隐含波动率作为期权定价的核心变量，是衡量市场对未来价格不确定性预期的"情绪温度计"与"风险标尺"。 白糖作为典型的强周期、政策敏感型农产品，其价格深受国内产销节奏、进口情况、主产区天气以及ICE原糖外盘联动等多重因 素扰动，使得IV呈现出高度的事件驱动性、敏感性与前瞻性。往往在标的价格显著异动前，就已通过权利金变化提前反映潜在风 险溢价。尤其自2025年白糖系列期权上市以来，流动性改善进一步提升了隐含波动率对短期信息的反应效率。当前研判白糖系列 期权市场，需系统聚焦三大维度：一是对比历史波动率与隐含波动率的溢价水平，识别市场是否过度恐慌或过于兴奋；二是观察 IV期限结构，厘清市场对近期事件冲击与中长期供需格局的预期分化；三是分析波动率曲面的偏斜形态，揭示虚值看涨与看跌期 权间的风险定价差异，捕捉情绪极端值。综合这三方面特征，不仅能客观评估期权价格的相对贵贱，更能为波动率套利、方向性 策略及产业套保方案提供策略依据。 IV与HV对比 在期权分析中，隐含波动率（IV）与历史波动率（HV）的对比，是衡量市场情绪与期权定价相对"贵贱"最为核心的标尺。 历史波动率与隐含波动率 历史波动率（HV）是回溯性指标，基于白糖期 ...

本报告版权属于国投期货有限公司 1 不可作为投资依据，转载请标明出处 本报告版权属于国投期货有限公司 2 不可作为投资依据，转载请标明出处 国投期货 韩泽文 期货从业号: F03108100 投资咨询号: Z0021517 12 天 日期 标的物价格 标的涨跌幅 当月IV 次月IV 2026/1/28 3.138 0.22% 17.63% 19.54% 2026/1/29 3.196 1.85% 18.52% 19.90% 2026/1/30 3.147 -1.53% 18.80% 19.78% 【50ETF】 近1年 当月IV分位数 82.80% 86.90% 88.90% 近2年 当月IV分位数 当月合约距离到期还剩 74.00% 79.30% 81.50% 近1年 次月IV分位数 94.00% 94.00% 93.60% 近2年 次月IV分位数 84.30% 85.40% 85.20% 2026年1月30日 金融期权波动率 0% 10% 20% 30% ATM IV(M1) ATM IV(M2) ATM IV(Q1) ATM IV(Q2) ATM IV期限结构 今日 昨日 0% 20% 40% 60% ...

国投期货 韩泽文 期货从业号: F03108100 投资咨询号: Z0021517 2 天 日期 标的物价格 标的涨跌幅 当月IV 次月IV 2026/1/22 3.131 -0.45% 17.66% 15.19% 2026/1/23 3.106 -0.80% 17.81% 17.09% 2026/1/26 3.129 0.74% 19.92% 17.95% 【50ETF】 近1年 当月IV分位数 83.60% 83.60% 93.00% 近2年 当月IV分位数 当月合约距离到期还剩 74.40% 75.20% 87.10% 近1年 次月IV分位数 53.50% 81.40% 84.80% 近2年 次月IV分位数 52.40% 69.90% 73.50% 2026年1月26日 金融期权波动率 0% 10% 20% 30% ATM IV(M1) ATM IV(M2) ATM IV(Q1) ATM IV(Q2) ATM IV期限结构 今日 昨日 0% 20% 40% 60% 80% 2.00 2.50 3.00 3.50 2023/1/30 2023/6/27 2023/11/22 2024/4/23 2024/ ...

Report Industry Investment Rating - Not provided in the given content Core Viewpoints - Not provided in the given content Summary by Related Catalogs 1. 50ETF - From January 13 - 15, 2026, the price decreased from 3.214 to 3.180 with a cumulative decline of about 1.06%, and both the current - month IV and next - month IV decreased [1] - The next - month IV quantiles in the past 1 and 2 years were relatively high, at 86.40% and 77.30% respectively on January 15, 2026 [1] 2. Shanghai 300ETF - From January 12 - 15, 2026, the price fluctuated slightly, and the current - month IV and next - month IV generally decreased [3] - The next - month IV quantiles in the past 1 and 2 years were relatively high, and the current - month IV quantiles also showed certain characteristics [3] 3. Shenzhen 300ETF - From January 13 - 15, 2026, the price first decreased and then increased slightly, and the current - month IV and next - month IV decreased [7] - The next - month IV quantiles in the past 1 and 2 years were relatively high, and the current - month IV quantiles had different levels [7] 4. Shanghai CSI 500ETF - From January 13 - 15, 2026, the price fluctuated, and the current - month IV and next - month IV decreased [15] - The current - month and next - month IV quantiles in the past 1 and 2 years were relatively high [15] 5. Shenzhen CSI 500ETF - From January 13 - 15, 2026, the price fluctuated slightly, and the current - month IV and next - month IV decreased [22] - The current - month and next - month IV quantiles in the past 1 and 2 years were relatively high [22] 6. ChiNext ETF - From January 13 - 15, 2026, the price increased slightly, and the current - month IV and next - month IV decreased [28] - The current - month and next - month IV quantiles in the past 1 and 2 years showed certain levels [28] 7. Shenzhen 100ETF - From January 13 - 15, 2026, the price increased slightly, and the current - month IV and next - month IV decreased [38] - The current - month and next - month IV quantiles in the past 1 and 2 years were at different levels [38] 8. Science and Technology Innovation 50ETF - From January 13 - 15, 2026, the price fluctuated, and the current - month IV and next - month IV showed certain changes [47] - The current - month and next - month IV quantiles in the past 1 and 2 years were relatively high [47] 9. Science and Technology Innovation Board 50ETF - From January 13 - 15, 2026, the price decreased slightly, and the current - month IV and next - month IV decreased [53] - The current - month and next - month IV quantiles in the past 1 and 2 years were relatively high [53] 10. 300 Index - From January 13 - 15, 2026, the price first decreased and then increased slightly, and the current - month IV and next - month IV changed accordingly [65] - The current - month and next - month IV quantiles in the past 1 and 2 years were at different levels [65] 11. 1000 Index - From January 13 - 15, 2026, the price fluctuated, and the current - month IV and next - month IV showed certain trends [70] - The current - month and next - month IV quantiles in the past 1 and 2 years were at different levels [70] 12. Shanghai Composite 50 Index - From January 13 - 15, 2026, the price decreased slightly, and the current - month IV and next - month IV decreased [80] - The current - month and next - month IV quantiles in the past 1 and 2 years were at different levels [80]