1.pngUsually when “contango” comes up in a markets story, one reaction might be “Huh?” while another might be “Where’s my oil tanker?” That’s because contango and its sister term, backwardation, are used most often in the context of futures markets for commodities. But they can pop up in any derivatives market and during this week’s turmoil, volatility futures have, unusually and perhaps alarmingly, slipped from contango into backwardation. Here’s how to understand what that means and why traders care.一般来说市场报道中出现“期货溢价”时,人们第一反应很可能是“说的啥?”另一种反应可能是“油轮到哪了?”因为期货溢价和意义相似的术语——现货溢价都经常用在大宗商品期货市场中。但有时也会在其他衍生品市场中出现,在不久前的市场动荡中,波动性期货通常已经从期货溢价变成现货溢价,有点不正常,甚至有些危险迹象。以下是术语解释,以及为何会受到交易员关注。1. What are contango and backwardation?1.期货溢价和现货溢价是什么意思?Names for the curve structures mapping traders’ guesses about what a given contract will be worth in the future. Contango means upward sloping; backwardation, downward. In the oil markets, that means that if traders will pay more to lock in a shipment at a given price several months away than they would for delivery next month, the market’s in contango.不同的交易曲线名称代表了交易员对某合约未来价值的不同判断。期货溢价意思是预期上涨,现货溢价则是预期下降。在原油市场实操中,如果交易员将以指定价格买入数月之后交付的货物,且该指定价格高于下月交付的货物,那么市场上就存在期货溢价。2. What does that mean for volatility?2.波动性是什么意思?The Cboe Volatility Index, or VIX, as it’s known, is compiled based on the current state of trading in options — contracts giving the right to buy or sell securities at specified prices in certain conditions. Traders often use these derivatives to hedge against market fluctuations. The VIX uses options prices — the amounts traders are willing to pay to be prepared for different outcomes — to calculate what’s called the implied volatility for the S&P 500 Index.芝加哥期权交易所波动指数,简称VIX根据现时期权交易情况编制,期权是指在一定条件下按照指定价格买入或卖出证券的权利。交易员通常用这些衍生品对冲市场波动。VIX采用期权价格,即交易员为不同的市场状况愿意支付的对冲价格计算标普500指数隐含波动率。3. Where is the VIX curve usually?3.VIX曲线通常是什么情况?In contango. That’s because projections about the outlook for the S&P, like for the weather, normally become more uncertain the further into the future one looks.通常是期货溢价。因为对未来标普指数的预期,就像对天气的预期一样,通常研究越深觉得不确定性越多。4. What’s happening now?4. 现在是什么情况?The entire VIX futures curve is in backwardation. That’s a signal that investors expect more volatility in the near-term. Right now, shorter-term contracts are more expensive than longer ones.整个VIX期货曲线处在现货溢价状态。这意味着投资者认为近期内波动性增加。现在短期合约比远期合约价格高。5. What does that mean?5. 现状意味着什么?That market participants are preoccupied with the risk that’s right in front of their faces. That’s shown no signs of abating, with stocks on track for their worst week since 2011 as the spread between short and longer-term contracts became increasingly negative. Any narrowing of the gap, let alone a return to contango, would be a sign that conditions are normalizing.普遍市场预期是风险已经来临。而且预期没有削弱的迹象,股市堪称2011年以来最惨一周,短期合约与长期合约之间的利差越发收窄。随着利差压缩,回归期货溢价越发困难,也说明波动性增大将常态化。6. Where do those terms come from?6.这些术语从哪来的?That’s hard to say. But they’ve been around for a while. In Gilbert and Sullivan’s penultimate opera, “Utopia, Limited,” in 1893, a corporate shill is introduced with this: “A Company Promoter this with special education/Which teaches what Contango means and also Backwardation.”很难说。这些名词都用了很久。在1893年吉尔伯特和沙利文倒数第二部歌剧《乌托邦有限公司》中,一位公司骗子就介绍说:“要推广公司就要专门学/不仅要学期货溢价还要学现货溢价。”7. And what was that about oil tankers?7.关于油轮如何操作?Remember how that futures price curve is sloping upward in contango? If the oil traders are right, they can make money by buying oil at today’s spot price, selling a futures contract for delivery at the higher price expected in the future and storing the oil in the meantime. After oil prices crashed with the financial crisis of 2008, investors put 90 million barrels of crude into floating storage.还记得期货溢价里期货价格曲线向上走么?如果原油交易员猜对了,就可以按照当前指定价格买入原油,卖出未来按更高价格交付的原油期货合约,同时囤积原油。2008年金融危机期间,原油价格雪崩,投资者曾将9000万桶原油转为浮动存储。