其实并不懂。
There's stuff that you thought you knew but didn't.
你会学到完全新的东西，并且一直在整理自己的思路。
You learn completely new stuff, and you're always organizing your thoughts.
我认为，整理自己已有的知识是一种被低估的技能。
I think organizing the stuff you know is sort of an underrated skill.
现在很多人说：哦，你没必要上大学。
A lot of people now are saying, Oh, you don't need to go to college.
但我认为，大学教育中一个你自学书籍时无法获得的宝贵之处，在于它能将知识组织成一种结构，比如叙事结构。
But I think one of the great things about a college education that you don't get if you just read books on your own is you get things put into a structure, like a narrative structure.
你会明白，古希腊历史是如何与后来的罗马历史联系在一起的。
You're like, this is the way ancient Greek history related to the later Roman history.
但如果你只是自己阅读，就得把所有这些内容自己拼凑起来。
Whereas if you just read it on your own, you've got to pull all that stuff together.
这要困难得多。
It's much more difficult.
我认为，这是学习中非常重要的一部分。
And I think that's a really important part of learning.
我真的很喜欢这一点。
And I really like that.
我其实更喜欢写作这一部分。
I actually kind of just like the writing aspect.
我不喜欢编辑。
I don't like the editing.
我不喜欢做所有的图表和插入公式。
I don't like doing all the graphs and putting equations in.
这简直太痛苦了。
It's kind of miserable.
但偶尔我会写出一句话，然后心想，对，这句话真的写得不错。
But occasionally I'll write a sentence and it's just like, yeah, that's actually a really nice sentence.
我喜欢这种感觉。
I like that.
我的意思不是说这是海明威的水平，但对我来说，已经很好了。
I mean, that's not Hemingway, but it's for me, it's good.
这就像是，你知道的，当一个黑客打出一记漂亮的高尔夫球时，虽然不是泰格·伍兹的水平，但依然能感受到其中的兴奋。
It's like, you know, when a hacker hits a nice golf shot, it's not Tiger Woods, but they still get the thrill of doing it.
没错。
Absolutely.
那我们来深入聊聊这本书的一些内容吧，我要小心一点，不要剧透太多，因为我真的觉得大家从这本书里会收获很多。
So let's dive into maybe some of the content of the book and I want to be careful here not to give too much away because I really think people are gonna get a lot out of this book.
但在我阅读的过程中，有些问题一直萦绕在我心头，忍不住想向你请教。
But as I read it, there were certain questions that came up that I couldn't help but turn to ask you about.
所以我想要问你的是，这可能更广泛地涉及买方市场，你认为当人们刚开始在买方运用期权时，最常见的错误有哪些？
And so one of the things I wanted to ask you about, and this is maybe more broadly about buy side in general, but what do you think are some of the biggest mistakes people make when they start to apply options on the buy side?
我认为，当人们接触期权时，最大的问题就是过于关注具体的交易策略。
I think the biggest thing when people get involved with options is they pay way too much attention to the individual strategies.
比如，我会在某只股票上做一个断翼蝶式组合。
Like I'm going to do a broken wing convo on the stock.
我并不是说这些策略不重要。
And I'm not saying those things are not important.
正如我们刚才讨论的，当你试图获取波动率溢价时，你现在交易的具体结构比以往任何时候都更加重要。
Like we just discussed, when you're trying to get the variance premium, the exact structure of your trade now has become much more important than it used to be.
因此，正确构建你的交易结构是一件好事。
So getting the structure of your traders correct is a good thing.
但最重要的是，首先要清楚你的优势来自哪里。
But the important thing, the initial thing is to know where your edge is coming from.
为什么我在这一点上对市场拥有统计上的优势？
Actually, why do I have a statistical advantage here over the market?
如果你是一名股票交易员，你首先考虑的并不是投资组合的构成。
Like if you're a stock trader, the first thing you think about isn't portfolio composition.
你首先考虑的是该买哪只股票？
The first thing you think about is what stock should I buy?
然后才是它如何融入我整个投资组合？
And then how does it fit into the rest of my portfolio?
而期权交易者往往把顺序搞反了。
And options traders tend to get that the wrong way around.
他们考虑的是交易的结构。
They think about the structure of the trade.
如果你听CNBC或者看一些YouTube上的垃圾内容，他们总是在谈论这个。
And if you listen to CNBC or watch some garbage on YouTube or whatever, that's what they're always talking about.
就好像你可以卖出一个铁鹰价差，90%的时间都能赚到这笔钱。
It's like you can sell this iron condor and you can make this amount of money 90 percent of the time.
顺便说一下，铁鹰价差是一种非常非常危险的交易，但危险的原因并非人们通常以为的那样。
Incidentally, the iron condor is a very, very dangerous trade, but not for the reasons people might think it is.
这个问题在于，当你进行交易时，你会得到反馈。
The big problem with that is when you do trades, you get feedback.
正如我之前所说，你最终会从盈亏中得到反馈。
As I said before, you eventually get feedback from your P and L.
铁鹰价差的问题在于，你会有很多赢家，却很少有输家。
The problem with the iron condor is you're going to have an awful lot of winners and not very many losers.
因此，很难对它进行统计分析，因为唯一重要的统计指标是你的平均值。
So it makes doing statistics on it very difficult because the only statistic that matters is your average.
而对于这种收益分布极度偏斜的交易，你根本看不到平均值。
And you don't really see the average with a very, very skewed payout trade like that.
你看到的是众数，而众数好得不可思议。
You see the mode and the mode is unbelievably good.
正因为这个原因，即使这类交易有效，也很难操作。
Trades like that are difficult for that reason, even if it works.
而铁鹰价差由于波动率溢价，通常具有优势。
And the iron condor, because of the variance premium, usually has edge.
