>> 南华期货-期权日报-230823
| 上传日期: |
2023/8/23 |
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3308KB |
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pdf 共15页 |
来源: |
南华期货 |
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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有所下降,期权定价公允。近月期权隐含波动率大幅下降,但仍高于远月期权,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23.11,南华沪深300期权波动率指数是21.25,南华中证1000期权波动率指数是19.89,南华期权波动率指数整体下降,股指探底回升,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,上一交易日盘各板块商品价格走势分化,其中,农产品价格整体回调;金属、能化、黑色价格有所上涨。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,能化、黑色期权波动率上升;金属期权波动率下降。PTA、LPG期权隐含波动率低于历史波动率;塑料、黄金期权隐含波动率明显偏高。
研究报告全文:202382320238232021181916141712151008130611040902005000450040003500300025002000150010005001002009019580701906018550401803017520101701651M2M3M6M9M1Y20230821202308222023082120230822202382345004000350030002500200015001000500隐含波动率20日历史波动率10019090180801707060160501504014030201301012001101001M2M3M6M9M1Y2023082120230822202308212023082245004000350030002500200015001000500隐含波动率历史波动率202382390195080190070185060180050401750301700201650100160015501M2M3M6M9M1Y202308212023082220230821202308224500400035003000250020001500100050070206018501640301420121010081M2M3M6M9M1Y202308212023082220230821202308222023823350030002500200015001000500000隐含波动率历史波动率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