期货从业号: F3084441投资咨询号: Z0016526【50ETF】日期标的物价格5HV10HV20HV当月IV当月同期HV次月IV近1年IV分位数近2年IV分位数2022/5/272.74414.58%18.68%20.30%19.18%19.40%19.47%57.90%52.10%2022/5/302.75813.96%17.84%19.35%18.85%16.51%19.03%61.20%54.80%2022/5/312.7927.50%17.74%19.31%19.14%16.73%19.19%66.50%58.60%2022年5月31日次月同期HV22.90%23.14%23.34% 刘利娟 国投安信期货金融期权波动率日报18.0%18.5%19.0%19.5%20.0%20.5%21.0%21.5%ATM IV(M1)ATM IV(M2)ATM IV(Q1)ATM IV(Q2)ATM IV期限结构今日昨日前日数据来源：同花顺iFinD，国投安信期货5.00%15.00%25.00%35.00%45.00%55.00%1.502.002.503.003.504.004.5050ETF价格、历史波动率、隐波走势左轴50ETF20HV当月IV数据来源：同花顺iFinD，国投安信期货-0.6-0.4-0.200.20.40.650ETF历史波动率、隐波及差值走势当月IV-同期HV当月IV20HV18.00%18.50%19.00%19.50%20.00%20.50%21.00%9:30:399:42:309:54:3010:06:3210:18:3510:30:4410:42:5010:54:5911:07:0811:19:1713:01:1713:13:0213:24:4713:36:3213:48:1714:00:0214:11:5114:23:4114:35:2314:47:08不同月份平值IV日内走势ATM IV(M1)ATM IV(M2)ATM IV(Q1)ATM IV(Q2)数据来源：同花顺iFinD，国投安信期货数据来源：同花顺iFinD，国投安信期货本报告版权属于国投安信期货有限公司1不可作为投资依据，转载请标明出处 skew指数：今日二日前 四日前114.71110.81110.97历史波动率5日HV10日HV20日HV40日HV60日HV最大值61%44%33%30%26%90分位28%28%27%26%25%75分位22%22%23%22%21% 50分位 16%18%18%18%18% 25分位12%14%14%15%15%10分位10%11%13%13%14%最小值4%7%9%13%13%昨日111.42三日前113.700%10%20%30%40%50%60%过去12个月50ETF历史波动率锥最大值90%75%50%25%10%最小数据来源：同花顺iFinD，国投安信期货16%26%36%46%50ETF期权隐含波动率对比四日前三日前二日前昨日今日数据来源：同花顺iFinD，国投安信期货0.0%50.0%100.0%150.0%200.0%250.0%2.002.503.003.504.004.5050ETF价格、持仓量PCR走势左轴50ETF持仓量PCR数据来源：同花顺iFinD，国投安信期货012340246-26%-22%-19%-15%-12%-9%-5%-2%2%5%9%12%15%19%22%26%50ETF月回报率分布实际分布（左轴）正态分布概率密度数据来源：同花顺iFinD，国投安信期货本报告版权属于国投安信期货有限公司2不可作为投资依据，转载请标明出处 fXiXnVfX9UlXkVaXlW9PdNbRoMnNpNnPjMrRqOlOoOzQ6MrQtQuOtPoNNZrNmO【沪300ETF】日期标的物价格5HV10HV20HV当月IV当月同期HV次月IV近1年IV分位数近2年IV分位数2022/5/274.00216.24%17.84%21.44%19.35%18.59%19.59%66.10%48.80%2022/5/304.02516.92%17.37%19.40%19.51%16.30%19.55%68.90%51.10%2022/5/314.0898.74%18.02%19.96%20.24%16.79%19.84%78.70%60.90%24.61%24.84%次月同期HV24.35%19.0%19.5%20.0%20.5%21.0%21.5%ATM IV(M1)ATM IV(M2)ATM IV(Q1)ATM IV(Q2)ATM IV期限结构今日昨日前日数据来源：同花顺iFinD，国投安信期货5.00%10.00%15.00%20.00%25.00%30.00%35.00%40.00%45.00%50.00%2.002.503.003.504.004.505.005.506.006.502019/12/242020/5/272020/10/262021/3/232021/8/172022/1/14沪300ETF价格、历史波动率、隐波走势左轴300ETF20HV当月IV数据来源：同花顺iFinD，国投安信期货-45.00%-25.00%-5.00%15.00%35.00%0.050.150.250.350.450.550.652019/12/242020/5/272020/10/262021/3/232021/8/172022/1/14沪300ETF价格、历史波动率、隐波走势当月IV-同期HV当月IV20HV数据来源：同花顺iFinD，国投安信期货18.00%18.50%19.00%19.50%20.00%20.50%21.00%21.50%22.00%9:30:419:43:419:56:4310:09:4710:22:5510:36:0310:49:1011:02:1211:15:0711:28:0913:10:3313:23:1213:35:4113:48:0914:00:5414:13:3114:26:0514:38:3314:51:15日内平值隐含波动率走势ATM