但你无法知道这个优势有多大，就是因为这个问题。
But you're not going to know how much edge because of that problem.
所以你无法确定交易的规模。
So you don't have a size of the trade.
但无论如何，如果你在看CNBC，他们讨论交易时总会说：我们来做这个看涨价差吧，因为它有这么高的盈利概率。
But anyway, if you're looking at CNBC, the things they're talking about on a trade are like, let's do this call spread because it has this profit of winning.
抱歉，是这么高的胜率，而且能赚这么多利润。
Sorry, this chance of winning and it can make this profit.
他们没有讨论背后的原因，也没有讨论看涨期权价差的价格。
They're not talking about why and they're not talking about the price of the call spread.
人们没有足够关注这些期权的价格，而价格正是你参与赌注的成本。
People don't pay enough attention to the price of these options as the price of getting into the bet.
每个人总是抱怨，你知道，我买了一个看涨期权，市场上涨了，但我没赚到钱。
Everyone's always complaining, you know, I bought a call, the market went up, I didn't make any money.
那是因为你为这个看涨期权付了错误的该死的价格。
Well, that's because you paid the wrong damn price for the call.
我的意思是，你可以谈论维加、德尔塔、伽马以及所有这些因素，它们确实存在且很重要。
I mean, you can talk about Vega and Delta and Gamma and all these things, and they're there and they're important.
但确实有方法将市场走势转化为美元收益。
But there are ways of translating market movement into dollars.
它们就像一种损益归因模型。
They're like a P and L attribution scheme.
你赚钱不是因为你的德尔塔、伽马或西塔。
You don't make money because of your delta or your gamma or your theta.
你赚钱是因为市场动了，或者市场没动。
You make money because the market moves or the market didn't.
我觉得人们把这些东西都搞混了。
And I think people kind of get all that kind of confused.
当你进行一笔交易时，最重要的是找到你的优势。
The most important thing to do when you do a trade is look for your edge.
然后，基于这个优势，你应该做多大仓位，以及它如何融入我的整个投资组合？
And then because of that edge, how big do I do that trade and how does it fit into the rest of my portfolio?
我觉得在任何投资情境下，最重要的都是你的盈亏数字。
Like I think the most important thing with investing in any situation is your P and L number.
那就是你的优势。
That's your edge.
其次重要的是你盈亏曲线的平稳性。
The next most important thing is the smoothness of your P and L.
这在某种程度上就是你的历史风险。
And that's kind of your historical risk.
最后，单笔交易中的所有这些因素如何融入我整个交易组合中？
And finally, how does all that in one trade fit into my whole portfolio of trades?
至少在零售层面，期权交易者往往完全搞反了这一点。
And options traders on the retail side at least tend to get that completely backwards.
我认为，在思维方式上，普通买方和零售投资者之间并没有太大区别。
And I don't think there's much difference between the average buy side and the retail in terms of how they think.
我在书中发现的一件非常有趣的事情是，尤其是对于那些更多出身于股票领域的人来说，你专注于将股票因子作为应用期权策略时潜在收益的来源。
One of the things I found really fascinating in the book, especially someone who came up more as someone who came up more in the equity space, was actually your focus on equity factors as being a source of potential return when applying option strategies.
所以我认为，你特别指出，这些因子中的许多，你可以取其中一腿，实际上可以通过在价值的昂贵或便宜一腿上卖出波动率来利用期权产生收益。
So I think specifically you point out that a lot of these factors, you take one of the legs, you can actually use options to generate returns from selling vol perhaps on the expensive or cheap leg of value.
你为什么认为这种可转移性成立？
How do you and why do you think this transferability applies?
事实上，这正是买方将拥有巨大优势的地方，因为做市商根本不会从这些角度思考。
Well, this is one of those things actually where I think the buy side will have an enormous advantage because market makers don't think in those terms at all.
我记得当我做市的时候，我交易了HD这只股票的期权长达两年，直到后来才意识到那是家得宝。
I remember when I was market making, I was trading options on the ticker HD trading it for like two years before I realized that that was Home Depot.
我以为是哈雷戴维森。
I thought it was Harley Davidson.
我完全不知道。
I had no idea.
我经常跟别人讲这个故事，他们都说：‘真蠢。’
And I often tell that story to people and they're like, What an idiot.
那根本不算蠢。
Like, that wasn't an idiot.
这对我遇到的任何单个交易情况都没有影响。
It made no difference to any single situation I ever encountered.
这完全是另一回事。
It's just a completely different game.
过去，当人们给期权定价时，通常会进行时间序列分析，尝试计算历史波动率，然后使用类似GARCH模型之类的方法来预测波动率。
Normally when people have valued options in the past, they've gone through time series analysis, tried to calculate historical volatilities, then they use like a Gatch model or something to forecast vol.
二十年前，那是交易期权的好方法。
Twenty years ago, that was a great way to trade options.
你只需要做这些就够了。
That's all you needed to do.
然后你可以根据这个来买卖，从而赚钱。
And then you could buy or sell based on that and you can make money.
但现在情况已经完全不同了。
That really isn't the case anymore.
现在大部分这类方法都被研究得非常透彻了。
Most of that stuff now is really heavily picked over.
如果你在SSRN上搜索GARCH，会找到成千上万篇论文。
And if you do a search for GARCH on SSRN or something, you'll find thousands of papers.
而且有数百种不同类型的GARCH模型。
And there are hundreds of different kinds of GARCH.
这已经变成了一种完整的学术专业领域。
It's become a complete academic sort of specialty.
人们一辈子都在研究这些东西。
People spend their entire life studying this stuff.
