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/11155042/20170920/31480965.html |
Server: |
cms-8-251 |
Date: |
2024/12/26 01:12:09 |
Powered by China
China
标的资产持续回落
2017-09-20 09:37:09 中国经济网
9月以来,上证50ETF持续回落,周二日内振荡下跌至2.72,较前期高点2.818下跌3.5%。期权市场交投活跃,全日累计成交736386手,较上一交易日减少120693手,认购与认沽分别成交455967手和280419手,成交量PCR值维持在0.65左右,较前值几乎无变化,市场情绪偏乐观。持仓量方面,主力9月合约中,认购与认沽分别持仓563427手和503878手,均超过总体持仓量的50%。总体来看,认购持仓近两周呈现明显增长态势,连续7个交易日超过100万手,认沽持仓亦小幅上涨,这在一定程度上说明投资者持续看好后市。从绝对量上看,认购持仓高于认沽,投资者期待标的资产的进一步上涨。
图为期权持仓量对比
标的资产高位回落,导致认购期权全线下跌,最大跌幅达54.9%,认沽合约中,仅有部分虚值合约外,其余合约小幅上涨,涨幅位于1%—7.8%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12.98%,总体看,iVX呈现明显下跌态势。标的资产历史波动率同样小幅下跌,目前保持在12.24%左右。就主力9月合约而言,认购、认沽各合约隐含波动率差异较大,值域位于10%—61%,认购略大于认沽,二者均值分别为27.66%和24.46%,与其相比,远月月份隐含波动率远低于9月合约。从结构上分析,9月认购认沽依然保持“执行价格越高,隐含波动率越低”的左偏结构,实值认购与虚值认沽定价偏高。
图为主力合约隐含波动率对比
综合来看,上证50ETF持续回落,但长期依然保持强势,建议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。
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/11155042/20170920/31480965.html |
Server: |
cms-8-251 |
Date: |
2024/12/26 01:12:09 |
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/11155042/20170920/31480965.html |
Server: |
cms-8-251 |
Date: |
2024/12/26 01:12:09 |
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/11155042/20170920/31480965.html |
Server: |
cms-8-251 |
Date: |
2024/12/26 01:12:09 |
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/11155042/20170920/31480965.html |
Server: |
cms-8-251 |
Date: |
2024/12/26 01:12:09 |
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/11155042/20170920/31480965.html |
Server: |
cms-8-251 |
Date: |
2024/12/26 01:12:09 |
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/11155042/20170920/31480965.html |
Server: |
cms-8-251 |
Date: |
2024/12/26 01:12:09 |
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/11155042/20170920/31480965.html |
Server: |
cms-8-251 |
Date: |
2024/12/26 01:12:09 |
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/11155042/20170920/31480965.html |
Server: |
cms-8-251 |
Date: |
2024/12/26 01:12:09 |
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/11155042/20170920/31480965.html |
Server: |
cms-8-251 |
Date: |
2024/12/26 01:12:09 |
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/11155042/20170920/31480965.html |
Server: |
cms-8-251 |
Date: |
2024/12/26 01:12:09 |
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/11155042/20170920/31480965.html |
Server: |
cms-8-251 |
Date: |
2024/12/26 01:12:09 |
Powered by China
China
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/11155042/20170920/31480965.html |
Server: |
cms-8-251 |
Date: |
2024/12/26 01:12:09 |
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/11155042/20170920/31480965.html |
Server: |
cms-8-251 |
Date: |
2024/12/26 01:12:09 |
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/11155042/20170920/31480965.html |
Server: |
cms-8-251 |
Date: |
2024/12/26 01:12:09 |
Powered by China
China