波动率数据日报-20260206

Report Summary 1. Report Industry Investment Rating - Not provided in the content 2. Core View - The report presents daily volatility data including implied volatility indices, historical volatility, and their spreads for various financial and commodity options. It also shows the implied volatility quantile data and historical volatility quantile ranking for some products [3][5][6]. 3. Summary by Related Content Implied Volatility Index and Historical Volatility - The financial option implied volatility index reflects the 30 - day implied volatility (IV) trend as of the previous trading day. The commodity option implied volatility index is obtained by weighted average of the IVs of the two - strike options above and below the at - the - money option of the main contract, reflecting the IV change trend of the main contract [3]. - The difference between the implied volatility index and historical volatility (HV) indicates the relative level of IV to HV. A larger difference means IV is relatively higher than HV, and a smaller difference means IV is relatively lower [3]. Implied Volatility Quantile and Volatility Spread Quantile - The implied volatility quantile represents the current level of a product's IV in history. A high quantile means the current IV is high, and a low quantile means the current IV is low [5]. - The volatility spread is related to the implied volatility index and historical volatility [5]. Data Display - There are charts showing the trends of IV, HV, and IV - HV spreads for various products such as 300股指, 50ETF, 1000股指, etc., from 2024 to 2026. Also, there is a chart presenting the implied volatility quantile data and historical volatility quantile ranking for products like PTA, 500ETF, 50ETF, etc [4][6][7].