而如果你看看因子模型和期权，上一次统计，我只找到了八篇论文。
Whereas if you look at factor models and options, last count, I could find eight papers.
这根本不是人们关注的方向。
It's just not a thing that people have looked at.
许多期权交易员的思维集中在极短期的周和月，而基本面因素则需要数年才能显现。
And a lot of options traders think in terms of very short dated weeks and months, whereas the fundamental factors play out over years.
我认为，同样地，这也是普通期权交易员没有关注的地方。
And I think, again, that's a place where the average option traders isn't looking.
因此，从这个角度来看，它与波动率溢价不同，后者如今已广为人知。
So it's sort of in that respect, different to the variance premium where everyone's now vaguely aware of it.
现在的问题变成了：你能否比其他人做得更好？
And now it becomes a matter of can you do better than everyone else?
而其他这些领域，虽然并非未被开发，但相比时间序列研究，它们被挖掘的程度要低得多。
Whereas this other stuff, it seems it's not unmined, but it's much, much less picked over than the time series stuff.
如果我现在从零开始，但遗憾的是，年龄增长的一个缺点是，你会积累大量陈旧的知识，这使得重新开始变得困难。
If I was starting completely from scratch now, but unfortunately one of the disadvantages of getting older is that you end up with such a lot of sort of legacy knowledge that it becomes hard to sort of start over in a sense.
但如果我要从头开始，我会研究基本面因素，并用它们直接预测波动率。
But if I was completely starting over, I'd be looking at fundamental factors using them to directly predict volatility.
我认为这其中蕴含着巨大的优势。
And I think there's probably enormous edge in that.
我认为这一点同样适用于大宗商品。
And I think that's the that would also apply to commodities.
那就是我会去的方向。
That's where I would go.
我在这些论文中看到过证据，我自己也做过，确实存在一些东西。
I've seen evidence in these papers and I've done it myself that there's stuff there.
而且我做得非常简单。
And like I've done it in a really simple way.
我只是看了看价值指数之类的。
You know, I've just looked at value indices and so forth.
我认为如果你做得好，这里面是有钱可赚的。
And I think if you did it well, I think there's money in there.
我认为买方就应该在这方面大显身手，因为这正是他们整天都在做的事。
And I think that's where the buy side should be crushing it because that's what they do all day.
这才是你该做的事。
That's what you should be doing.
所以，Black-Scholes模型，我想当你参加我们之前提到的那些金融工程课程时，最早学到的一点就是：在为期权定价时，你处于一个风险中性概率环境中，最终，标的资产的漂移率不应当成为你定价期权的输入因素。
So Black Scholes, I guess one of the first things you learn when you do go through one of those financial engineering programs we mentioned a little bit earlier is that when you're pricing options, you're in a risk neutral probability environment that at the end of the day, drift of the underlying should not be part of your input into how you're pricing the option.
但归根结底，未对冲期权的收益显然会受到标的资产回报的影响。
But at the end of the day, the return of an unhedged option is clearly affected by the underlying return.
你通过买入看涨期权所获得的最终盈亏，确实会受到标的资产价格是否上涨足够多的影响。
That sort of end P and L that you make from buying a call is going to be truly affected by did the price of the underlying go up enough.
那么，方向性交易者应该如何思考这个问题？在选择和管理交易时，他们该如何看待波动率作为核心定价机制的影响？
So how should directional traders sort of think about this and think about the impact of volatility as the core pricing mechanism when sort of selecting and managing their trades?
是的。
Yeah.
人们常常对‘回报不应纳入期权定价模型’这一观点感到怀疑或困惑。
People often seem to be kind of skeptical or baffled by the idea that return shouldn't go into your option pricing model.
但生活中大多数事情其实都是这样。
But that's actually the case in most things in life.
如果你仔细想想，比如在给期货定价时，你并不会说：‘两年后玉米的价格会是多少？’
If you think about it, like certainly when you're pricing a future, you don't say, what's the price of corn going to be in two years?
你会说：‘未来两年玉米的持有成本是多少？’
You say, what is my carry cost of corn over the next two years?
确实如此。
It's true.
比如你要去买一幅画，或者任何东西，比如买一幅毕加索的作品。
Like if you're going to go and buy a painting or whatever, you're going go and buy a Picasso.
人人都知道毕加索的作品价格会上涨，但这并不会影响它现在的价格。
Everyone knows that the price of the Picasso is going to go up, but that doesn't impact the price of it now.
影响它现在价格的是，它相对于其他画作的当前价值。
What impacts the price of it now is what it's worth relative to other paintings now.
所以，它的价格是套利价值。
So it's its ARB value.
这就是为什么大多数这类事物都以这种方式定价，因为如果它们不是这样，就会被套利。
And that's the reason most of these things are priced the way they are, because if they aren't, you'd get ARB'd.
而布莱克-斯科尔斯模型只是一种相当复杂的动态套利。
And the Black Scholes is just a fairly complicated dynamic arbitrage.
但这并不意味着你不能把回报率纳入你的定价模型。
But that doesn't mean you can't put your return into your pricing model.
你实际上可以调整布莱克-斯科尔斯模型。
You can actually adjust Black Scholes.
你可以不使用利率，而是引入一个与回报相关的因子。
You can instead of having an interest rate in there, you can put a factor that relates to return in there.
这没问题。
That's fine.
这能帮你得出你对期权价值的主观判断。
And that can give you your subjective value of what the option is.
如果你进行方向性交易，这就是正确的方法，因为这样你才能平衡隐含波动率溢价与你预期期权在其生命周期内能带来的收益。
And if you're trading directionally, that would be the way to do it, because that would be how you would balance the implied vol premium with how much you expect the option to make over its lifetime.
这就是用定价模型来做这件事的方式。
That would be the pricing model way to do it.
