>> 南华期货-期权日报-230908
| 上传日期： |
2023/9/8 |
大小： |
3339KB |
| 格式： |
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有所上升，期权定价公允。期限结构变整体上移，近月期权隐含波动率低于选月期权，期权市场参与者预期未来市场走势平稳。南华5OETF期权波动率指数是19.36，南华沪深30O期权波动率指数是19.32，南华中证100O期权波动率指数是19.69，南华期权波动率指数有所上升，股指延续弱势，建议观望。
研究报告全文：202398202398202118191614171215100813061104090200500045004000350030002500200015001000500701756017050401653016020155101501M2M3M6M9M1Y2023090620230907202309062023090720239845004000350030002500200015001000500隐含波动率20日历史波动率7018060170501604015030140201301012001101001M2M3M6M9M1Y20230906202309072023090620230907650055004500350025001500500隐含波动率历史波动率202398701750601700501650401600301550201500101450014001M2M3M6M9M1Y202309062023090720230906202309074500400035003000250020001500100050080187017601615501440133012201110100981M2M3M6M9M1Y20230906202309072023090620230907202398350030002500200015001000500000隐含波动率历史波动率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