“知己知彼，百战不殆！”
老炮们心里都清楚，交易本质就是个资金博弈的游戏。宏观基本面分析往往只是推演长期可能出现的变化，但短期因素更能催生强劲的资金流动。想要摸准市场，应该是先琢磨玩家行为，切不可认为市场会自动按照宏观基本面运行。如果市场头寸极度拥挤，即使宏观发展完全如预期所料，也很难进一步刺激市场，反而容易形成严重的头寸踩踏。
那么如何琢磨市场玩家的行为呢？期权市场给我们提供了一条捷径。因其本质就是对未来不确定风险的概率定价，具有高杠杆和纯粹的零和特征。观察其中的产业客户和金融机构等各类玩家的行为特征，研读期权市场结构变化，可以对交易决策和风险管理起到事半功倍的效果。
同时随着程序化交易的普及，越来越多的期权做市商和金融机构采用Delta-Neutral中性策略，并对其Gamma（和Vega）敞口进行实时风险管控。这就造成了在期权的存续期内要根据各自的风险偏好调整仓位，期权到期后还可能需要移仓。这些行为产生的订单资金流同时也会影响市场价格，使之逐步回归到Delta-Neutral市场均衡水准。
需要特别注意的是，一旦市场上积累的Gamma风险敞口达到高位，就特别容易引起市场的暴涨暴跌。常见的比如负伽玛（negative gamma）效应就是，当基础资产价格波动触发较多期权变成平价状态时，作为期权卖方的机构基于风险审慎，将不得不卖出标的资产来控制整体市场风险，这将反过来进一步压低基础资产价格，导致更多的期权变成平价状态，并带动趋势交易和波动率交易入场，形成恶性循环。
那么，有没有可能量化这种市场情绪呢？答案是肯定的。通过一些简单明了的市场指标来追踪“Smart Money”行踪，可以对基础资产的交易决策和风险管理起到重要的指导作用。并且，使用者不需要有期权基础！
相关指标重要性得到华尔街的普遍认同，比如
- Bloomberg: Two Words that sent the Oil Market Plunging: Negative Gamma. “Gamma” was the reason for the sell off.
- Wall Street Journal: Investors have noticed a force some call a ‘gamma trap,’ and use tools to estimate its size and direction in order to predict market moves.*
- JPM: JP Morgan’s trading guru says stock rebound to continue. The strategist estimated Wednesday’s massive stock sell-off resulted from $75 billion in algorithmic selling. About half of it came from index option delta and gamma hedging, 20% from trend-following strategies, 15% from volatility targeting strategies and the remaining 15% from other products, Kolanovic said.*
- Nomura: ‘dealer gamma’ has normalized in the last week, and as Nomura’s Charlie McElligott notes, we should see a more stable / insulated and less “chase-y” trading environment which can engender further restoration of sentiment.
- CNBC: …some Wall Street analysts are using their estimates of dealers’ gamma exposure to predict the market direction.
欢迎您也一起来体验这个指标对交易决策和风险管理的指导作用！
NOTICE:
This report is not necessary to trade options or understand option delta and gamma to benefit, it can be used as one tool for directional trading and/or portfolio adjustments. But as with any market model, there are no guarantees. This report offers this information for research purposes only. Major news, events, sudden shifts in sentiment, etc. could suddenly render these market indicators irrelevant. Please mind your risk.