但那样你就不会处于一个无套利的世界中。
But you're going to not be in an arbitrage free world there.
如果你坚持这样交易，其他人就会利用你。
And if you insist on trading like that, other people will be able to take advantage of you.
就像我之前说的，仅靠买卖价差的宽度，以及你购买的原因不同等等，但你就不会有如看跌-看涨平价这样的关系。
And like I said before, only by the width of the bid ask spread and you're buying it for a different reason and all this stuff, but you won't have things like put call parity.
但没有任何东西能阻止你这么做。
But there's nothing to stop you doing that.
我会说，实际上没有人真的以这种方式操作。
And I would say no one really does that in that sense.
人们买入看涨期权是因为我要买105的看涨期权。
People buy calls because I'm going to buy the 105 calls.
我觉得股价会涨到100，但其实你可以做得更好。
I think the stock's going go to 100 and Well, you can kind of do better than that.
你可以假设，我认为它会有10%的回报。
You can put, I think it's going to have a 10% return.
你可以把这个假设放进你的定价模型里。
You can put that into your pricing model.
然后你可以计算出所有可能结果的完整分布。
Then you can work out the entire distribution of results.
你可以实际算出你获胜的百分比概率，而不是仅仅看期权的德尔塔，以为它与此有关——其实并没有关系。
You can work out actually what your percentage chance of winning might be, as opposed to just looking at the delta of the option and thinking that has something to do with that, which it doesn't.
所以，我在作为这个领域的外来者时注意到的一件事是，人们随着时间推移展示交易的方式差异很大。
So one of the things I've noticed in, again, being a bit of a tourist in this space, the way people present trades over time seems to be very different.
例如，我注意到有些人会用恒定的维加名义价值，展示铁鹰或蝶式价差的盈亏曲线。
So I've for example, I have noticed that some people will post an iron condor or butterfly P and L over time priced with a constant Vega notional.
我也注意到，有人会用恒定的美元支出定价，或者说无论成本如何，我都会持续滚动这一单位的交易。
I've noticed people will price it with a constant dollar spend or say I am rolling one unit of this trade over time regardless of cost.
这并不是说这些交易方式完全等价，但你最终在不同时间点投入的资金不同，这会导致盈亏曲线随着时间产生显著差异。
And it isn't to say that they aren't all sort of equivalent trades, but you are in ultimately at different times spending different amounts of money, which makes the P and L curve potentially very different over time.
你认为人们应该如何比较不同时间点或横向之间的交易呢？
How do you think people should look at comparing trades either over time or cross sectionally to each other?
是否存在一个合适的标准化单位来衡量这些比较？
Is there a right sort of standardized unit in which they should be compared?
这是个非常好的问题。
That's a really good question.
你在学术论文中也经常看到这种情况。
You see that in academic papers all the time as well.
人们会说，这个期权交易每月回报率为1%。
People will say, well, this option trade has a return of 1% a month.
但事实上，他们的意思是期权溢价每月变化1%，而这实际上与真实情况毫无关系。
And it turns out what they mean is it has a return of 1% a month in that the option premium changes by 1% a month, which has got nothing to do with anything.
因为如果你持有多头期权，你需要支付溢价。
Because if you're long options, you pay the premium.
但如果你是空头期权，回报则基于你的保证金，而保证金与期权价格几乎没有关系。
But if you're short options, it's based on your margin, which has got nothing to do or very little to do with the price of the option.
这主要与大幅波动的风险有关。
It's mainly to do with the risk of the big move.
在这种情况下，他们应该根据保证金来计算期权费。
They have to, in that case, well, should calculate their premium based on margin.
但他们并没有这么做，这就是为什么你在查看学术研究时，特别是关于做空波动率的方面，必须非常谨慎。
And they don't, which is why you have to be very careful when you look at academic studies, particularly on the short vol side.
实际上并没有一个真正正确的方法来处理这个问题。
There's no real correct way to do this.
我更倾向于用恒定的Vega来思考，因为期权的利润最终将是Vega乘以隐含波动率与后续实现波动率之间的差值。
I prefer to think in terms of constant Vega because eventually the profit from an option is going to be Vega times the difference between implied and subsequent realized vol.
平均来看，这绝对是会发生的情况。
On average, that's absolutely what's going to happen.
所以我认为，如果你这么考虑的话，这就相当于总是买入100股，而不是总是买入价值一千美元的股票。
And so I think if you consider it, it's the equivalent of always buying a 100 shares as opposed to always buying a thousand dollars worth of shares.
Vega就像是期权交易的单位，一种自然的单位。
Vega is kind of like the unit for option trading, the natural unit like that.
但同样，有时候这种维加会因为保证金而让你付出更多成本。
But again, sometimes that vega is going to cost you more in terms of margin.
所以这并不是我不清楚。
So it's not I don't know.
这个问题并没有一个确切的答案。
There's no real one answer to that.
但这很重要，因为你必须确保你在比较的是同一类事物。
It's important, though, because you have to make sure you're talking about apples and apples.
你会看到一些案例，而我知道我指的是谁。
And you see some and we know who I'm referring to here.
你会看到一些对冲基金谈论他们惊人的回报。
You see some hedge funds will talk about their enormous returns.
他们所说的惊人回报，指的是长期期权溢价的回报，而不是如果你把一美元投入他们的基金所能获得的收益，因为他们并没有把全部基金都投入到长期溢价中，对吧？
And what they mean is the enormous return on the long options premium and not the amount you would have made had you put a dollar into their fund because they didn't invest all of their fund into the long premium, did they?
因此，像这样的情况，你必须仔细审视，要深入了解他们实际在做什么细节。
So there's stuff like that where you actually have to look at the you have to go through whatever the details of what they're actually doing is.
