keatwong
2021-09-29
[微笑]
QQQ: Market-Implied Outlook To Early 2022<blockquote>QQQ：2022 年初市场隐含展望</blockquote>
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The all-time high close for QQQ was $382.11 on September 7, 2021. At the current price of $360.81, QQQ is 54% above the pre-COVID 2020 high close of $234.64 on February 14, 2020. The trailing total returns for QQQ over longer periods are very high. The 3- and 5-year annualized total returns are 26.76% per year and 26.59% per year, respectively.</p><p><blockquote>Invesco QQQ ETF（纳斯达克股票代码：QQQ）处于一个有趣的位置。2021 年 9 月 7 日，QQQ 的历史最高收盘价为 382.11 美元。以目前 360.81 美元的价格计算，QQQ 比 2020 年 2 月 14 日新冠疫情前 2020 年收盘价 234.64 美元高出 54%。QQQ在较长时间内的追踪总回报非常高。3年期和5年期年化总回报率分别为每年26.76%和26.59%。</blockquote></p><p> <p class=\"t-img-caption\"><img src=\"https://static.tigerbbs.com/5866620d906e1fdbbbb095b7d343a3fa\" tg-width=\"1280\" tg-height=\"139\" width=\"100%\" height=\"auto\"><span>Trailing total returns for QQQ (Source: Morningstar)</span></p><p><blockquote><p class=\"t-img-caption\"><span>QQQ 的追踪总回报（来源：晨星）</span></p></blockquote></p><p> QQQ, a growth-oriented index, has benefitted from several major trends over the past decade. First,growth stocks have absolutely dominated value stocks. Second, technological innovation is changing the world in dramatic ways, making the prospects for many names in the QQQ look like long-term winners. Third,low and falling interest rates and bond yields over the past decade (and longer) have provided a major tailwind for growth stocks.</p><p><blockquote>QQQ是一个以增长为导向的指数，在过去十年中受益于几个主要趋势。一是成长股绝对主导价值股。其次，技术创新正在以戏剧性的方式改变世界，使得QQQ中许多名字的前景看起来像是长期赢家。第三，过去十年（甚至更长时间）的低利率和债券收益率和下降为成长型股票提供了主要的推动力。</blockquote></p><p> The value of a stock represents the net present value (NPV) of projected future earnings. The NPV is sensitive to the discount rate applied to those future earnings and the discount rate is determined by interest rates (low interest rates equate to low discount rates and vice versa). The further earnings are expected to occur in the future, the more sensitive a stock’s valuation is to interest rates. In effect, growth stocks have longer duration than value stocks, so growth stocks are more sensitive to interest rates. Higher P/E ratios can be justified when interest rates are low, for the same reasons.</p><p><blockquote>股票的价值代表预计未来收益的净现值（NPV）。净现值对应用于该等未来收益的贴现率敏感，贴现率由利率决定（低利率等于低贴现率，反之亦然）。预计未来会有更多收益，股票的估值对利率就越敏感。实际上，成长型股票的久期比价值型股票长，因此成长型股票对利率更敏感。出于同样的原因，当利率较低时，较高的市盈率是合理的。</blockquote></p><p> The market is currently struggling with expectations on rates and bond yields. The Fed is signaling increasing concern about inflation, which is driving up bond yields. QQQ has been declining, as expected.</p><p><blockquote>市场目前正在努力应对对利率和债券收益率的预期。美联储发出对通胀日益担忧的信号，这正在推高债券收益率。正如预期的那样，QQQ一直在下降。</blockquote></p><p> I closely monitor the prices of options on indexes in managing my portfolio. The price of an option represents the market’s consensus estimate for the probability that the price of the underlying index (QQQ, in this case) will rise above (call option) or fall below (put option) a specific level (the strike price) between now and when the option expires. By analyzing calls and puts at a range of strike prices and a common expiration date, it is possible to calculate a probabilistic outlook for the underlying security that reconciles the options prices. This is the market-implied outlook. For those who are unfamiliar with the concept, I have written an overview post, including links to the relevant financial literature.</p><p><blockquote>在管理我的投资组合时，我密切关注指数期权的价格。期权价格代表市场对标的指数（在本例中为 QQQ）价格从现在到期权到期日升至特定水平（执行价格）以上（看涨期权期权）或跌至特定水平（执行价格）以下（看跌期权）的概率的一致估计。通过分析一系列执行价格和共同到期日的评级和看跌期权，可以计算出基础证券的概率前景，使期权价格一致。这是市场隐含的前景。对于那些不熟悉这个概念的人，我写了一篇概述文章，包括相关金融文献的链接。</blockquote></p><p> When I calculated the 12-month market-implied outlook in January 2021, the results indicated a bullish view for QQQ. The probabilities of positive returns were consistently higher than for negative returns. In early March 2021, I compared the market-implied outlooks for major equity asset classes, and I got a bullish outlook for QQQ, but I also found that the S&P 500 offered a more favorable risk-return outlook to early 2022 than QQQ.</p><p><blockquote>当我在 2021 年 1 月计算 12 个月市场隐含展望时，结果表明对 QQQ 的看涨前景。正回报的概率始终高于负回报。2021年3月初，我比较了主要股票资产类别的市场隐含前景，我对QQQ持乐观态度，但我也发现标普500对2022年初的风险回报前景比QQQ更有利。</blockquote></p><p> For the YTD, QQQ has a total return of 18.46% and SPY has returned 19.56%. The market-implied outlooks for developed international stocks (calculated using options on EFA), emerging markets (using options on EEM), and small cap stocks (using options on IWM) were less favorable than those for QQQ and SPY. EFA, EEM, and IWM have YTD total returns of 11.5%,-0.65%, and 16.24%, respectively.