美联储“分裂”推高政策不确定性，投资者严防利率“黑天鹅”！

Core Viewpoint - The Federal Reserve's mixed signals regarding the timing and extent of interest rate cuts have accelerated the inflow of hedge funds into swap options and derivatives linked to overnight rates, as investors seek to hedge against increasing policy uncertainty [1][2]. Group 1: Market Reactions - The short-term volatility of long-term interest rate swap options (10-year and 30-year) has begun to rise, particularly for maturities of three months or less [1]. - The volume of U.S. interest rate swap options surged to $887 billion in the week ending November 7, marking an 18% increase from the previous week, indicating heightened investor willingness to hedge against significant volatility [3]. - The implied volatility of three-month swap options linked to the 10-year swap rate reached a one-month high of 22.23 basis points on November 18, before retreating to 20.79 basis points [3]. Group 2: Federal Reserve's Position - Some Federal Reserve officials, including New York Fed President John Williams and Governor Christopher Waller, suggest that a rate cut may be necessary in December due to a weak labor market, which has put downward pressure on U.S. Treasury yields [2]. - In contrast, several regional Fed presidents advocate for pausing rate cuts until inflation shows a more convincing decline towards the 2% target [2][3]. - The CME FedWatch Tool indicates an 85% probability of a rate cut in December, up from 50% a week prior [2]. Group 3: Investor Sentiment - Analysts note that the hedging activity remains balanced to cover two potential outcomes from the Fed's December meeting: another rate cut or a pause in easing to await clearer economic signals [2]. - The trading structure of swap options does not show a clear inclination towards whether the Fed will cut rates or pause, with the one-year U.S. swap curve area primarily reflecting bets on falling rates [4]. - The surge in open interest for three-month SOFR options expiring in March 2026 suggests that investors anticipate a slight increase in rates while also factoring in the possibility of the Fed maintaining stable rates in the first quarter [5].