Die großen Volatilitätsschocks stehen uns noch bevor
Die Volatilität an den Märkten ist seit dem letzten Februar wieder deutlich zurückgegangen. Doch ist es nur die Ruhe vor dem nächsten, größeren Sturm. So die FT:
- “‚There are few things more insidious in markets than the illusion of permanent calm,‘ said Claudio Borio, head of the monetary and economic department of the Bank for International Settlements. He was referring to the extraordinarily low volatility that prevailed in global markets in 2017 and the equally extraordinary spike in volatility that followed in early February this year.” – bto: Besser kann man es nicht sagen. Die Ruhe an den Märkten ist immer gefährlich. Besonders verwundert sie heute angesichts der immer offensichtlicheren Probleme von Italien bis zu Protektionismus.
- “The Vix index gives the 30-day implied volatility of options on the S&P 500 and is often referred to as Wall Street’s fear gauge. February 5 saw the largest daily increase in the Vix since the 1987 market crash. While the turbulence was primarily related to the equity market, sovereign bonds also felt a backwash. The underlying dynamic of the event reflected changes in the structure of markets more generally, which pose serious risks for bond investors now that rates have started to rise.” – bto: Gemeint ist damit vor allem die geänderte Rolle der Banken, die nicht mehr wie früher als Market Maker agieren und deshalb die Volatilität befeuern, wenn es ernst wird.
- “(…) the rise in the Vix on February 5 far exceeded the change in expectations about future volatility. Technical factors were a more important driver of prices than fundamentals. The chief actors in the drama were issuers of volatility exchange traded products (ETPs), which accounted for a growing share of the Vix futures market. Issuers took leveraged long positions in Vix futures. So-called inverse volatility ETPs took short positions in Vix futures to allow investors to bet on lower volatility.” – bto: Es ist immer die gleiche Geschichte. Leverage wirkt nun mal in beide Richtungen.
- “To be short in this market is breathtakingly dangerous because volatility is mean-reverting, with long periods of subdued fluctuations and occasional extreme spikes. It is, in the time-honoured phrase, tantamount to collecting pennies in front of a steamroller. (…) when the Vix soared during the day on February 5, everyone in the market knew that leveraged, long volatility ETPs would have to buy more Vix futures at the end of the day to rebalance their target holdings. They also knew that inverse volatility ETPs had to buy Vix futures to cover the losses on their short positions. As market participants bid up Vix futures through the day, a feedback loop developed as both long and short ETPs confronted an ever larger rebalancing.” – bto: So etwas macht natürlich Spaß aus Sicht der Gegenspekulanten.
- “The episode demonstrates how ultra-low interest rates and central bank asset purchases have dulled investors’ understanding of risk. It also underlines the dangers in what is known as the volatility paradox: low volatility leads investors and traders to adopt strategies that make the financial system more fragile and vulnerable to crisis. Taking on leverage has become ever more tempting, as has carry trading. This can involve borrowing in countries where interest rates are low to invest in countries where interest rates are high, a currency mismatch that can rebound expensively on the carry trader.” – bto: Klar, es ist eine Superwette, die funktioniert, solange sie funktioniert!
- “Increased risk appetite has coincided with reduced market-making by big banks in fixed interest, thanks to tougher capital requirements. The scope for greater volatility towards the end of the long post-crisis financial cycle is thus all too clear. While risk can be managed, some techniques can encourage dangerously procyclical behaviour that amplifies the market cycle. A decline in volatility prompts investors to increase position sizes without breaching their risk limits. When volatility subsequently increases, investors are forced to unload assets to bring their portfolios back within risk boundaries.” – bto: Letztlich ist es das, was Hyman Minsky schon vor Jahren beschrieben hat.
- “This is just one of many current examples of procyclicality (…) February’s events were the canary in the coal mine. Much bigger accidents in much larger markets lie ahead.” – bto: Und das wiederum ist keine gute Nachricht. Es könnte dann weit ausstrahlen auf andere Märkte und letztlich das gesamte Finanzsystem.