</p><p><blockquote>年初至今，QQQ的总回报率为18.46%，SPDR标普500指数ETF的回报率为19.56%。发达国际股票（使用EFA期权计算）、新兴市场（使用EEM期权）和小盘股（使用IWM期权）的市场隐含前景不如QQQ和SPDR标普500指数ETF有利。EFA、EEM 和 IWM 的年初至今总回报率分别为 11.5%、-0.65% 和 16.24%。</blockquote></p><p> With the increasing concerns about interest rates, and the QQQ having lost some momentum since reaching its all-time high, I have recalculated the market-implied outlook for QQQ.</p><p><blockquote>随着对利率的担忧加剧，以及QQQ自达到历史高点以来失去了一些动力，我重新计算了QQQ的市场隐含前景。</blockquote></p><p> <b>Market-Implied Outlook for QQQ</b></p><p><blockquote><b>QQQ 的市场隐含前景</b></blockquote></p><p></p><p> I have analyzed call and put options on QQQ at a range of strike prices, all expiring on January 21, 2022, to generate the market-implied outlook for the next 3.76 months (from now until that expiration date). I have also analyzed options expiring on March 18, 2022 to generate the market-implied outlook for the next 5.6 months. I have chosen these two expiration dates to give a view into early 2022 and to get a sense of whether the outlook gets more or less favorable as we move through the first quarter.</p><p><blockquote>我以一系列执行价格分析了 QQQ 上的看涨期权和看跌期权，所有执行价格均于 2022 年 1 月 21 日到期，以生成未来 3.76 个月（从现在到该到期日）的市场隐含前景。我还分析了 2022 年 3 月 18 日到期的期权，以生成未来 5.6 个月的市场隐含展望。我选择这两个到期日是为了展望 2022 年初，并了解随着第一季度的到来，前景是更有利还是更不利。</blockquote></p><p> A key metric for the market-implied outlook is to see how closely the theoretical prices of options, as calculated from the market-implied outlook, matches the market prices of those options. The goal in calculating the market-implied outlook is to minimize the differences. For both expiration dates, the average difference between the theoretical and market prices of the options is within 0.2% of the market prices of the options. This is a very good agreement and adds confidence in the market-implied outlook.</p><p><blockquote>市场隐含前景的一个关键指标是查看根据市场隐含前景计算的期权理论价格与这些期权的市场价格的匹配程度。计算市场隐含前景的目标是最小化差异。就两个到期日而言，购股权的理论价格与市价之间的平均差额均在购股权市价的0.2%以内。这是一个非常好的协议，增加了对市场隐含前景的信心。</blockquote></p><p> The standard presentation of the market-implied outlook is in the form of a probability distribution of price return, with probability on the vertical axis and price return on the horizontal.</p><p><blockquote>市场隐含前景的标准表示形式是价格回报的概率分布，纵轴为概率，横轴为价格回报。</blockquote></p><p> <p class=\"t-img-caption\"><img src=\"https://static.tigerbbs.com/7973b66311844822a875f58a6f3230bd\" tg-width=\"618\" tg-height=\"356\" width=\"100%\" height=\"auto\"><span>Market-implied price return probabilities for QQQ for the 3.76-month period from now until January 21, 2022 (Source: Author’s calculations using options quotes from ETrade)</span></p><p><blockquote><p class=\"t-img-caption\"><span>从现在到 2022 年 1 月 21 日 3.76 个月期间 QQQ 的市场隐含价格回报率（来源：作者使用 ETrade 期权报价计算）</span></p></blockquote></p><p> The market-implied outlook from now until January 21, 2022 is consistent with what we expect to see for a stock index. The probability distribution is negatively skewed, meaning that the probability of large negative returns is higher than for large positive returns of the same magnitude. There is an 8.5% chance of having a return of -20% or worse between now and January 21, 2022, as compared to a 1.7% chance of having a return of +20% or greater.</p><p><blockquote>从现在到2022年1月21日的市场隐含前景与我们对股指的预期一致。概率分布是负偏态的，这意味着大的负回报的概率高于相同幅度的大的正回报。从现在到2022年1月21日，回报率为-20%或更差的可能性为8.5%，而回报率为+20%或更高的可能性为1.7%。</blockquote></p><p> There is a 61.5% probability of having a price return that is greater than zero, however. The peak probability corresponds to a price return of +6.25% over the next 3.76 months. The estimated volatility of QQQ for the 3.76-month period is 13.6%, or 24.3% annualized.</p><p><blockquote>然而，价格回报大于零的概率为 61.5%。峰值概率对应于未来3.76个月内+6.25%的价格回报率。QQQ 在 3.76 个月期间的估计波动率为 13.6%，年化波动率为 24.3%。</blockquote></p><p> This is a bullish outlook from now until January 21, 2022. With a peak-probability return of +6.25% and volatility (standard deviation of return) of 13.6%, this is a decent risk-return tradeoff.</p><p><blockquote>从现在到2022年1月21日，这是一个看涨的前景。峰值概率回报为+6.25%，波动性（回报标准差）为13.6%，这是一个不错的风险回报权衡。