w*******o
发帖数: 6125 | 1 新浪财经讯 北京时间3月15日凌晨消息，高盛集团(GS)周一称，据期权价格显示，美国
股市在4月份以前大幅下跌10%的风险在过去一个月时间里增长了两倍，原因是原油(101
.75,0.59,0.58%)价格的上涨和日本历史上的最大地震对经济复苏进程造成了威胁。
高盛集团的股票衍生品策略分析师克莱格-葛莱格里(Krag Gregory)和约翰-马绍尔
(John Marshall)公布报告称，标普500指数期权显示，交易商正押注于未来一个月时间
里该指数有6%的可能性下跌10%，高于一个月以前2%的可能性。与上个月创下的低点相
比，用于衡量标普500指数期权价格的波动率指数(VIX)已经上涨了39%。
报告指出，纽约原油期货价格已经上涨至29个月以来的最高水平，原因是投资者对
地缘政治状况感到担心，且3月11日在日本仙台沿海发生的里氏8.9级大地震和随后发生
的海啸导致数千人丧生。在这种形势下，交易商看到了更多的“尾部”风险，也就是低
可能性事件导致股票市值缩水10%的可能性上升。
葛莱格里和马绍尔在报告中称：“美国期权市场已经提高了近期内发生‘尾部事件
’的可能性”，“原油价格向经济增长速度放缓的转换现在已经成为一种更大的风险要
素”。与2月15日交易中创下的即日低点相比，纽约原油期货价格已经在3月7日触及每
桶106.95美元的29个月高点，涨幅为28%，原因是市场对原油供应量短缺的担忧情绪有
所增强。
报告还指出，西得克萨斯州中质原油期权显示，油价到今年年底为止将上涨至每桶
125美元以上。据商品期货交易委员会(CFTC)公布的周度交易商持仓 (Commitments of
Traders)报告显示，对冲基金对原油的看涨押注已经连续第三个星期上升，创下历史最
高水平。
葛莱格里和马绍尔指出，原油价格的上涨“可能会给美国股市带来强劲的逆风”，
“从现在看来，油价上涨会在今年晚些时候对美国经济增长所造成的下行风险更加重大
”。报告援引高盛集团美国经济学家詹-哈祖斯(Jan Hatzius)的分析称，油价每上涨10
%就会将未来两年中的美国GDP增长速度平均削减0.2个百分点，4个季度以后所将造成的
最大影响将为削减 0.5个百分点。(金良) | w*******o
发帖数: 6125 | 2 英文原文:
http://www.businessweek.com/news/2011-03-14/risk-of-10-stock-sl
Risk of 10% Stock Slide Tripled in a Month, Goldman Says
March 14, 2011, 6:23 PM EDT
By Jeff Kearns and Cecile Vannucci
(Updates with closing levels in second paragraph.)
March 14 (Bloomberg) -- The risk of a 10 percent U.S. stock slide by April
tripled in a month, options prices show, amid rising oil prices that
threaten the economic recovery and Japan’s biggest earthquake, Goldman
Sachs Group Inc. said.
Standard & Poor’s 500 Index options show that traders are betting that it
has a 6 percent chance of losing 10 percent over the next month, up from a 2
percent probability a month ago, equity derivatives strategists Krag “Buzz
” Gregory and John Marshall wrote in a report yesterday. The VIX, a gauge
of prices for options on the equity benchmark, is up 35 percent from last
month’s low.
Investors are boosting the price of protection as crude oil climbed to a 29-
month high this month amid fighting in Libya and Japan’s 8.9-magnitude
earthquake and subsequent tsunami killed thousands, the New York-based
strategists wrote. Traders see more “tail” risk, or a higher chance that a
lower-probability event could erase a tenth of stock-market value.
“The U.S. options market has increased its likelihood of a near-term ‘tail
event’ dramatically given the uncertainty surrounding the events in the
Middle East and Northern Africa along with the earthquake in Japan,” the
strategists wrote in the note. “The transmission of higher oil to slower
growth is now much more of a risk factor.”
Crude-oil futures jumped 28 percent to a 29-month high of $106.95 a barrel
in New York from their intraday low on Feb. 15 to the peak on March 7 as
concern about supplies increased amid fighting in Libya and threats of
protests in Saudi Arabia.
Oil Options
West Texas Intermediate crude oil options suggest a more than 20 percent
chance that it will end this year above $125, the strategists wrote. Hedge
funds’ bullish oil bets rose to an all-time high for a third straight week,
according to the Commodity Futures Trading Commission’s weekly Commitments
of Traders report.
Higher oil prices “could create strong headwinds for US equities,” the
strategists wrote. “The rise in oil is now emerging as a more meaningful
downside risk to U.S. growth later in the year.”
Each 10 percent gain for crude prices reduces gross domestic product growth
over the next two years by an average of 0.2 percentage points, with a peak
impact of 0.5 percentage points after 4 quarters, the report said, citing
Goldman Sachs U.S. Economist Jan Hatzius. That could reduce growth by as
much as 1 point by late this year or early 2012, according to the report. |
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