利率的持续飙升正在重创此前表现稳健的两大关键宏观交易。期权交易员们正押注其中之一能够复苏。
The relentless surge in rates is breaking the back of two key macro trades that had been holding firm. Options traders are betting one will recover.
随着10年期美债收益率攀升至5.3%，30年期美债收益率触及5.4%，黄金价格下跌4%，创下8月第一周以来的最低水平。根据iShares iBoxx高收益公司债券ETF（HYG）的数据，高收益公司债券的跌势已持续五天，触及2025年4月以来的最低点。从周一的期权资金流向来看，交易员认为黄金有反弹的潜力，但对于高收益债券，他们则押注情况可能会进一步恶化。
Gold dropped 4% to the lowest since the first week of August, as the 10-year yield climbed to 5.3% and the 30-year yield touched 5.4%. High-yield corporate bonds extended a five-day rout to the lowest since April 2025, according to the iShares iBoxx High Yield Corporate Bond ETF (HYG) Judging by options flows on Monday, traders think gold has the potential to bounce back. For high-yield bonds, they're betting things could get worse.
Cboe LiveVol的数据显示，SPDR黄金信托（GLD）的看涨期权交易量约为看跌期权的两倍，其中买入的看涨期权超过6.8万份，而看跌期权不足3.2万份。根据Barchart的分析，净交易情绪看涨，金额近280万美元，且有10.5万个“Delta”偏向看涨。
About twice as many calls traded versus puts in the SPDR Gold Shares (GLD) with more than 68,000 calls likely bought, compared to under 32,000 puts, Cboe LiveVol data show. Net trade sentiment was bullish by almost $2.8 million with an imbalance of 105,000 "deltas" leaning bullish, according to Barchart analysis.
尽管交易员在GLD上的看涨期权买卖数量相当，但当天最大的一笔单笔交易是卖出2000份2028年1月到期、行权价为375美元的看跌期权，价值590万美元。此举可能是为了平仓看跌头寸，或是押注该贵金属将在375美元左右找到支撑。今年夏天大部分时间里，GLD的交易区间大致在370至380美元之间。当投资者卖出看跌期权时，他们是在押注证券价格将保持在该行权价之上。作为承担这一风险的交换，他们可以收取期权费。
While traders sold about as many calls as they bought in GLD, the biggest single trade of the day was a seller of 2,000 375-strike puts expiring in January 2028 worth $5.9 million. The person may have been closing out a bearish position or placing a bet the precious metal finds a floor around $375. GLD traded in roughly a 10-point range between 370 and 380 for much of this summer. When investors sell puts, they are making a bet that a security will stay above that puts strike price. In exchange for taking that risk, they collect that put's premium.
黄金和高收益债券与10年期美债收益率均呈现强烈的负相关性——GLD的10天相关系数为负0.8，HYG则为负0.99。然而，高收益债券ETF（HYG）的期权交易表现出更为一边倒的看跌情绪。
Both gold and high-yield bonds are trading with strong negative correlations to the 10-year yield – GLD's 10-day correlation is negative 0.8, HYG's is -0.99, but options trading in the high-yield HYG ETF was more lopsidedly bearish.
Cboe LiveVol的数据显示，周一HYG期权的交易量超过了30天平均水平的2.5倍，看跌期权的交易量是看涨期权的2.5倍以上，买入的看跌期权超过5.2万份，而看涨期权仅略高于1.5万份。
Trading volume in HYG options was more than 2.5 times the 30-day average Monday, with more than 2.5 times as many puts trading as calls and 52,000 puts likely bought, compared to just over 15,000 calls, Cboe LiveVol data show.
根据SpotGamma数据显示，约3500万美元的期权权利金进行了交易，其中3000万美元与看涨期权相关。按成交金额计算，买入最多的前12份合约中有11份是看跌期权；按成交量排名，最活跃的10份合约中有8份是看跌期权。买入最多的合约是行权价78美元、11月20日到期的看跌期权。"高收益债券的市场情绪非常自满，违约风险可能远高于市场预期，" The Arora Report创始人Nigam Arora在电话中表示。"
About $35 million of options premium was exchanged, with $30 million of it tied to calls, SpotGamma data show. Eleven of the top 12 contracts by dollar-amount bought were puts; ranked by volume, puts accounted for 8 of the 10 most-popular contracts.
这些债券很多都是浮动利率，债务明年到期。人们因为收益率而喜欢它们，但利差并不理想，我认为风险回报比并不有利。我不会碰它们。"
The most common contract to purchase was the 78-strike put expiring Nov. 20.
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"Sentiment in high-yield bonds has been very complacent and the risk of defaults is probably much higher than the market anticipates," Nigam Arora, founder of The Arora Report, said by phone. "A lot of these are on variable rates and debt is coming due next year. People have liked them for yield but the spread hasn't been great and I the risk-reward hasn't been favorable. I wouldn't touch them." Choose CNBC as your preferred source on Google and never miss a moment from the most trusted name in business news.