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波动率重拾升势

2017-08-30 09:52:06   中国经济网

在连续放量上涨后周二A股振荡整理,上证指数微涨0.08%,创业板指数下跌0.61%,沪深两市成交金额5653亿元,较周一小幅回落。板块方面,电力、建筑材料、机场港口航运等涨幅居前。军工、家电、证券、煤炭等板块回调,次新股尾盘闪跌。

三大期指IF和IH主力合约走势均强于现货指数,IC主力贴水小幅扩大,但远月贴水收敛明显。期权方面,标的资产上证50ETF微涨0.04%收于2.789,9月合约整体变动不大。波动率连续四个交易日上涨,目前上海证券交易所公布的iVX指数为14.94%,四个交易日上涨近17个百分点。

期权持仓量增加,成交量减小。当日全市场合计成交63.50万张,仅为上一交易日的一半左右。其中,认购期权合约总成交37.92万张,较周一减小36.75万张,认沽合约总成交26.29万张,较周一减小30.7万张。日成交量PCR由上一交易日的0.76减小至0.69。期权总持仓153.62万张,较周一持仓量增加6.30万张。其中认购合约持仓70.73万张,较周一增加4.23万张,认沽合约持仓86.43万张,增加2.17万张。持仓量PCR值1.22,较周一有所减小。

图为9月平值期权隐含波动率走势

从当月期权合约成交持仓变动看,9月合约成交量减小55.70万张,持仓量增加4.40万张,其中认购期权增持3.22万张,认沽期权增持1.18万张。从各执行价的成交持仓数据看,增持最大的合约来自于新挂牌的2.90合约,为2.51万手;认沽期权增持最大的合约为2.80合约,增持0.49万手。整体来看,周二浅虚值认购期权、浅实值认沽期权增持,而前者增持力度更大,预示对后期行情偏乐观。

9月平值期权历史波动率有所回升,但不如隐含波动率回升速度快。认购期权隐含波动率从24日11.96%上涨至17.47%,超过历史波动率11.3个百分点,而认沽期权隐含波动率变动较小。

整体而言,当前宏观环境较为稳定,指数突破3300一线后上行空间已打开,市场情绪明显改善。上证50指数放量跳空突破前高,看涨意味明显,建议投资者买入认购期权为主,谨慎者可布局牛市看涨价差组合。

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