中證網訊(記(ji)者 馬爽(shuang))今日(ri)(9月(yue)21日(ri)),上海(hai)期貨交易(yi)所(簡稱“上期所”)正式開展銅期貨期權(quan)(quan)交易(yi)。作為國內(nei)首個工業品(pin)(pin)期權(quan)(quan)品(pin)(pin)種(zhong),銅期權(quan)(quan)從(cong)立項起便(bian)備(bei)受關注。首創期貨期權(quan)(quan)研究組表示,銅期貨期權(quan)(quan)上市首日(ri),適宜采用做多波動率策略。
首創(chuang)期(qi)貨期(qi)權(quan)(quan)研究(jiu)組(zu)表示,根據(ju)上期(qi)所9月(yue)(yue)20日(ri)(ri)晚公布的滬銅期(qi)權(quan)(quan)上市(shi)首日(ri)(ri)掛牌基準價,估(gu)值(zhi)計算公式(shi)為布萊(lai)克(BLACK)歐(ou)式(shi)期(qi)貨期(qi)權(quan)(quan)定價模型,無風(feng)險利率(lv)采(cai)用央行一年期(qi)存款利率(lv)1.5%,波動(dong)率(lv)采(cai)用標的期(qi)貨主力合(he)約90天的歷(li)史(shi)波動(dong)率(lv),9月(yue)(yue)20日(ri)(ri)CU1901期(qi)貨合(he)約的結(jie)算價為49150元,平值(zhi)期(qi)權(quan)(quan)的執行價格是49000元。看(kan)漲期(qi)權(quan)(quan)隱含波動(dong)率(lv)為16.33%,看(kan)跌期(qi)權(quan)(quan)隱含波動(dong)率(lv)為16.86%。
銅(tong)(tong)期(qi)(qi)權(quan)(quan)(quan)上(shang)市首(shou)日策(ce)略(lve)方面,首(shou)創期(qi)(qi)貨期(qi)(qi)權(quan)(quan)(quan)研究(jiu)組表示,目(mu)(mu)前(qian)(qian),從滬(hu)銅(tong)(tong)期(qi)(qi)權(quan)(quan)(quan)掛牌(pai)基準價推(tui)導出的隱(yin)含(han)波(bo)動(dong)(dong)率(lv)明顯低(di)于(yu)LME平(ping)值(zhi)(zhi)銅(tong)(tong)期(qi)(qi)權(quan)(quan)(quan)目(mu)(mu)前(qian)(qian)的隱(yin)含(han)波(bo)動(dong)(dong)率(lv)21%。鑒于(yu)滬(hu)銅(tong)(tong)期(qi)(qi)貨連(lian)三合(he)約(yue)歷史波(bo)動(dong)(dong)率(lv)水平(ping)比LME銅(tong)(tong)期(qi)(qi)貨低(di)2.14%,預(yu)測(ce)首(shou)日滬(hu)銅(tong)(tong)平(ping)值(zhi)(zhi)期(qi)(qi)權(quan)(quan)(quan)隱(yin)含(han)波(bo)動(dong)(dong)率(lv)區間(jian)會介于(yu)17%-21%之(zhi)間(jian)。首(shou)日上(shang)市,如果(guo)市場交投活(huo)躍,滬(hu)銅(tong)(tong)平(ping)值(zhi)(zhi)期(qi)(qi)權(quan)(quan)(quan)隱(yin)含(han)波(bo)動(dong)(dong)率(lv)可(ke)(ke)能會繼續上(shang)漲(zhang)超過25%,虛值(zhi)(zhi)期(qi)(qi)權(quan)(quan)(quan)可(ke)(ke)能會更高(gao),適宜采用做多(duo)波(bo)動(dong)(dong)率(lv)策(ce)略(lve),推(tui)薦跨(kua)式組合(he)和寬(kuan)跨(kua)式組合(he)。開盤集合(he)競價之(zhi)后,要(yao)對當前(qian)(qian)估值(zhi)(zhi)做一(yi)個(ge)預(yu)判(pan)。重(zhong)點關注(zhu)平(ping)值(zhi)(zhi)和虛一(yi)檔期(qi)(qi)權(quan)(quan)(quan),觀察(cha)隱(yin)含(han)波(bo)動(dong)(dong)率(lv)在集合(he)競價過程中上(shang)升到了哪個(ge)位置(zhi)。根(gen)據(ju)隱(yin)含(han)波(bo)動(dong)(dong)率(lv)水平(ping)來判(pan)斷(duan)可(ke)(ke)能的盈利空間(jian)。
