隐含波动率指数

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波动率数据日报-20250807
Yong An Qi Huo· 2025-08-07 05:08
Group 1: Volatility Index Explanation - 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 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 implied volatility 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 Data Graphs - There are graphs showing the IV, HV, and IV - HV differences of various financial and commodity options, including 300 - stock index, 50ETF, 1000 - stock index, 500ETF, silver, soybean meal, corn, sugar, cotton, methanol, rubber, iron ore, PTA, crude oil, copper, aluminum, PVC, rebar, zinc, urea, soybean oil, palm oil, and rapeseed oil [3] Group 3: Implied Volatility and Historical Volatility 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. Volatility spread is the difference between the implied volatility index and historical volatility [4] - The implied volatility and historical volatility quantile rankings of various commodities such as PVC, PTA, iron ore, cotton, 50ETF, 300 - stock index are presented, with specific quantile values provided [5]
波动率数据日报-20250729
Yong An Qi Huo· 2025-07-29 03:22
Group 1: Implied Volatility Index and Historical Volatility - The financial options implied volatility index reflects the 30 - day implied volatility (IV) trend as of the previous trading day. The commodity options implied volatility index is obtained by weighting the IVs of the two - strike options above and below the at - the - money option of the main contract month, 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 than HV [3] Group 2: Implied Volatility and Historical Volatility Difference Graphs - There are multiple graphs showing the IV, HV, and IV - HV differences for various financial and commodity options such as 300 - stock index, 50ETF, 1000 - stock index, 500ETF, and many commodity options like soybean meal, corn, cotton, rubber, methanol, iron ore, copper, PTA, crude oil, aluminum, PVC, etc. [4][5][6] Group 3: Implied Volatility Quantile and Volatility Spread Quantile Ranking - 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 the current implied volatility is low [13] - The volatility spread is the difference between the implied volatility index and historical volatility. There are rankings of implied volatility quantiles and historical volatility quantiles for different varieties such as Tianjin, PVC, PTA, methanol, etc. [13][14]
波动率数据日报-20250722
Yong An Qi Huo· 2025-07-22 11:29
Group 1: Implied Volatility Index and Historical Volatility - The financial options implied volatility index reflects the 30 - day implied volatility trend as of the previous trading day, and the commodity options 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 means the implied volatility is relatively higher than historical volatility, and a smaller difference means the implied volatility is relatively lower [3] Group 2: Implied Volatility and Historical Volatility Charts - There are multiple 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, etc., as well as commodity options like soybean meal, cotton, rubber, methanol, etc. [4][5][6] Group 3: Implied Volatility and Historical Volatility Quantiles - Implied volatility quantiles represent 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 the implied volatility is low. Volatility spread is the implied volatility index minus historical volatility [21] - The implied volatility quantile rankings for different varieties are provided, such as PTA with 0.84, PVC with 0.75, etc. [23]
波动率数据日报-20250625
Yong An Qi Huo· 2025-06-25 02:35
Group 1: Implied Volatility Index and Historical Volatility - 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, reflecting the implied volatility change trend of the main contract [3] - The difference between the implied volatility index and historical volatility indicates the relative level of implied volatility to historical volatility. A larger difference means a higher implied volatility relative to historical volatility, and a smaller difference means a lower implied volatility relative to historical volatility [3] Group 2: Implied Volatility and Historical Volatility Charts - There are multiple charts showing the implied volatility (IV), historical volatility (HV), and their differences (IV - HV) for various financial and commodity options, including 300股指, 50ETF, 1000股指, 500ETF, corn, sugar, cotton, rubber, PTA, crude oil, aluminum, methanol, iron ore, Chinese options, PVC, rebar, urea, palm oil, zinc, and others [4][5][6] Group 3: Implied Volatility and Historical Volatility Quantiles - 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 the current implied volatility is low. The volatility spread is the difference between the implied volatility index and historical volatility [18] - The implied and historical volatility quantile rankings are provided for different options. For example, PTA has an implied volatility quantile of 0.71 and a historical volatility quantile of 0.84, while 300股指 has an implied volatility quantile of 0.07 and a historical volatility quantile of 0.01 [20]
永安期货波动率数据日报-20250611
Yong An Qi Huo· 2025-06-11 08:13
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, and the commodity option implied volatility index is weighted by 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 [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: Volatility Graphs - There are multiple graphs showing the IV, HV, and IV - HV differences of various financial and commodity options, including 300 - stock index, 50ETF, 1000 - stock index, 500ETF, etc., as well as commodity options like soybean meal, corn, etc. [4][5][6] Group 3: Implied Volatility and Historical Volatility Quantiles - The 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. The volatility spread is the difference between the IV index and historical volatility [17] - The implied volatility quantiles of different varieties are provided, such as PTA (0.63), PVC (0.73), methanol (0.42), etc. [19]
永安期货波动率数据日报-20250609
Yong An Qi Huo· 2025-06-09 12:26
Group 1: Implied Volatility Index and Historical Volatility - 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 indicates the relative level of implied volatility compared to historical volatility. A larger difference means higher implied volatility relative to historical volatility, and a smaller difference means lower implied volatility relative to historical volatility [3] Group 2: Volatility Graphs - There are multiple graphs showing the implied volatility (IV), historical volatility (HV), and the difference between them (IV - HV) for various financial and commodity options, including stock index options (such as 300股指, 1000股指), ETF options (such as 50ETF, 500ETF), and commodity options (such as soybeans, corn, cotton, etc.) [4][5][6] Group 3: Implied Volatility and Volatility Spread Quantiles - Implied volatility quantiles represent the current implied volatility level of a variety in history. A high quantile means high current implied volatility, and a low quantile means low implied volatility [17] - Volatility spread refers to the difference between the implied volatility index and historical volatility [17] - The implied volatility quantile rankings are provided for different varieties, such as PVC with a quantile of 0.70, methanol with 0.43, etc. [19]