2026 年 03 月 29 日 策略研究团队 冲突下配置的最佳观测指标：OVX 和 VIX ——投资策略专题 韦冀星（分析师） 简宇涵（分析师） jianyuhan@kysec.cn 证书编号：S0790525050005 下一个信号——波动率收敛 我们在 3.2 报告《美以伊冲突最大的预期差——时长和霍尔木兹海峡》当中明确 提出，市场对于美以伊冲突的快速解决或许过于乐观："冲突时长和霍尔木兹海 峡，可能是当前美以伊冲突比较明显的预期差"。 无论是冲突时长还是霍尔木兹海峡方面的预期差，最直接的影响在于原油价格， 而原油价格及其供给进一步呈长链条影响全球各类要素，因此原油价格成为了当 前全球资产价格趋势的核心观测点。 当前美以伊冲突从"纯战场"步入"边打边谈"，局势正处于一种危险且充满政 治算计的"平衡点"。怎么看待"边打边谈"？是一种国际博弈中极端的战术手 段，存在"以战迫和，以打促谈"的可能，"打"往往是谈判桌上的砝码。面对 扑朔迷离的地缘博弈，很难以局势结束或者升级的"传闻"作为投资依据，如 何能跳出定性判断地缘进行投资配置？我们的回答是波动率。 两个波动率：OVX 和 VIX 在地缘政治冲突引发的市场 ...

Market Overview - The stock market is heading for a fourth consecutive week of losses, indicating a lack of defensive rotation consistent with the current environment [1] - Defensive sectors such as health care and consumer staples are down by approximately 4%, similar to declines seen in industrials and materials [2] Market Sentiment - Despite concerns about government emergency actions, the market does not reflect panic, as industrials and materials are not being heavily sold off, and there is no significant rotation into defensive sectors [3] - The bond market is pricing in substantial changes, with notable movements in commodity prices, particularly gas prices in Europe, which have doubled in three weeks, and Brent crude oil prices increasing by 50% [4] Gold and High Yield Markets - Gold prices are down significantly, which typically would not occur in a state of overwhelming concern; this suggests that the market sentiment may not be as dire as portrayed [5] - High yield spreads are not indicating panic, as they remain relatively tight, suggesting that the market does not foresee significant economic distress [6][7] Equity Market Behavior - The equity market has shown resilience, with spreads in credit and high yield remaining tight despite significant repricing in energy and rates [8] - The expectation of Federal Reserve interest rate cuts has been removed from the market, indicating a shift in sentiment regarding monetary policy [9] Oil Market Expectations - The oil market is pricing in a near-term shock, with expectations that the situation will resolve itself relatively quickly, rather than indicating a long-term disruption [11] - The equity market is currently assessing whether the ongoing situation will be viewed as a temporary headache or a buying opportunity by the end of the year [12]

The VIX Is Falling Despite Global Chaos — Here's What the Fear Gauge Is Actually Telling You - 24/7 Wall St. S&P 5006,753.10 +0.69% Nasdaq 10024,892.30 +0.85% Russell 20002,533.77 +1.18% FTSE 10010,439.20 +0.88% Nikkei 22554,638.90 +0.18% Stock Market Live March 17, 2026: S&P 500 (SPY) Flat as Oil Gushes Higher Investing The VIX Is Falling Despite Global Chaos — Here's What the Fear Gauge Is Actually Telling You Dow Jones47,212.00 +0.59% By Austin SmithPublished Mar 17, 9:55AM EDT Quick Read SPDR S&P 500 ET ...

Core Insights - Charts such as the 10-year Treasury yield, copper-to-gold ratio, and VIX are essential tools for understanding shifts in risk appetite, economic momentum, and investor sentiment [1] Group 1 - The 10-year Treasury yield serves as a key indicator of interest rate expectations and economic outlook [1] - The copper-to-gold ratio is utilized to gauge industrial demand versus safe-haven investment trends [1] - The VIX, often referred to as the "fear index," reflects market volatility and investor sentiment [1]

Group 1 - The CBOE Volatility Index (VIX) surged approximately 13% to close at 24.92, driven by fears of escalating tensions in the Middle East affecting oil supplies [1] - Iranian military actions have disrupted about 20% of global oil supplies through the Strait of Hormuz, causing Brent crude prices to rise from around $70 to over $110 per barrel [1] - The economic impact of rising oil prices has led Goldman Sachs to delay its forecast for the Federal Reserve's next rate cut from June to September, with money market futures now pricing in only one quarter-point cut by December [1] Group 2 - The Russell 2000 index fell 2.15% on Thursday and is down 7% over the past month, indicating that small-cap domestic companies are struggling to absorb rising oil-driven costs [1] - The Dow Jones index has also decreased nearly 7% over the past month due to exposure to industrial and energy costs [1] - The Nasdaq 100 index lost 1.72% as higher interest rate expectations have compressed growth valuations [1] Group 3 - The VIX is currently at the 88th percentile of the past year's distribution, with historical peaks indicating that it could reach crisis levels if tensions escalate further [1] - Consumer sentiment is already in recessionary territory, and the yield curve spread has compressed sharply, which historically precedes volatility spikes [1] - Elevated VIX readings historically precede above-average returns over the following 6 to 12 months, suggesting potential entry points for long-term investors [1]

