>> 南华期货-期权日报-231013
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2023/10/13 |
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3623KB |
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来源： |
南华期货 |
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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继续回落，期权定价偏低。近月期权波动率继续下降，低于远月期权，期权市场参与者预期未来市场走梦平稳。南华5OETF期权波动率指数是17.25，南华沪深300期权波动率指数是16.96，南华中证1000期权波动率指数是17.23，南华期权波动率指数互有涨跌，股指高开收涨,建设双实策略。
研究报告全文：2023101320110IV90IVIVIV50ETF138113010801096795045013981242156104939414100ETF1507140710010976961730013571163194105409550300ETF1332119313999299347300ETF13471178169104279479500ETF13811301080109679504500ETF1256117508192839851100013581409-051949910022ETF1688159908911269963520110IV90IV1921211610000-195117013049902-13431022640100034621276114292571342112200510480107PTA197523859963-4102194220610238-0122371289610056-52516288929864736246420149988450124910031002524625942339100002551285122010063065181919209983-101PVC206716479995420140912309979179144914529993-0033343450710018-11641521936100335852225317010014-9452217224710005-0301899250510432-606LPG326133519997-0901339122710076112219916391000956019251552100683732048190499951441923146999904542705315310011-448PX23682211100041572813383710141-1024463248679998-235273630769996-34020231013220211816191417121015081306IO2310-C-38500411IO2310-P-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