散户投资者的崛起

这里是市场动态。我是克里斯·赫西，今天是11月5日星期三。我们正在演播室与高盛研究部衍生品研究主管约翰·马歇尔一起。约翰，非常感谢你加入我们。

This is the markets. I'm Chris Hussey and today is Wednesday, November 5, and we're here in the studio with John Marshall, head of derivatives research for Goldman Sachs Research. John, thanks so much for joining us.

谢谢邀请，克里斯。

Thanks for having me, Chris.

好的约翰，让我们先从散户投资者谈起。你在衍生品研究中做了大量关于当今市场散户投资者行为的工作。这些研究具体揭示了什么？

Okay, John, let's start with the retail investor because you've done a lot of work in your derivatives research about how the retail investor is in the markets today. What exactly is that work showing you?

是的。我们一直知道散户是股票持有者的重要组成部分，但直到最近才意识到他们的活动对市场能产生多大影响。我们通过四种方式追踪散户：一是追踪他们的ETF持仓，二是追踪个股持仓。

Yes. We've always known that the retail investor is an important part of equity holders, but only recently we realized how much this activity can really impact markets. So we track retail in four different ways. One, we track ETF holdings of retail investors. Two, we'll track the single stock holdings.

三是期权，四是共同基金。我们追踪这些是因为我们认为每种方式都代表了一类具有不同行为特征的散户投资者群体。

Three, options. And then fourth mutual funds. And we track them because we think that each of these represents a particular cohort of retail investor that has a slightly different activity profile.

说到散户投资者，我想我们指的是任何非机构投资者，那些以个人账户进行交易的人。

And by retail investor I guess we are talking about anybody who is not a institutional investor, anybody who is just trading on their own account.

没错，而且我们可以通过交易规模等数据或观察他们在市场上的操作方式来追踪。我们使用公开数据进行这些分析，但这通常是一个高度量化的过程。

Yes, absolutely and we can track these through really things like trade sizes or understanding the ways they print on the market. We use public data for all of this, but it's generally a very heavily quantitative process.

他们现在在做什么？有什么趋势吗？

And what are they doing now? Is there any, any trends?

首先最重要的是ETF市场。这代表了买入并持有的投资者。这类投资者倾向于购买一篮子广泛的股票并长期持有。他们今年大量买入，仅个人投资者ETF的流入资金就达到3500亿美元。这甚至超过了2021年3000亿美元的流入规模。

So the first and most important one is in the ETF market. This represents the buy and hold investor. Investors are who intending to buy a very broad basket of stocks and hold on to it for a long period of time. They have been buying a lot this year, $350,000,000,000 in inflows into these ETFs individual investor ETFs. And this is even bigger than in 2021 when we had 300,000,000,000 of inflows.

另一个他们大量买入的领域是单只股票。这类投资者更像是中期投资者，他们热衷于选择主题——当然当前最热门的是AI主题。我们观察到今年纳斯达克100指数的买入量是2021年的五倍，这个特定主题的数据确实显示出加速增长的态势。

The other area where they're doing significant buying is in single stocks. So single stock shares of individual stocks. This is more like a medium term investor and they're picking themes a lot of of course AI in in this flavor of investor. And we've seen five times the amount of NASDAQ 100 buying this year as compared to 2021. So that particular theme has is really coming out in the data as accelerating.

零售趋势是你的朋友吗？你应该跟随还是逆势操作？

Is the retail trend your friend? Should you be following this or fading them?

这是个好问题。很多人喜欢将其视为反向指标——当零售投资者对某只股票或板块热度很高时，就认为是卖出信号。但我们发现事实并非如此。你通常应该跟随这类投资者群体，同时监控他们的热情程度。

It's a great question. The a lot of people like to think of it as a contrarian indicator. Okay retail is really hot on a particular stock or sector. So that's a sell signal we find that is not true. You generally wanna be following this cohort of investor and monitoring their enthusiasm level.

我们实际上会观察诸如股票两周滚动活动等数据，并以此来预测零售投资者下周的活动。这种方法作为指标相当有效。

We actually look at things like two week trailing activity in shares and use that to predict the next week's activity among retail. And that works as a a pretty good indicator.

你过去还观察到零售投资者非常活跃于期权交易，甚至单只股票期权。能给我们详细讲讲这个现象吗？

Another observation that you've made in the past has been that retail investors do a, they're very active in options and even single stock options. So, you know, walk us through a little bit about this.

确实。期权交易活动特别有趣，因为这是短线投资者的行为。单只股票期权的平均到期时间只有两周。所以所有这些活动实际上都与未来两周内的预期有关。近期有大量看涨期权买入，特别是2025年，我们每天看到约4200亿美元名义价值的期权交易。

Yeah. The the options activity is particularly interesting because this is the short term investor. The average single stock option has only two weeks to expiration. So all of this activity really relates to expectations within the next two weeks. There's been a lot of call buying and, in particular in 2025 we've seen about $420,000,000,000 notional of options trade per day.

这比2021年模因股狂热时期略低，但仍处于相当高的水平，这表明市场对短期波动的预期有多强烈。

This is a little bit less than in 2021 when when the meme craze was on, but it's still a really high level and it shows you how much anticipation there is of short term moves in the market.

