請教call波動率上升的看法 - 期貨
By Tracy
at 2011-08-25T16:37
at 2011-08-25T16:37
Table of Contents
今天現貨指數跌了93點，期貨跌56
但價外的call像 9月份7800~8000這附近，竟然沒什麼跌，其中8000call還「漲2點」
請問波動率如此明顯大幅升高，該對後市有怎麼樣的解讀呢？
今天盤也沒有震盪特別劇烈，而且整個走勢也不是朝著「漲」的方向行進，波動率提高，
難道是期待明天禮拜五Bernanke的說話有助於提大幅提振現況嗎？
另外，在還沒股災之前，option的點數通常比較接近左右對稱分佈
比方說期貨8000點時，8300點的call和7700的put價位差不多，注意這邊是指期貨喔~
沒有什麼正逆價差的問題
但是現在，今天期貨7366點，差不多算7350點好了，以7350為圓心，向上下各
正負550點： 7900call 67
6800put 140
正負650點： 8000call 46
6700put 121
差這麼多，是代表投資者看空氣氛強烈？ 抑或有別的解讀？
有沒有存在套利空間？
接觸選擇權1年，還要跟各位請教請教~~謝謝:)
--
但價外的call像 9月份7800~8000這附近，竟然沒什麼跌，其中8000call還「漲2點」
請問波動率如此明顯大幅升高，該對後市有怎麼樣的解讀呢？
今天盤也沒有震盪特別劇烈，而且整個走勢也不是朝著「漲」的方向行進，波動率提高，
難道是期待明天禮拜五Bernanke的說話有助於提大幅提振現況嗎？
另外，在還沒股災之前，option的點數通常比較接近左右對稱分佈
比方說期貨8000點時，8300點的call和7700的put價位差不多，注意這邊是指期貨喔~
沒有什麼正逆價差的問題
但是現在，今天期貨7366點，差不多算7350點好了，以7350為圓心，向上下各
正負550點： 7900call 67
6800put 140
正負650點： 8000call 46
6700put 121
差這麼多，是代表投資者看空氣氛強烈？ 抑或有別的解讀？
有沒有存在套利空間？
接觸選擇權1年，還要跟各位請教請教~~謝謝:)
--
Tags:
期貨
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