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金融期权波动率日报-2025-03-13
An Xin Qi Huo·2025-03-13 01:13

Investment Rating - The report does not explicitly state an investment rating for the industry or specific ETFs analyzed Core Insights - The report provides detailed volatility metrics for various ETFs, including 50ETF, Hu300ETF, Shen300ETF, and others, indicating a range of implied volatility (IV) and historical volatility (HV) levels across different time frames [6][10][20][54][60][69] - The analysis includes skew indices for the main contract months, reflecting market sentiment and expectations regarding future volatility [9][15][23][36][48][65] - The report highlights the historical volatility ranges, with maximum values reaching up to 434% for ShenZheng 500ETF, indicating significant fluctuations in the market [25][51][67] Summary by Relevant Sections 50ETF Analysis - The 50ETF showed an implied volatility of 13.77% on March 12, 2025, with historical volatility (HV) values of 12.91% (5-day), 12.77% (10-day), and 11.70% (20-day) [6] - The skew index for the main contract month was recorded at 87.47 on the same date, indicating a slight decrease from previous days [9] Hu300ETF Analysis - The Hu300ETF had an implied volatility of 13.93% on March 12, 2025, with HV values of 11.43% (5-day), 12.58% (10-day), and 11.89% (20-day) [10] - The skew index for the main contract month was noted at 87.47, reflecting market sentiment [14] Shen300ETF Analysis - The Shen300ETF reported an implied volatility of 13.96% on March 12, 2025, with HV values of 11.99% (5-day), 12.99% (10-day), and 12.27% (20-day) [20] - The skew index for the main contract month was 93.53, indicating a shift in market expectations [23] Other ETFs Analysis - The report also covers the performance of the ChiNext ETF, with an implied volatility of 23.16% on March 12, 2025, and HV values of 19.19% (5-day), 23.96% (10-day), and 23.74% (20-day) [54] - The skew index for the ChiNext ETF was recorded at 89.02, suggesting a stable market outlook [59] Historical Volatility Insights - Historical volatility metrics for various ETFs indicate significant fluctuations, with maximum values reaching 434% for ShenZheng 500ETF and 253% for ChiNext ETF [25][51] - The report provides a comprehensive view of the volatility landscape, highlighting the potential for investment opportunities based on historical trends and current market conditions [38][66]