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2021-07-22

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Q2's Stock-Bond Correlation Regime Has Collapsed As VIX Curve Anticipates J-Hole Turbulence<blockquote>由于 VIX 曲线预计会出现 J 孔动荡，第二季度的股债相关性制度已经崩溃</blockquote>

Since the start of Q2 2021 bond prices and stock prices have, quite unusually, risen alongside each

Q2's Stock-Bond Correlation Regime Has Collapsed As VIX Curve Anticipates J-Hole Turbulence<blockquote>由于 VIX 曲线预计会出现 J 孔动荡，第二季度的股债相关性制度已经崩溃</blockquote>

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read","highlighted":1,"essential":1,"paper":1,"likeSize":1,"commentSize":0,"repostSize":0,"favoriteSize":0,"link":"https://laohu8.com/post/172184264","repostId":1178837432,"repostType":4,"repost":{"id":"1178837432","kind":"news","pubTimestamp":1626942342,"share":"https://www.laohu8.com/m/news/1178837432?lang=zh_CN&edition=full","pubTime":"2021-07-22 16:25","market":"us","language":"en","title":"Q2's Stock-Bond Correlation Regime Has Collapsed As VIX Curve Anticipates J-Hole Turbulence<blockquote>由于 VIX 曲线预计会出现 J 孔动荡，第二季度的股债相关性制度已经崩溃</blockquote>","url":"https://stock-news.laohu8.com/highlight/detail?id=1178837432","media":"zerohedge","summary":"Since the start of Q2 2021 bond prices and stock prices have, quite unusually, risen alongside each ","content":"Since the start of Q2 2021 bond prices and stock prices have, quite unusually, risen alongside each other as they each reinforced the narrative of a reflation trade that will lift all equity boats and sink all bond boats.<blockquote>自 2021 年第二季度开始以来，债券价格和股票价格不同寻常地同时上涨，因为它们都强化了通货膨胀贸易的叙事，这种贸易将提升所有股票船，沉没所有债券船。</blockquote> But, since the start of the week stocks and bond yields have re-engaged in their more 'normal' (yields down, stocks down) relationship...<blockquote>但是，自本周初以来，股票和债券收益率已经重新进入了更“正常”（收益率下降，股票下跌）的关系……</blockquote> <img src=\"https://static.tigerbbs.com/be486106592278d1ef7d2210b44d2fd7\" tg-width=\"971\" tg-height=\"558\" referrerpolicy=\"no-referrer\">Source: Bloomberg<blockquote>资料来源：彭博社</blockquote> Suddenly breaking the prevailing 2021 relationship regime and creatinga negative 2-month rolling correlation between bond prices and equity prices(positive correlation between bond yields and equity prices)...<blockquote>突然打破2021年盛行的关系体制，创造债券价格和股票价格之间的负2个月滚动相关性（债券收益率与股票价格呈正相关）……</blockquote> <img src=\"https://static.tigerbbs.com/1703395b0e598b3bda8d62a5ee931503\" tg-width=\"1066\" tg-height=\"526\" referrerpolicy=\"no-referrer\">As Goldman notes, should that correlation persist (and the lower interest rates go, the more likely it is to, in our view),bonds may regain attractiveness as a diversifying asset,potentially reducing some demand for equity protection (even though for now thebid for downside tail risk,as we detailed earlier, is at panic highs).<blockquote>正如高盛指出的那样，如果这种相关性持续下去（我们认为，利率越低，就越有可能），债券作为一种多元化资产可能会重新获得吸引力，可能会减少对股权保护的一些需求（尽管目前下行尾部风险的出价，正如我们之前详述的那样，处于恐慌高位）。</blockquote> But, perhaps what they are all really worrying about its the potential for a hawkish surprise at the late-August Jackson Hole conference.<blockquote>但是，也许他们真正担心的是8月下旬杰克逊霍尔会议上可能会出现鹰派意外。