>> 南华期货-期权日报-230925
| 上传日期： |
2023/9/25 |
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3414KB |
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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整体上升，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5OETF期权波动率指数是18.2O，南华沪深30O期权波动率指数是19.46，南华中证100期权波动率指数是19.31，南华期权波动率指数小幅回落，股指大幅反弹，建议双卖策略。
研究报告全文：20239252023925202118191614171215100813061104090200500045004000350030002500200015001000500701766017450172401703016820101661641M2M3M6M9M1Y20230921202309222023092120230922202392545004000350030002500200015001000500隐含波动率20日历史波动率7018060170501604015030140201301012001101001M2M3M6M9M1Y20230921202309222023092120230922650055004500350025001500500隐含波动率历史波动率2023925701850601800501750401700301650201600101550015001M2M3M6M9M1Y202309212023092220230921202309224500400035003000250020001500100050070206018501640301420121010081M2M3M6M9M1Y202309212023092220230921202309222023925350030002500200015001000500000隐含波动率历史波动率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