您的浏览器禁用了JavaScript(一种计算机语言,用以实现您与网页的交互),请解除该禁用,或者联系我们。[银河期货]:银河期货金融期权日报 - 发现报告
当前位置:首页/其他报告/报告详情/

银河期货金融期权日报

2024-07-10朱王超、李松坤银河期货尊***
银河期货金融期权日报

银河期货金融期权日报 400-880-7799www.yhqh.cn日期:2024-7-8星期一2024-07-05上交所2024-07-01 2024-06-07 2024-01-02上证50ETF510050.SH2.42-0.49-0.78-3.352.85沪300ETF510300.SH3.43-0.69-1.52-4.580.24沪500ETF510500.SH4.85-1.66-2.96-7.99-10.75科创50ETF588000.SH0.72-0.96-2.82-7.06-19.29科创50ETF易方达588080.SH0.71-0.98-3.01-6.96-18.69深交所沪深300ETF159919.SZ3.57-0.75-1.63-4.700.17中证500ETF159922.SZ5.03-1.68-3.03-8.19-10.86创业板ETF159915.SZ1.60-1.66-3.39-10.59-13.36深证100ETF159901.SZ2.30-1.16-2.87-7.63-5.85中金所沪深300000300.SH3401.76-0.85-1.73-5.30-0.86中证1000000852.SH4693.96-2.43-4.13-8.52-20.27上证50000016.SH2371.69-0.60-0.97-3.901.96(二)期权标的涨跌衍生品业务总部年初至今(%)标的名称标的代码 收盘价 涨跌幅(%) 周涨跌幅(%) 月涨跌幅(%)一、行情导读期权研究报告数据来源:Wind, 权银河(一)市场综述今日沪深两市呈现弱势下行,两市盘面低开,全天于平线下方震荡下行。 截 至 收 盘 , 上 证 指 数 下 跌 0.93% , 收 报 2922.45 点 , 深 证 成 指 下 跌1.54%,收报8561.95点,创业板指下跌1.62%,收报1628.76点。 沪深两市大面积下跌,市场情绪较为低迷,超过4800只个股呈现下跌,股指期货呈现深贴水状态。期权整体成交量呈现显著下降,其中上证50和沪深300大盘股期权品种跌幅较大,各期权品种持仓量略有增长。受标的大幅下跌影响,期权品种的加权隐率呈现出上升趋势。目前,上证50、沪深300等大盘股期权品种隐率已降至较低水平,而中小盘股期权品种隐率则保持在正常区间内;大盘股期权IV-HV指标偏高,显示出较高的隐波溢价。当下指数呈现弱势整理的态势,建议投资者采取谨慎策略,以熊市价差策略参与为主。 银河期货金融期权日报 400-880-7799www.yhqh.cn上交所上证50ETF82.6万-51.57%160.0万1.91%122.3776.16沪300ETF78.6万-41.33%132.2万5.10%113.3375.92沪500ETF132.7万-15.76%114.6万4.45%131.8473.07科创50ETF40.6万-20.44%111.2万2.38%63.6043.87科创50ETF易方达18.0万-26.35%49.0万1.94%84.9557.33深交所沪深300ETF11.5万-53.54%26.1万9.96%93.0082.35中证500ETF23.6万-22.22%31.1万13.09%113.9581.80创业板ETF81.6万-12.45%126.6万8.80%83.6955.64深证100ETF5.9万-39.89%13.0万13.70%89.9784.53中金所沪深3005.4万-40.31%18.5万3.09%67.9056.93中证100017.8万-10.29%22.0万5.06%102.5650.21上证501.9万-52.69%7.0万0.83%74.4247.52数据来源:Wind, 权银河期权成交量与持仓量(三)各期权品种成交量与持仓量标的名称成交量变化持仓量变化成交量PCR 持仓量PCR数据来源:Wind, 权银河0.0万50.0万100.0万150.0万200.0万成交量持仓量 银河期货金融期权日报 400-880-7799www.yhqh.cn上交所平值IV12.20%12.68%13.14%13.49%IV变化1.06%0.95%0.62%0.05%平值IV12.52%13.69%13.89%14.36% IV变化1.15%1.57%0.99%0.60%平值IV17.75%17.92%17.74%17.59%IV变化1.60%1.23%1.04%0.96%平值IV24.37%23.17%23.41%22.83%IV变化0.88%-0.19%-0.07%-0.33%平值IV23.94%22.73%22.82%22.57%IV变化0.34%-0.84%0.07%0.11%深交所平值IV12.29%13.05%13.69%14.17%IV变化0.75%0.89%0.72%0.25%平值IV17.80%17.72%17.48%17.32%IV变化0.94%0.69%0.44%0.39%平值IV20.82%20.46%20.56%20.62%IV变化0.32%-0.19%-0.10%-0.09%平值IV16.34%15.78%15.93%15.98%IV变化1.15%0.35%0.11%-0.07%中金所平值IV12.82%13.42%14.01%14.09%14.36%14.47%IV变化0.83%0.86%0.63%0.70%0.55%-0.08%平值IV24.42%23.83%22.92%22.33%22.01%21.48%IV变化2.37%1.60%1.12%0.53%0.62%0.85%平值IV13.04%13.08%13.60%13.96%14.20%14.32%IV变化0.53%0.19%0.11%0.47%-0.13%-0.06%中证1000沪深300二、期权波动率分析(一)各期权品种隐含波动率变化数据来源:Wind, 权银河上证50标的名称到期月份24072408 -2409沪300ETF中证500ETF2412 -沪500ETF上证50ETF科创50ETF沪深300ETF深证100ETF科创50ETF易方达创业板ETF标的名称到期月份240724082409241225032506 银河期货金融期权日报 400-880-7799www.yhqh.cn数据来源:Wind, 权银河13.20%7.10%9.91%9.76%11.75%13.81%16.09%4.10%14.03%6.47%10.58%11.09%11.74%13.31%15.51%7.00%17.69%15.85%17.29%18.81%11.40%13.84%18.70%58.50%23.11%21.33%20.66%23.13%17.90%21.37%27.79%66.80%22.73%21.52%21.02%23.27%18.02%21.62%27.39%65.50%13.77%7.03%11.01%11.55%11.87%13.36%15.58%7.80%17.45%15.90%17.53%18.79%11.50%13.67%18.57%58.90%20.59%15.94%20.25%22.88%16.02%18.77%23.84%59.30%15.95%9.65%14.67%16.53%14.33%16.47%19.17%27.80%14.27%7.18%11.24%11.80%12.16%13.54%15.64%7.40%22.02%23.75%23.17%24.77%13.86%16.48%22.22%75.10%13.87%7.53%10.20%10.22%11.97%13.89%16.00%7.80%中金所深交所上证50数据来源:Wind, 权银河沪深300中证1000期权标的与加权IV变化注:25分位数、50分位数、75分位数为近一年该品种主力月份平值隐含波动率的25、50、75分位数数值; IV当前分位数为该品种隐含波动率数值在近一年的分数位水平。注:X轴为标的涨跌幅,Y轴为对应期权品种的加权隐含波动率变化值; 加权隐含波动率计算方式为取各月份平值上下两档合约,按其成交量、到期日的加权方式进行计算;上交所沪300ETF沪500ETF科创50ETF90HV25分位数 50分位数 75分位数IV当前分位数科创50ETF易方达标的名称平值加权IV20HV60HV(二)各期权品种波动率统计上证50ETF沪深300ETF中证500ETF创业板ETF深证100ETF上证50ETF沪300ETF深300ETF沪500ETF深500ETF创业板ETF深100ETF科创50ETF科创50ETF上证50股指沪深300股指-1.0%0.0%1.0%2.0%-2.0%-1.0%0.0%1.0%IV涨跌标的涨跌 银河期货金融期权日报 400-880-7799www.yhqh.cn6.10%94.90%-2.01%2.90%1.28%64.80%0.91%70.10%7.56%98.20%-2.52%8.10%2.78%70.00%0.97%69.70%1.84%48.50%-1.70%48.50%1.16%10.20%0.30%63.40%1.78%39.50%-3.65%9.20%6.93%54.80%-1.13%14.90%1.21%41.00%-2.25%32.10%7.45%62.00%-0.96%15.70%6.74%96.30%0.36%64.20%1.73%48.70%0.49%52.20%1.84%48.50%-1.70%48.50%1.16%10.20%0.30%63.40%4.64%81.50%-0.03%36.90%1.28%50.40%-0.21%21.60%6.30%96.70%-0.51%24.60%1.02%61.70%-0.47%15.30%7.09%97.70%1.08%74.00%1.08%71.10%0.65%51.80%-1.73%26.80%-0.95%27.10%0.00%7.10%-0.27%28.20%6.34%96.30%1.28%60.90%0.10%21.80%0.58%38.50%数据来源:Wind, 权银河1. 上证50ETF期权上证50ETF期权标的与日内波动率走势图(三)各期权品种波动率指标标的名称IV-HVIV-HV分位数SkewSkew分位数KurtKurt分位数上证50ETF沪300ETF跨期波动率价差跨期波动率分位数科创50ETF科创50ETF易方达深交所沪深300ETF上交所(四)各期权品种日内波动率深证100ETF沪500ETF沪深300中证1000中证500ETF创业板ETF数据来源:Wind, 权银河上证50中金所注:IV-HV为主力月份加权隐含波动率与其20日历史波动率差值; Skew衡量期权曲线偏斜程度,其计算方式为虚值两档看涨与看跌期权波动率差值; Kurt衡量期权曲线上平值期权相对高低程度,其计算方式为虚值两档期权与平值期权差值; 跨期波动率价差为主力月份与次主力月份的平值合约波动率差值;12.013.014.015.016.02.382.402.422.442.4607-05 09:3107-05 09:4207-05 09:5307-05 10:0407-05 10:1507-05 10:2607-05 10:3707-05 10:4807-05 10:5907-05 11:1007-05 11:2107-05 13:0107-05 13:1207-05 13:2307-05 13:3407-05 13:4507-05 13:5607-05 14:0707-05 14:1807-05 14:2907-05 14:4007-05 14:5107-08 09:3107-08 09:4207-08 09:5307-08 10:0407-08 1

你可能感兴趣

hot

银河期货金融期权日报

银河期货2024-07-11
hot

银河期货金融期权日报

银河期货2024-07-08
hot

银河期货金融期权日报

银河期货2024-07-12
hot

银河期货商品期权日报

银河期货2024-07-08
hot

银河期货商品期权日报

银河期货2024-07-10