滬銅(tong)期權(quan)本次(ci)上市最近月(yue)的合約(yue)為1901合約(yue),推(tui)薦9月(yue)待(dai)銅(tong)價反彈后逢(feng)高(gao)布局熊市價差策略,料上市初(chu)期隱(yin)含(han)波動率偏高(gao)的可(ke)能(neng)性較大,推(tui)薦在(zai)波動率高(gao)于22%的水平上賣出52000-53000元(yuan)/噸的淺虛值看漲(zhang)期權(quan),可(ke)選擇(ze)買入虛值程度更深的看漲(zhang)期權(quan)控制(zhi)潛在(zai)上行(xing)風(feng)險構(gou)建價差,若(ruo)隱(yin)含(han)波動率定價偏低可(ke)采用看跌期權(quan)熊市價差策略。
倫銅期權(quan)隱含(han)波(bo)(bo)(bo)動(dong)率(lv)是滬銅期權(quan)上市初(chu)期波(bo)(bo)(bo)動(dong)率(lv)水(shui)(shui)平的(de)(de)(de)重要參照基準(zhun),同時(shi)滬銅期權(quan)隱含(han)波(bo)(bo)(bo)動(dong)率(lv)的(de)(de)(de)水(shui)(shui)平也需要在(zai)圍繞(rao)歷史波(bo)(bo)(bo)動(dong)率(lv)變動(dong)的(de)(de)(de)合理(li)區間(jian)內,否則會造成波(bo)(bo)(bo)動(dong)率(lv)套利的(de)(de)(de)機會。
首先,滬(hu)銅(tong)(tong)期貨(huo)波(bo)動(dong)率的(de)(de)均值(zhi)回復特性顯著(zhu),且與倫(lun)銅(tong)(tong)波(bo)動(dong)率具有(you)較(jiao)高(gao)(gao)的(de)(de)一致(zhi)(zhi)性,二者波(bo)動(dong)率變化(hua)基本不存在前后時滯。因此(ci),滬(hu)銅(tong)(tong)期權(quan)的(de)(de)隱含(han)(han)波(bo)動(dong)率與倫(lun)銅(tong)(tong)期權(quan)隱含(han)(han)波(bo)動(dong)率也應該具有(you)較(jiao)高(gao)(gao)的(de)(de)一致(zhi)(zhi)性,滬(hu)倫(lun)隱含(han)(han)波(bo)動(dong)率的(de)(de)大幅偏離會(hui)帶來(lai)內外盤期權(quan)的(de)(de)套利機會(hui)。
其次,滬銅(tong)期(qi)貨歷(li)(li)史(shi)(shi)波(bo)動(dong)率(lv)相(xiang)對倫(lun)銅(tong)波(bo)動(dong)率(lv)(基于(yu)倫(lun)銅(tong)3個月遠期(qi)測算(suan)波(bo)動(dong)率(lv))存在(zai)結構(gou)性偏低的現(xian)象,從2010年(nian)至(zhi)今滬倫(lun)60日歷(li)(li)史(shi)(shi)波(bo)動(dong)率(lv)價差(滬-倫(lun))大概率(lv)位(wei)(wei)(wei)于(yu)0值以下。此外,目前該價差在(zai)-5%左右,遠低于(yu)歷(li)(li)史(shi)(shi)均值-1.91%與(yu)歷(li)(li)史(shi)(shi)中(zhong)(zhong)位(wei)(wei)(wei)數-1.97%。從歷(li)(li)史(shi)(shi)波(bo)動(dong)率(lv)的錐(zhui)狀分布式(shi)上看,目前滬銅(tong)歷(li)(li)史(shi)(shi)波(bo)動(dong)率(lv)位(wei)(wei)(wei)于(yu)歷(li)(li)史(shi)(shi)25分位(wei)(wei)(wei)數至(zhi)中(zhong)(zhong)位(wei)(wei)(wei)數之間(jian),倫(lun)銅(tong)歷(li)(li)史(shi)(shi)波(bo)動(dong)率(lv)則(ze)高于(yu)歷(li)(li)史(shi)(shi)75分位(wei)(wei)(wei)數。