我的意思是，对此有标准的会计处理方法，但并不是每个人都遵循，尤其是在对冲基金领域。
I mean, there are standard accounting ways to do this, but not everyone follows it, particularly in the hedge fund world.
我们其实不必非得按你喜欢的方式来做。
We don't really have to do whatever you like.
我始终觉得期权领域最让人感到不知所措的一点，就是你可以选择的交易自由度实在太多了——不仅可以选择标的资产，还有交易结构、交易类型、不同到期日、不同期限、不同行权价，都可以自由组合。
One of the things that I always find really candidly overwhelming about the option space is just the sheer degrees of freedom in which you can place a trade, not only choosing which underlying you want to look at, but trade structure, trade type, different expirations, different tenors, different strikes in which you can place the trade.
我总是觉得存在一个最优选择，但似乎这个‘最优’总是带点主观性。
I'm left always feeling like there is an optimal choice but it seems like optimal is always perhaps a bit subjective.
但当你考虑进行某种特定事件型或方向性交易时，面对某个特定标的，你会如何开始思考如何在这些参数空间中筛选，最终确定交易的具体结构呢？
But when you're thinking about you've got a particular perhaps event type trade or directional trade you want to put on given underlying, how do you start thinking about calling through that parameter space and figuring out how exactly you do want to structure that trade?
是的。
Yeah.
我认为期权的一大优势在于，你拥有极大的自由度。
I do think one of the great things with options is you have a huge amount of degrees of freedom.
但期权的一大弊端也在于，你拥有极大的自由度。
And one of the really bad things about options is you have a huge amount of degrees of freedom.
我不认为存在一个最优的答案。
I don't really think there is an optimal answer.
我认为你可能会出错，但要完全做到最优却很难。
I think you can get it wrong, but I think it's hard to get it optimally right.
比如，如果你持有多头期权，仅凭对历史波动率的研究来选择多头期权是非常困难的，因为这无法反映你认为即将发生的灾难性事件。
Like if you have long options, it's very difficult to get long options based on your study of realized vol in the past, because that's not going to be pricing in this impending catastrophe that you think is going to happen.
所以，你选择持有多头期权的原因通常是由于某个具有特定时间点的催化剂。
So the reason you're going to be long options is typically because there's a catalyst with a particular time associated with it.
如果这是一个像英国脱欧公投、选举或财报数据这样的事件，时间点是明确的，那就很简单。
And that's easy if it's like a Brexit vote or an election or an earnings number, there's an actual given time.
但即使你对某种更普遍可能发生的事情有假设，比如你觉得美元在未来两年可能会贬值。
But even if you've got a hypothesis about something that might happen more generally, like you might think, I don't know, the dollar is going to be devalued over the next two years.
即便如此，你仍然有一个时间范围。
Again, you still have a time period.
它可能不是一天，但如果你没有某种时间框架，你可能根本无法充分理解这笔交易，也就无从下手。
It might not be a day, but if you don't somehow have a time period, you might not really know enough about the trade to do it at all.
所以你得不断重复这个操作。
So you have to spam that.
在空头波动率方面你不能这么做，因为在空头波动率方面，你实际上是在说不会发生任何事。
You can't do that on the short vol side because on the short vol side, you're literally saying nothing's going to happen.
在这种情况下，你可以做时间序列分析。
So in that case, you can do a time series analysis.
你可以问，在隐含波动率曲面的结构下，我的方差溢价最高在哪里？
You can say, where is my variance premium highest given the structure of the implied vol surface?
然后你可以根据方差溢价带来的优势，以及你所做交易本身的风险，来选择最优的交易策略。
And you can then choose your optimal trade based on the edge coming from the variance premium, but also based on the risk because of the particular trade you put on.
现在，开始认真关注期权的风险，因为你的收益是非线性的。
Now, start getting all concerned about risk with options because your payoffs are nonlinear.
即使你进行了对冲，结果仍然是非线性的，并且具有路径依赖性，诸如此类的问题。
And even if you hedge, you're going to have nonlinear results and it's going to be path dependent and all this stuff.
所以再次强调，没有唯一的答案。
And so again, there's no single answer.
但你可以使用类似广义夏普比率这样的方法，它还会考虑峰度和偏度。
But you can, for example, use something like the generalized Sharpe ratio, which takes into account ketosis and skewness as well.
这并不完美。
It's not perfect.
但同样，也没有人认为夏普比率在评估线性投资时是完美的。
But then again, no one thinks the Sharp ratio is perfect for evaluating linear investments either.
我说的是没人。
I say no one.
我的意思是，很多人这么认为，但他们不应该。
I mean, a lot of people do, but they shouldn't.
你得考虑多种不同的风险因素。
You've got to look at a lot of different risk things.
我会看凯利准则，它告诉我最佳交易是什么。
I look at the Kelly criterion, what it's telling me, my best trade is.
我并不太关注期望值，因为那只会告诉你：买入所有你认为可能行权的最小期权，因为根据你的假设，这些期权杠杆最高，期望值也最大。
I don't really look at expected value because all that's really going to tell you is like buy all of the teeniest options that you think may end up in the money, because they're the ones with the most leverage, are the ones that are going to have the most expected value according to your hypothesis.
所以我觉得这并没有特别大的用处。
So I don't find that particularly useful.
我也会看盈利的概率。
I also look at probability of making money.
我是否应该这么做是另一回事，其实不应该影响决策。
Whether I should or not is a different thing that shouldn't really come into it.
如果我在最大化凯利比率或夏普比率，那才应该是主导因素。
If I'm maximizing a Kelly ratio or a Sharpe ratio, that should be the driver.
但我也很现实。
But I'm also realistic.
