What looks like a safe bet carries a hidden danger
看似安全的赌注带有隐患

Aug 17th 2023 经济学人

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Sod’s law, the axiom that if something can go wrong then it will, is about as British as it gets. But traders around the world have their own version: that markets will move in whatever direction causes the most pain to the most people. This year, they have been vindicated by a soaring stockmarket that few saw coming, in which the biggest winners have been the shares that were already eye-wateringly expensive to begin with. In April fund managers told Bank of America’s monthly survey that “long big tech” was the most faddish trade going, making it an obvious one for the professionals to avoid. Over the next few months shares in the biggest big tech firms duly left the rest of the market in the dust.
索德定律，如果某件事可能出错，那么它就会出错的公理，就像它得到的那样英国。但世界各地的交易员都有自己的版本：市场将朝着给大多数人带来最大痛苦的方向发展。今年，他们被一个飙升的股市所证明，很少有人看到它的到来，其中最大的赢家是那些一开始就已经贵得令人瞠目结舌的股票。今年4月，基金经理在美国银行的月度调查中表示，“做多大型科技公司”是最时髦的交易，这显然是专业人士要避免的交易。在接下来的几个月里，最大的大型科技公司的股票适当地将市场的其他部分抛在了脑后。

Other than simply pay up and pray for the run to keep going, what is a value-conscious investor to do? The pluckiest option—calling the market’s bluff and betting on a crash—has left many of the hedge funds that tried it running for cover. In June and July, say Goldman Sachs’s brokers, such funds abandoned their positions at the fastest pace in years. Those looking on may not thrill at the prospect of recreating their experience. But if you don’t think stocks can rise much more yet can’t stomach the risk of shorting them, logic dictates a third option. You can try to profit from them not moving much at all.
除了简单地付钱并祈祷跑步继续下去之外，一个有价值意识的投资者该怎么做？最勇敢的选择——称市场虚张声势并押注崩盘——让许多试图这样做的对冲基金都在寻求掩护。高盛的经纪人表示，在6月和7月，这些基金以多年来最快的速度放弃了头寸。那些旁观的人可能不会对重现他们经历的前景感到兴奋。但是，如果你不认为股票可以涨得更多，但又无法承受做空它们的风险，那么逻辑决定了第三种选择。您可以尝试从它们中获利，根本不会移动太多。

A growing number of investors are doing just this—or, in industry jargon, selling volatility. The trade-du-jour is the “buy-write” exchange-traded fund (
越来越多的投资者正在这样做——或者用行业术语来说，卖出波动性。交易是“买入-卖出”的交易所交易基金（

In practice, such investors are buying baskets of stocks while selling (or “writing”) call options on them. These are contracts that give the buyer the right (though not the obligation) to buy the stocks for a set price (or “strike price”) in the future. Usually the strike price is set “at the money”, or at whatever level the stocks are trading when the option is written. If they then rise in price, the buyer will exercise the option to purchase them at the below-market value. Conversely, if they fall, the buyer will let the option expire unused, not wanting to pay above-market value for the stocks.
在实践中，这些投资者在购买一篮子股票的同时出售（或“写出”）看涨期权。这些合同赋予买方权利（尽管不是义务）在未来以设定价格（或“执行价格”）购买股票。通常，执行价格是“以价价”设定的，或者在写期权时股票交易的任何水平。如果它们随后价格上涨，买方将行使以低于市场价值购买它们的选择权。相反，如果它们下跌，买方将让期权到期未使用，不想为股票支付高于市场价值的价格。

The original investor, who sold the call option and bought stocks, is betting that share prices stay precisely where they were. That way, they get to pocket the option price (“premium”) without having to sell the stocks for less than they are worth. If prices instead increase, the option seller still keeps the premium, but must forgo all the share-price growth and sell the stocks for their original value. If they fall, the investor takes the hit as the option will not be exercised, meaning they will keep the shares and their losses. This is at least cushioned by the premium they received in the first place.
最初的投资者，谁卖掉看涨期权，买了股票，押注股价正好保持在原位。这样，他们就可以将期权价格（“溢价”）收入囊中，而不必以低于其价值的价格出售股票。如果价格上涨，期权卖方仍保留溢价，但必须放弃所有股价增长，并以原始价值出售股票。如果它们下跌，投资者将受到打击，因为期权不会被行使，这意味着他们将保留股票和损失。这至少被他们最初收到的溢价所缓冲。

To those marketing them, buy-write etfs are more than just a punt on placidity. Global X, a firm that offers 12 such funds, lists their primary goal as “current income”. Viewed in this light they might appear like a dream come true, because regularly selling options can generate a chunky income stream. One of the more popular vehicles is the Global X Nasdaq 100 Covered Call etf, with assets worth $8.2bn. Averaged over the year to June, each month it has collected option premiums worth 3% of assets and made distributions worth 1% to investors. Even in a world of rising interest rates, that is not to be sniffed at. Ten-year Treasuries, by comparison, yield 4.2% a year.
对于那些营销它们的人来说，买入-卖出 ETF 不仅仅是对平静的下注。Global X是一家提供12只此类基金的公司，将其主要目标列为“当前收入”。从这个角度来看，它们可能看起来像是梦想成真，因为定期出售期权可以产生大量收入来源。其中最受欢迎的工具之一是Global X Nasdaq 100 Covered Watch信托ETF，资产价值82亿美元。截至6月的一年中，它平均每个月收取价值3%资产的期权费，并向投资者进行价值1%的分配。即使在利率上升的世界里，这也不容小觑。相比之下，十年期国债的年收益率为4.2%。

Readers who do not believe in free lunches may sense a rather large catch coming. Yet it is not the familiar one applying to bets against market turbulence, which is that years of steady profits can be followed by a sudden, unexpected shock and a total wipeout. A buy-write etf may well fall in value, but in this respect it is no riskier than a corresponding “vanilla” fund that just owns the underlying stocks.
不相信免费午餐的读者可能会感觉到一个相当大的收获即将到来。然而，它不是适用于押注市场动荡的熟悉方法，即多年的稳定利润之后可能会突然出现意外的冲击和彻底的毁灭。买入-卖出ETF的价值很可能会下降，但在这方面，它并不比仅拥有标的股票的相应“香草”基金风险更大。

The real hitch is that while such etfs offer equity-like potential losses, their profits can never exceed the monthly income from selling options. Those profits thus resemble the fixed-income stream generated by a bond. They also up-end the logic for buying stocks in the first place: that a higher risk of losses, compared with bonds, is worth the shot at wild, uncapped returns. The nightmare scenario is that stocks go on a blistering bull run that buy-write investors miss out on, followed by a plunge that hurts them almost as much as everyone else. This year has already had the bull run. If Sod’s law continues to hold, buy-writers should watch out.■
真正的障碍是，虽然此类 ETF 提供类似股票的潜在损失，但它们的利润永远不会超过出售期权的月收入。因此，这些利润类似于债券产生的固定收益流。他们还颠覆了购买股票的逻辑：与债券相比，更高的损失风险值得尝试疯狂的、无上限的回报。噩梦般的情景是，股票进入了一场激烈的牛市，买入投资者错过了，随后是暴跌，对他们的伤害几乎和其他人一样大。今年已经经历了牛市。如果索德定律继续成立，购买作家应该小心。