</blockquote></p><p> <p class=\"t-img-caption\"><img src=\"https://static.tigerbbs.com/303255af18c88f690ba822dc8b72f81b\" tg-width=\"618\" tg-height=\"356\" width=\"100%\" height=\"auto\"><span>Market-implied price return probabilities for QQQ for the 5.6-month period from now until March 18, 2022 (Source: Author’s calculations using options quotes from ETrade)</span></p><p><blockquote><p class=\"t-img-caption\"><span>从现在到 2022 年 3 月 18 日 5.6 个月期间 QQQ 的市场隐含价格回报率（来源：作者使用 ETrade 期权报价计算）</span></p></blockquote></p><p> Looking out to March 18, 2022, calculating the market-implied outlook using options that expire on that date, the view is consistent with the results to January 21, 2022. The distribution is negatively skewed, with annualized volatility of 24.8% (16.9% for the 5.6-month period). The peak probability corresponds to a price return of +8.7%. There is an estimated 60% probability of having a price return that is greater than zero for this period.</p><p><blockquote>展望 2022 年 3 月 18 日，使用该日期到期的期权计算市场隐含前景，该观点与 2022 年 1 月 21 日的结果一致。分布呈负偏态，年化波动率为24.8%（5.6个月期间为16.9%）。峰值概率对应于+8.7%的价格回报率。在此期间，估计有60%的概率出现大于零的价格回报。</blockquote></p><p> <b>Summary</b></p><p><blockquote><b>总结</b></blockquote></p><p> The market-implied outlook for QQQ to early 2022 offers a favorable risk-return proposition. The maximum-probability price return from now until January 21, 2022 is +6.25%, with annualized volatility of 24.3%. For context, these results may be compared to the equivalent values I calculated for the S&P 500 (SPY) on September 12th: maximum-probability price return of +5% and annualized volatility of 20%. These values were calculated using options expiring on January 21, 2022. The options prices suggest that QQQ offers a higher projected return at higher risk, as expected. The market-implied outlook for QQQ to March has a maximum probability corresponding to a price return of +8.7%, with 24.8% annualized volatility.</p><p><blockquote>QQQ 到 2022 年初的市场隐含前景提供了有利的风险回报主张。从现在到2022年1月21日的最大概率价格回报率为+6.25%，年化波动率为24.3%。作为背景，这些结果可以与我在9月12日为标普500（SPDR标普500指数ETF）计算的等值进行比较：最大概率价格回报率为+5%，年化波动性为20%。这些值是使用2022年1月21日到期的期权计算的。期权价格表明，正如预期的那样，QQQ 以更高的风险提供了更高的预计回报。QQQ 到 3 月份的市场隐含前景最大概率对应于 +8.7% 的价格回报率，年化波动率为 24.8%。</blockquote></p><p> While the outlook for QQQ derived from options prices is bullish, it is important to remember the difference between a probabilistic outlook (which predicts the probabilities of a wide range of outcomes) and a point outlook (one which predicts a single value). While the market-implied outlook for QQQ is favorable, there is a projected 40% chance of losing money between now and early 2022.</p><p><blockquote>虽然从期权价格得出的QQQ前景是看涨的，但重要的是要记住概率前景（预测大范围结果的概率）和点前景（预测单一值）之间的区别。虽然市场暗示的 QQQ 前景是有利的，但从现在到 2022 年初，预计有 40% 的机会亏损。</blockquote></p><p></p>","collect":0,"html":"<!DOCTYPE html>\n<html>\n<head>\n<meta http-equiv=\"Content-Type\" content=\"text/html; charset=utf-8\" />\n<meta name=\"viewport\" content=\"width=device-width,initial-scale=1.0,minimum-scale=1.0,maximum-scale=1.0,user-scalable=no\"/>\n<meta name=\"format-detection\" content=\"telephone=no,email=no,address=no\" />\n<title>QQQ: Market-Implied Outlook To Early 2022<blockquote>QQQ：2022 年初市场隐含展望</blockquote></title>\n<style type=\"text/css\">\na,abbr,acronym,address,applet,article,aside,audio,b,big,blockquote,body,canvas,caption,center,cite,code,dd,del,details,dfn,div,dl,dt,\nem,embed,fieldset,figcaption,figure,footer,form,h1,h2,h3,h4,h5,h6,header,hgroup,html,i,iframe,img,ins,kbd,label,legend,li,mark,menu,nav,\nobject,ol,output,p,pre,q,ruby,s,samp,section,small,span,strike,strong,sub,summary,sup,table,tbody,td,tfoot,th,thead,time,tr,tt,u,ul,var,video{ font:inherit;margin:0;padding:0;vertical-align:baseline;border:0 }\nbody{ font-size:16px; line-height:1.5; color:#999; background:transparent; }\n.wrapper{ overflow:hidden;word-break:break-all;padding:10px; }\nh1,h2{ font-weight:normal; line-height:1.35; margin-bottom:.6em; }\nh3,h4,h5,h6{ line-height:1.35; margin-bottom:1em; }\nh1{ font-size:24px; }\nh2{ font-size:20px; }\nh3{ font-size:18px; }\nh4{ font-size:16px; }\nh5{ font-size:14px; }\nh6{ font-size:12px; }\np,ul,ol,blockquote,dl,table{ margin:1.2em 0; }\nul,ol{ margin-left:2em; }\nul{ list-style:disc; }\nol{ list-style:decimal; }\nli,li p{ margin:10px 0;}\nimg{ max-width:100%;display:block;margin:0 auto 1em; }\nblockquote{ color:#B5B2B1; border-left:3px solid #aaa; padding:1em; }\nstrong,b{font-weight:bold;}\nem,i{font-style:italic;}\ntable{ width:100%;border-collapse:collapse;border-spacing:1px;margin:1em 0;font-size:.9em; }\nth,td{ padding:5px;text-align:left;border:1px solid #aaa; }\nth{ font-weight:bold;background:#5d5d5d; }\n.symbol-link{font-weight:bold;}\n/* header{ border-bottom:1px solid #494756; } */\n.title{ margin:0 0 8px;line-height:1.3;color:#ddd; }\n.meta {color:#5e5c6d;font-size:13px;margin:0 0 .5em; }\na{text-decoration:none; color:#2a4b87;}\n.meta .head { display: inline-block; overflow: hidden}\n.head .h-thumb { width: 30px; height: 30px; margin: 0; padding: 0; border-radius: 50%; float: left;}\n.head .h-content { margin: 0; padding: 0 0 0 9px; float: left;}\n.head .h-name {font-size: 13px; color: #eee; margin: 0;}\n.head .h-time {font-size: 12.5px; color: #7E829C; margin: 0;}\n.small {font-size: 12.5px; display: inline-block; transform: scale(0.9); -webkit-transform: scale(0.9); transform-origin: left; -webkit-transform-origin: left;}\n.smaller {font-size: 12.5px; display: inline-block; transform: scale(0.8); -webkit-transform: scale(0.8); transform-origin: left; -webkit-transform-origin: left;}\n.bt-text {font-size: 12px;margin: 1.5em 0 0 0}\n.bt-text p {margin: 0}\n</style>\n</head>\n<body>\n<div class=\"wrapper\">\n<header>\n<h2 class=\"title\">\nQQQ: Market-Implied Outlook To Early 2022<blockquote>QQQ：2022 年初市场隐含展望</blockquote>\n</h2>\n<h4 class=\"meta\">\n<p class=\"head\">\n<strong class=\"h-name small\">Seeking Alpha</strong><span class=\"h-time small\">2021-09-29 17:53</span>\n</p>\n</h4>\n</header>\n<article>\n<p><b>Summary</b></p><p><blockquote><b>总结</b></blockquote></p><p> <ul> <li>Options prices can be used to calculate the consensus outlook for QQQ, referred to as the market-implied outlook.</li> <li>The market-implied outlook for QQQ was bullish at the start of 2021, but suggested that SPY offered a superior risk-return tradeoff.</li> <li>The updated market-implied outlook for QQQ into early 2022 is bullish, with moderate volatility.</li> <li>These results suggest the current elevated volatility, largely driven by fear of rising interest rates, is likely to be temporary.</li> </ul> <p class=\"t-img-caption\"><img src=\"https://static.tigerbbs.com/432ed786a1c4dfdf56017543577ebc72\" tg-width=\"1536\" tg-height=\"1026\" width=\"100%\" height=\"auto\"><span>Massimo Giachetti/iStock Editorial via Getty Images</span></p><p><blockquote><ul><li>期权价格可用于计算 QQQ 的共识前景，称为市场隐含前景。</li><li>QQQ 的市场隐含前景在 2021 年初是乐观的，但这表明SPDR标普500指数ETF提供了更好的风险回报权衡。</li><li>QQQ 到 2022 年初的最新市场隐含前景是乐观的，波动性适中。</li><li>这些结果表明，目前主要由对利率上升的担忧驱动的波动性上升可能是暂时的。</li></ul><p class=\"t-img-caption\"><span>Massimo Giachetti/iStock 社论来自 Getty Images</span></p></blockquote></p><p> The Invesco QQQ ETF (NASDAQ:QQQ) is in an interesting place. The all-time high close for QQQ was $382.11 on September 7, 2021. At the current price of $360.81, QQQ is 54% above the pre-COVID 2020 high close of $234.64 on February 14, 2020. The trailing total returns for QQQ over longer periods are very high. The 3- and 5-year annualized total returns are 26.76% per year and 26.59% per year, respectively.</p><p><blockquote>Invesco QQQ ETF（纳斯达克股票代码：QQQ）处于一个有趣的位置。2021 年 9 月 7 日，QQQ 的历史最高收盘价为 382.11 美元。以目前 360.81 美元的价格计算，QQQ 比 2020 年 2 月 14 日新冠疫情前 2020 年收盘价 234.64 美元高出 54%。QQQ在较长时间内的追踪总回报非常高。3年期和5年期年化总回报率分别为每年26.76%和26.59%。</blockquote></p><p> <p class=\"t-img-caption\"><img src=\"https://static.tigerbbs.com/5866620d906e1fdbbbb095b7d343a3fa\" tg-width=\"1280\" tg-height=\"139\" width=\"100%\" height=\"auto\"><span>Trailing total returns for QQQ (Source: Morningstar)</span></p><p><blockquote><p class=\"t-img-caption\"><span>QQQ 的追踪总回报（来源：晨星）</span></p></blockquote></p><p> QQQ, a growth-oriented index, has benefitted from several major trends over the past decade. First,growth stocks have absolutely dominated value stocks. Second, technological innovation is changing the world in dramatic ways, making the prospects for many names in the QQQ look like long-term winners. Third,low and falling interest rates and bond yields over the past decade (and longer) have provided a major tailwind for growth stocks.</p><p><blockquote>QQQ是一个以增长为导向的指数，在过去十年中受益于几个主要趋势。一是成长股绝对主导价值股。其次，技术创新正在以戏剧性的方式改变世界，使得QQQ中许多名字的前景看起来像是长期赢家。第三，过去十年（甚至更长时间）的低利率和债券收益率和下降为成长型股票提供了主要的推动力。</blockquote></p><p> The value of a stock represents the net present value (NPV) of projected future earnings. The NPV is sensitive to the discount rate applied to those future earnings and the discount rate is determined by interest rates (low interest rates equate to low discount rates and vice versa). The further earnings are expected to occur in the future, the more sensitive a stock’s valuation is to interest rates. In effect, growth stocks have longer duration than value stocks, so growth stocks are more sensitive to interest rates. Higher P/E ratios can be justified when interest rates are low, for the same reasons.</p><p><blockquote>股票的价值代表预计未来收益的净现值（NPV）。净现值对应用于该等未来收益的贴现率敏感，贴现率由利率决定（低利率等于低贴现率，反之亦然）。预计未来会有更多收益，股票的估值对利率就越敏感。实际上，成长型股票的久期比价值型股票长，因此成长型股票对利率更敏感。出于同样的原因，当利率较低时，较高的市盈率是合理的。