这笔交易无论好坏都不是由机器人执行的。
This trade's not being made by a robot for better or for worse.
有些人会说，算法交易更好，因为它避免了这类问题。
I mean, sometimes people will say algorithmic trading's better because it avoids this kind of thing.
但我认为它也无法捕捉到我所了解的其他一些因素。
But I think it also doesn't capture some of the other things that I know.
所以，以这种方式做事有其不利之处。
So this is sort of the downside of doing things in this way.
我可以融入比我的模型更广泛的知识，因为我了解一些模型不知道的东西。
I'll get to put in a broader range of knowledge than my model has in it because I know stuff my model doesn't.
但我也必须应对自己的心理偏见。
But I also have to deal with my psychological biases.
当你年轻时，你会读到行为金融学，认为这能让你看出别人有多愚蠢。
When you're young, you read about behavioral finance and you think, this will let me find out how dumb everyone else is.
你觉得自己不会陷入这些陷阱。
And you think you're not going to fall for that stuff.
但随着年龄增长，你意识到自己也会中招。
But as you get a little bit older, you realize you do.
这更多是关于如何管理它。
And it's more of a matter of managing it.
你在回答这个问题时早期提到的一个要点是时间因素。
One of the things you mentioned early on in answering that question was this idea of the time aspect.
在股票领域，我认为这一点经常被严重忽视。
And this is something in the equity world, I think goes woefully overlooked very often.
有一种观点认为，某种策略的信号可能会随时间衰减，因此人们会预期交易持有时间或交易收敛的时间。
There's an idea of a certain style might have a decay in the signal, and so there's an expectation as to how long you would hold a trade or a trade will converge.
但并没有什么机制必然迫使你退出交易，或许更资深的人会考虑机会成本，但在股票市场中，有一个玩笑说，一笔糟糕的交易会变成一种投资，因为你完全可以无限期地持有它。
But there's nothing that necessarily boots you out of the trade and maybe more sophisticated folks might think about opportunity costs, but there's this sort of joke that a bad trade becomes an investment in equities because you can just sort of hold it forever.
但在期权领域，这一点至关重要。
In options though, it is a very critical component.
这里有一种观念，即交易有明确的到期日。
There is this idea that there's an defined end of the trade date.
所以我想问你的是，期权合约的已知到期日如何改变管理者在构建和管理投资组合时的思考方式？
And so I guess my question to you is how does the known expiration of an options contract change how a manager has to think about constructing and and managing their book?
我认为这和股票市场并没有太大不同。
I don't think it's that different from equities.
尽管每个期权都有到期日，但你的交易并不需要有到期日。
Even though each individual option has an expiration date, your trades doesn't need to.
我认为人们经常会问：我什么时候该退出这笔交易？
I think people will often say, when should I get out of the trade?
答案是，当你不再有任何优势时，就该退出交易了。
And the answer to that is you get out of the trade when you don't have any edge left.
你不会做一笔持续三周的交易。
You don't do a trade for three weeks.
你会做一笔交易，然后在三周内持续评估它。
You do a trade and evaluate it continuously over the three weeks.
当你不再有任何优势时，就退出交易。
When you have no edge left, you get out of the trade.
如果你仍然有优势，并且认为优势存在于30天的波动率范围内，那么最初你可能会选择30天的期权。
If you still have edge and you think the edge is in the thirty day volatility range, Well, initially you might do the thirty day option.
当它变成20天的期权时，你可能会考虑将部分头寸展期至60天的期权。
And as it becomes a twenty day option, you may look to roll some of that exposure back to the sixty day option.
因此，你希望将你的风险敞口维持在合适的水平。
And so you're hoping to maintain your exposure at that right level.
然后你把成本算进去，这样你就知道进行这笔交易的成本，不会立即执行。
And then you put the costs in so you know the cost of doing that trade so you're not going to do it instantaneously.
所以我认为，再平衡和成本因素实际上更复杂。
So I think it's actually the rebalancing and the cost aspect are more complicated.
但我认为这和任何交易其实都是一样的。
But I think it's really the same as any trade.
当有优势时你就进行交易，当没有优势时，你就不再交易。
You do a trade when there's edge and when there's no edge, you don't do the trade.
这正是我不太相信止损的一般原因，因为你应该一直持有交易，直到优势消失。
It's like one of the reasons I don't believe in stops in general is because you do a trade until there's no edge.
所以有时候，如果你买入某物，你希望它上涨，因为你是个趋势跟踪者之类的。
So sometimes if you buy something, you hope it goes up because you're a trend follower or whatever.
在这种情况下，如果价格下跌，并不是因为你亏了钱就退出。
And in that case, if it goes down, it's not because you've lost money you get out.
而是因为你判断错了。
It's because you're wrong.
你亏钱这一事实与你对错是相关的。
And the fact you've lost money is correlated with you being right or wrong.
而如果你在做价差交易，买入价差是因为你认为它会回升，但它却下跌了，那可能你并不该平仓，因为这反而意味着你可能拥有更大的优势。
Whereas if you're in a spread and you buy the spread because you think it's going go back up and it goes down, well, you might not get out because that might mean you've actually got more edge.
所以，你不会仅仅因为亏了钱就平仓。
So you don't get out at that point just because you've lost money.
如果你不得不因为亏钱而平仓，那说明你的仓位大小错了。
If you ever had to get out of the trade because you've lost money, you've done it the wrong size.
当你错了的时候，才该平仓。
You get out of the trade when you're wrong.
我们花了相当多的时间，而你的书也大部分都在讨论期权作为收益生成的工具。
We spent quite a bit of time and your book spends the majority of its time discussing options as sort of the instrument of return generation.
