>> 南华期货-期权日报-230821
| 上传日期： |
2023/8/21 |
大小： |
3271KB |
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pdf 共15页 |
来源： |
南华期货 |
| 评级： |
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作者： |
周小舒 |
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金融期权每日数据
评:上一个交易日，金融期权隐含波动率继续上涨，期权定价公允。近月波动率大幅上涨，且高于远月期权，期权市场参与者预期未来走势波动有所增加。南华50ETF期权波动率指数是22.58，南华沪深3O0期权波动率指数是21.41，南华中证10O期权波动率指数是19.53，南华期权波动率指数整体上升，股指震荡偏弱，建议卖出看涨期权。
研究报告全文：202382120238212021181916141712151008130611040902005000450040003500300025002000150010005009020080195701901856018050175401703016520160101551501451M2M3M6M9M1Y20230817202308182023081720230818202382145004000350030002500200015001000500隐含波动率20日历史波动率801907018060170501604015030140201301012001101001M2M3M6M9M1Y2023081720230818202308172023081845004000350030002500200015001000500隐含波动率历史波动率202382180185070180060175050401700301650201600101550015001M2M3M6M9M1Y202308172023081820230817202308184500400035003000250020001500100050080187017601615501440133012201110100981M2M3M6M9M1Y202308172023081820230817202308182023821350030002500200015001000500000隐含波动率历史波动率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