运用期权偏度策略应对突发风险

Core Viewpoint - The article discusses the impact of significant unexpected events on market volatility and the asymmetrical effects on call and put options, leading to substantial changes in skewness. As the effects of these events dissipate, skewness tends to revert to normal levels, presenting opportunities for delta and vega neutral skewness strategies to capture returns from this reversion [1][12]. Group 1: Market Behavior and Volatility - During major unexpected events, the market experiences sharp short-term fluctuations, which asymmetrically affect call and put options, resulting in significant skewness changes [1][12]. - The implied volatility is a crucial parameter in option pricing, reflecting market expectations of future asset price volatility, characterized by mean reversion and clustering effects [1]. - In normal conditions, the implied volatility curve typically resembles a "smile curve," but during certain risks, it can tilt in one direction, indicating a shift in market sentiment [2][3]. Group 2: Skewness Strategy Principles - Skewness can be quantified to describe the degree of tilt in the implied volatility curve, with specific definitions for out-of-the-money call and put options [3]. - The skewness strategy aims to evaluate the extent of skewness deviation from normal levels and construct corresponding option combinations to capture trading opportunities [4]. - The strategy is fundamentally a mean reversion arbitrage, requiring the construction of positions that are delta and vega neutral to minimize sensitivity to price and volatility changes [4]. Group 3: Historical Backtesting and Results - On April 7, 2025, the escalation of Trump's "reciprocal tariffs" policy led to a significant rise in implied volatility, altering the curve from a "smile" to a "monotonically decreasing" structure [5]. - Historical data indicates that during significant market events, the implied volatility of out-of-the-money put options surged, creating opportunities for skewness strategies [9]. - The skewness strategy demonstrated good returns shortly after its construction, with the potential for profit-taking as skewness returned to normal levels [11]. Group 4: Future Outlook - The market is currently focused on key factors such as half-year reports from listed companies, export data, and the evolving U.S.-China tariff dispute, which will unfold in June and July [13]. - Positive unexpected policy signals could lead to a "positive skew," while uncertainties surrounding tariff disputes could result in a "negative skew" [13]. - There is potential for implied volatility skewness to deviate from normal levels again in June and July, providing opportunities for skewness strategies [13].