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>> 南华期货-期权日报-230822
上传日期:   2023/8/22 大小:   3280KB
格式:   pdf  共15页 来源:   南华期货
评级:   -- 作者:   周小舒
下载权限:   无限制-登录即可下载
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。虚值波动率明显上涨,近月期权隐含波动率高于远月期权,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23.88,南华沪深300期权波动率指数是22.19,南华中证1000期权波动率指数是20.30,南华期权波动率指数整体上升,股指延续弱势,建议卖出看涨期权。
  商品期权每日数据
  评:从期权标的走势来看,上一交易日盘商品价格走势偏强,其中,能化商品价格涨幅明显;多数农产品、金属价格有所上涨。从期权隐含波动率的角度来看,上个交易日日盘各板块商品期权隐含波动率互有涨跌,其中,农产品期权波动率上升;有色期权波动率下降。豆油、玉米期权隐含波动率低于历史波动率;黄金、白银期权隐含波动率明显偏高。
  
研究报告全文:202382220238222021181916141712151008130611040902005000450040003500300025002000150010005009020080195706019050185401803020175101701651M2M3M6M9M1Y20230818202308212023081820230821202382245004000350030002500200015001000500隐含波动率20日历史波动率90190801807017060160504015030140201301012001101001M2M3M6M9M1Y2023081820230821202308182023082145004000350030002500200015001000500隐含波动率历史波动率202382290195080190070185060180050401750301700201650100160015501M2M3M6M9M1Y202308182023082120230818202308214500400035003000250020001500100050070206018501640301420121010081M2M3M6M9M1Y202308182023082120230818202308212023822350030002500200015001000500000隐含波动率历史波动率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