>> 南华期货-期权日报-231011
| 上传日期： |
2023/10/11 |
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3514KB |
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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小幅上升,期权定价合理。波动率偏度和朋限结构整体上移，近月期权波动率明显低于远月期权，期权市场参与者预期未来市场走势平稳。南华50ETF期权波动率指数是17.57,南华沪深300期权波动率指数是18.05,南华中证1000期权波动率指数是18.05,南华期权波动率指数小幅回落，股指震荡收跌，建议双卖策略。
研究报告全文：20231011202310112021181916141712151008130611040902005000450040003500300025002000150010005005016045401553530150251452015140101351M2M3M6M9M1Y202310092023101020231009202310102023101145004000350030002500200015001000500隐含波动率20日历史波动率60160501504014030130201201001101001M2M3M6M9M1Y20231009202310102023100920231010650055004500350025001500500隐含波动率历史波动率202310114515504035150030251450201514001051350013001M2M3M6M9M1Y202310092023101020231009202310104500400035003000250020001500100050070166015501440133012201110100981M2M3M6M9M1Y2023100920231010202310092023101020231011350030002500200015001000500000隐含波动率历史波动率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