外汇市场低波动再现

FX Market Once Again Showing a Low Volatility

2017年以来全球外汇市场逐渐恢复平静,市场波动性也开始降低;今年上半年,波动率跌破前期支撑位后加速下滑。文章从尾部风险、实际和隐含波动率的相互影响和套息交易等方面分析了外汇市场波动不断减少的原因。预计未来一两年,可能会发生风险事件打破当前外汇市场的低波动状况。一旦有黑天鹅事件发生,波动可能瞬间加大,波动率也会大幅上行。

Since 2017,the global FX market has gradually recovered,and the market volatility has begun to decrease.In the firsthalf of this year,the volatility fell through the support level and went down at an accelerated speed.The article analyzesthe reasons behind the continuous decline of FX market volatility from the aspects of the tail risk,the interactionbetween actual and implied volatilities and the carry trades.It is expected that in the next year or two,risk events mayoccur,which may break the current low volatility in the FX market.Once a black swan event occurs,the fluctuation mayincrease instantaneously,and the volatility will go up signi ficantly.