>> 南华期货-期权日报-230926
| 上传日期： |
2023/9/26 |
大小： |
3415KB |
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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整体上开，期权定价公元。虚值认洁期权波动宰偏高，期权市场情绪偏弱:波动率期限结构整体下移，近月期权隐含波动率仍高于远月期权期权市场参与省预明未来市场走势波动有所增加。南华50ETF明权波动率指数是20.85.南华沪深300明权波动率指数是20.14,南华中1000期权波动率指数是20.14.南华期权波动率指数上升，股指回荡，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- -交易日盘商品价格整体偏弱，其中，有色、能化.黑色商品价格整体下跌;贵金属价格小幅上涨。从期权隐含波动率的角度来看，，上个交易日8盘商品期权隐含波动率互有涨筑，其中，多数胞化期权波动事上升。豆二、某粕期权隐含该动事低于历史波动事;工业硅。白银期权隐含波动率明显俱高。
研究报告全文：20239262023926202118191614171215100813061104090200500045004000350030002500200015001000500701766017417250170401683016616420162101601581M2M3M6M9M1Y20230922202309252023092220230925202392645004000350030002500200015001000500隐含波动率20日历史波动率7018060170501604015030140201301012001101001M2M3M6M9M1Y20230922202309252023092220230925650055004500350025001500500隐含波动率历史波动率2023926701850601800501750401700301650201600101550015001M2M3M6M9M1Y202309222023092520230922202309254500400035003000250020001500100050070206018501640301420121010081M2M3M6M9M1Y202309222023092520230922202309252023926350030002500200015001000500000隐含波动率历史波动率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