警惕！周四CPI数据公布之前，美股波动或将异常剧烈

智通财经2022-11-07

智通财经APP注意到，由于市场正焦急等待将于周四公布的美国CPI数据，近日市场波动率——即VIX指数在上涨与下跌之间剧烈波动，不过近几日多数以跌势收尾，这一剧烈波动暗示着多空博弈异常激烈。截至发稿，今日VIX指数期货微跌0.27%至25.46。尽管美联储上周加息75个基点，并重申了其鹰派立场，但整个市场仍然非常关注将于周四出炉的CPI数据。多头和空头都在寻找密切关注这一数据，以进一步预测美联储将...

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AhSong
2022-11-08
AhSong
好
DaisyDeng
2022-11-08
DaisyDeng
[强]
嘞撸虎7
2022-11-08
嘞撸虎7
閱

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Before the CPI data is released on Thursday, the volatility of US stocks may be extremely violent","themeId":"","isJumpTheme":false,"ttsUrl":"https://static.tigerbbs.com/4b2a30cfa7fa5439046d868d84ccad38","symbols_score_info":{".DJI":0.9,".IXIC":0.9,".SPX":0.9},"content_text":"智通财经APP注意到，由于市场正焦急等待将于周四公布的美国CPI数据，近日市场波动率——即VIX指数在上涨与下跌之间剧烈波动，不过近几日多数以跌势收尾，这一剧烈波动暗示着多空博弈异常激烈。截至发稿，今日VIX指数期货微跌0.27%至25.46。尽管美联储上周加息75个基点，并重申了其鹰派立场，但整个市场仍然非常关注将于周四出炉的CPI数据。多头和空头都在寻找密切关注这一数据，以进一步预测美联储将如何处理即将做出的利率决定。PriceVol指数超出阈值!衡量风险指标的另一项指数——PriceVol指数仍处于高位，5日期限的滚动平均指数为10.5。数字越高，说明波动性越大。此外，衡量标普500指数“已实现波动率”的PriceVol指数在10月份收于10.1点。这是PriceVol在2022年首次出现超风险规避阈值10的读数，并且这通常发生在熊市期间，此期间波动性往往较高。PriceVol指数创立者ASYMmetric在一份投资者报告中强调:“在大萧条(Great Recession)的早期阶段，标普500指数的已实现波动率仍处于压缩状态。直到2007-2009年熊市进入大约8个月后，PriceVol已实现波动率才被推高至高于10的风险值或熊市阈值10以上。”“一些人认为市场已经陷入衰退，而另一些人预计则没有，但PriceVol的水平表明市场情绪相对悲观，预示着大环境已经陷入衰退。”美股哪些板块可能出现剧烈波动?虽然衡量更广泛股票标的的标普500及其对应的ETF(比如SPY和IVV)经历了PriceVol水平大幅上升，但从行业角度来看，有些行业波动性高于标普500指数。智通财经注意到，波动率上升最高水平的领域包括五个特定领域。PriceVol指数高于10的板块包括医疗保健板块(相关ETF：XLV)为13.5，非必需消费品板块(相关ETF：XLY)为12.7，通信服务板块(相关ETF：XLC)为12.3，金融板块(相关ETF：XLF)为11.3，工业板块(相关ETF：XLI)为10.2。美股每个板块的PriceVol水平在过去一周的细分如下:ASYMmetric S&P 500 ETF (ASPY.US)是作为PriceVol指标的一个分支而设计的基金。该基金是一种量化的多空对冲策略，寻求通过净做空为投资者抵御熊市抛售进而提供后盾，同时也寻求通过净做多获得牛市的大部分收益。PriceVol指数的发行商ASYMmetric 还向美国证券交易委员会(SEC)申请了两只新的“智能ETF”(Smart ETF)。","kind":"news","is_publish_news":true,"is_publish_highlight":true,"is_publish_live":false,"is_publish_wemedia":null,"editions":null,"column":"","sentiment":"0","news_tag":"","news_rank":0,"symbols":[],"gpt_button":1},"commentList":[{"id":9987815558,"gmtCreate":1667868156174,"gmtModify":1676537976220,"author":{"id":"3567004043453333","authorId":"3567004043453333","name":"AhSong","avatar":"https://static.tigerbbs.com/6cf1ed321a8ef9637c0db44a35c4b163","vip":1,"crmLevel":2,"crmLevelSwitch":0,"idStr":"3567004043453333","authorIdStr":"3567004043453333"},"htmlText":"好","listText":"好","text":"好","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":0,"commentSize":0,"repostSize":0,"link":"https://ttm.financial/post/9987815558","repostId":2281988881,"repostType":4,"isVote":1,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"langContent":"CN"},{"id":9987809495,"gmtCreate":1667864854517,"gmtModify":1676537975100,"author":{"id":"4099984049950350","authorId":"4099984049950350","name":"DaisyDeng","avatar":"https://static.laohu8.com/default-avatar.jpg","vip":1,"crmLevel":3,"crmLevelSwitch":0,"idStr":"4099984049950350","authorIdStr":"4099984049950350"},"htmlText":"[强]&nbsp;","listText":"[强]&nbsp;","text":"[强]","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":0,"commentSize":0,"repostSize":0,"link":"https://ttm.financial/post/9987809495","repostId":2281988881,"repostType":4,"isVote":1,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"langContent":"EN"},{"id":9987137941,"gmtCreate":1667856452183,"gmtModify":1676537972893,"author":{"id":"4092032122452460","authorId":"4092032122452460","name":"嘞撸虎7","avatar":"https://static.tigerbbs.com/451ff62190f624c13c07b54476dd5930","vip":1,"hat":"https://static.tigerbbs.com/4c5ceab71416b120bab4604c0754b52a","crmLevel":2,"crmLevelSwitch":1,"idStr":"4092032122452460","authorIdStr":"4092032122452460"},"htmlText":"閱","listText":"閱","text":"閱","images":[],"top":1,"highlighted":1,"essential":1,"paper":1,"likeSize":0,"commentSize":0,"repostSize":0,"link":"https://ttm.financial/post/9987137941","repostId":2281988881,"repostType":4,"isVote":1,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"tweetType":1,"langContent":"CN"}],"isCommentEnd":false,"newsSizeData":{"likeSize":78,"commentSize":3,"repostSize":0,"favoriteSize":5,"likeStatus":false,"favoriteStatus":false},"APP":{"userAgent":"Mozilla/5.0 AppleWebKit/537.36 (KHTML, like Gecko; compatible; ClaudeBot/1.0; +claudebot@anthropic.com)","isDev":false,"isTTM":true,"deviceId":"web-server-community-laohu8-v3","version":"4.29.3","shortVersion":"4.29.3","platform":"web","vendor":"web","appName":"ttm","isIOS":false,"isAndroid":false,"isTiger":false,"isTHS":false,"isWeiXin":false,"isWeiXinMini":false,"isWeiBo":false,"isQQ":false,"isBaiduSwan":false,"isBaiduBox":false,"isDingTalk":false,"isToutiao":false,"isOnePlus":false,"isHuaWei":false,"isXiaomi":false,"isXiaomiWebView":false,"isOppo":false,"isVivo":false,"isSamsung":false,"isMobile":false},"href":"/m/news/2281988881"}