</blockquote> That fear is clearly seen inthe VIX term structure as it abruptly turns upward-sloping around the Fed’s Jackson Hole conference - reflecting concern about elevated volatility that week.<blockquote>这种恐惧在VIX 期限结构在美联储杰克逊霍尔会议前后突然转为向上倾斜--反映了对本周波动性加剧的担忧.</blockquote> <img src=\"https://static.tigerbbs.com/6ea7641c13c333e86f85c2d7ddc93c93\" tg-width=\"1065\" tg-height=\"541\" referrerpolicy=\"no-referrer\">This elevated fear of turbulence around Jackson Hole is also evident in the significant demand for deep OTM VIX calls (in other words, investors are paying more than ever to protect against a March 2020-style event in stock markets).<blockquote>对 Jackson Hole 周围动荡的担忧加剧也体现在对深度 OTM VIX 评级的巨大需求上（换句话说，投资者正在支付比以往任何时候都更多的费用来防范股市 2020 年 3 月式的事件）。</blockquote> 50-strike VIX calls cost far more than they did with VIX futures at a comparable level - reflecting an extreme bid for tail risk protection<blockquote>50 股 VIX 评级的成本远高于同等水平的 VIX 期货 - 反映了对尾部风险保护的极端追求</blockquote> <img src=\"https://static.tigerbbs.com/76acc38af0f2cdd5dcca769a3846833b\" tg-width=\"1078\" tg-height=\"528\" referrerpolicy=\"no-referrer\">Implicitly the market is saying that 2020-2021 is representative of the range of possibilities in the next four weeks- which would mean that a 50+ VIX is far more likely (VIX&gt;50 4.6% of the time in 2020-2021) than it is in normal times (VIX&gt;50 0.7%/1.5%/1.0% of the time over the past 10/20/30 years).<blockquote>市场含蓄地表示，2020-2021 年代表了未来四周的可能性范围-这意味着50+VIX的可能性（2020-2021年VIX&gt;50的时间为4.6%）远高于正常时期（过去10/20/30年VIX&gt;50的时间为0.7%/1.5%/1.0%）。</blockquote> Meanwhile, equity indices are rapidly ramping back towards record highs without a care in the world.<blockquote>与此同时，股票指数正在迅速回升至历史新高，全世界对此漠不关心。</blockquote>","collect":0,"html":"<!DOCTYPE html>\n<html>\n<head>\n<meta http-equiv=\"Content-Type\" content=\"text/html; charset=utf-8\" />\n<meta name=\"viewport\" content=\"width=device-width,initial-scale=1.0,minimum-scale=1.0,maximum-scale=1.0,user-scalable=no\"/>\n<meta name=\"format-detection\" content=\"telephone=no,email=no,address=no\" />\n<title>Q2's Stock-Bond Correlation Regime Has Collapsed As VIX Curve Anticipates J-Hole Turbulence<blockquote>由于 VIX 曲线预计会出现 J 孔动荡，第二季度的股债相关性制度已经崩溃</blockquote></title>\n<style 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#7E829C; margin: 0;}\n.small {font-size: 12.5px; display: inline-block; transform: scale(0.9); -webkit-transform: scale(0.9); transform-origin: left; -webkit-transform-origin: left;}\n.smaller {font-size: 12.5px; display: inline-block; transform: scale(0.8); -webkit-transform: scale(0.8); transform-origin: left; -webkit-transform-origin: left;}\n.bt-text {font-size: 12px;margin: 1.5em 0 0 0}\n.bt-text p {margin: 0}\n</style>\n</head>\n<body>\n<div class=\"wrapper\">\n<header>\n<h2 class=\"title\">\nQ2's Stock-Bond Correlation Regime Has Collapsed As VIX Curve Anticipates J-Hole Turbulence<blockquote>由于 VIX 曲线预计会出现 J 孔动荡，第二季度的股债相关性制度已经崩溃</blockquote>\n</h2>\n<h4 class=\"meta\">\n\nzerohedge2021-07-22 16:25\n\n</h4>\n</header>\n<article>\nSince the start of Q2 2021 bond prices and stock prices have, quite unusually, risen alongside each other as they each reinforced the narrative of a reflation trade that will lift all equity boats and sink all bond boats.<blockquote>自 2021 年第二季度开始以来，债券价格和股票价格不同寻常地同时上涨，因为它们都强化了通货膨胀贸易的叙事，这种贸易将提升所有股票船，沉没所有债券船。