波动率数据日报 历史波动率分位数排名 0. 83 300位指 0.84 中聘 0.54 PTA 0.80 PTA 0.27 五年 0.43 50ETF 0 39 PVC 0.38 24.4 6 0.19 天峻 0.38 300 版 猫 031 字母 019 棒花 0.18 45 0.05 0.16 HAR 0.04 75 87 0.26 炸花 0.04 五米 0.09 钟 0.03 45 0.07 品 析 L 0.02 白练 台新 0.01 I 0 0.2 03 0.6 0.1 0.4 05 0.7 0.8 0 a 1 0.1 0.3 0.6 0.7 0.8 0 0.2 0.4 0.5 0 a 1 永安期货期权总部 更新时间: 2025/8/25 一、隐含波动率指数、历史波动率及其价差走势图 1、金融期权隐含波动率指数反映截止上一交易日的30日隐波走势,商品期权隐含波动 率指数通过主力月平值期权上下两档隐波加权所得,反映主力合约的隐波变化趋势。2 隐波指数与历史波动率的差值,差值越大反映隐波相对历史波动率越高,差值越小代 表隐波相对历史波动率越低。 70 -300股指IV -- 300股指HV IVHV差 - ...

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]

投资咨询业务资格:证监许可【2012】31号 世界500强投资企业 国贸期货有限公司 成为一流的衍生品综合服务商 | | Time to Matutity T | | Moneyness M = = | | | | 金融衍生品中心 李泽年 | | | | 从业资格号:F0251925 | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | | | | 历史波动率 | | | | | | | | | | 标的 | 主力价格 | 涨跌幅 | 当大波动 | HV20 | HV40 | HV60 | HV120 | 标的 | 主力价格 | 流跌幅 | 当大波切 | HV20 | HV40 | HV60 | HV120 | | 沪铝 | 20590 | 49% | 10. 13% | 6% | 8% | 9% | 11% | PVC | 5004 | 0. 30% | 12. 18% | 23% | 23% | 20% | 19% | | 沪 ...

Key Points of the Report Core Concepts - The implied volatility index of financial options reflects the 30 - day implied volatility trend as of the previous trading day. The implied volatility index of commodity options is obtained by weighting the implied volatilities of the two - point - up and - down options at the at - the - money strike price of the main contract month, reflecting the implied volatility change trend of the main contract [2]. - The difference between the implied volatility index and historical volatility shows the relative level of implied volatility to historical volatility. A larger difference means the implied volatility is relatively higher, and a smaller difference means it is relatively lower [2]. - The implied volatility quantile represents the current implied volatility level of a variety in history. A high quantile means the current implied volatility is high, and a low quantile means it is low. The volatility spread is the implied volatility index minus the historical volatility [4]. Implied Volatility and Historical Volatility Data - The report presents the implied volatility (IV), historical volatility (HV), and their differences (IV - HV) of various options, including 300 Index, 50ETF, 1000 Index, 500ETF, and many commodity options such as soybean meal, corn, sugar, cotton, etc. [3] Implied Volatility Quantile and Volatility Spread Quantile Ranking - The report shows the ranking of implied volatility quantiles and historical volatility quantiles of different varieties, such as 300 Index, PVC, PTA, corn, etc. [4][5]

Group 1 - The financial option implied volatility index reflects the 30 - day implied volatility trend as of the previous trading day, and the commodity option implied volatility index is obtained by weighting the implied volatilities of the two - strike options above and below the at - the - money option of the main contract month, reflecting the implied volatility change trend of the main contract [3] - The difference between the implied volatility index and historical volatility: a larger difference indicates that the implied volatility is relatively higher than historical volatility, and a smaller difference means it is relatively lower [3] Group 2 - The implied volatility quantile represents the current level of a variety's implied volatility in history. A high quantile means the current implied volatility is high, and a low quantile means it is low [5] - The volatility spread is the implied volatility index minus the historical volatility [5]