IV(M1)ATM IV(M2)ATM IV(Q1)ATM IV(Q2)数据来源：同花顺iFinD，国投安信期货本报告版权属于国投安信期货有限公司3不可作为投资依据，转载请标明出处 skew指数：今日二日前 四日前116.83114.31113.77历史波动率5日HV10日HV20日HV40日HV60日HV最大值59%44%34%31%27%90分位29%28%29%26%25%75分位19%20%22%20%19% 50分位 14%16%16%16%17% 25分位12%12%13%13%14%10分位9%11%11%12%12%最小值5%7%9%10%11%114.90三日前118.07昨日0%10%20%30%40%50%60%过去12个月沪300ETF历史波动率锥最大值90%75%50%25%10%最小数据来源：同花顺iFinD，国投安信期货16%26%36%46%沪300ETF期权隐含波动率对比四日前三日前二日前昨日今日数据来源：同花顺iFinD，国投安信期货0.0%20.0%40.0%60.0%80.0%100.0%120.0%140.0%160.0%180.0%2.002.503.003.504.004.505.005.506.002019/12/242020/5/272020/10/262021/3/232021/8/172022/1/14沪300ETF价格、持仓量PCR走势左轴300ETF持仓量PCR数据来源：同花顺iFinD，国投安信期货0240510-28%-24%-20%-17%-13%-9%-6%-2%2%6%9%13%17%20%24%28%沪300ETF月回报率分布实际分布（左轴）正态分布概率密度数据来源：同花顺iFinD，国投安信期货本报告版权属于国投安信期货有限公司4不可作为投资依据，转载请标明出处 【深300ETF】日期标的物价格5HV10HV20HV当月IV当月同期HV次月IV近1年IV分位数近2年IV分位数2022/5/274.00416.64%17.60%20.89%19.69%18.05%19.88%64.80%45.30%2022/5/304.02817.33%17.31%18.85%19.95%15.52%19.80%69.30%49.20%2022/5/314.0949.60%18.11%19.49%20.27%16.31%20.01%73.80%53.30%23.77%次月同期HV24.11%24.63%19.5%19.7%19.9%20.1%20.3%20.5%20.7%20.9%ATM IV(M1)ATM IV(M2)ATM IV(Q1)ATM IV(Q2)ATM IV期限结构今日昨日前日数据来源：同花顺iFinD，国投安信期货5.00%15.00%25.00%35.00%45.00%55.00%2.002.503.003.504.004.505.005.506.002019/12/242020/5/272020/10/262021/3/232021/8/172022/1/14深300ETF价格、历史波动率、隐波走势左轴300ETF20HV当月IV数据来源：同花顺iFinD，国投安信期货-45.00%-25.00%-5.00%15.00%35.00%00.10.20.30.40.50.62019/12/242020/5/272020/10/262021/3/232021/8/172022/1/14深300ETF价格、历史波动率、隐波走势当月IV-同期HV当月IV20HV数据来源：同花顺iFinD，国投安信期货19.0%19.5%20.0%20.5%21.0%21.5%22.0%9:30:349:43:349:56:3610:09:4010:22:4810:35:5710:49:0311:02:0511:15:0111:28:0213:10:2613:23:0513:35:3413:48:0314:00:4814:13:2414:25:5814:38:2614:51:08日内平值隐含波动率走势ATM IV(M1)ATM IV(M2)ATM IV(Q1)ATM IV(Q2)数据来源：同花顺iFinD，国投安信期货本报告版权属于国投安信期货有限公司5不可作为投资依据，转载请标明出处 skew指数：今日二日前 四日前115.97115.23115.07历史波动率5日HV10日HV20日HV40日HV60日HV最大值55%42%32%30%26%90分位27%28%28%25%24%75分位19%20%21%20%18% 50分位 14%16%16%15%17% 25分位12%12%13%13%14%10分位9%11%11%12%12%最小值5%7%9%10%11%昨日114.47三日前113.150%10%20%30%40%50%60%过去12个月深300ETF历史波动率锥最大值90%75%50%25%10%最小数据来源：同花顺iFinD，国投安信期货16%26%36%46%深300ETF期权隐含波动率对比四日前三日前二日前昨日今日数据来源：同花顺iFinD，国投安信期货0.0%20.0%40.0%60.0%80.0%100.0%120.0%140.0%160.0%180.0%2.002.503.003.504.004.505.005.506.002019/12/242020/5/272020/10/262021/3/232021/8/172022/1/14深300ETF价格、持仓量PCR走势左轴300ETF持仓量PCR数据来源：同花顺iFinD，国投安信期货0240510-28%-24%-20%-17%-13%-9%-6%-2%2%6%9%13%17%20%24%28%深300ETF月回报率分布实际分布（