期权日报

1 请务必阅读正文之后的免责条款部分 南华期货：期权日报（2023/4/18） 南华期货研究所 周小舒 投资咨询证号：Z0014889 金融期权波动率每日观察 品种 隐含波动率 20 日历史波动率 隐历差 110IV/90IV 近月 IV/次近月 IV 50ETF 14.91% 10.81% 4.10% 96.46% 94.73% 上证 50 15.35% 10.24% 5.11% 98.05% 98.59% 深 100ETF 16.40% 11.24% 5.16% 92.02% 99.45% 沪深 300 14.14% 9.66% 4.48% 93.76% 95.35% 上交所 300ETF 14.00% 9.93% 4.07% 89.72% 93.90% 深交所 300ETF 14.07% 9.57% 4.50% 89.99% 94.68% 上交所 500ETF 14.91% 10.81% 4.10% 96.46% 94.73% 深交所 500ETF 13.14% 7.98% 5.16% 91.23% 91.76% 中证 1000 13.67% 10.54% 3.13% 88.19% 89.88% 创业板 ETF 16.97% 12.17% 4.80% 70.26% 95.02% 商品期权波动率每日观察 品种 隐含波动率 20 日历史波动率 110IV/90IV 隐历差 豆粕 17.79% 22.72% 100.11% -4.93% 玉米 11.99% 14.05% 94.39% -2.06% 铁矿石 26.59% 44.42% 99.96% -17.83% 白糖 18.40% 14.93% 101.99% 3.47% 棉花 16.93% 13.15% 114.25% 3.78% PTA 23.33% 26.64% 101.00% -3.31% 甲醇 19.14% 15.09% 96.97% 4.05% 菜粕 18.47% 24.26% 104.58% -5.79% 铜 21.64% 11.54% 95.20% 10.10% 橡胶 20.79% 11.82% 100.10% 8.97% 黄金 17.26% 16.54% 99.88% 0.72% 棕榈油 24.93% 26.82% 100.00% -1.89% 铝 15.44% 10.03% 100.20% 5.41% 锌 19.91% 16.06% 100.05% 3.85% PVC 17.08% 13.87% 100.06% 3.21% 塑料 14.84% 10.92% 100.55% 3.92% 聚丙烯 12.93% 8.66% 99.31% 4.27% 原油 31.06% 33.37% 99.97% -2.31% 豆一 13.86% 15.91% 99.28% -2.05% 豆二 20.77% 25.70% 99.95% -4.93% 豆油 20.61% 18.70% 99.95% 1.91% 菜油 19.01% 19.02% 90.08% -0.01% LPG 27.73% 23.55% 100.07% 4.18% 2 期权日报 请务必阅读正文之后的免责条款部分 花生 17.28% 15.91% 100.06% 1.37% 白银 26.73% 19.30% 100.04% 7.43% 螺纹钢 20.60% 18.84% 99.90% 1.76% 工业硅 22.92% 16.09% 100.04% 6.83% 一、 期权策略跟踪 行情判断：震荡偏强 期权持仓：卖出 IO2304-P-3900 图 1.1：期权策略表现： 资料来源：南华研究 二、金融期权数据 上一个交易日，金融期权隐含波动率和历史波动率低位回升，期权定价偏高。波动率偏度和期限结构整体上移，近月期权隐含波动率仍低于远月期权，期权市场参与者认为未来股指走势平稳。南华 50ETF 期权波动率指数是 17.84，南华沪深 300 期权波动率指数是 19.50，南华中证 1000 期权波动率指数是 19.59，南华期权波动率指数涨幅明显，股指强势上行，建议卖出虚值看跌期权。 0.941.041.141.241.341.441.541.641.741.84202005062020060120200629202007242020082120201014202011192020122320210126202102262021032520210420202105192021061120210715202108102021090320211008202111032021112920211223202201192022022120220324202204212022052020220616202207122022081820220916202211022022112820221223202301192023030620230330净值 3 期权日报 请务必阅读正文之后的免责条款部分 图 2.1：50ETF 期权隐含波动率与历史波动率： 资料来源：wind、南华研究 图 2.2： 50ETF 期权波动率偏度与期限结构： 资料来源：wind、南华研究 图 2.3：华泰柏瑞 300ETF 期权隐含波动率与历史波动率： 资料来源：wind、南华研究 5.00%10.00%15.00%20.00%25.00%30.00%35.00%40.00%45.00%50.00%2021/5/172021/6/42021/6/252021/7/152021/8/42021/8/242021/9/132021/10/122021/11/12021/11/192021/12/92021/12/292022/1/192022/2/152022/3/72022/3/252022/4/182022/5/112022/5/312022/6/212022/7/112022/7/292022/8/182022/9/72022/9/282022/10/252022/11/142022/12/22022/12/222023/1/122023/2/82023/2/282023/3/202023/4/10隐含波动率 20日历史波动率 0%10%20%30%40%50%60%60%80%90%95%98%100%103%105%110%120%130%202304142023041713.0%13.5%14.0%14.5%15.0%15.5%16.0%16.5%17.0%1M2M3M6M9M1Y20230414202304175.00%10.00%15.00%20.00%25.00%30.00%35.00%40.00%45.00%2021/5/172021/6/72021/6/292021/7/202021/8/102021/8/312021/9/232021/10/212021/11/112021/12/22021/12/232022/1/142022/2/112022/3/42022/3/252022/4/192022/5/132022/6/62022/6/2720