股指期权数据分析

2012年 03 月 29 日股指期权数据分析20210409东吴期货-研究所李高锋投资有风险，入市需谨慎目录一、沪深300股指期权二、上证300ETF期权三、上证50ETF期权四、股指收益率分布投资有风险，入市需谨慎nQrNnPvNvNaQ9R6MsQnNtRmNjMpPnRlOmMyRbRoPoRNZsPsQMYoNzR沪深300股指期权投资有风险，入市需谨慎5101520253035402017-10-192018-10-192019-10-192020-10-1920HV均值均值-1*方差均值+1*方差3000350040004500500055006000510152025303540455055ATM-IV均值标的价格-右-30-20-1001020ATM(P-C)IV差值沪深300股指期权投资有风险，入市需谨慎00.20.40.60.811.21.4246810121416看涨持仓量看跌持仓量持仓量PCR-MA5-右00.20.40.60.811.20246810121416看涨成交量看跌成交量成交量PCR-MA5-右0100020003000400050006000700080004400 4500 4600 4700 4800 4900 5000 5200 5400 5600 5800 6000 6200 6400CP持仓分布沪深300股指期权投资有风险，入市需谨慎0204060801001204400 4500 4600 4700 4800 4900 5000 5200 5400 5600 5800 6000 6200 6400C-IVP-IV波动率微笑曲线14161820222426281M2M3M6M9M12M2021/4/82021/4/62021/4/7波动率期限结构沪深300股指期权投资有风险，入市需谨慎日期标的物标的价格合约月份2021/4/8 000300.SH 5112.21202104C-IVRhoThetaVegaGammaDeltaC<K>P DeltaGammaVegaThetaRhoP-IV0.001.0842-0.31400.00160.00001.00004400000.0016-0.0022-0.000135.780.001.0964-0.32190.00480.00000.99984450-0.000200.0048-0.0066-0.000233.350.001.1083-0.33660.01310.00000.99954500-0.000500.0131-0.0178-0.000632.710.001.1197-0.36630.03220.00000.99884550-0.001200.0322-0.0439-0.001531.430.001.1297-0.42480.07270.00000.99704600-0.00300.0727-0.0989-0.003829.770.001.1373-0.53370.15030.00010.99334650-0.00670.00010.1503-0.2043-0.008526.230.001.1403-0.72090.28580.00020.98604700-0.0140.00020.2858-0.3879-0.017824.440.001.1359-1.01570.50100.00030.97304750-0.0270.00030.501-0.6791-0.034622.970.001.1203-1.43860.81170.00050.95124800-0.04880.00050.8117-1.0985-0.062521.460.001.0896-1.98911.21840.00080.91784850-0.08220.00081.2184-1.6454-0.105520.290.001.0403-2.63471.69810.00110.87004900-0.130.00111.6981-2.2875-0.167119.960.000.9706-3.30842.20250.00140.80664950-0.19340.00142.2025-2.9576-0.249219.710.000.8809-3.91752.66410.00170.72805000-0.2720.00172.6641-3.5632-0.351219.8112.540.6577-4.57303.18740.00200.53885100-0.46120.0023.1874-4.2117-0.599120.8714.930.4223-4.18402.95380.00190.34385200-0.65620.00192.9538-3.8156-0.85924.9016.500.2298-3.02472.15110.00130.18625300-0.81380.00132.1511-2.6492-1.076329.9018.230.1051-1.74651.24790.00080.08495400-0.91510.00081.2479-1.3639-1.225536.6921.750.0404-0.81470.58390.00040.03255500-0.96750.00040.5839-0.4251-1.314944.4525.570.0130-0.31050.22300.00010.01055600-0.98950.00010.2230.0863-1.366951.4029.390.0036-0.09770.07030.00000.00295700-0.997100.07030.3062-1.40157.7032.920.0008-0.02560.01850.00000.00075800-0.999300.01850.3853-1.428464.0236.810.0002-0.00570.00410.00000.00015900-0.999900.00410.4124-1.453770.8839.090.0000-0.00110.00080.00000.00006000-100.00080.4240-1.478576.8042.650.0000-0.00020.00010.00000.00006100-100.00010.4320-1.503182.59沪深300股指期权希腊字母表4400 4500 4600 4700 4800 4900 5000 5200 5400 5600 5800 6000 6200日期标的物标的价格合约月份2021/4/8 000300.SH5112.2086202104时间价值内在价值理论价收盘价C<K>P收盘价理论价内在价值时间价值(26.21)712.21715.02686.0044000.200.000.000.20(3.61)662.21665.05658.6044500.200.010.000.20(38.01)612.21615.10574.2045000.600.020.000.60(68.01)562.21565.18494.2045500.600.070.000.60(