</blockquote> But, since the start of the week stocks and bond yields have re-engaged in their more 'normal' (yields down, stocks down) relationship...<blockquote>但是，自本周初以来，股票和债券收益率已经重新进入了更“正常”（收益率下降，股票下跌）的关系……</blockquote> <img src=\"https://static.tigerbbs.com/be486106592278d1ef7d2210b44d2fd7\" tg-width=\"971\" tg-height=\"558\" referrerpolicy=\"no-referrer\">Source: Bloomberg<blockquote>资料来源：彭博社</blockquote> Suddenly breaking the prevailing 2021 relationship regime and creatinga negative 2-month rolling correlation between bond prices and equity prices(positive correlation between bond yields and equity prices)...<blockquote>突然打破2021年盛行的关系体制，创造债券价格和股票价格之间的负2个月滚动相关性（债券收益率与股票价格呈正相关）……</blockquote> <img src=\"https://static.tigerbbs.com/1703395b0e598b3bda8d62a5ee931503\" tg-width=\"1066\" tg-height=\"526\" referrerpolicy=\"no-referrer\">As Goldman notes, should that correlation persist (and the lower interest rates go, the more likely it is to, in our view),bonds may regain attractiveness as a diversifying asset,potentially reducing some demand for equity protection (even though for now thebid for downside tail risk,as we detailed earlier, is at panic highs).<blockquote>正如高盛指出的那样，如果这种相关性持续下去（我们认为，利率越低，就越有可能），债券作为一种多元化资产可能会重新获得吸引力，可能会减少对股权保护的一些需求（尽管目前下行尾部风险的出价，正如我们之前详述的那样，处于恐慌高位）。</blockquote> But, perhaps what they are all really worrying about its the potential for a hawkish surprise at the late-August Jackson Hole conference.<blockquote>但是，也许他们真正担心的是8月下旬杰克逊霍尔会议上可能会出现鹰派意外。</blockquote> That fear is clearly seen inthe VIX term structure as it abruptly turns upward-sloping around the Fed’s Jackson Hole conference - reflecting concern about elevated volatility that week.<blockquote>这种恐惧在VIX 期限结构在美联储杰克逊霍尔会议前后突然转为向上倾斜--反映了对本周波动性加剧的担忧.</blockquote> <img src=\"https://static.tigerbbs.com/6ea7641c13c333e86f85c2d7ddc93c93\" tg-width=\"1065\" tg-height=\"541\" referrerpolicy=\"no-referrer\">This elevated fear of turbulence around Jackson Hole is also evident in the significant demand for deep OTM VIX calls (in other words, investors are paying more than ever to protect against a March 2020-style event in stock markets).<blockquote>对 Jackson Hole 周围动荡的担忧加剧也体现在对深度 OTM VIX 评级的巨大需求上（换句话说，投资者正在支付比以往任何时候都更多的费用来防范股市 2020 年 3 月式的事件）。</blockquote> 50-strike VIX calls cost far more than they did with VIX futures at a comparable level - reflecting an extreme bid for tail risk protection<blockquote>50 股 VIX 评级的成本远高于同等水平的 VIX 期货 - 反映了对尾部风险保护的极端追求</blockquote> <img src=\"https://static.tigerbbs.com/76acc38af0f2cdd5dcca769a3846833b\" tg-width=\"1078\" tg-height=\"528\" referrerpolicy=\"no-referrer\">Implicitly the market is saying that 2020-2021 is representative of the range of possibilities in the next four weeks- which would mean that a 50+ VIX is far more likely (VIX&gt;50 4.6% of the time in 2020-2021) than it is in normal times (VIX&gt;50 0.7%/1.5%/1.0% of the time over the past 10/20/30 years).<blockquote>市场含蓄地表示，2020-2021 年代表了未来四周的可能性范围-这意味着50+VIX的可能性（2020-2021年VIX&gt;50的时间为4.6%）远高于正常时期（过去10/20/30年VIX&gt;50的时间为0.7%/1.5%/1.0%）。</blockquote> Meanwhile, equity indices are rapidly ramping back towards record highs without a care in the world.<blockquote>与此同时，股票指数正在迅速回升至历史新高，全世界对此漠不关心。