此外,根據(ju)大(da)(da)商所(suo)的(de)(de)(de)豆粕(po)(po)期(qi)權(quan)(quan)(quan)(quan)(quan)和(he)鄭商所(suo)的(de)(de)(de)白糖期(qi)權(quan)(quan)(quan)(quan)(quan)經驗來看(kan),首(shou)創期(qi)貨期(qi)權(quan)(quan)(quan)(quan)(quan)研究組表示(shi),國內(nei)期(qi)權(quan)(quan)(quan)(quan)(quan)隱(yin)含波(bo)動(dong)(dong)(dong)(dong)率經過上(shang)市首(shou)日(ri)(ri)推(tui)高,從(cong)首(shou)日(ri)(ri)收盤后的(de)(de)(de)第二天(tian)開始,有明顯的(de)(de)(de)向歷史波(bo)動(dong)(dong)(dong)(dong)率回(hui)(hui)落(luo)趨勢。其中(zhong),豆粕(po)(po)期(qi)權(quan)(quan)(quan)(quan)(quan)隱(yin)含波(bo)動(dong)(dong)(dong)(dong)率連(lian)續(xu)回(hui)(hui)落(luo)4個交易(yi)日(ri)(ri),而白糖期(qi)權(quan)(quan)(quan)(quan)(quan)隱(yin)含波(bo)動(dong)(dong)(dong)(dong)率則連(lian)續(xu)回(hui)(hui)落(luo)2個交易(yi)日(ri)(ri)。因此,在(zai)首(shou)日(ri)(ri)效應結束后,推(tui)薦與首(shou)日(ri)(ri)相(xiang)反(fan)的(de)(de)(de)交易(yi)策略。考(kao)慮(lv)到上(shang)期(qi)所(suo)銅期(qi)權(quan)(quan)(quan)(quan)(quan)合約標的(de)(de)(de)市場法人持倉占(zhan)比很(hen)高,標的(de)(de)(de)合約規模大(da)(da)、流動(dong)(dong)(dong)(dong)性(xing)(xing)和(he)合約連(lian)續(xu)性(xing)(xing)好,市場成(cheng)熟度高,故建(jian)議首(shou)日(ri)(ri)隱(yin)含波(bo)動(dong)(dong)(dong)(dong)率推(tui)高至(zhi)25%以(yi)上(shang),賣出(chu)跨(kua)式和(he)寬跨(kua)式組合,并(bing)在(zai)隱(yin)含波(bo)動(dong)(dong)(dong)(dong)率回(hui)(hui)落(luo)至(zhi)20%一線后考(kao)慮(lv)逐步平(ping)倉獲利(li)出(chu)場。
首創期(qi)貨期(qi)權(quan)研究組進(jin)一(yi)步(bu)表示,從滬(hu)倫相(xiang)(xiang)關性角度來(lai)說,滬(hu)銅(tong)(tong)期(qi)權(quan)上市(shi)初期(qi)的(de)(de)(de)隱(yin)含波動(dong)率(lv)曲線左偏(pian)的(de)(de)(de)概率(lv)較大。由于(yu)滬(hu)銅(tong)(tong)期(qi)權(quan)剛掛牌上市(shi)的(de)(de)(de)時候會(hui)(hui)在不(bu)同行(xing)權(quan)價(jia)上使用相(xiang)(xiang)同的(de)(de)(de)隱(yin)含波動(dong)率(lv),但實際的(de)(de)(de)期(qi)權(quan)市(shi)場上是(shi)會(hui)(hui)有偏(pian)度存在,同時結合對(dui)(dui)滬(hu)銅(tong)(tong)價(jia)格未來(lai)三(san)個(ge)月相(xiang)(xiang)對(dui)(dui)樂觀的(de)(de)(de)走勢預期(qi),在此(ci)推薦風險逆(ni)轉(zhuan)組合策略,即(ji)買入(ru)虛值看跌,賣(mai)出虛值看漲,同時買入(ru)標(biao)的(de)(de)(de)期(qi)貨,并保(bao)持期(qi)權(quan)組合Delta中性。
方向(xiang)性(xing)交(jiao)易(yi)策(ce)(ce)略方面(mian),首創期(qi)貨(huo)期(qi)權(quan)研究組建議選擇牛(niu)(niu)市(shi)(shi)價(jia)差(cha)交(jiao)易(yi)策(ce)(ce)略。預(yu)判未來(lai)三個月內銅期(qi)貨(huo)CU1901合(he)約價(jia)格在(zai)區間48500-52000元/噸(dun)偏強(qiang)震蕩(dang),建議投(tou)資(zi)者(zhe)建立牛(niu)(niu)市(shi)(shi)價(jia)差(cha)交(jiao)易(yi)策(ce)(ce)略,用看漲期(qi)權(quan)和(he)看跌期(qi)權(quan)構造均可(ke)。推薦(jian)使用平(ping)值和(he)虛值一檔期(qi)權(quan),即買CU-1901-C-49000賣(mai)CU-1901-C-50000,或買CU-1901-P-48000賣(mai)CU-1901-P-49000。前(qian)者(zhe)在(zai)建倉時收取凈(jing)權(quan)利(li)金(jin)(jin),而后者(zhe)在(zai)建倉時支付凈(jing)權(quan)利(li)金(jin)(jin)。牛(niu)(niu)市(shi)(shi)價(jia)差(cha)期(qi)權(quan)組合(he)相比(bi)于(yu)單(dan)腿看漲期(qi)權(quan)的優(you)勢在(zai)于(yu)知道盈虧比(bi),方便計算頭寸。
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