저자: MarkSebastian · 외국인
요약 보기
결론: 브리지워터의 '시장 폭락 베팅' 보도는 잘못되었으며, 실제로는 상승에 베팅하면서 하방 위험을 헤지한 것이라는 설명. [보도 내용 정정] 월스트리트저널이 브리지워터가 15억 달러 규모로 시장 하락에 베팅했다고 보도했으나, 발표 전 자문 과정에서 이 프레임이 부정확하다고 지적했고 레이 달리오가 이를 사실상 확인했다고 설명. [옵션 포지션 예시 - SPY] 현재 SPY 약 313.55달러 가정, 3월 만기 275 풋 10계약 롱 포지션 예시. 지수가 하락할수록 수익이 커지는 구조. [헤지 구조] 같은 수량의 SPY 주식을 롱 보유하면 하락 시 손실이 상쇄되어, 두 포지션 결합 시 하락 손실이 줄어듦. [변동성 효과] 하락 시 VIX 상승으로 내재변동성이 올라 풋 가치가 추가 상승, 손실 완충 효과가 더 커짐. [실제 운용 논리] 하락 시 풋을 매도해 약 7만 3천 달러 수익을 실현하는 식으로 하방을 방어할 수 있음. 이는 시장 하락 베팅이 아니라 상승을 기대하면서 꼬리 위험을 헤지하는 전략. [손익 계산 요약] 지수가 20% 상승(약 370)하면 이 포지션은 약 8만 5천 달러 이익, 20% 하락(약 250)하면 약 5만 9천 달러 손실로 제시되어, 여전히 상승을 선호하는 구조라고 주장. [결론] 사impl 최고점 부근에서 헤지 없이 운용하는 것은 무책임하다는 취지. 전체적으로 시장 상승에 베팅하고 있다는 해석. [출연자 및 기타] 영상은 교육 목적이며 투자 조언이 아니라고 고지. 영상 말미에 블랙프라이데이 할인 판매 홍보 포함.
다듬은 글
Hi there, it's Mark Sebastian, the founder of Option Pit, and this is the Option FAQ. Reminder: this is for educational purposes only and should be considered as such. Options carry some risk.
Starting Thursday, we have our big Black Friday sale. Everything in our store will be half off, which you can find in our courses. Then on Small Business Saturday, we'll have an extra special deal on our Gold membership, with very limited supply at that special price. On Monday, we'll offer even fewer spots on our Platinum level at a crazy inexpensive price. So check things out, and please like and subscribe to this YouTube channel, share it, leave a comment, and ask me questions. I'll answer them.
Today I want to talk about this article from The Wall Street Journal on Ray Dalio and Bridgewater making a one-and-a-half-billion-dollar bet on options. Interestingly, before this article was published, I was asked to consult on a few factual points they were writing, just to make sure everything was correct. One thing I told them was that the way they presented it, as an options bet on a falling market, is really not correct. I explained why. Then Ray Dalio came out and basically confirmed my suspicions.
So today I'll explain what Ray Dalio is actually doing and why the Wall Street Journal's piece on Bridgewater is incorrect.
This is thinkorswim. Charles Schwab just blocked it this week. I'm going to show a very general idea, obviously a much less expensive version of what the Bridgewater position looks like.
This is long the March 275 puts on SPY. As we're recording, SPY is at about 313.55. You can see the P&L of this position here. I'm long ten of the 275 puts, so if the market drops, this position makes a lot of money. The sooner it drops, the more I make, and the quicker I make dollars. At 250, which is about a 20% drop in SPY, my ten-lot of puts would be up about 26,000 dollars today, or 22,000 dollars at March expiration. I won't factor in any volatility changes; let's keep things simple.
That's how the Wall Street Journal reported the position. The issue is that Bridgewater is not naked on these puts. They have an offsetting position, which, again simplified, is long SPY. Long SPY at 313: if it drops to 250, I'm losing about 95,000 dollars relative to where I am now, which is flat. Very simple. If I'm long 1,500 shares and SPY loses a point, I lose 1,500 dollars. Down 20%, I'd lose about 100,000 dollars on 1,500 shares. That makes sense.
Now, what if I combine these two positions? Look at what happens to the trade. At 250, instead of being down 95,000, I'm only down 69,000. As it drops further, I lose less and less. At 200, I'm only down 97,000, whereas the stock alone would be down about 175,000 at 200.
There's an additional component: volatility. If you're somewhat familiar with the VIX, you know that if the market drops 20%, the VIX goes high. Options are sensitive to increases in volatility, so when the VIX goes up, long options generally make money. Say the VIX goes from 11, where it is, to 30. That raises implied volatility about 20 points. Look at 250 again. If I were naked, I'd be losing 95,000. With the hedge, I'm only losing 59,000 instead of 69,000. So the position is actually doing better.
What's the point of all this? By having this hedge on, if he thinks the market is about to take that dive, he can then sell the option position. I'd create an opposite order, which I won't analyze in detail, and sell it at about 75 dollars. Now at 200 and 25, I'm down about 60,000 and I'm naked long stock again, but I've pocketed 73,000 dollars from selling the option. Essentially, I've hedged off much of my downside risk. I can then choose to take new exposure in the market, or if I'm that terrified, buy more options. That's the basics of what he's doing.
The headline you read in the Wall Street Journal, that the market is going to fall, is incorrect. What it really shows is that he's hedged. Here's the important part to remember. If the S&P rises 20%, from 313 to about 370, he makes 85,000 dollars on this position. If it drops 20%, to 250, he loses 59,000 dollars on this position. So he still wants the market to go up. He's just protecting himself and his investors in case the market does fall. With the S&P at an all-time high, it would be kind of silly, and irresponsible for a good fund manager, not to set up a hedge.
That's the fundamental eight-minute rundown of what Bridgewater is trying to do, and why Ray Dalio's statement is right: as a whole, we are not making a bet on a short market. We're making a bet on the market going up.
There you have it, folks. Again, please like, subscribe, and ask questions on this YouTube channel. Make sure you go to Option Pit on Thursday and Friday for our Black Friday specials. I look forward to talking with you soon. Call us at 888-TRADE-01 or email me at [email protected] with questions. Have a great day.
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