新闻
404 Not Found

404 Not Found

Sorry for the inconvenience.
Please report this message and include the following information to us.
Thank you very much!

URL: http://3g.china.com:8080/act/news/11038989/20170830/31229452.html
Server: cms-8-251
Date: 2024/11/25 13:39:55

Powered by China
China

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。

404 Not Found

404 Not Found

Sorry for the inconvenience.
Please report this message and include the following information to us.
Thank you very much!

URL: http://3g.china.com:8080/act/news/11038989/20170830/31229452.html
Server: cms-8-251
Date: 2024/11/25 13:39:55

Powered by China
China
404 Not Found

404 Not Found

Sorry for the inconvenience.
Please report this message and include the following information to us.
Thank you very much!

URL: http://3g.china.com:8080/act/news/11038989/20170830/31229452.html
Server: cms-8-251
Date: 2024/11/25 13:39:55

Powered by China
China

相关阅读

404 Not Found

404 Not Found

Sorry for the inconvenience.
Please report this message and include the following information to us.
Thank you very much!

URL: http://3g.china.com:8080/act/news/11038989/20170830/31229452.html
Server: cms-8-251
Date: 2024/11/25 13:39:55

Powered by China
China
404 Not Found

404 Not Found

Sorry for the inconvenience.
Please report this message and include the following information to us.
Thank you very much!

URL: http://3g.china.com:8080/act/news/11038989/20170830/31229452.html
Server: cms-8-251
Date: 2024/11/25 13:39:55

Powered by China
China
404 Not Found

404 Not Found

Sorry for the inconvenience.
Please report this message and include the following information to us.
Thank you very much!

URL: http://3g.china.com:8080/act/news/11038989/20170830/31229452.html
Server: cms-8-251
Date: 2024/11/25 13:39:55

Powered by China
China
分享到:
0 0
404 Not Found

404 Not Found

Sorry for the inconvenience.
Please report this message and include the following information to us.
Thank you very much!

URL: http://3g.china.com:8080/act/news/11038989/20170830/31229452.html
Server: cms-8-251
Date: 2024/11/25 13:39:55

Powered by China
China
404 Not Found

404 Not Found

Sorry for the inconvenience.
Please report this message and include the following information to us.
Thank you very much!

URL: http://3g.china.com:8080/act/news/11038989/20170830/31229452.html
Server: cms-8-251
Date: 2024/11/25 13:39:55

Powered by China
China

美图推荐

404 Not Found

404 Not Found

Sorry for the inconvenience.
Please report this message and include the following information to us.
Thank you very much!

URL: http://3g.china.com:8080/act/news/11038989/20170830/31229452.html
Server: cms-8-251
Date: 2024/11/25 13:39:55

Powered by China
China
404 Not Found

404 Not Found

Sorry for the inconvenience.
Please report this message and include the following information to us.
Thank you very much!

URL: http://3g.china.com:8080/act/news/11038989/20170830/31229452.html
Server: cms-8-251
Date: 2024/11/25 13:39:55

Powered by China
China
404 Not Found

404 Not Found

Sorry for the inconvenience.
Please report this message and include the following information to us.
Thank you very much!

URL: http://3g.china.com:8080/act/news/11038989/20170830/31229452.html
Server: cms-8-251
Date: 2024/11/25 13:39:55

Powered by China
China
404 Not Found

404 Not Found

Sorry for the inconvenience.
Please report this message and include the following information to us.
Thank you very much!

URL: http://3g.china.com:8080/act/news/11038989/20170830/31229452.html
Server: cms-8-251
Date: 2024/11/25 13:39:55

Powered by China
China

为您推荐

加载更多>>
404 Not Found

404 Not Found

Sorry for the inconvenience.
Please report this message and include the following information to us.
Thank you very much!

URL: http://3g.china.com:8080/act/news/11038989/20170830/31229452.html
Server: cms-8-251
Date: 2024/11/25 13:39:55

Powered by China
China
404 Not Found

404 Not Found

Sorry for the inconvenience.
Please report this message and include the following information to us.
Thank you very much!

URL: http://3g.china.com:8080/act/news/11038989/20170830/31229452.html
Server: cms-8-251
Date: 2024/11/25 13:39:55

Powered by China
China
404 Not Found

404 Not Found

Sorry for the inconvenience.
Please report this message and include the following information to us.
Thank you very much!

URL: http://3g.china.com:8080/act/news/11038989/20170830/31229452.html
Server: cms-8-251
Date: 2024/11/25 13:39:55

Powered by China
China