美国波动率指数期货的报价曲线处于贴水状态

[h1]译者王为
[/h1]文中黑字部分为原文，蓝字部分为译文，红字部分为译者注释或补充说明The vix Futures Curve Is in Backwardationby Tianyin Cheng

Backwardation is incredibly uncommon in the VIX[sup][/sup] futures
curve. While the reason behind this term structure is not perfectly
understood, the conclusion is clear: long and hold does not work for VIX
futures, as the roll cost burns.
美股波动率指数期货的报价曲线出现贴水是非常罕见的现象。虽然这种期限结构产生的原因并不十分清楚，但结论是明白无疑的：买入美股波动率指数期货合约并持有一段时间的交易策略是不会奏效的，因为期货合约的转仓成本很高。

There are different ways to measure VIX futures backwardation: by
using the relationship between the VIX level and the front-month
futures, between the first and second month futures, or between points
further out on the curve.
有几个方法可以衡量美股波动率指数期货的报价水平是否处于贴水状态：可以比较一下当前的美股波动率指数与近月期货合约的报价，或比较一下未来第一个交割月份和第二交割月的期货合约报价，再或者比较一下期货报价曲线上更远一些交割月份之间的期货合约报价。

One way I think highly insightful is to calculate the roll yield by taking the return of the S&P 500[sup][/sup] VIX Short-Term Futures ER MCAP Index (ER measures the price return plus the roll return) less the returns of the S&P 500 VIX Short-Term Futures Index
(which measures the price return only). Backwardation was implied by a
positive result, whereas contango was implied by a negative result. This
approach also allows us to decompose the return of the S&P 500 VIX
Short-Term Futures ER MCAP Index into the price change of VIX futures
(at constant one-month maturity) and roll yield/cost.
有一个方法我认为非常好，就是用S&P 500 VIXShort-Term Futures ER MCAP Index（该指数体现的是标准普尔500指数短期波动率期货合约报价本身的涨跌幅度加上期货合约之间的转仓损益）的波幅减去S&P 500 VIX Short-TermFutures Index （该指数只体现标准普尔500指数短期波动率期货合约报价本身的涨跌幅度）的波幅。报价曲线处于贴水状态意味着持续买入该品种的期货合约会带来正收益，而升水状态意味着持续买入该品种的期货合约会产生亏损。因此我们可以利用这个特点来把S&P 500 VIXShort-Term Futures ER MCAP Index的损益细分成美股波动率指数期货合约本身的损益和期货合约之间的转仓损益。
Backwardation is incredibly uncommon in the VIX futures curve. Since
2005, there have only been four periods where the roll yield was wider
than 1%—during the financial crisis, when the U.S. lost its ‘AAA’ credit
rating in 2011, in February 2018, and now.
美股波动率指数期货合约报价曲线的贴水状态非常罕见。2005年以来，美股波动率指数期货合约的转仓损益大于1%的情况只出现过四次，即2008年金融危机期间，2011年美国AAA级主权信用评级被剥夺之后，2018年2月份以及当前。

The implication of this is that when VIX futures are backwardated,
exchange-traded products that track the S&P 500 VIX Short-Term
Futures ER MCAP Index may earn a positive return from rolling into a
cheaper contract before expiry,independently from the futures price change.
Thus if the VIX level is unchanged, the index can still provide
positive returns through the roll yield. For example, this roll yield
averaged 1.2% per day last week (March 9-13, 2020).
美股波动率指数期货合约的报价呈现贴水状态，跟踪S&P 500 VIX Short-TermFutures ER MCAP Index指数走势的交易所交易基金会因为前一个合约到期后不断买入下一个低价的合约而获得滚动换仓的正收益，这个收益与期货合约报价本身的涨跌无关。因此即使美股波动率指数的水平没有变化，S&P 500 VIX Short-TermFutures ER MCAP Index本身也会通过获得滚动换仓的方式获得正收益。譬如，在2020年3月9日至13日的过去1周里每天的滚动换仓正收益均可达到1.2%。
We know backwardation is an uncommon occurrence, and Exhibit 3
provides some historical context of how long backwardation has lasted in
prior periods.
众所周知贴水现象不常出现，通过下表3可以看到在历史上贴水现象出现之后会持续多长时间。

Note the longest streaks in Exhibit 3 were 76 and 63 days and they
occurred in 2011 and 2008, respectively. During both periods, roll yield
contributed 115% and 45% to the S&P 500 VIX Short-Term Futures ER
MCAP Index, respectively.
表3显示，贴水现象持续时间最长的记录分别为2011的76天和2018年的63天。这两个时期S&P 500 VIX Short-Term Futures ER MCAP 指数的总涨幅中滚动换仓所实现的正收益分别占了115%和45%。

We have been in backwardation for three weeks (as of March 13, 2020),
and VIX is approaching an all-time high; if the markets continue to be
volatile, we could be in this situation for some time.
到2020年3月13日为止，美股波动率指数期货合约的报价曲线已经连续三周处于贴水状态了，美股波动率指数正创下历史新高，如果美国股市继续大幅震荡，这一幕还将继续上演一段时间。