Market Overview - The S&P 500 has been in a narrow trading range, marking the smallest range to start the year ever, indicating a potential shift in market momentum [1][2] - Recent trading patterns show consolidations and breakouts, suggesting that the current market phase could lead to an uptrend if momentum changes [2][4] Oil Market Insights - The USO ETF, which is leveraged to oil, indicates a potential breakout after a long period of consolidation, which could lead to higher crude oil prices in the long term [3][4] - The relationship between rising crude oil prices and the S&P 500 is critical, as past trends show that the S&P can perform well initially even as energy prices rise, but inflationary pressures can alter this dynamic [4] Currency and Volatility Analysis - The US dollar has strengthened recently, which has historically impacted risky assets negatively; the current upturn line for the dollar is being closely monitored [5][6] - The VIX has spiked above 20, with higher lows observed over recent months, indicating increasing market volatility; a significant move above 30 could lead to further momentum in volatility [7][9][10] Investment Implications - The potential for a spike in the VIX is seen as a contrarian indicator, suggesting that if volatility increases significantly, it may lead to a market recovery afterward [10] - The S&P 500's performance is closely tied to movements in the VIX, with a rollover in the S&P likely preceding any significant volatility increase [10]

Market Overview - Stocks experienced a significant drop early in the session due to U.S. and Israel strikes on Iran, which led to a spike in oil prices and increased Middle East instability concerns [1] - The major indexes, including the Dow, initially fell by about 600 points but later recovered, with tech stocks like Nvidia and Microsoft contributing to the rebound [1] Commodity and Currency Movements - Gold futures surged nearly 2% as investors sought safe-haven assets, while the VIX, a measure of market volatility, reached its highest level in 2026 [2] - U.S. crude oil prices rose by almost 8% amid fears of supply disruptions, given Iran's status as the fourth-largest OPEC producer [2] - By the market close, the Dow and S&P 500 ended the day nearly unchanged, while the Nasdaq posted a modest gain [3] Bond and Cryptocurrency Trends - Bond yields increased, with the 10-year yield surpassing 4%, and the U.S. dollar reached a one-month high [3] - Bitcoin tested the $70,000 mark but closed below it, while gold prices soared to $5,350 [3] Market Sentiment and Future Outlook - Current market conditions are characterized by uncertainty, with more questions than answers regarding the geopolitical situation and its impact on energy prices [4] - A stabilizing energy market could have positive ripple effects, while fears of prolonged disruptions may lead to negative outcomes [4]

Core Insights - The article discusses the concept of seasonality in stock market returns, emphasizing that it reflects recurring patterns rather than definitive predictions [2][3] - Historical data from the S&P 500 since 1990 shows that January typically has a median return of 1.7%, while February has a lower median return of 0.8% [5][6] - The article highlights that March, April, and May generally see returns over 1%, with April and May having win percentages above 70% [6][7] Historical Performance - The analysis includes historical performance data from 1928, focusing on years where specific trading days match those of 2026 [8] - The trend indicates an upward movement into late April, followed by a dip in May, and a rally into early August, with another dip in late September [9] - The year typically ends with a sideways to upward trend, particularly strong in October through December [7][9] Volatility Insights - The VIX, or volatility index, shows that volatility starts the year at a median of about 19, decreasing to 15 currently, indicating lower volatility than historical averages [10][11] - Volatility tends to rise into mid-March, dip during summer, and peak in October and November, coinciding with significant market movements [11][12] - A reduction in volatility is observed towards year-end, aligning with a typical year-end rally in stock prices [13]

Market Overview - The three major indices are on a four-session winning streak, with expectations for a potential Santa Claus rally starting in the last five trading days of the year [1][2] - There is a historical concern as the last two years did not see a Santa Claus rally, and this year could break that trend [2] Trading Conditions - The S&P 500 is expected to have a trading range of about 30 to 35 points, with current volatility at approximately 13.7% [3] - A more defensive rotation is observed in the market, with interest rate-sensitive stocks, consumer staples, real estate, and financials leading the way [5] Economic Data - Mortgage applications have decreased by 5% week-over-week, with the 30-year mortgage rate hovering around 6.3% [7][12] - Jobless claims came in at 214,000, better than the expected 224,000, indicating a mixed picture in the jobs market with an unemployment rate of 4.6% [8][10] - The four-week moving average for initial claims is around 216,000 jobs, reflecting some normalization after previous outlier reports [11] Inflation and GDP - Recent economic data has exceeded expectations, contributing to equity gains, with GDP numbers coming in 1% above forecasts [13] - CPI inflation is reported at 2.7% on the headline and 2.6% on core, suggesting that inflation may not be a significant concern for the Fed [21] Commodity Market - Gold and silver have reached all-time highs, indicating a shift towards commodity trading amid geopolitical risks and central bank policies [22][23] - The gold-silver ratio suggests that gold is currently outperforming silver, which may indicate positive market sentiment and economic growth [24][25] Future Outlook - There are expectations for potential fiscal policies around housing in 2026, especially in an election year, which could influence market dynamics [17] - The market is currently pricing in two Fed rate cuts, with the first not expected until June, but there is uncertainty about how the market will react if these cuts are backed out [20]

Market Overview - The S&P 500 experienced a volatile trading day, initially declining by about 1% in overnight futures but ultimately closing higher by approximately 20 basis points [1] - The Nasdaq index was down more than 1.5% at one point, indicating significant nervousness in global markets [1] Options Market Influence - The options market is increasingly influencing the S&P 500's daily price movements, with a notable concentration of activity at the 6,900 strike for options expiring that day [3][4] - The index closed at 6,901, suggesting that options-related flows played a significant role in the intraday price action [4] - Intraday transparency in the options market is limited, making it challenging to determine whether traders are buying or selling calls in real time [5] Volatility Indicators - The VIX index opened around 16 and declined to close near 15, reflecting typical trader behavior of closing out put positions or selling calls [7] - A unique observation was that the VIX decomposition showed a decrease in call skew while put skew increased, indicating that ATM put implied volatility fell faster than OTM put implied volatility [9] Company Performance - Oracle's stock declined following its earnings results, and Broadcom fell approximately 5% after its report, suggesting challenges in the AI chip market compared to other chip products [11]