譯者 王為
文中黑字部分為原文，藍字部分為譯文，紅字部分為譯者註釋或補充說明
The VIX Futures Curve Is in Backwardation
by Tianyin Cheng
Backwardation is incredibly uncommon in the VIX®futures curve. While the reason behind this term structure is not perfectly understood, the conclusion is clear: long and hold does not work for VIX futures, as the roll cost burns.
美股波動率指數期貨的報價曲線出現貼水是非常罕見的現象。雖然這種期限結構產生的原因並不十分清楚，但結論是明白無疑的：買入美股波動率指數期貨合約並持有一段時間的交易策略是不會奏效的，因為期貨合約的轉倉成本很高。
There are different ways to measure VIX futures backwardation: by using the relationship between the VIX level and the front-month futures, between the first and second month futures, or between points further out on the curve.
有幾個方法可以衡量美股波動率指數期貨的報價水平是否處於貼水狀態：可以比較一下當前的美股波動率指數與近月期貨合約的報價，或比較一下未來第一個交割月份和第二交割月的期貨合約報價，再或者比較一下期貨報價曲線上更遠一些交割月份之間的期貨合約報價。
One way I think highly insightful is to calculate the roll yield by taking the return of the S&P 500®VIX Short-Term Futures ER MCAP Index (ER measures the price return plus the roll return) less the returns of the S&P 500 VIX Short-Term Futures Index (which measures the price return only). Backwardation was implied by a positive result, whereas contango was implied by a negative result. This approach also allows us to decompose the return of the S&P 500 VIX Short-Term Futures ER MCAP Index into the price change of VIX futures (at constant one-month maturity) and roll yield/cost.
有一個方法我認為非常好，就是用S&P 500® VIXShort-Term Futures ER MCAP Index（該指數體現的是標準普爾500指數短期波動率期貨合約報價本身的漲跌幅度加上期貨合約之間的轉倉損益）的波幅減去S&P 500 VIX Short-TermFutures Index （該指數只體現標準普爾500指數短期波動率期貨合約報價本身的漲跌幅度）的波幅。報價曲線處於貼水狀態意味著持續買入該品種的期貨合約會帶來正收益，而升水狀態意味著持續買入該品種的期貨合約會產生虧損。因此我們可以利用這個特點來把S&P 500® VIXShort-Term Futures ER MCAP Index的損益細分成美股波動率指數期貨合約本身的損益和期貨合約之間的轉倉損益。
Backwardation is incredibly uncommon in the VIX futures curve. Since 2005, there have only been four periods where the roll yield was wider than 1%—during the financial crisis, when the U.S. lost its ‘AAA’ credit rating in 2011, in February 2018, and now.
美股波動率指數期貨合約報價曲線的貼水狀態非常罕見。2005年以來，美股波動率指數期貨合約的轉倉損益大於1%的情況只出現過四次，即2008年金融危機期間，2011年美國AAA級主權信用評級被剝奪之後，2018年2月份以及當前。
The implication of this is that when VIX futures are backwardated, exchange-traded products that track the S&P 500 VIX Short-Term Futures ER MCAP Index may earn a positive return from rolling into a cheaper contract before expiry, independently from the futures price change. Thus if the VIX level is unchanged, the index can still provide positive returns through the roll yield. For example, this roll yield averaged 1.2% per day last week (March 9-13, 2020).
美股波動率指數期貨合約的報價呈現貼水狀態，跟蹤S&P 500 VIX Short-TermFutures ER MCAP Index指數走勢的交易所交易基金會因為前一個合約到期後不斷買入下一個低價的合約而獲得滾動換倉的正收益，這個收益與期貨合約報價本身的漲跌無關。因此即使美股波動率指數的水平沒有變化，S&P 500 VIX Short-TermFutures ER MCAP Index本身也會通過獲得滾動換倉的方式獲得正收益。譬如，在2020年3月9日至13日的過去1周裡每天的滾動換倉正收益均可達到1.2%。
We know backwardation is an uncommon occurrence, and Exhibit 3 provides some historical context of how long backwardation has lasted in prior periods.
眾所周知貼水現象不常出現，通過下表3可以看到在歷史上貼水現象出現之後會持續多長時間。
Note the longest streaks in Exhibit 3 were 76 and 63 days and they occurred in 2011 and 2008, respectively. During both periods, roll yield contributed 115% and 45% to the S&P 500 VIX Short-Term Futures ER MCAP Index, respectively.
表3顯示，貼水現象持續時間最長的記錄分別為2011的76天和2018年的63天。這兩個時期S&P 500 VIX Short-Term Futures ER MCAP 指數的總漲幅中滾動換倉所實現的正收益分別佔了115%和45%。
We have been in backwardation for three weeks (as of March 13, 2020), and VIX is approaching an all-time high; if the markets continue to be volatile, we could be in this situation for some time.
到2020年3月13日為止，美股波動率指數期貨合約的報價曲線已經連續三週處於貼水狀態了，美股波動率指數正創下歷史新高，如果美國股市繼續大幅震盪，這一幕還將繼續上演一段時間。
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