>> 南华期货-期权日报-231024
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2023/10/24 |
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3589KB |
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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继续上升，期权定价公允。远月期权波动率上升，市场信心偏弱，近月期权波动率高于远月期权，期权.市场参与者预期未来市场走势波动加剧。南华50ETF期权波动率指数是23.49,南华沪深300期权波动率指数是24.41,南华中证100期权波动率指数是24.81,南华期权液动率指数继续上升，股指延续弱势，建议卖出看涨期权。
研究报告全文：2023102420110IV90IVIVIV50ETF18421605237110191029150180515452601059410152100ETF202915125171099210535300185913565031000910391300ETF180613794271007110203300ETF182213714511052410184500ETF184216052371101910291500ETF18211426395831310612100020011520481893110741ETF23661716650107741051620110IV90IV1824188310100-059106412679639-203287927389990141118011937363-0131780173310897047PTA19151811103881042218222610357-008219221649876028159810158554583220919891001822015741222100003522273238010013-1071110114510083-0351743191510029-172PVC19091617100372921437115810063279152912999967230334946069991-12571355997100073581918290510031-9871801227910039-478179824169269-618LPG442333801000210431360148410456-124216816061001856215841368101092161888220510043-3171708115410006554278527449996041PX23281964101113642775342810104-6534334497310005-639282126021000721920231024220211816191417121015081306IO2311-C-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