期货从业号: F3084441投资咨询号: Z0016526【50ETF】当月合约距离到期还剩8天日期标的物价格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2022/11/92.47829.00%33.46%28.87%19.83%33.46%19.58%73.80%73.00%2022/11/102.48226.22%33.02%28.69%20.08%31.83%19.51%79.50%79.10%2022/11/112.55523.57%32.24%29.38%20.83%26.63%19.30%73.80%73.20%2022年11月11日次月同期HV23.61%23.96%25.32% 刘利娟 国投安信期货金融期权波动率日报19.0%19.5%20.0%20.5%21.0%21.5%22.0%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0.00%10.00%20.00%30.00%40.00%50.00%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IV20HV19.00%20.00%21.00%22.00%23.00%24.00%9:31:009:42:009:53:0010:04:0010:15:0010:26:0010:37:0010:48:0010:59:0011:10:0011:21:0013:02:0013:13:0013:24:0013:35:0013:46:0013:57:0014:08:0014:19:0014:30:0014:41:0014:52:00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 主力月份skew指数：今日二日前 四日前100.5495.8897.15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27%30%29%26%25%75分位21%20%20%22%21% 50分位 16%16%16%16%16% 25分位12%14%14%14%15%10分位10%12%13%13%14%最小值4%9%12%13%13%昨日94.77三日前95.650%20%40%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18%23%28%33%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%1.502.002.503.003.504.004.5050ETF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01234502468-28%-24%-21%-17%-13%-9%-6%-2%2%6%9%13%17%21%24%28%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 【沪300ETF】当月合约距离到期还剩8天日期标的物价格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2022/11/93.77128.86%31.45%26.05%20.14%31.45%19.87%71.40%71.70%2022/11/103.7528.39%31.35%25.95%20.62%29.87%20.05%77.90%76.60%2022/11/113.84822.86%30.11%26.33%19.77%26.32%19.67%67.30%66.80%22.57%23.50%次月同期HV22.41%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%2.002.503.003.504.004.505.005.506.006.502019/12/242020/5/272020/10/262021/3/232021/8/172022/1/142022/6/20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%0.050.150.250.350.450.550.652019/12/242020/5/272020/10/262021/3/232021/8/172022/1/142022/6/20沪300ETF历史波动率、隐波及差值走势当月IV-同期HV当月IV20HV数据来源：同花顺iFinD，国投安信期货19.00%19.50%20.00%20.50%21.00%21.50%22.00%22.50%9:31:009:42:009:53:0010:04:0010:15:0010:26:0010:37:0010:48:0010:59:0011:10:0011:21:0013:02:0013:13:0013:24:0013:35:0013:46:0013:57:0014:08:0014:19:0014:30:0014:41:0014:52:00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 主力月份skew指数：今日二日前 四日前99.61102.39100.55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%29%29%26%26%75分位20%20%20%23%22% 50分位 16%16%16%15%16% 25分位13%13%13%14%14%10分位9%11%11%12%12%最小值5%7%9%10%11%98.91三日前99.93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18%20%22%24%26%28%30%32%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%2.002.503.003.504.004.505.005.506.002019/12/242020/5/272020/10/262021/3/232021/8/172022/1/142022/6/20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02460510-28%-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】当月合约距离到期还剩8天日期标的物价格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2022/11/93.77528.29%31.26%26.13%20.54%31.26%19.88%72.20%70.50%2022/11/103.74928.17%31.29%26.12%21.28%29.65%20.31%81.60%79.30%2022/11/113.85524.49%30.30%26.75%20.38%26.77%19.51%69.70%68.00%22.56%次月同期HV23.60%24.32%19.0%19.5%20.0%20.5%21.0%21.5%22.0%22.5%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%2.002.503.003.504.004.505.005.506.002019/12/242020/5/272020/10/262021/3/232021/8/172022/1/142022/6/20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%00.10.20.30.40.50.62019/12/242020/5/272020/10/262021/3/232021/8/172022/1/142022/6/20深300ETF历史波动率、隐波及差值走势当月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%22.5%23.0%9:31:009:43:009:55:0010:07:0010:19:0010:31:0010:43:0010:55:0011:07:0011:19:0013:01:0013:13:0013:25:0013:37:0013:49:0014:01:0014:13:0014:25:0014:37:0014:49:00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 主力月份skew指数：今日二日前 四日前98.57100.2299.81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28%29%28%25%26%75分位20%20%20%22%21% 50分位 16%16%16%15%16% 25分位12%13%13%14%14%10分位9%11%11%12%12%最小值5%7%9%10%11%昨日100.12三日前98.470%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18%20%22%24%26%28%30%32%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%2.002.503.003.504.004.505.005.506.002019/12/242020/5/272020/10/262021/3/232021/8/172022/1/142022/6/20深300ETF价格、持仓量PCR走势左轴300E