>> 南华期货-期权日报-230927
| 上传日期： |
2023/9/27 |
大小： |
3471KB |
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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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评:上一个交易日，金融期权隐含波动率整体上升，期权定价偏高。虚值认沽期权波动率偏高，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21.32,南华沪深300期权波动率指数是20.46,南华中证000期权波动率指数是20.43,南华期权波动率指数上升，股指继续回落，建议双卖策略。
研究报告全文：20239272023927202118191614171215100813061104090200500045004000350030002500200015001000500701766017417250170401683016616420162101601581M2M3M6M9M1Y20230925202309262023092520230926202392745004000350030002500200015001000500隐含波动率20日历史波动率7018060170501604015030140201301012001101001M2M3M6M9M1Y20230925202309262023092520230926650055004500350025001500500隐含波动率历史波动率202392770180060175050170040301650201600101550015001M2M3M6M9M1Y202309252023092620230925202309264500400035003000250020001500100050070206018501640301420121010081M2M3M6M9M1Y202309252023092620230925202309262023927350030002500200015001000500000隐含波动率历史波动率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