本文来自市川新田三丁目
Neither the escalation of the trade war between the US and China nor the intense debate regarding the direction of U.S.monetary policy have had much impact on the prices of copper options–at least not yet.Implied volatility on COMEX High Grade Copper options has rarely been lower(Figure1).Copper options are hardly unique in this regard.While there has been a spike in oil options volatility and a modest rise in the implied volatility of equity index options,most other options markets,including those for gold,silver,currencies and U.S.Treasuries,remain in the doldrums.Like the other markets,the general level of copper optionsappears to be following a cycle>
不管是中美贸易战的升级还是各方围绕着美国货币政策走向的激烈交锋均未对铜期权的定价产生很大影响，至少到目前为止还没有。纽约金属交易所精制铜期权的隐含波动率处于罕见的低位，见图1。在这方面，铜期权的情况并非孤例。在原油期权的隐含波动率水平出现较大幅度的上涨以及美股指数期权的隐含波动率水平出现温和上涨的同时，其他大多数的期权市场，比如黄金、白银、外汇和美国国债等资产的期权市场的隐含波动率水平也处于低迷的状态。像其他的期权市场一样，铜期权市场的波动率整体水平似乎也与美国货币政策的变动周期有关。
Figure1:Copper Options Implied Volatility Remains Near Record Lows.
Before we delve into the copper options markets,however,here is a brief reminder of the economics of copper.
但在深入探究铜期权市场之前，还是先简要回顾一下铜的供求关系吧。Copper’s Supply and Demand Drivers and the Copper Options Paradox
影响铜供求状况的因素以及铜期权定价中的矛盾之处
While the general cost of copper options is closely>
虽然铜期权的综合定价成本与美国的货币政策密切相关，但中国经济的增长状况对铜价的影响更直接。具体来说，像很多大宗商品如其他工业金属、原油和农产品以及新兴市场货币如智利比索一样，铜价的走势也与衡量中国经济增长状况的狭义指标——Li Keqiang指数高度相关，该指数用三个因素衡量中国经济的表现：电力消耗量、铁路货运量和银行贷款增量，见图2。
Figure2:Copper Prices TrackLi KeqiangIndex with a Lag of About One Year.铜价对Li Keqiang指数的反应要晚一年
When Chinese industrial demand growth accelerated in the early2000s,in2009-10and again in2016-17,copper prices soared with a lag of about one year.Likewise,when Chinese growth slowed in2007-08and2011-15,copper prices crashed,with declines lagging by about one year.The good news for copper prices recently has been that Chinese growth hasn’t slowed much as a result of the10%tariffs that Washington slapped on$200billion worth of Chinese goods in May2018.Copper prices,however,have sold off by about10%in the past month after the Administration jacked up those tariffs to25%.China has many ways to offset the negative impact of higher tariffs,some of which might be supportive for copper,such as easier monetary policy,and others which could be detrimental,such as a devaluation of the renminbi(RMB).
在2000年代初期、2009-2010年期间以及2016-2017年期间中国的制造业需求出现了加速增长，在这三次加速增长之后一年左右铜的价格均出现暴涨。同样，在2007-2008年期间以及2011-2015年期间中国经济增速出现放缓，在这两次经济放缓之后约一年铜的价格均出现下跌。近期利好铜价的消息是，在美国于2018年5月份对中国2000亿美元输美商品加征10%关税后，中国经济增速并没有出现多少减速的迹象。但铜价在上个月因受到美国政府计划将中国输美商品的关税税率升至25%的影响而出现幅度约为10%的下跌。中国有很多手段可以抵消加征关税带来的负面影响，其中一些举措有可能利好铜价，比如放松货币政策，还有一些举措有可能利空铜价，比如让人民币汇率贬值。
The reason why China exerts such a strong influence on copper is simple.Each year,40-50%of newly minedand refinedcopper heads to China.Secondly,Chinese demand is critical for absorbing a copper supply that has more than doubled since1994and continues to rise byapproximately5%per year(Figure3).Without continued growth in China,copper prices would likely collapse like they did between2012and2016.Even after its recent correction,copper prices are trading at about30%above their cost of production.This suggests that copper production is likely to increase further in2019and2020and,as such,maintaining steady demand growth in China and elsewhere will be critical if copper prices are to maintain their current levels or move higher.
中国对铜价走势的影响力如此之大的原因很简单。第一，每年有40%-50%的新增铜矿产量以及新增精制铜被输往中国；第二，要想消化1994年以来供应量翻了一番还多并且每年还在以约5%的速度增长的铜，来自中国的需求至关重要，见图3。没有中国持续增长的需求作为支撑，铜价将有可能像2012-2016年期间一样出现崩盘。虽然铜价在近期出现回落，但当前的铜价仍比生产成本高三成左右，这就意味着铜的产量有可能在2019-2020年继续增长，因此如果想让铜价维持在现有水平或继续上行的话，中国侧的需求能否保持稳定增长是个关键。Figure3:The Inexorable Growth of Copper Supply,Which Rose5%From2017to2018.
铜的供应量挡不住，2017-2018年增速为5%
Herein lies copper’s options paradox.If Chinese growth is the main driver of copper prices,why doesn’t the options market react more vigorously to Chinese growth than,say,U.S.monetary policy?Notice how low copper options volatility was back in2013,2014and2015(Figure1)even as Chinese growth rates slowed dramatically and copper prices crashed by70%(Figure2).Neither the subsequent rebound in copper prices nor their recent selloff–both inapparent response to fluctuations in Chinese growth rates–had any lasting impact on the price of copper options,which have averaged at around16%implied volatility–close to where they began2007in the pre-crisis period.
