掉期曲线全线贴水期权波动率“微笑”不再——2018年人民币外汇衍生品市场回顾及展望

FX Swap Curve at Discounts across the Line and Options"Volatility Smile"Disappeared---Review and Outlook of RMB FX Derivatives Market in 2018

2018年,受贸易战爆发、中美货币政策分道扬镳的影响,中美货币资金利差不断收窄直至倒挂,人民币外汇掉期曲线转为全线贴水,交易逻辑、买卖主体发生转变,呈现出期限利差大幅收窄、波动加大、趋势性增强等特征。人民币外汇期权波动率亦先涨后跌再转涨,波动率“微笑”不再。展望未来,掉期点有进一步回落的可能,人民币期权波动率曲面也可能回归微笑形态。

In 2018,under the impact of the outbreak of the trade war and the divergence of monetary policies in the US and China,the interest rate spread between the US and China continued to narrow down and even became inverted,the RMB FX swaps were at discounts across the swap curve,and the trading logic and trading entities were changed,featured by shrinking term spreads,increasing volatility and strengthening tendency.The volatility of RMB FX options also experienced a reversed V-shaped movement and then it rose again,and the“volatility smile”disappeared.Looking into the future,the swap points may fall further,and the RMB option volatility curve may return to“smile”.