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>> 南华期货-期权日报-230920
上传日期:   2023/9/20 大小:   3384KB
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整体回落,期权定价公允。虚值认沽期权波动率偏高,期权市场情绪偏弱,近月期权隐含波动率仍高于远月期权,期权市场参与者预期未来市场走势波动有所增加。南华50ETF期权波动率指数是18.33,南华沪深300期权波动率指数是19.22,南华中证1000期权波动率指数是19.71,南华期权波动率指数回落,股指维持震荡,建议双卖策略。
  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整体延续弱势,其中,多数农产品、金属价格继续回调。从期权隐含波动率的角度来看,上个交易日日盘商品期权隐含波动率整体上升,其中,能化期权波动率明显上升;其余商品期权波动率变化不大。LPG、菜粕期权隐含波动率低于历史波动率;铜、白银期权隐含波动率明显偏高。
  
研究报告全文:20239202023920202118191614171215100813061104090200500045004000350030002500200015001000500701706016816650164401623016015820156101541521M2M3M6M9M1Y20230918202309192023091820230919202392045004000350030002500200015001000500隐含波动率20日历史波动率7017060160501504014030130201012001101001M2M3M6M9M1Y20230918202309192023091820230919650055004500350025001500500隐含波动率历史波动率2023920701700601680501660401640301620201600101580015601M2M3M6M9M1Y20230918202309192023091820230919450040003500300025002000150010005007017601615501440133012201110100981M2M3M6M9M1Y202309182023091920230918202309192023920350030002500200015001000500000隐含波动率历史波动率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