Börsen: Absicherung billig und gesucht
Heute Morgen haben wir erneut gesehen, wie weit sich die Märkte von den Fundamentaldaten entfernt haben. Dies muss nicht bedeuten, dass es bald einen Einbruch gibt. Andererseits scheint es günstig zu sein, sich gegen einen solchen Einbruch abzusichern. Zwei Kommentare dazu sind mir aufgefallen.
Zunächst in der FT:
- “Equity markets are bubbling at high levels, bond markets are perking along without flash crashes or volatility spikes and even commodities are in positive territory for the year. Whatever the headlines (…) the surfaces of risk-market pools are remarkably calm.” – bto: Die Volatilität ist äußerst gering, trotz des turbulenten Umfelds.
- “Increasingly (…) large, conservative, real money investors talk about how they can find relatively low-cost methods to hedge themselves against a market crash. Not a grinding decline, but a crash.” – bto: Das kann angesichts der Daten wiederum nicht wirklich ausgeschlossen werden.
- “The US futures market even has an index to measure the level of uneasiness in the risk markets. (…) the Skew (index) measures the difference between the cost of buying protection against a sharp market decline (a put option on the S&P 500) and the cost of buying the right to participate in a sharp market rally (a call option on the S&P 500).” – bto: also ein klarer Maßstab für die Präferenz in den Märkten.
- “Skew can range from close to 100 to a bit over 150. At the moment it is around 140, up from 125 in January, and at the high end of its range since the contract was introduced in 2011. That means the investors buying options, as a group, are apparently willing to pay over the mathematical odds for protection against a market decline.” – bto: Der Wunsch nach Absicherung überwiegt deutlich.
Auch von Bankenseite wird auf diese einseitige Positionierung der Investoren hingewiesen. So von der Bank of America (hier via Zero Hedge):
- “Bank of America’s volatility experts (…) pointed out that while US equity vol remains at historic low levels, it is not just equities where market participants are remarkably complacent, and write that both US credit & Chinese equity hedges ‚are pricing a world almost free of risk.‘” – bto: Das bedeutet, es ist billig, sich abzusichern. Laut Goldman so billig wie seit sechs Jahren nicht mehr:
Dann zeigt Zero Hedge (leider mit undeutlichen Charts) die Logik der BofA bezüglich der richtigen Positionierung: “We measure tail events by the 10 largest 3M drops since Jan-06. Ranked by the average, the chart shows that the hedges which are most underpricing historical drawdowns are: US (IG & HY) Credit payers, GLD (Gold ETF) calls and HSCEI (Chinese equity) puts:
- US (IG & HY) Credit payers – which we are reintroducing to our universe of assets – screen as the best value hedges across asset classes owing to historically low credit volatility (Chart 2). European credit and HYG (US HY Credit ETF) puts also screen high, ranking immediately after Asian equity puts.
- GLD calls are the 3rd top ranking hedge as current options costs are discounting the historical propensity for Gold to rally strongly during risk-off episodes.
- HSCEI puts continue to screen as best value within equities. In contrast, ESTX50 puts are near the bottom of our screen (most expensive) as 3M option prices now embed French election risk premium (voting takes place on 23-Apr and 7-May).”
Es bleibt auf jeden Fall spannend!
→ FT (Anmeldung erforderlich): “The quest for low-cost hedges against a crash”, 10. März 2017