国投期货金融期权波动率日报-2025-03-19

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 data for various ETFs, including 50ETF,沪300ETF, 深300ETF, 沪中证500ETF, 创业板ETF, and 深证100ETF, highlighting their implied volatility (IV) and historical volatility (HV) trends over recent days. - The implied volatility for the 50ETF on March 18, 2025, was recorded at 16.16%, with a historical volatility of 15.36% over 20 days, indicating a relatively stable market condition [2][3][4]. - The report notes a skew index for the main month of the 50ETF at 82.83, suggesting a slight preference for puts over calls in the options market [9]. - For the沪300ETF, the implied volatility on March 18, 2025, was 15.63%, with a 20-day historical volatility of 14.48%, reflecting a similar stability [11][12]. - The report indicates that the 创业板ETF had an implied volatility of 23.46% on March 18, 2025, which is higher compared to other ETFs, suggesting greater market uncertainty or potential for price movement [52][53]. Summary by Sections 50ETF Analysis - The 50ETF's price on March 18, 2025, was 2.800, with an implied volatility of 16.16% and a 20-day historical volatility of 15.36% [2][3]. - The report shows a decreasing trend in the implied volatility over the past few days, indicating a potential stabilization in market expectations [4][5]. 沪300ETF Analysis - The 沪300ETF's price on March 18, 2025, was 4.103, with an implied volatility of 15.63% and a 20-day historical volatility of 14.48% [11][12]. - The report highlights a consistent pattern in the implied volatility, suggesting a stable outlook for this ETF [12]. 深300ETF Analysis - The 深300ETF's price on March 18, 2025, was 4.207, with an implied volatility of 15.56% and a 20-day historical volatility of 14.70% [22][23]. - The report indicates a slight decrease in implied volatility, reflecting a potential reduction in market uncertainty [23]. 沪中证500ETF Analysis - The 沪中证500ETF's price on March 18, 2025, was 6.126, with an implied volatility of 20.04% and a 20-day historical volatility of 16.95% [29][30]. - The report notes a higher implied volatility compared to other ETFs, indicating greater market expectations for price movements [30]. 创业板ETF Analysis - The 创业板ETF's price on March 18, 2025, was 2.185, with an implied volatility of 23.46% and a 20-day historical volatility of 24.33% [52][53]. - The report suggests that this ETF is experiencing higher volatility, which may present both risks and opportunities for investors [53]. 深证100ETF Analysis - The 深证100ETF's price on March 18, 2025, was 2.845, with an implied volatility of 18.43% and a 20-day historical volatility of 17.53% [62][63]. - The report indicates a stable trend in implied volatility, suggesting a balanced market outlook [63].