5月6日,上證50指數遭(zao)遇重挫,50ETF認(ren)沽期權合約集體飆升(sheng)。分(fen)析人(ren)士表示,當前上證50指數下方考(kao)驗60日均線(xian),若支撐(cheng)無效,市(shi)場情緒還將受到沖擊,投資者可買入平(ping)值或淺虛值的看跌(die)期權博取50ETF短線(xian)下跌(die)的收(shou)益。
多只認沽期權漲超一倍
5月(yue)6日,上證50指數(shu)遭遇重挫,收跌(die)4.76%,50ETF收報(bao)2.787點,跌(die)4.82%,受此影響,50ETF期權中認購合(he)(he)約全(quan)線走低,認沽期權合(he)(he)約集體飆升。
以5月50ETF期權合(he)(he)約(yue)(yue)為例,昨日認購合(he)(he)約(yue)(yue)跌幅(fu)(fu)基(ji)本維持在(zai)25%-50%之間;而認沽合(he)(he)約(yue)(yue)則大(da)(da)幅(fu)(fu)拉(la)升,11只(zhi)漲幅(fu)(fu)超(chao)(chao)過100%,其中50ETF沽5月2500合(he)(he)約(yue)(yue)、50ETF沽5月2600合(he)(he)約(yue)(yue)、50ETF沽5月2650合(he)(he)約(yue)(yue)分別大(da)(da)漲450%、495.24%、460%,50ETF沽5月2600盤中更是一度(du)漲超(chao)(chao)828.57%。
“受50ETF大(da)跌(die)影響,從delta上利好(hao)認(ren)(ren)沽(gu)期(qi)權(quan),不利于(yu)認(ren)(ren)購(gou)期(qi)權(quan),因此昨日認(ren)(ren)沽(gu)期(qi)權(quan)和(he)認(ren)(ren)購(gou)期(qi)權(quan)走勢顯著分化(hua):認(ren)(ren)沽(gu)合(he)約(yue)(yue)全線飄紅(hong),認(ren)(ren)購(gou)合(he)約(yue)(yue)集體(ti)下跌(die)。主力合(he)約(yue)(yue)方面,受標的物大(da)跌(die)和(he)隱含波動率飆升影響,虛值(zhi)(特別是深度虛值(zhi))看跌(die)期(qi)權(quan)漲幅較(jiao)大(da)。”一(yi)德期(qi)貨期(qi)權(quan)分析師(shi)陳暢表(biao)示。
短期恐維持高波動
“50ETF期權的推(tui)出豐富了投資者風險管理(li)工(gong)具(ju),有助于(yu)資本市場穩(wen)定(ding)健康(kang)發展。”光大(da)期貨(huo)期權部分析師(shi)張(zhang)毅(yi)表(biao)示。
張毅(yi)舉(ju)例稱,“五一”節(jie)前最(zui)后一個(ge)交(jiao)易日(ri)(4月(yue)30日(ri)),50ETF收于(yu)2.928,對應的平值(zhi)期權(quan)(quan)(quan)為(wei)(wei)(wei)2.950行(xing)權(quan)(quan)(quan)價(jia)期權(quan)(quan)(quan)。而如果(guo)投資者對于(yu)假日(ri)期間國內外消息面可(ke)能存在重(zhong)大變化,并會導致(zhi)50ETF節(jie)后出現大幅波動(dong)的預期,則(ze)可(ke)利用期權(quan)(quan)(quan)的跨式策(ce)略(lve)或寬跨式策(ce)略(lve)來鎖定風(feng)險。