>> 南华期货-期权日报-230905
| 上传日期： |
2023/9/5 |
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3336KB |
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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继续下降，期权定价公允。近月期权隐含波动率回落明显，且低于远月期权。期权市场参与者预期未来市场走势平稳。南华5.ETF期权波动率指数是18.50，南华沪深300期权波动率指数是19.28，南华中证1000期权波动率指数是18.32，南华期权波动率指数小幅回落，股指有所上涨，建议观望。
研究报告全文：202395202395202118191614171215100813061104090200500045004000350030002500200015001000500701806017550170401653016020155101501451M2M3M6M9M1Y2023090120230904202309012023090420239545004000350030002500200015001000500隐含波动率20日历史波动率7018060170501604015030140201301012001101001M2M3M6M9M1Y20230901202309042023090120230904650055004500350025001500500隐含波动率历史波动率202395701750601700501650401600301550201500101450014001M2M3M6M9M1Y2023090120230904202309012023090445004000350030002500200015001000500701860171650154014301312201110100981M2M3M6M9M1Y20230901202309042023090120230904202395350030002500200015001000500000隐含波动率历史波动率70166015155015401530152014141014014141M2M3M6M9M1Y2023090120230904202309012023090470454603550340253021520110050020152920162920172920182920192920202920212920222920232950VIX50ETF20239550700045600040355000304000252030001520001010005002020123202022320203232020423202052320206232020723202082320209232021123202122320213232021423202152320216232021723202182320219232022123202222320223232022423202252320226232022723202282320229232023123202322320233232023423202352320236232023723202382320191223202010232020112320201223202110232021112320211223202210232022112320221223300VIX30035800075003070002565002060005500155000104500400053500030001000VIX100060005000400030002000100000020239525002000150010005000008000700060005000400030002000100000012000100008000600040002000000PVCPVC202395160001400012000100008000600040002000000900080007000600050004000300020001000000300025002000150010005000002023956000500040003000200010000007000600050004000300020001000000PTAPTA6000500040003000200010000002023958000700060005000400030002000100000045004000350030002500200015001000500000450040003500300025002000150010005000002023954500400035003000250020001500100050000050004500400035003000250020001500100050000050004500400035003000250020001500100050000020239580007000600050004000300020001000000100009000800070006000500040003000200010000003000250020001500100050000020228820229820221082022118202212820231820232820233820234820235820236820237820238820239540003500300025002000150010005000002022882022982022108202211820221282023182023282023382023482023582023682023782023884500400035003000250020001500100050000020228820229820221082022118202212820231820232820233820234820235820236820237820238845004000350030002500200015001000500000202282620229262022102620221126202212262023126202322620233262023426202352620236262023726202382620239512000100008000600040002000000LPGLPG400035003000250020001500100050000020228262022926202210262022112620221226202312620232262023326202342620235262023626202372620238263500300025002000150010005000002022122620231262023226202332620234262023526202362620237262023826202395300025002000150010005000002022122620231262023226202332620234262023526202362620237262023826400035003000250020001500100050000020231302023228202333120234302023531202363020237312023831
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