《外汇交易实战图表与交易心理 》 作 者:(新加坡)许强 (美国)Gary Weiss
外汇机构交易书籍 2019-10-17 21:01:41 交流微信号:FX263cn 外汇交易实战图表与交易心理 外汇书籍 外汇电子书 外汇交易实战图表与交易心理txt
Take for example, a simple funding operation at a money center bank. At any given moment the bank may be bidding for funds, lets assume in a base currency of US Dollars at a rate of 2.48%, and simultaneously offering funds at 2.52%. In this example, lets assume that the bank gets taken on its offer at 2.52% meaning it has booked a dollar deposit at 2.52% (or in effect, the trading counterpart has taken out a loan from the bank at 2.52%) . The bank in this case will deposit funds at the location of the other trading counterpart and earn overnight 2.52% for those dollars. To make this transaction profitable for the bank, ideally, the trading operation will now have to source out a loan or an internal source of funds that will cost less than 2.52% for the same period. It is clear in this context, that by using base US dollar rates, the amounts to be earned in this example are maybe a few basis points at best. But, what if the funding desk can borrow in yen, for example, and actually pay 0.0%, against the dollar income of 2.52% ? Obviously, the transaction would now become infinitely more interesting. How ever, by borrowing in Yen, the trading desk would also be effectively putting on a Dollar Yen position, in this case being long dollars and short yen. All things considered, this position
would earn approximately 2.52% per day except that the position would also need to be rolled over, so as to match the physical funding requirements for each day it might be outstanding. The rollover, or the physical delivery of currency in this situation would require that the yen loan proceeds be sold each night so as to get dollars in to pay for the dollar deposit. Here, of course is where the cost side of the equation would come in. As mentioned in the chapter on dollar parity, the cost of this one day rollover should come close to reflecting the rate that would otherwise be earned by being long dollars and short yen or effectively close to 2.52%. Once again however, as might be the case in numerous circumstances, the cost for this operation may not always be exactly as expected. This of course is the baseline idea for funding operations at banks in general. By examining in detail the cross funding differentials of interest rates in multiple currencies, money market operations at banks can be maximized. All of which is consequential to the foreign exchange trader only because it proves the intrinsic valuation theory of currency pairs in general; specifically, that currency relationships are to a very large extent, controlled by interest rate differentials of the currency components in a particular pair.
This concept is also important because it deals directly with the selection of currency pairs that one might view as applicable for any particular strategy when trading foreign ex change in the short to intermediate term. For example, if one is looking for the Yen to increase in value, over time against the Euro, or the Dollar for that matter, it needs to be borne in mind that this increase must be accomplished against a backdrop of constantly deteriorating value. Meaning that each day the position is held, it will lose money even if the price stays the same (which of course reflects the cost of rollovers as mentioned in the example above) .This is also true with virtually any counter currency against the Yen, because its* interest rates are effectively 0.0%.
Whether these known facts are predictive in nature, however, is another idea altogether. Clearly, a trader would need to realize that any long Yen position would need to imply an event change in the future to make the position worthwhile. An event change in this regard could be anything from a regional currency revaluation, to a change (or the likelihood of a change) in internal interest rates. All of which represents a bit of a “ dis connect” for the average trader. Essentially, the risk/reward ratio for being long Yen seems to be weighted negatively, as opposed to the risk/reward ratio of being long another or alternative currency. Which, of course is the key to posi tive carries in general. Trading foreign exchange requires a thought process that looks at the maximization of positive variables over time, as being the only effective gauge for success. Trying to maximize the return characteristics of any particular currency pair should be viewed as a direct corollary to this way of thinking. Also, and admittedly sometimes even counter intuitive, the discipline of comparing relative interest rates of a currency pair over time can actually lead to trading in positions that may not have appeared obvious in the first placeOnce again I ’ 11 draw reference to a speech given in Beijing this past January. The reason I did not find it instructive to be long Euro against the dollar (when asked my opinion by a member of the audience) ,even though I thought the Euro would actually trade higher, was because the trade would have resulted in a negative carry. Or, more specifically, every day the position was held open would have resulted in the long Euro side of the pair earning the equivalent of 2.25% and the short Dollar costing approximately 2.50% . To make matters worse, the environment for interest rates in the US at that time seemed to indicate the that rates would continue to rise in the US, thus further exaggerating this negative structure over time. Tlierefore^ my response to the query, and in fact a specific trade recommendation was to actually put on a trade to go long the Euro versus the Yen (which, at the time was trading at about 133.50) . Within a month of that comment, Dollar/Yen was trading at 105.50, or 3.50 Yen higher, while the Euro was unchanged against the dollar at 1.3100. Euro/Yen, on the other hand was trading at 138.20, a gain of 470 points.
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