</blockquote></p><p> The market is currently struggling with expectations on rates and bond yields. The Fed is signaling increasing concern about inflation, which is driving up bond yields. QQQ has been declining, as expected.</p><p><blockquote>市场目前正在努力应对对利率和债券收益率的预期。美联储发出对通胀日益担忧的信号，这正在推高债券收益率。正如预期的那样，QQQ一直在下降。</blockquote></p><p> I closely monitor the prices of options on indexes in managing my portfolio. The price of an option represents the market’s consensus estimate for the probability that the price of the underlying index (QQQ, in this case) will rise above (call option) or fall below (put option) a specific level (the strike price) between now and when the option expires. By analyzing calls and puts at a range of strike prices and a common expiration date, it is possible to calculate a probabilistic outlook for the underlying security that reconciles the options prices. This is the market-implied outlook. For those who are unfamiliar with the concept, I have written an overview post, including links to the relevant financial literature.</p><p><blockquote>在管理我的投资组合时，我密切关注指数期权的价格。期权价格代表市场对标的指数（在本例中为 QQQ）价格从现在到期权到期日升至特定水平（执行价格）以上（看涨期权期权）或跌至特定水平（执行价格）以下（看跌期权）的概率的一致估计。通过分析一系列执行价格和共同到期日的评级和看跌期权，可以计算出基础证券的概率前景，使期权价格一致。这是市场隐含的前景。对于那些不熟悉这个概念的人，我写了一篇概述文章，包括相关金融文献的链接。</blockquote></p><p> When I calculated the 12-month market-implied outlook in January 2021, the results indicated a bullish view for QQQ. The probabilities of positive returns were consistently higher than for negative returns. In early March 2021, I compared the market-implied outlooks for major equity asset classes, and I got a bullish outlook for QQQ, but I also found that the S&P 500 offered a more favorable risk-return outlook to early 2022 than QQQ.</p><p><blockquote>当我在 2021 年 1 月计算 12 个月市场隐含展望时，结果表明对 QQQ 的看涨前景。正回报的概率始终高于负回报。2021年3月初，我比较了主要股票资产类别的市场隐含前景，我对QQQ持乐观态度，但我也发现标普500对2022年初的风险回报前景比QQQ更有利。</blockquote></p><p> For the YTD, QQQ has a total return of 18.46% and SPY has returned 19.56%. The market-implied outlooks for developed international stocks (calculated using options on EFA), emerging markets (using options on EEM), and small cap stocks (using options on IWM) were less favorable than those for QQQ and SPY. EFA, EEM, and IWM have YTD total returns of 11.5%,-0.65%, and 16.24%, respectively.</p><p><blockquote>年初至今，QQQ的总回报率为18.46%，SPDR标普500指数ETF的回报率为19.56%。发达国际股票（使用EFA期权计算）、新兴市场（使用EEM期权）和小盘股（使用IWM期权）的市场隐含前景不如QQQ和SPDR标普500指数ETF有利。EFA、EEM 和 IWM 的年初至今总回报率分别为 11.5%、-0.65% 和 16.24%。</blockquote></p><p> With the increasing concerns about interest rates, and the QQQ having lost some momentum since reaching its all-time high, I have recalculated the market-implied outlook for QQQ.</p><p><blockquote>随着对利率的担忧加剧，以及QQQ自达到历史高点以来失去了一些动力，我重新计算了QQQ的市场隐含前景。</blockquote></p><p> <b>Market-Implied Outlook for QQQ</b></p><p><blockquote><b>QQQ 的市场隐含前景</b></blockquote></p><p></p><p> I have analyzed call and put options on QQQ at a range of strike prices, all expiring on January 21, 2022, to generate the market-implied outlook for the next 3.76 months (from now until that expiration date). I have also analyzed options expiring on March 18, 2022 to generate the market-implied outlook for the next 5.6 months. I have chosen these two expiration dates to give a view into early 2022 and to get a sense of whether the outlook gets more or less favorable as we move through the first quarter.</p><p><blockquote>我以一系列执行价格分析了 QQQ 上的看涨期权和看跌期权，所有执行价格均于 2022 年 1 月 21 日到期，以生成未来 3.76 个月（从现在到该到期日）的市场隐含前景。我还分析了 2022 年 3 月 18 日到期的期权，以生成未来 5.6 个月的市场隐含展望。我选择这两个到期日是为了展望 2022 年初，并了解随着第一季度的到来，前景是更有利还是更不利。</blockquote></p><p> A key metric for the market-implied outlook is to see how closely the theoretical prices of options, as calculated from the market-implied outlook, matches the market prices of those options. The goal in calculating the market-implied outlook is to minimize the differences. For both expiration dates, the average difference between the theoretical and market prices of the options is within 0.2% of the market prices of the options. This is a very good agreement and adds confidence in the market-implied outlook.</p><p><blockquote>市场隐含前景的一个关键指标是查看根据市场隐含前景计算的期权理论价格与这些期权的市场价格的匹配程度。计算市场隐含前景的目标是最小化差异。就两个到期日而言，购股权的理论价格与市价之间的平均差额均在购股权市价的0.2%以内。这是一个非常好的协议，增加了对市场隐含前景的信心。</blockquote></p><p> The standard presentation of the market-implied outlook is in the form of a probability distribution of price return, with probability on the vertical axis and price return on the horizontal.</p><p><blockquote>市场隐含前景的标准表示形式是价格回报的概率分布，纵轴为概率，横轴为价格回报。