掉期曲线变动加剧,波动率期限结构扁平化——2019年人民币外汇衍生品市场回顾与展望

FX Swap Curve Experiences Significant Changes and FX Option Volatility Records a Flattening Term Structure---Review and Prospect of RMB FX Derivatives Market in 2019

2019年人民币外汇掉期曲线形态变动非常之大,大方向上保持震荡上行,中美利差的变化是核心影响因素;而人民币期权波动率走势主要受中美贸易战影响,期限结构扁平化。展望2020年,由于中美利差有望震荡走低,但波幅及方向性将明显减弱,掉期市场可能会陷入窄幅盘整;随着中美贸易争端缓解,人民币期权波动率或于上半年底部震荡、下半年上扬。

In 2019,the RMB FX swap curve experienced significant changes in the curve shape,and recorded an upward trend with fluctuations as a whole.The interest rate spread between the US and China was the core influencing factor.The volatility of RMB FX options was mainly affected by the China-US trade war,and the term structure flattened.Looking ahead to 2020,as the China-US spread is expected to go down with fluctuations,while the volatility and market trend may be significantly weakened,the FX swap market may trade sideways.As the China-US trade disputes ease,the volatility of RMB FX options may fluctuate at the bottom in the first half of hte year and go up in the second half of the year。