</blockquote>\n<div class=\"bt-text\">\n\n\n 来源：<a href=\"https://www.zerohedge.com/markets/q2s-stock-bond-correlation-regime-has-collapsed-vix-curve-anticipates-j-hole-turbulence\">zerohedge</a>\n为提升您的阅读体验，我们对本页面进行了排版优化\n\n\n</div>\n</article>\n</div>\n</body>\n</html>\n","type":0,"thumbnail":"","relate_stocks":{".SPX":"S&P 500 Index",".DJI":"道琼斯","SPY":"标普500ETF",".IXIC":"NASDAQ Composite"},"source_url":"https://www.zerohedge.com/markets/q2s-stock-bond-correlation-regime-has-collapsed-vix-curve-anticipates-j-hole-turbulence","is_english":true,"share_image_url":"https://static.laohu8.com/e9f99090a1c2ed51c021029395664489","article_id":"1178837432","content_text":"Since the start of Q2 2021 bond prices and stock prices have, quite unusually, risen alongside each other as they each reinforced the narrative of a reflation trade that will lift all equity boats and sink all bond boats.\nBut, since the start of the week stocks and bond yields have re-engaged in their more 'normal' (yields down, stocks down) relationship...\nSource: Bloomberg\nSuddenly breaking the prevailing 2021 relationship regime and creatinga negative 2-month rolling correlation between bond prices and equity prices(positive correlation between bond yields and equity prices)...\nAs Goldman notes, should that correlation persist (and the lower interest rates go, the more likely it is to, in our view),bonds may regain attractiveness as a diversifying asset,potentially reducing some demand for equity protection (even though for now thebid for downside tail risk,as we detailed earlier, is at panic highs).\nBut, perhaps what they are all really worrying about its the potential for a hawkish surprise at the late-August Jackson Hole conference.\nThat fear is clearly seen inthe VIX term structure as it abruptly turns upward-sloping around the Fed’s Jackson Hole conference - reflecting concern about elevated volatility that week.\nThis elevated fear of turbulence around Jackson Hole is also evident in the significant demand for deep OTM VIX calls (in other words, investors are paying more than ever to protect against a March 2020-style event in stock markets).\n50-strike VIX calls cost far more than they did with VIX futures at a comparable level - reflecting an extreme bid for tail risk protection\nImplicitly the market is saying that 2020-2021 is representative of the range of possibilities in the next four weeks- which would mean that a 50+ VIX is far more likely (VIX>50 4.6% of the time in 2020-2021) than it is in normal times (VIX>50 0.7%/1.5%/1.0% of the time over the past 10/20/30 years).\nMeanwhile, equity indices are rapidly ramping back towards record highs without a care in the world.","news_type":1,"symbols_score_info":{".SPX":0.9,".DJI":0.9,"SPY":0.9,".IXIC":0.9}},"isVote":1,"tweetType":1,"viewCount":2374,"commentLimit":10,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"symbols":[],"verified":2,"subType":0,"readableState":1,"langContent":"EN","currentLanguage":"EN","warmUpFlag":false,"orderFlag":false,"shareable":true,"causeOfNotShareable":"","featuresForAnalytics":[],"commentAndTweetFlag":false,"andRepostAutoSelectedFlag":false,"upFlag":false,"length":8,"xxTargetLangEnum":"ORIG"},"commentList":[],"hasMoreComment":false,"orderType":2}