波动率数据日报-20250822

Group 1: Implied Volatility Index and Its Calculation - The implied volatility index of financial options reflects the 30 - day implied volatility (IV) trend as of the previous trading day. The implied volatility index of commodity options is obtained by weighting the IV of the two strike - prices above and below the at - the - money option of the front - month contract, reflecting the IV change trend of the front - month contract [2] - The difference between the IV index and historical volatility (HV) indicates the relative level of IV to HV. A larger difference means higher IV relative to HV, and a smaller difference means lower IV relative to HV [2] Group 2: Implied Volatility and Historical Volatility Difference Graph - The document presents graphs showing the IV, HV, and IV - HV differences for various financial and commodity options, including 300 - stock index, 50ETF, 1000 - stock index, 500ETF, and many commodity options such as soybeans, corn, sugar, cotton, etc [3] Group 3: Implied Volatility Quantile and Volatility Spread Quantile Ranking - Implied volatility quantiles represent the current level of a variety's IV in history. A high quantile means the current IV is high, and a low quantile means the current IV is low. The volatility spread is calculated as the IV index minus the historical volatility [4] - The implied volatility quantile rankings are provided for different options, such as 50ETF with a quantile of 0.79, 300 - stock index with 0.80, iron ore with 0.37, PVC with 0.46, etc [5][7]