期权偏度指标如何指导期权交易

Report Industry Investment Rating - Not provided in the content Core Viewpoints of the Report - The implied volatility of options is a crucial indicator, influenced by factors such as the rise and fall of the underlying asset price, underlying asset volatility, remaining time to expiration, and market sentiment. The skewness indicator can effectively depict the dynamic structure of implied volatility. When the skewness significantly deviates from the normal range, it often indicates a sharp asymmetric fluctuation in option implied volatility, presenting trading opportunities that can be captured using skewness strategies [1][18]. - In June, the stock market faces the risk of increased volatility. Uncertainties such as economic indicators verifying policy effects, corporate earnings forecasts, and the end of the tariff suspension period in early July may disrupt investors' risk preferences. After late June, there may be opportunities for option skewness to deviate from the normal range, and skewness strategies can be used to seize these opportunities [1][17][20]. Summary by Related Catalog 1 Option Implied Volatility Curve's Dynamic Changes - In reality, the option implied volatility curve is affected by multiple factors, including the rise and fall of the underlying asset price, underlying asset volatility, remaining time to expiration, and market sentiment, rather than remaining fixed as assumed in theoretical research [7]. - Generally, the option implied volatility curve moves horizontally with the rise and fall of the underlying asset price and vertically with the change in underlying asset volatility [7]. - The implied volatility curve is related to the remaining time to expiration. Far - month contracts usually have higher implied volatility than near - month contracts, but this relationship may reverse during important events, presenting calendar spread arbitrage opportunities. The impact of time decay on the implied volatility of options with different strike prices also varies [8]. - The implied volatility curve is also related to market investors' preferences for different strike prices. For example, in agricultural commodity options like corn options, market sentiment can cause the implied volatility curve to "tilt" [9]. 2 Skewness Indicator's Role in Option Trading 2.1 Introduction to the Skewness Indicator - The skewness indicator describes the "tilt" of the option implied volatility curve. Normally, if the market's expectations for long and short positions are not significantly different, the option implied volatility curve shows a "smile curve," and the skewness of call and put options is within a normal range. When the skewness deviates from the normal range, trading opportunities can be captured by constructing option portfolios [10]. - The skewness strategy aims for the skewness to return to the normal range after deviation. When constructing the strategy, it is necessary to ensure Greek letter neutrality, especially delta and vega neutrality, to make the trading position insensitive to price and volatility changes [11]. 2.2 Empirical Case Analysis of the Skewness Strategy - Taking the historical data of the SSE's CSI 300 options in early April 2025 as an example, during a rapid market decline, the implied volatility skewness of CSI 300ETF options significantly deviated from the normal range. A skewness regression portfolio strategy was constructed, and historical data backtesting showed that the strategy achieved good returns. When the skewness returned to the normal range, the strategy could be closed to lock in profits [13][14]. 2.3 Feasibility of the Skewness Strategy in June - When significant market events occur, they cause asymmetric impacts on call and put options, leading to skewness changes. As the event's impact is digested, the skewness returns to the normal range. A delta - neutral skewness strategy can capture the returns from this process [17]. - In June, due to factors such as economic indicators, corporate earnings forecasts, and the end of the tariff suspension period, the stock market faces increased volatility risks. After late June, there may be opportunities for option skewness to deviate from the normal range, which can be exploited using skewness strategies [17][20]. 4 Summary - The implied volatility of options is a key indicator, and its changes are complex. The skewness indicator can well depict the dynamic structure of implied volatility. When the skewness significantly deviates from the normal range, it indicates a sharp asymmetric fluctuation in option implied volatility, and skewness strategies can be used to capture trading opportunities [18].