我认为，在交易中，当你判断错误时，使用期权作为风险管理工具这一方面，也值得深入思考，但这一点在买方投资中常常被严重忽视。
I think there's a whole flip side thinking about trading when you're wrong about using options as a vehicle for managing risk as well that I think goes very overlooked in buy side investing.
例如，你有一位深度价值投资者，最近肯定经历了一段痛苦的交易期。
So for example, you have someone who's a deep value investor who's certainly been in a pain trade as of late.
有没有办法使用期权来对冲这种风险，比如让他们获得科技股的敞口，同时减轻一些痛苦？虽然这可能带来一定的持仓成本，但这是一种非线性的对冲方式，可以加以运用。
Is there a way to use options to hedge that in some way of giving them exposure to tech names that perhaps is able to reduce some of the pain and maybe there's a bit of a cost to carry there, but it's a nonlinear hedge that they can sort of put on.
你对将期权更多地用作风险管理工具而非收益生成工具的看法是什么？
What are your thoughts on the idea of using options for more of a risk management vehicle than a return generation vehicle?
这如何改变你评估期权的框架？
And how does that sort of change your framework for evaluating them?
我不认为这会大幅改变我的框架，因为你始终需要考虑预期收益和风险。
I'm not sure it changes the framework that much in that you're always got to think about expected value and risk.
在这种情况下，你只是更侧重于风险而非预期收益，但整个过程仍然是相同的。
And in this case, it's more that you're putting the emphasis on the risk rather than the expected value, but it's still the same process.
你刚才提到了几点。
There's a few things you said there.
首先，我认为你可以将持仓与股票结合看作是股票本身和看跌期权的组合，而不是单独看待股票。
First, I think you can evaluate the idea of your position with the stock with a put rather than stock on its own and the put on its own.
因此，你可以对期权本身进行同样的风险收益分析。
So you can do the same sort of risk reward analysis that I might do for selecting an option on its own.
你只是在那个投资组合上这么做。
It's just you're doing it on that portfolio.
这完全没问题。
That's perfectly fine.
这是个很好的做法。
That's a good thing to do.
我不确定有多少人会这么做。
I don't know if many people do that.
我认为人们会说，如果你要对期权进行对冲，就买一个平值看跌期权。
I think people say things like, well, if you're going to hedge your options, buy an at the money put.
而我认为这远不止如此。
Whereas I think there's a lot more to it than that.
你应该知道，你买的是一个波动率溢价最低的看跌期权。
And you should know you're buying a put with the lowest variance premium.
你应该清楚，你买的是一个交易成本最低的看跌期权。
You should know if you're buying a put with the lowest transaction costs.
如果你认为最便宜的波动率溢价来自当月平值看跌期权，但如果你明年每个月都得展期，那买这个可能并不划算？
If you think the lowest variance premium in the put is the front month at the money, well, it may not make sense to buy that if you're going to have to roll that every month for the next year?
也许你应该买一年期的期权，即使你要支付更高的波动率溢价。
Maybe you should buy the one year option, even though you're paying a bigger variance premium.
你还可以通过做备兑看涨期权来实现期权的多样化。
Another thing you could do is sort of a diversification using options by doing a covered call.
备兑看涨期权是少数几种对散户来说非常合理的策略，因为你正在收取波动率溢价。
The covered call is a really rare example of a retail strategy that makes a lot of sense because you're collecting the variance premium.
你本质上是把这种波动率溢价作为一种分散风险的手段。
You are essentially using that variance premium as a diversifying effect.
你仍然持有正的德尔塔敞口。
You're still long delta.
你卖出平值看涨期权，持有50德尔塔，但通过将部分德尔塔风险转化为波动率溢价风险，实现了风险分散。
You're selling at the money call, you're long 50 Delta, but you're now diversifying it by turning some of that Delta risk into a variance premium risk.
这可能会失效，就像你提到的蝶式套利那样。
And that has I mean, it may stop working because of the condor thing you said.
但再说一遍，波动率溢价是我会押注的东西。
But again, the variance premium is something I would bet on.
你提到过一种想法，就是持有某些科技股，同时想买入科技指数的期权作为对冲。
You mentioned something about the idea of using options, sort of your long some tech stocks and you want to buy options on the tech index as a hedge.
我认为很多问题就是从这里开始出现的。
I think that's where a lot of things can start to go wrong.
如果你想要对冲，只要可能，就应该买入你真正想对冲的标的的期权。
If you want to hedge, you should buy the options on the actual product you're trying to hedge if you at all can.
你所说的其实并不是真正的对冲。
What you're talking about isn't really a hedge.
这更像是一种相关性交易，大多数时候可能有效，但它们有个糟糕的习惯：在你最需要它们的时候偏偏失效。
It's sort of a correlated trade that should work most of the time, but they have a nasty habit of not working when you really need them to.
我见过有人在VIX ETN领域，也就是ETN或ETF中说：我做空UVIXY，因为我知道它衰减得更快，但我想买入的UVIXY看涨期权买卖价差巨大，所以我改买一些通过文本期权。
I've seen people say in the VIX ETN space, ETN, ETF, where they're like, I'm short UVIXY because I know it's got the bigger decay, but the UVIXY upside calls that I want to buy as a hedge have got a huge bid ask spread, so I'll buy some via text calls.
这样也行。
That'll be fine.
好吧，你可能觉得这没问题，但有些VIX平值期权爆了，有些却没有。
Well, you might have thought it was fine, except some of the VIX ATMs blew up and others didn't.
你必须用你真正想对冲的标的来对冲。
You've really got to do your hedge with the thing you're trying to hedge.
如果你负担不起，如果这太贵了，那你就要重新审视整个交易，因为对冲必须是交易的一部分，而不是事后附加的东西。
And if you can't afford to, if that's too expensive, then maybe you look at the whole trade, the because hedge has got to be part of your trade rather than something you tack on at the end.
