在波动中穿越不确定性——2020年上半年外汇衍生品市场回顾与展望  

PassingThrough Uncertainties amidVolatility--Foreign Exchange Derivatives Market Review in H12020 and Outlook

作　　者：邵翔 

机构地区：[1]兴业研究

出　　处：《中国货币市场》2020年第7期37-39,共3页China Money

摘　　要：文章回顾了2020年上半年主要人民币外汇衍生品市场的表现。其中,掉期市场一波四折;期权虽双向波动,但表现更稳定;境内外流动性差异主导了掉期价差的变化,而境内外期权波动率价差的变化则呈现出事件冲击的特点;期货方面,新加坡交易所人民币期货交易脱颖而出。展望后市,掉期点在年内大概率将维持在高点,需要警惕大选后中美关系的变化对期权市场的冲击。The article reviews the performance of major RMB FX derivatives markets in H12020.The swap market was rather twisted;options performed more steadily while fluctuated in both directions;the difference in domestic and foreign liquidity dominated the change in swap spreads,while the spread between domestic and foreign options volatility showed the event-shocking characteristics;RMB futures traded at the Singapore Exchange stood out.Looking forward,swap points will probably remain at a high level within the year.We need to be alert to the impact of changes in post-election Sino-US relations on the options market.

关 键 词：期货交易 双向波动 掉期 期权市场 新加坡交易所 外汇衍生品市场 价差 中美关系 

分 类 号：F832.6[经济管理—金融学]