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期权观察:标的资产振荡下跌

2017-08-04 12:24:50   中国经济网

图为期权成交量比较

标的资产高位承压下跌,导致认购期权全线下跌,认沽期权则全线上涨,其中“8月认沽2.65”涨幅达74.51%。标的资产历史波动率上涨至13%,随着标的资产的波动放缓,未来上涨空间有限。基于上证50ETF期权价格计算而成的中国波动率指数(iVX)日内冲高回落,一路下跌至15.27%,但从绝对值来看依然维持高位,该指数长期走势表明,随着标的资产的飙升,隐含波动率自5月底大幅上涨,目前维持在15%上方。主力8月合约中,认购平均隐含波动率为17.08%,而认沽则为16.03%,二者价差明显缩小。隐含波动率偏度结构亦有所变化,8月认购由右偏转变为微笑结构,与认沽基本保持一致。

图为中国波动率指数(iVX)日内走势

综合来看,上证50ETF周四下跌明显,但中长期上涨动能犹存,后期能否延续跌势有待观察,建议逢低买入认购期权,备兑组合投资者将认购期权展期至远期合约,鉴于目前已积累相当涨幅,避免单独卖出认沽期权。

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