掉期曲线陡峭化加剧,期权避险作用突出--人民币外汇衍生品市场回顾与展望

FX Swap Curve Steepens and FX Options Play an Important Role in Risk Hedging --FX Derivatives Market Review and Outlook

文章回顾分析指出,2019年上半年,中美利差走势及长期限套保交易需求引导境内美元人民币掉期价格走势,而外汇期权市场贬值预期已形成,市场积极运用期权来对冲特定时点风险,未来人民币双向波动或将进一步扩大,境内掉期曲线和人民币外汇期权隐含波动率均存在上行空间。

The article reviews and analyzes China’s FX derivatives market in the first half of 2019, and points out that the China-US interest rate spread and the long-term hedging demands drove the USD/CNY swap prices whereas the depreciation expectation in the FX options market grew. The market participants use FX options to hedge risks at particular points. In the future, the two-way fluctuation of the RMB may further expand, and the FX swap curve and the implied volatility of RMB FX options may have space to rise.