证券研究报告 2025 年 11 月 21 日 湘财证券研究所 金融工程研究 策略双周报 期权波动率套利策略跟踪 ——波动率偏斜策略 相关研究： 核心要点： ❑ 波动率偏斜策略跟踪情况 波动率偏斜策略是通过价内合约与价外合约的隐含波动率差异进行套利交 易。正常情况下，VSI 指标会在一定范围内波动，但当不同期权合约的波 动率比值出现实质差异时，就存在相应的反向套利空间。 本年以来，认购子策略收益率为 8.49%，最大回撤为 2.93%；认沽子策略 收益率为-1.31%，最大回撤为 10.49%；组合策略收益率为 3.68%，最大回 撤为 5.57%。 近两周以来（2025 年 12 月 8 日至 2025 年 12 月 19 日），认购子策略的收 益率为 0.91%，最大回撤为 0.09%；认沽子策略收益率为 0.46%，最大回撤 为 0.29%；组合策略收益率为 0.68%，最大回撤为 0.13%。 ❑ 投资建议 近两周以来，标的资产以震荡走势为主，从 VSI 指标偏离情况来看，认购 合约和认沽合约都出现了轻微偏离但很快回归的现象，套利策略非常适用 于这类市场走势，从策略收益来看，认购和认沽子策略均获得了正 ...

Financial Engineering - The volatility skew strategy involves arbitrage trading based on the implied volatility differences between in-the-money and out-of-the-money options. The VSI indicator is used to describe these differences, calculated as the ratio of the implied volatility of an out-of-the-money option to that of an in-the-money option. Under normal conditions, the VSI indicator fluctuates within a certain range, but significant differences in volatility ratios indicate potential arbitrage opportunities [2][3]. - The strategy's performance is closely correlated with current volatility levels. Position control signals are established based on the volatility level. If the current volatility is high and the option combination has negative volatility risk exposure, it is favorable to trade with full positions. Conversely, if the exposure is positive, only half the position should be used [4][5]. Strategy Performance - From February 2015 to August 2025, the annualized return for the call strategy was 17.43% with a maximum drawdown of 13.83%, and a Sharpe ratio of 1.85. The put strategy had an annualized return of 17.47% with a maximum drawdown of 10.64% and a Sharpe ratio of 2.50. The combined strategy achieved an annualized return of 17.65%, a maximum drawdown of 7.52%, and a Sharpe ratio of 2.98 [5]. - In the current year, the call strategy yielded a return of 4.52% with a maximum drawdown of 2.93%, while the put strategy experienced a return of -4.16% with a maximum drawdown of 10.49%. The combined strategy returned 0.26% with a maximum drawdown of 5.57% [5]. - Over the past two weeks (August 11 to August 22, 2025), the call strategy returned 0.60% with a maximum drawdown of 0.32%, while the put strategy returned -0.17% with a maximum drawdown of 0.49%. The combined strategy returned 0.22% with a maximum drawdown of 0.34% [5]. Trading Signals - As of August 22, 2025, the call strategy triggered two opening signals in the past two weeks, with the latest position being empty. The put strategy did not trigger any opening signals and remained empty. The volatility signal was negative, indicating that the implied volatility level was higher than the historical volatility [6].