波动率在期权交易中的特性 J 免责声明 本信息不拘成任何投资建议,投资者不应 以该等信息取代其独立判断或仅根据该等 信息做出决策。本信息根据当前法律法规 规则的相关规定形成解答,方便市场主体 参考使用。法律法规规则如有变化,以最 新规定的要求为准。我们力求本材料信息 准确可靠,但对这些信息的准确性或完整 性不作保证,亦不对因使用该等信息而引 发的损失承担任何责任。更多投资知识, 投资者关注"上交所ETF之家"及"上交 所期权之家"微信公众号。 上交所期权之家 上交所ETF之家 公众号 公众号 免责声明 以提前知道其发生的时间窗口,但是其结果 往往存在重大不确定性。对此,可以在期权 市场通过提前买入跨式策略,来做多波动 部 三是隐含波动率相比实际波动率存在一 定的高估。研究表明,在期权市场,隐含波 动率往往高于实际波动率，这可能是因为投 资者为降低不确定性所支付的风险溢价 。 所以通常而言,只要市场不发生黑天鹅事 件,卖出期权的投资者往往可以获得较为稳 定的收益。 四是无套利性。在期权市场上存在众多 合约,合约之间的隐含波动率往往存在某种 关联,比如说某个执行价的合约隐含波动率 偏高,而其上下一档合约的波动率都 ...

Group 1 - The VIX, known as the "fear index," surged to 22.94 points, the highest level since May 23, indicating increased investor anxiety over potential escalation in US-China trade tensions [1][4] - The long-term average of the VIX is slightly below 20 points, marking a critical threshold for market sentiment transitioning from calm to tense [4] - Since early September, a divergence between implied volatility and actual volatility has emerged, suggesting that some investors are adopting defensive strategies through options [4] Group 2 - Recent US-China trade tensions have reignited concerns, with President Trump threatening to impose 100% tariffs on all Chinese imports [7] - JPMorgan's CEO warned of credit risks expanding due to losses on loans to a subprime auto lender, indicating instability in the credit market [7] - Institutional investors, including BlackRock, have requested redemptions from a Jefferies fund that suffered significant losses due to the bankruptcy of an auto parts supplier [7]

Core Viewpoint - Despite the implied volatility of market benchmark indices remaining stable or declining throughout the year, the risk premium for options across various assets, including stocks and gold, has been rising due to the subdued actual market volatility [1][5]. Group 1: Market Dynamics - The increase in risk premium is attributed to the difference between expected market volatility and actual volatility, driven by various factors such as interest rate expectations affecting gold, supply-demand outlooks limiting oil price fluctuations, and uncertainties surrounding Federal Reserve policies impacting stock market performance [5]. - The S&P 500 index has experienced low correlation among individual stocks, which has suppressed overall volatility, even as earnings season approaches [8][10]. Group 2: Options Market Insights - September saw record trading volumes in options, as investors began to hedge against year-end market movements, leading to heightened expectations of volatility [5]. - Fixed strike volatility has significantly increased, with implied volatility remaining high relative to actual volatility metrics [5][7]. Group 3: Oil Market Analysis - Oil prices have been trapped in a narrow range due to conflicting market expectations of oversupply and geopolitical tensions affecting short-term supply [9]. - The implied volatility of the United States Oil Fund is currently at the 77th percentile of the past year, indicating a high level of risk premium despite limited price movements [9]. Group 4: Gold Market Trends - Gold's implied volatility has been rising, pushing the risk premium for options to a five-year high, primarily due to record-high gold prices and uncertainties surrounding a potential U.S. government shutdown [11][14]. - The fear of missing out (FOMO) among investors has led to a significant increase in option premiums during periods of price surges, although a stabilization in gold prices could lead to a decrease in these premiums [14].

Group 1 - The cost of hedging in the foreign exchange market has risen again after a summer lull, as traders prepare for potential volatility from the upcoming U.S. employment report [1] - The implied volatility of the euro against the dollar reached its highest level since June, indicating increased market sensitivity to employment data and its implications for Federal Reserve policy [1] - A significant drop in U.S. job vacancies to a 10-month low has heightened the focus on the employment report, with expectations that weak data could lead to greater market bets on a more aggressive easing policy from the Federal Reserve [1] Group 2 - The one-week volatility of the euro has surged to a two-month high, coinciding with the upcoming European Central Bank meeting and U.S. inflation data release [2] - An options indicator tracking the difference between implied and realized volatility has shown that contract premiums have reached their highest level since January [2]

Core Viewpoint - The global geopolitical risks have significantly increased, yet the stock market remains relatively calm, creating a dilemma for options traders who are caught between selling volatility and the potential for sudden conflict escalation [1][6][12] Group 1: Market Dynamics - Since Israel's airstrikes on Iran, oil prices have surged by 11%, with oil market volatility reaching its highest level since the 2022 Russia-Ukraine conflict [1][3][7] - The implied volatility (IV) has dropped significantly from its spring highs, while the actual volatility (RV) remains low, leading to a situation where IV appears expensive despite its decline [2][10] - The S&P 500 index has only decreased by 1.3%, while the implied volatility gap has widened to its highest level in about a year [3][7] Group 2: Options Trading Strategies - Options traders are currently in a precarious position, balancing between the fear of sudden geopolitical events causing IV to spike and the risk of time decay (theta) eroding the value of bought volatility [2][6][8] - Selling volatility typically involves strategies like selling straddles or strangles, with profits dependent on actual volatility being lower than implied volatility [2][10] - The current market environment has led to a chaotic global options market, where implied volatility has decreased significantly, but premiums remain high, complicating profitable trading strategies [10][12] Group 3: Investor Sentiment and Strategy Shifts - Investor sentiment has shifted from a "Buy America" strategy to a more mixed stance, reflecting fatigue with headline news and uncertainty regarding geopolitical developments [7][11] - Some traders are adopting "stock replacement" strategies, using options to hedge against market risks while maintaining their positions [12][13] - The Cboe VVIX index, which measures the volatility of the VIX, has risen to a high level, indicating increased market willingness to purchase options for hedging against significant volatility [12]