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认购增仓强于认沽
2017-09-08 09:06:55 中国经济网
标的资产高位回落,导致认购期权全线下跌,最大跌幅达31.87%,认沽合约中,仅有9月部分虚值合约外,其余合约全部上涨,涨幅位于5%—30.63%之间。基于上证50ETF期权价格计算而成的中国波动率指数(iVX)日内一路下跌至14.71%,但总体看近期涨势明显,近两周以来已累计上涨2个百分点。标的资产历史波动率保持在12.5%左右,涨幅较小,上涨动力不足。就9月主力合约而言,认沽各合约隐含波动率差异较大,值域位于13.43%—36.10%,认购波动率范围有所收窄,仅处于10%—16%之间波动,二者均值分别为21.33%和6.21%。从结构上看,认购、认沽偏度有所变化,认沽呈现明显的“执行价格越高,隐含波动率越低”的左偏结构,而认购则呈现右偏结构。
综合来看,上证50ETF近两周以来有所回落,但总体看强势不减,建议以牛市策略为主,逢低买入虚值认购或卖出虚值认沽,标的资产持有者应积极购入远期认沽期权防控价格下跌风险,保守投资者可基于波动率偏度结构构建认购价差组合。
图为期权持仓量对比
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