基(ji)于(yu)滬銅(tong)與倫銅(tong)波(bo)動(dong)(dong)率(lv)(lv)(lv)走勢(shi)的一致性趨勢(shi)和(he)短期(qi)相(xiang)對水平的偏離(li),滬銅(tong)期(qi)權上市(shi)后(hou)波(bo)動(dong)(dong)率(lv)(lv)(lv)略低于(yu)倫銅(tong)隱(yin)(yin)含(han)波(bo)動(dong)(dong)率(lv)(lv)(lv)、高于(yu)近期(qi)歷史(shi)波(bo)動(dong)(dong)率(lv)(lv)(lv)的區間屬于(yu)較(jiao)為(wei)合(he)理的水平。由于(yu)滬銅(tong)期(qi)權上市(shi)的最早合(he)約(yue)為(wei)1901合(he)約(yue),到期(qi)日(ri)(ri)最接近倫銅(tong)期(qi)權合(he)約(yue)也是1月合(he)約(yue),期(qi)限相(xiang)差5個(ge)交(jiao)易(yi)日(ri)(ri),目前倫銅(tong)期(qi)權1月合(he)約(yue)隱(yin)(yin)含(han)波(bo)動(dong)(dong)率(lv)(lv)(lv)為(wei)21.03%,滬銅(tong)60日(ri)(ri)歷史(shi)波(bo)動(dong)(dong)率(lv)(lv)(lv)為(wei)16.21%,預計波(bo)動(dong)(dong)率(lv)(lv)(lv)合(he)理區間范(fan)圍在[18%,21%]。
中(zhong)證(zheng)(zheng)(zheng)(zheng)(zheng)網(wang)(wang)聲明(ming)(ming):凡(fan)本(ben)網(wang)(wang)注(zhu)明(ming)(ming)“來(lai)源(yuan):中(zhong)國(guo)(guo)證(zheng)(zheng)(zheng)(zheng)(zheng)券報·中(zhong)證(zheng)(zheng)(zheng)(zheng)(zheng)網(wang)(wang)”的所(suo)有作(zuo)(zuo)品,版(ban)權(quan)均屬于中(zhong)國(guo)(guo)證(zheng)(zheng)(zheng)(zheng)(zheng)券報、中(zhong)證(zheng)(zheng)(zheng)(zheng)(zheng)網(wang)(wang)。中(zhong)國(guo)(guo)證(zheng)(zheng)(zheng)(zheng)(zheng)券報·中(zhong)證(zheng)(zheng)(zheng)(zheng)(zheng)網(wang)(wang)與(yu)作(zuo)(zuo)品作(zuo)(zuo)者(zhe)聯(lian)合聲明(ming)(ming),任何組織未經中(zhong)國(guo)(guo)證(zheng)(zheng)(zheng)(zheng)(zheng)券報、中(zhong)證(zheng)(zheng)(zheng)(zheng)(zheng)網(wang)(wang)以及作(zuo)(zuo)者(zhe)書面授權(quan)不得轉載(zai)(zai)、摘編或利用其它方(fang)式使用上述作(zuo)(zuo)品。凡(fan)本(ben)網(wang)(wang)注(zhu)明(ming)(ming)來(lai)源(yuan)非中(zhong)國(guo)(guo)證(zheng)(zheng)(zheng)(zheng)(zheng)券報·中(zhong)證(zheng)(zheng)(zheng)(zheng)(zheng)網(wang)(wang)的作(zuo)(zuo)品,均轉載(zai)(zai)自其它媒(mei)體,轉載(zai)(zai)目(mu)的在于更(geng)好服(fu)務讀者(zhe)、傳遞信息之需,并不代表本(ben)網(wang)(wang)贊同其觀點(dian),本(ben)網(wang)(wang)亦不對其真實性負責(ze),持(chi)異議者(zhe)應與(yu)原(yuan)出(chu)處單位主張權(quan)利。
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