你认为管理期权组合的人最大的风险在哪里？
Where do you think the biggest risks lie for someone managing a book of options?
好吧，风险不在期权本身。
Okay, they don't lie on the options.
这是一种误解。
That's the misconception.
人们以为是，我有巨大的第五矩风险之类的。
The people think it's like, I've got massive exposure to the fifth moment or whatever.
不，你没有。
No, you don't.
你面临的是严重的流动性危机风险。
What you have is massive exposure to a liquidity crunch.
你面临的是交易所可能被恐怖分子炸毁的风险。
You have massive exposure to the fact that your exchange might get blown up by a terrorist.
你面临的是你的公司可能因为别人做的其他事情而崩溃的风险。
You have massive exposure to the fact that your firm might blow up because of something else someone else did.
如果你因为市场风险而破产，那你就是个傻瓜。
If you go broke because of market risk, you're just an idiot.
你真正应该担心的是以一种前所未有的方式破产。
The thing you should be worrying about is going broke in a way no one else has gone broke before.
我的意思是，这确实是个问题。
I mean, that's legit.
我曾经遇到一个问题，欧洲股票彻底重组了它们的指数。
I had a problem once where the Euro stocks completely restructured their index.
他们从一个要求每个国家都有特定代表的泛欧洲指数，转变为一个覆盖全欧洲的市值指数。
They went from a pan European index where you had to have certain representation in every country to a market cap index across Europe.
所以指数值保持不变，但远期价格因所有股息变化而剧烈波动。
So the index value stayed the same, but the forward changed ridiculously because all the dividends changed.
我因此被狠狠地套住了。
And I got incredibly picked off because of that.
在期权领域，我最终持有了一个巨大的远期头寸，而远期价格，我想，从大约23涨到了40左右。
In the option space, I ended up with a huge forward position and the forward, I think, went from like 23 to 40 or something like that.
这规模太大了。
It was enormous.
有些人会说，你应该早就想到这一点。
And people will sometimes say, well, you should have thought of that.
也许我确实应该想到，但以前从未发生过。
Maybe I should have, but it never happened before.
你不可能预见到所有以前从未发生过的事情。
You can't think of everything that's never happened before.
真正让你面临重大风险的，正是这些前所未有的情况，你不可能预见到所有情况，但你应该尽可能了解别人曾经遇到过的类似事件。
Those are the things that you'll actually have major risk about, and you can't think of them all, but you should know as many of those as possible that have happened to other people.
如果你现在交易指数，而这种事情发生在你身上，那就是你的错。
If you were trading an index now and that happened to you, now it's your fault.
如果是第一次，嗯，我不确定是不是你的错，但没理由不去了解别人犯过的错误。
If it's the first time, well, I don't know, maybe it's not your fault, but there's no excuse for not learning about the things other people have done wrong.
我认为这才是任何交易中最大的风险所在。
I think that's where the biggest risks lie in any trading.
市场风险，尤其是像已实现的角化风险之类的。
Market risk, especially like realized keratosis risk or something.
我的天啊。
I mean, come on.
这全是胡说八道。
That's all bullshit.
好了，尤安，我最后还有一个问题要问你。
Well Euan, I got just one last question here for you.
这算是我这个季节问每位嘉宾的最后一个普遍问题。
It's sort of the last question I've been asking every guest this season.
对我们许多人来说，2020年简直天翻地覆，发生了太多怪事。
2020 for so many of us has just sort of been an upside down year, lots of weird things going on.
我想以一点积极的基调来结束。
Love to end with a bit of a note of positivity here.
你对未来最期待的是什么？
What's something you're really looking forward to in the future?
哇，你居然来找我寻求积极的见解，这真让人惊讶，因为这根本不是我的强项。
Wow, it's amazing you've come to me for a note of positivity because it's not really my forte.
我觉得当事情变糟时，人们总是忍不住觉得情况会继续恶化。
I think when things are bad, it's always tempting to say they're going to continue to be bad.
我认为，如果你要纵观这个世界，平均而言，现在几乎总是人类历史上最好的时代。
I think if you have to look at the world, the best time to be alive is almost always now on average.
当然，有些人会经历可怕的遭遇，但世界总体上确实在变得更好。
Obviously, some people go through terrible things, but the world does tend to get better.
所以我选择抱有希望，并假设情况会继续好转。
So I'm going to sort of hope and assume it's going to.
我不太相信我们能在明年内研发出疫苗。
I'm not a huge believer in the fact that we're going to come up with a vaccine in the next year.
疫苗通常不会这么快就出现。
Vaccines don't tend to happen that quickly.
以前从未有过这么快的疫苗研发速度。
They've never happened that quickly before.
我们至今还没有针对艾滋病或其他疾病的疫苗。
We still don't have a vaccine for AIDS or whatever.
哦，抱歉，你希望我积极一点。
Oh, sorry, you wanted me to be positive.
但我确实认为世界最终会再次好转，我觉得是这样。
But I do think the world will tend to get better again, I think.
而那时，波动性溢价将会再次回归。
And that's when the variance premium is going to come back again.
所以我不确定。
And so I don't know.
这次期权卖家可能会上CNBC。
The option sellers might get on CNBC this time.
嗯，尤安，非常感谢你参与我的节目。
Well, Euan, I can't thank you enough for joining me.
我知道这既有趣又有教育意义，感谢你抽出时间。
I know it's been entertaining and educational, so thank you for your time.
非常感谢。
Thanks very much.
关于 Bayt 播客
Bayt 提供中文+原文双语音频和字幕，帮助你打破语言障碍，轻松听懂全球优质播客。