探討CDS指數選擇權的避險功能——以2017年法國大選為例

Abstract

近年來全球經濟狀況改善，股市不斷上漲、芝加哥期權交易所市場波動率指數（VIX）也慢慢回到低水位；然而隨著景氣循環進入後期、總體經濟風險事件頻傳，找尋適合且有效的避險工具至關重要。 本文評估面臨2017 年法國總統大選這種總體政經風險事件下，握有美國股票部位的投資人能利用哪些避險工具避險，其中包括不同天期的VIX 期貨、VIX 選擇權、以及投資級及高收益級的信用違約交換選擇權等等。 結果顯示對這種短期的總經風險各個產品都有一定的避險效果，唯投資近期到期的VIX期貨避險效果較佳、而投資級信用違約交換選擇權的避險效果亦優於VIX指數選擇權及高收益等級信用違約交換選擇權。

Global economy had recovered in the past few years, leading the stock market to go higher. At the same time, the Volatility Index by CBOE had drifted to record low. Nevertheless, as we were closer to the late cycle, macro risk events were happening more frequently. It was vital to search of the effective hedging products. This article focused on VIX futures, VIX options, and investment grade/high yield CDS index options. We used French President Election in 2017 as an example to evaluate how the hedging products perform during the risk event. We concluded that all of the products provided the hedging function during the event. However, the short-term VIX futures performed better compare to the longer terms, and the investment grade CDS index options performed better than high yield CDS index options and VIX options during the event.