</blockquote></p><p> <p class=\"t-img-caption\"><img src=\"https://static.tigerbbs.com/7973b66311844822a875f58a6f3230bd\" tg-width=\"618\" tg-height=\"356\" width=\"100%\" height=\"auto\"><span>Market-implied price return probabilities for QQQ for the 3.76-month period from now until January 21, 2022 (Source: Author’s calculations using options quotes from ETrade)</span></p><p><blockquote><p class=\"t-img-caption\"><span>从现在到 2022 年 1 月 21 日 3.76 个月期间 QQQ 的市场隐含价格回报率（来源：作者使用 ETrade 期权报价计算）</span></p></blockquote></p><p> The market-implied outlook from now until January 21, 2022 is consistent with what we expect to see for a stock index. The probability distribution is negatively skewed, meaning that the probability of large negative returns is higher than for large positive returns of the same magnitude. There is an 8.5% chance of having a return of -20% or worse between now and January 21, 2022, as compared to a 1.7% chance of having a return of +20% or greater.</p><p><blockquote>从现在到2022年1月21日的市场隐含前景与我们对股指的预期一致。概率分布是负偏态的，这意味着大的负回报的概率高于相同幅度的大的正回报。从现在到2022年1月21日，回报率为-20%或更差的可能性为8.5%，而回报率为+20%或更高的可能性为1.7%。</blockquote></p><p> There is a 61.5% probability of having a price return that is greater than zero, however. The peak probability corresponds to a price return of +6.25% over the next 3.76 months. The estimated volatility of QQQ for the 3.76-month period is 13.6%, or 24.3% annualized.</p><p><blockquote>然而，价格回报大于零的概率为 61.5%。峰值概率对应于未来3.76个月内+6.25%的价格回报率。QQQ 在 3.76 个月期间的估计波动率为 13.6%，年化波动率为 24.3%。</blockquote></p><p> This is a bullish outlook from now until January 21, 2022. With a peak-probability return of +6.25% and volatility (standard deviation of return) of 13.6%, this is a decent risk-return tradeoff.</p><p><blockquote>从现在到2022年1月21日，这是一个看涨的前景。峰值概率回报为+6.25%，波动性（回报标准差）为13.6%，这是一个不错的风险回报权衡。</blockquote></p><p> <p class=\"t-img-caption\"><img src=\"https://static.tigerbbs.com/303255af18c88f690ba822dc8b72f81b\" tg-width=\"618\" tg-height=\"356\" width=\"100%\" height=\"auto\"><span>Market-implied price return probabilities for QQQ for the 5.6-month period from now until March 18, 2022 (Source: Author’s calculations using options quotes from ETrade)</span></p><p><blockquote><p class=\"t-img-caption\"><span>从现在到 2022 年 3 月 18 日 5.6 个月期间 QQQ 的市场隐含价格回报率（来源：作者使用 ETrade 期权报价计算）</span></p></blockquote></p><p> Looking out to March 18, 2022, calculating the market-implied outlook using options that expire on that date, the view is consistent with the results to January 21, 2022. The distribution is negatively skewed, with annualized volatility of 24.8% (16.9% for the 5.6-month period). The peak probability corresponds to a price return of +8.7%. There is an estimated 60% probability of having a price return that is greater than zero for this period.</p><p><blockquote>展望 2022 年 3 月 18 日，使用该日期到期的期权计算市场隐含前景，该观点与 2022 年 1 月 21 日的结果一致。分布呈负偏态，年化波动率为24.8%（5.6个月期间为16.9%）。峰值概率对应于+8.7%的价格回报率。在此期间，估计有60%的概率出现大于零的价格回报。</blockquote></p><p> <b>Summary</b></p><p><blockquote><b>总结</b></blockquote></p><p> The market-implied outlook for QQQ to early 2022 offers a favorable risk-return proposition. The maximum-probability price return from now until January 21, 2022 is +6.25%, with annualized volatility of 24.3%. For context, these results may be compared to the equivalent values I calculated for the S&P 500 (SPY) on September 12th: maximum-probability price return of +5% and annualized volatility of 20%. These values were calculated using options expiring on January 21, 2022. The options prices suggest that QQQ offers a higher projected return at higher risk, as expected. The market-implied outlook for QQQ to March has a maximum probability corresponding to a price return of +8.7%, with 24.8% annualized volatility.</p><p><blockquote>QQQ 到 2022 年初的市场隐含前景提供了有利的风险回报主张。从现在到2022年1月21日的最大概率价格回报率为+6.25%，年化波动率为24.3%。作为背景，这些结果可以与我在9月12日为标普500（SPDR标普500指数ETF）计算的等值进行比较：最大概率价格回报率为+5%，年化波动性为20%。这些值是使用2022年1月21日到期的期权计算的。期权价格表明，正如预期的那样，QQQ 以更高的风险提供了更高的预计回报。QQQ 到 3 月份的市场隐含前景最大概率对应于 +8.7% 的价格回报率，年化波动率为 24.8%。</blockquote></p><p> While the outlook for QQQ derived from options prices is bullish, it is important to remember the difference between a probabilistic outlook (which predicts the probabilities of a wide range of outcomes) and a point outlook (one which predicts a single value). While the market-implied outlook for QQQ is favorable, there is a projected 40% chance of losing money between now and early 2022.</p><p><blockquote>虽然从期权价格得出的QQQ前景是看涨的，但重要的是要记住概率前景（预测大范围结果的概率）和点前景（预测单一值）之间的区别。虽然市场暗示的 QQQ 前景是有利的，但从现在到 2022 年初，预计有 40% 的机会亏损。