你在财报季做了大量期权相关研究。从期权市场的角度来看，你会如何描述本次财报季的特点？

You've done a lot of options work around earnings. How would you characterize this earning season from the, view from the options market?

如果从长期视角来看，这些个股财报日的波动幅度非常巨大。剔除上个季度（那简直破纪录），这是自2009年以来最大的波动。我们正经历着金融危机级别的个股财报日波动，但指数层面的波动率却相对较低。这说明在当前环境下，由于这些剧烈波动，人们非常关注个股和个股期权。这也表明市场表面之下存在大量基本面波动，如果我们只是每隔几周扫一眼市场，可能就注意不到这些变化。

If we take a long term view, the moves that we're seeing on these single stock earnings events are huge. They are, you know, if we cut out last quarter which was off the charts, they are the biggest since 2009. So we are having financial crisis level earnings day moves in stocks, but the volatility at the index level is is relatively low. So we know that people are very focused on the single stocks and the single stock options in this environment because of those big moves. And it shows you there's a lot of fundamental volatility going on under the surface that we may not be seeing if we're just glancing at the market every few weeks.

所以我不得不问

So I have to ask

关于刚才提到的财报季波动，我想追问一点：散户投资者是否加剧了本次财报季的波动性？我认为这是散户投资者（尤其是期权交易）额外活动和对冲基金活动的共同作用。现在有更多资金专注于阿尔法收益，不再只是随波逐流地希望赚钱，而是真正在精选个股。让我们为这次讨论做个总结。

you a follow-up on that earnings comment here. Are retail investors exacerbating this earnings season volatility? It is, I believe, a combination of that extra activity among retail investors particularly in options, but also hedge fund activity. There's a lot more money that is focused on alpha generation, not just belong the market and hope to make money, but really picking stocks. Let's put a bow on this conversation.

具体交易策略是什么？这是个好问题。我认为交易的第一要义是不要试图根据散户活动来猜测顶部。你至少需要看到散户活动连续三周下降，才能认为这个庞大群体的趋势或市场情绪发生了变化。过去几年人们积极采用的变现策略其实是期权卖出策略。

What's the trade? It's a great question. The, so I I think at the first part of the trade is don't try to pick a top based on retail activity. You wanna see at least three weeks of decline in retail activity before you would think, there's been a change in trend or market sentiment among this really large cohort. I'd say what people have actively been doing to, really monetize activity over the last few years has been option selling strategies.

当前主导的零售交易是买入看涨期权和看跌期权。买入看跌期权以保护投资组合，买入看涨期权以获得股票上涨的非对称收益。这推高了双向期权价格，而出售这些期权以产生收益的策略在此类环境中具有额外优势。特别是，许多债券持有人正在审视收益率，认为债券提供的收益无法满足需求。因此，他们正转向防御性高收益股票产品，这些产品通过出售期权来获取收益。

So the dominant retail trade is buying calls and buying puts. Buying puts to protect their portfolio and buying calls in order to gain upside asymmetric exposure to stocks. That bids up options on both sides and strategies that sell those options to generate income are, have added benefit in this type of environment. And in particular, there are a lot of bondholders out there that are looking at yields and thinking, these yields I really want more than the bonds can give me. And so what they're doing is moving into defensive high income equity products that sell these options.

过去一年，我们看到约有300亿美元流入出售期权以产生收益的ETF和共同基金，这些基金相对防御性强。令我惊讶的是，即使市场波动且股市疲软，这类利用高期权价格的防御性高收益基金仍在吸引资金流入。这充分说明了它们的持久力。

We've seen about 30,000,000,000 in inflows over the last year into ETFs and mutual funds that sell options to generate yield and they're relatively defensive. I've also been really surprised that even when there's market volatility and equity markets are weak, these types of funds, these defensive high income funds that take advantage of the elevated option prices, they've been gaining assets in those types of environments. And so I think that tells you about their staying power.

约翰，让我就这笔交易追问一下，因为你提到债券投资者正试图进入股市。他们具体是如何操作的？

John, let me ask you a follow-up to that trade because you did mention bond investors trying to get into equities here. How exactly do they execute that?

是的。实际上我们在2010年写过一篇关于用期权将股票转化为债券的文章。关键方法是在债券市场持有抵押品并出售对应期权。最类似信贷的操作是卖出虚值看跌期权，实质上是在持有债券作为抵押品的同时收取信用利差，这能产生远高于债券市场的收益。

Yeah. We wrote a piece back in 2010 actually about turning stocks into bonds using options. And really the way to do it is to think about holding collateral in the bond market and selling options against it. What most people do which is most similar to credit is to sell out of the money puts in order to effectively collect a credit spread while owning bonds as your collateral, and that can yield significantly more income than the bond market.

精彩内容。约翰，非常感谢你分享这些关于散户投资者和当今市场的深刻见解。

Good stuff. John, thanks so much for sharing all of this tremendous insight about the retail investor and markets today.

谢谢，克里斯。

Thank you, Chris.

以上就是本周市场节目的全部内容。我是克里斯·赫西，感谢收听。

That does it for this week's episode of the markets. I'm Chris Hussey. Thanks for listening.

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