Report Title - The report is titled "Commodity Option Data Daily Report" [3] Report Industry Investment Rating - No industry investment rating is provided in the report Core Viewpoints - The report presents historical volatility, daily fluctuations, and other data of various commodities, and recommends option trading strategies based on the relative levels of commodity volatility [2][4][9] Summary by Relevant Catalogs Commodity Volatility Data - **Historical Volatility and Daily Fluctuations**: Data on historical volatility (HV20, HV40, HV60, HV120) and daily price fluctuations of multiple commodities such as Shanghai Aluminum, Shanghai Copper, and Shanghai Zinc are provided For example, Shanghai Aluminum's main price is 20790 with a 0.63% daily increase, and its HV20 is 7.71% [4] Implied Volatility Data - **主力平值IV and Its Quantile**: Implied volatility data, including the main at - the - money implied volatility (IV) and its quantile, are given for various commodities For instance, the main at - the - money IV of butadiene rubber is 74% with a quantile of 49% [5] Strategy Recommendations - **Selling Strangle for Lithium Carbonate**: Due to the relatively high volatility of lithium carbonate, it is recommended to sell a strangle combination (sell LC2509C80000 + sell LC2509P75000) on July 24, 2025, and use dynamic futures hedging, then close the position when volatility decreases [9] - **Buying Strangle for Iron Ore, Soybean Oil, and Rapeseed Oil**: Given the relatively low volatility of iron ore, soybean oil, and rapeseed oil, it is recommended to buy strangle combinations for these commodities on June 3, 2025, use dynamic futures hedging, and close the position when volatility increases For example, for iron ore, buy I2509C690 + buy I2509P700 [9]

Group 1: Introduction to Volatility Indices - The implied volatility index of financial options reflects the 30 - day implied volatility trend as of the previous trading day, and the implied volatility index of commodity options is weighted by the implied volatility of the two - tier options above and below the at - the - money option of the main contract, reflecting the implied volatility change trend of the main contract [3] - The difference between the implied volatility index and historical volatility, a larger difference indicates that the implied volatility is relatively higher than historical volatility, and a smaller difference means the opposite [3] Group 2: Volatility Data Charts - There are charts showing the implied volatility (IV), historical volatility (HV), and their differences (IV - HV) for various financial and commodity options, including 300 - stock index, 50ETF, 1000 - stock index, 500ETF, silver, soybean meal, corn, etc [4] Group 3: Implied Volatility Quantile and Volatility Spread Quantile - Implied volatility quantile represents the current level of a variety's implied volatility in history. A high quantile means the current implied volatility is high, and a low quantile means it is low. Volatility spread is the difference between the implied volatility index and historical volatility [5] - There are rankings of implied volatility quantiles and historical volatility quantiles for different varieties such as 300 - stock index, 50ETF, PTA, cotton, etc [6]

商品期权数据日报 投资咨询业务资格:证监许可【2012】31号 ITC国贸期货 | | | | | | | | 历史波动率 | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 标的 | 主力价格 | 涨跌幅 | 当大波动 | HV20 | HV40 | HV60 | HV120 | 标的 | 主力价格 | 涨跌幅 | 当大波动 | HV20 | HV40 | HV60 | HV120 | | 沪铝 | 20735 | 0 29% | 12. 05% | 8% | 9% | 9% | 11% | PVC | 5047 | 0. 88% | 25. 62% | 29% | 23% | 20% | 18% | | 护铜 | 79020 | 01 13% | 7. 52% | 9% | 10% | 9% | 16% | 用量 | 2391 | 0. 25% | 16. 86% | 25% | 24% | 23% | 23% | | 沪锌 ...

Group 1: 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 weighting the IV of the two - strike options around the at - the - money option of the front - month contract, reflecting the IV change trend of the front - month contract [3] - 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 [3] Group 2: Implied Volatility and Historical Volatility Graphs - 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 silver, soybean meal, corn, etc [4] Group 3: Implied Volatility Quantile and Volatility Spread Quantile Ranking - Implied volatility quantile represents 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. Volatility spread is the difference between the implied volatility index and historical volatility [5] - The document provides the implied volatility quantile rankings for different options, such as PVC with a quantile of 0.92, PTA with 0.39, etc [6]

Group 1: Introduction to Volatility Data - The financial option implied volatility index reflects the 30 - day implied volatility (IV) trend as of the previous trading day, and the commodity option implied volatility index is obtained by weighting the IV 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 [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: Volatility Index Charts - Charts show 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 like silver, soybean meal, corn, etc [3] Group 3: Implied Volatility Quantile and Volatility Spread Quantile - Implied volatility quantiles represent the current level of a variety's IV in history. A high quantile means high current IV, and a low quantile means low current IV. Volatility spread refers to the difference between the IV index and historical volatility [4] - Quantile rankings are provided for different options such as PVC, PTA, 50ETF, 300 - stock index, etc [5]