</blockquote></p><p></p>\n<div class=\"bt-text\">\n\n\n<p> 来源：<a href=\"https://seekingalpha.com/article/4457585-qqq-market-implied-outlook-to-early-2022\">Seeking Alpha</a></p>\n<p>为提升您的阅读体验，我们对本页面进行了排版优化</p>\n\n\n</div>\n</article>\n</div>\n</body>\n</html>\n","type":0,"thumbnail":"","relate_stocks":{"QQQ":"纳指100ETF"},"source_url":"https://seekingalpha.com/article/4457585-qqq-market-implied-outlook-to-early-2022","is_english":true,"share_image_url":"https://static.laohu8.com/e9f99090a1c2ed51c021029395664489","article_id":"1150995392","content_text":"Summary\n\nOptions prices can be used to calculate the consensus outlook for QQQ, referred to as the market-implied outlook.\nThe market-implied outlook for QQQ was bullish at the start of 2021, but suggested that SPY offered a superior risk-return tradeoff.\nThe updated market-implied outlook for QQQ into early 2022 is bullish, with moderate volatility.\nThese results suggest the current elevated volatility, largely driven by fear of rising interest rates, is likely to be temporary.\n\nMassimo Giachetti/iStock Editorial via Getty Images\nThe Invesco QQQ ETF (NASDAQ:QQQ) is in an interesting place. The all-time high close for QQQ was $382.11 on September 7, 2021. At the current price of $360.81, QQQ is 54% above the pre-COVID 2020 high close of $234.64 on February 14, 2020. The trailing total returns for QQQ over longer periods are very high. The 3- and 5-year annualized total returns are 26.76% per year and 26.59% per year, respectively.\nTrailing total returns for QQQ (Source: Morningstar)\nQQQ, a growth-oriented index, has benefitted from several major trends over the past decade. First,growth stocks have absolutely dominated value stocks. Second, technological innovation is changing the world in dramatic ways, making the prospects for many names in the QQQ look like long-term winners. Third,low and falling interest rates and bond yields over the past decade (and longer) have provided a major tailwind for growth stocks.\nThe value of a stock represents the net present value (NPV) of projected future earnings. The NPV is sensitive to the discount rate applied to those future earnings and the discount rate is determined by interest rates (low interest rates equate to low discount rates and vice versa). The further earnings are expected to occur in the future, the more sensitive a stock’s valuation is to interest rates. In effect, growth stocks have longer duration than value stocks, so growth stocks are more sensitive to interest rates. Higher P/E ratios can be justified when interest rates are low, for the same reasons.\nThe market is currently struggling with expectations on rates and bond yields. The Fed is signaling increasing concern about inflation, which is driving up bond yields. QQQ has been declining, as expected.\nI closely monitor the prices of options on indexes in managing my portfolio. The price of an option represents the market’s consensus estimate for the probability that the price of the underlying index (QQQ, in this case) will rise above (call option) or fall below (put option) a specific level (the strike price) between now and when the option expires. By analyzing calls and puts at a range of strike prices and a common expiration date, it is possible to calculate a probabilistic outlook for the underlying security that reconciles the options prices. This is the market-implied outlook. For those who are unfamiliar with the concept, I have written an overview post, including links to the relevant financial literature.\nWhen I calculated the 12-month market-implied outlook in January 2021, the results indicated a bullish view for QQQ. The probabilities of positive returns were consistently higher than for negative returns. In early March 2021, I compared the market-implied outlooks for major equity asset classes, and I got a bullish outlook for QQQ, but I also found that the S&P 500 offered a more favorable risk-return outlook to early 2022 than QQQ.\nFor the YTD, QQQ has a total return of 18.46% and SPY has returned 19.56%. The market-implied outlooks for developed international stocks (calculated using options on EFA), emerging markets (using options on EEM), and small cap stocks (using options on IWM) were less favorable than those for QQQ and SPY. EFA, EEM, and IWM have YTD total returns of 11.5%,-0.65%, and 16.24%, respectively.\nWith the increasing concerns about interest rates, and the QQQ having lost some momentum since reaching its all-time high, I have recalculated the market-implied outlook for QQQ.