这就是铜期权定价中的矛盾之处了。如果说中国的需求增长是决定铜价走势的关键因素，那么为什么中国经济增长状况对铜期权市场的影响却赶不上美国的货币政策？值得注意的是，即使中国的经济增速在2013、2014和2015年明显放缓，见图1，铜价暴跌70%，见图2，但是铜期权的隐含波动率水平仍很低。在那之后铜价的反弹和近期遭遇的抛售均是对中国经济增长过程中的波动做出的明显反应，但这两种情况均未对铜期权的报价产生任何持续的影响，铜期权报价的隐含波动率的均值为16%左右，与2008年金融危机前的2007年的水平很接近。The Copper Option Volatility Cycle
铜期权隐含波动率的波动周期
While Chinese growth drives the underlying price of copper,U.S.monetary policy exerts a strong influence on the general cost of options for a wide range of markets,including equities,bonds,currencies,precious metals and agricultural products.In the case of the equity market,this cycle has now persisted for three decades.Since at least2007,when QuikStrike’s series on at-the-money(ATM)copper prices begin,copper options have been following this cycle as well(Figure4).Essentially,it can be broken into four parts:
虽然铜价的波动主要受到中国经济增长状况的推动，但美国的货币政策对大多数资产的期权综合报价有很强的影响力，包括股票、债券、外汇、贵金属以及农产品。例如，美国股票市场受美国货币政策的周期性变动影响如今已持续了三十年。至少从2007年以来，也就是QuikStrike公司开始推出铜的平价期权报价以来，铜期权的市场价也开始追随美国货币政策的周期性变动，见图4，其周期性变化可被细分为四个阶段：
Recession:Following a period of tight monetary policy(as evidenced by a flat yield curve),volatility begins to soar.
经济衰退阶段。再经过了一段时期的紧缩货币政策后，这一时期的标志性特征是国债收益率曲线出现平坦化形态，铜期权的的隐含波动率水平开始大涨；
Early recovery:in response to central bank easing,the yield curve steepens and the economy begins to recover but implied volatility on options remains expensive as confidence takes time to rebuild.
早期复苏阶段。作为对央行放松货币政策的回应，国债收益率曲线走向陡峭化，经济开始复苏，但期权市场的隐含波动率水平仍处于高位，因为市场信心尚需一段时间才能恢复；
Mid-expansion:low average implied volatility and steep yield curves,which begin to flatten as the central bank begins to tighten policy.
扩张阶段的中期。期权的隐含波动率的平均水平处于低位，仍处于陡峭状态的国债收益率曲线开始走向平坦化，因央行开始紧缩货币政策；
Late expansion:tight monetary policy as evidenced by a flat yield curve and still low implied volatility,which begins to transition to a higher volatility state as the central bank drains funds from the markets.
经济扩张的尾声。紧缩的货币政策带来的是国债收益率曲线的平坦化以及仍处于低位的隐含波动率水平，但随着央行从市场上抽走资金，期权的隐含波动率水平开始从低向高。
Figure4:Copper Options Follow a Similar Cycle to Stocks,Bonds and Gold.
铜价也有类似于美股、美国国债和金价的周期性变化
While copper demand may be dominated by China,it’s priced in U.S.dollars,like nearly all other commodities.This means that Fed monetary policy wields a strong influence on liquidity conditions in various markets that is vastly larger than the>
虽然铜的需求可能主要来自中国，但铜是以美元标价的，这一点与其他大多数大宗商品几乎一致。这就说明，美联储的货币政策对各类资产市场的流动性施加的强影响力要远超美国经济体量本身所应发挥的作用。即使是到了今天，全球贸易中的大约六成仍以美元进行计价，其他部分几乎全以欧元计价，只有很少一部分国际贸易是以人民币进行计价。
Outlook
展望
The outlook for copper depends a great deal on China.If China can maintain output growth at a fast pace,copper may survive the trade war without a scratch.This depends,however,in China’s willingness and ability to ease and fiscal policy without devaluing RMB too severely.
铜价的未来在很大程度上得看中国。如果中国仍能保持快速的经济增长势头，铜价应能在贸易战中毫发无损。但这得看中国方面是否有意缓解贸易僵局以及是否有能力在不需要大幅度贬值人民币的前提下推出得力的财政政策。
For copper options,the greatest threat may not be China but rather the Fed.If the Fed maintains a tight monetary policy,that may give rise to a widening of credit spreads and a general rise in volatility across markets,including and most likely,copper.On the other hand,if the Fed eases,as is now widely expected by the short-term interest rate market,it may keep volatility containedand U.S.economic expansion going for a while.
对于铜的期权来说，最大的威胁可能并不是中国而是来自美联储。如果美联储继续维持紧缩的货币政策，将导致美国的信用利差水平走阔以及各类资产的期权隐含波动率水平整体出现上扬，其中铜期权的波动率也包括在内，同时也最有可能出现上扬。另一方面，如果美联储放松货币政策，就像当前美国短期利率市场所预期的一样，那么铜期权的波动率水平将受到压制，美国经济的增长势头将再持续一段时间。
Bottom Line
文中要点
Copper options implied volatility is trading near record lows.铜期权市场的隐含波动率水平接近历史最低；
The price of copper depends a great deal on Chinese growth.
铜价走势在很大程度上受中国经济增长的影响；
Options prices for copper however,follow a cycle with U.S.monetary policy.
但是铜期权的价格走势受美国货币政策变动的周期性影响；
Tight U.S.monetary policy could translate into much higher copper implied volatility.
美国紧缩货币政策将有可能导致铜期权的隐含波动率水平大幅上行；
Fed easing,by contrast,could keep a lid on copper options prices.
与此相反的是，如果美联储放松货币政策，有可能会抑制铜期权的隐含波动率水平 |
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