比如,節(jie)前同時買入5月(yue)平值(zhi)認(ren)(ren)(ren)(ren)購(gou)期權(quan)(quan)(quan)和平值(zhi)認(ren)(ren)(ren)(ren)沽(gu)期權(quan)(quan)(quan),隨(sui)著(zhu)節(jie)后首個(ge)交(jiao)易日(ri)50ETF大跌4.82%,上述認(ren)(ren)(ren)(ren)購(gou)期權(quan)(quan)(quan)變為(wei)(wei)(wei)深度虛值(zhi)認(ren)(ren)(ren)(ren)購(gou)期權(quan)(quan)(quan),權(quan)(quan)(quan)利金(jin)大跌,上述認(ren)(ren)(ren)(ren)沽(gu)期權(quan)(quan)(quan)變為(wei)(wei)(wei)深度實值(zhi)認(ren)(ren)(ren)(ren)沽(gu)期權(quan)(quan)(quan),權(quan)(quan)(quan)利金(jin)大漲。該策(ce)略(lve)就可(ke)以(yi)有效地(di)回避(bi)節(jie)后劇烈波動(dong)風(feng)險。
就短期(qi)(qi)而言,陳暢認為,消息面的(de)不確(que)定性會繼(ji)續(xu)(xu)影響50ETF走勢,在消息面塵(chen)埃落(luo)定之前(qian),50ETF大概(gai)率(lv)繼(ji)續(xu)(xu)維(wei)持(chi)高波動。由(you)于當前(qian)距離5月(yue)合約到期(qi)(qi)日還有16個自然日,短期(qi)(qi)高波動率(lv)對期(qi)(qi)權賣方(fang)的(de)不利影響還會繼(ji)續(xu)(xu),因此建(jian)議期(qi)(qi)權賣方(fang)控制(zhi)好風險。
策略(lve)方(fang)面(mian)(mian)(mian)(mian),陳暢表示(shi),當前上(shang)證50指數下方(fang)考(kao)驗60日(ri)(ri)均線(xian),若支(zhi)撐(cheng)(cheng)(cheng)無(wu)效(xiao)(xiao)(xiao),則市場情緒(xu)還將受到沖(chong)擊。此(ci)外,滬(hu)股通資金流(liu)向和人民幣匯率(lv)走(zou)勢也將對50ETF形成考(kao)驗。操作上(shang),建(jian)(jian)議(yi)(yi)期(qi)權(quan)(quan)(quan)(quan)單(dan)邊方(fang)面(mian)(mian)(mian)(mian),買入平值或淺虛值看跌(die)期(qi)權(quan)(quan)(quan)(quan)博取50ETF短線(xian)下跌(die)的收益,關(guan)注60日(ri)(ri)均線(xian)支(zhi)撐(cheng)(cheng)(cheng)情況,若支(zhi)撐(cheng)(cheng)(cheng)有效(xiao)(xiao)(xiao)則立刻止(zhi)(zhi)損;期(qi)貨/期(qi)權(quan)(quan)(quan)(quan)組(zu)合(he)方(fang)面(mian)(mian)(mian)(mian):持有上(shang)證50期(qi)指主(zhu)力合(he)約IH多單(dan)者(zhe)可買入看跌(die)期(qi)權(quan)(quan)(quan)(quan)合(he)成備兌(dui),delta值保持中性或略(lve)微為負,關(guan)注60日(ri)(ri)均線(xian)支(zhi)撐(cheng)(cheng)(cheng)情況,若支(zhi)撐(cheng)(cheng)(cheng)有效(xiao)(xiao)(xiao)則立刻止(zhi)(zhi)損;期(qi)權(quan)(quan)(quan)(quan)組(zu)合(he)方(fang)面(mian)(mian)(mian)(mian),在消息面(mian)(mian)(mian)(mian)塵(chen)埃落定之(zhi)前,50ETF波動率(lv)或將維持高位,建(jian)(jian)議(yi)(yi)投資者(zhe)利用看跌(die)期(qi)權(quan)(quan)(quan)(quan)構(gou)建(jian)(jian)比(bi)例價(jia)差。建(jian)(jian)議(yi)(yi)做好風控、適時止(zhi)(zhi)盈。
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