\nMarket-Implied Outlook for QQQ\nI have analyzed call and put options on QQQ at a range of strike prices, all expiring on January 21, 2022, to generate the market-implied outlook for the next 3.76 months (from now until that expiration date). I have also analyzed options expiring on March 18, 2022 to generate the market-implied outlook for the next 5.6 months. I have chosen these two expiration dates to give a view into early 2022 and to get a sense of whether the outlook gets more or less favorable as we move through the first quarter.\nA key metric for the market-implied outlook is to see how closely the theoretical prices of options, as calculated from the market-implied outlook, matches the market prices of those options. The goal in calculating the market-implied outlook is to minimize the differences. For both expiration dates, the average difference between the theoretical and market prices of the options is within 0.2% of the market prices of the options. This is a very good agreement and adds confidence in the market-implied outlook.\nThe standard presentation of the market-implied outlook is in the form of a probability distribution of price return, with probability on the vertical axis and price return on the horizontal.\nMarket-implied price return probabilities for QQQ for the 3.76-month period from now until January 21, 2022 (Source: Author’s calculations using options quotes from ETrade)\nThe market-implied outlook from now until January 21, 2022 is consistent with what we expect to see for a stock index. The probability distribution is negatively skewed, meaning that the probability of large negative returns is higher than for large positive returns of the same magnitude. There is an 8.5% chance of having a return of -20% or worse between now and January 21, 2022, as compared to a 1.7% chance of having a return of +20% or greater.\nThere is a 61.5% probability of having a price return that is greater than zero, however. The peak probability corresponds to a price return of +6.25% over the next 3.76 months. The estimated volatility of QQQ for the 3.76-month period is 13.6%, or 24.3% annualized.\nThis is a bullish outlook from now until January 21, 2022. With a peak-probability return of +6.25% and volatility (standard deviation of return) of 13.6%, this is a decent risk-return tradeoff.\nMarket-implied price return probabilities for QQQ for the 5.6-month period from now until March 18, 2022 (Source: Author’s calculations using options quotes from ETrade)\nLooking out to March 18, 2022, calculating the market-implied outlook using options that expire on that date, the view is consistent with the results to January 21, 2022. The distribution is negatively skewed, with annualized volatility of 24.8% (16.9% for the 5.6-month period). The peak probability corresponds to a price return of +8.7%. There is an estimated 60% probability of having a price return that is greater than zero for this period.\nSummary\nThe market-implied outlook for QQQ to early 2022 offers a favorable risk-return proposition. The maximum-probability price return from now until January 21, 2022 is +6.25%, with annualized volatility of 24.3%. For context, these results may be compared to the equivalent values I calculated for the S&P 500 (SPY) on September 12th: maximum-probability price return of +5% and annualized volatility of 20%. These values were calculated using options expiring on January 21, 2022. The options prices suggest that QQQ offers a higher projected return at higher risk, as expected. The market-implied outlook for QQQ to March has a maximum probability corresponding to a price return of +8.7%, with 24.8% annualized volatility.\nWhile the outlook for QQQ derived from options prices is bullish, it is important to remember the difference between a probabilistic outlook (which predicts the probabilities of a wide range of outcomes) and a point outlook (one which predicts a single value). While the market-implied outlook for QQQ is favorable, there is a projected 40% chance of losing money between now and early 2022.","news_type":1,"symbols_score_info":{"QQQ":0.9}},"isVote":1,"tweetType":1,"viewCount":2813,"commentLimit":10,"likeStatus":false,"favoriteStatus":false,"reportStatus":false,"symbols":[],"verified":2,"subType":0,"readableState":1,"langContent":"CN","currentLanguage":"CN","warmUpFlag":false,"orderFlag":false,"shareable":true,"causeOfNotShareable":"","featuresForAnalytics":[],"commentAndTweetFlag":false,"andRepostAutoSelectedFlag":false,"upFlag":false,"length":6,"subscribersOnly":false,"subscribersOnlyAccessible":false,"xxTargetLangEnum":"ZH_CN"},"commentList":[],"isCommentEnd":true,"isTiger":false,"isWeiXinMini":false,"url":"/m/post/862704615"}
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