Workflow
商品期权隐含波动率指数
icon
Search documents
波动率数据日报-20250814
Yong An Qi Huo· 2025-08-14 05:09
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]
波动率数据日报-20250728
Yong An Qi Huo· 2025-07-28 13:07
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. 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 indicates the relative level of implied volatility 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 Charts - There are multiple charts showing the implied volatility (IV), historical volatility (HV), and the difference between them (IV - HV) for various financial and commodity options, including 300 - stock index, 50ETF, 1000 - stock index, 500ETF, and many commodity options such as cotton, rubber, methanol, PTA, etc. These charts cover different time periods from 2019 to 2025 [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 high current implied volatility, and a low quantile means low implied volatility. The volatility spread is the difference between the implied volatility index and historical volatility [23]
波动率数据日报-20250725
Yong An Qi Huo· 2025-07-25 11:43
Group 1: Volatility Index Explanation - The financial option implied volatility index reflects the 30 - day implied volatility (IV) trend as of the previous trading day, while the commodity option 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 IV index and historical volatility (HV) indicates the relative level of IV to HV. A larger difference means a higher IV relative to HV, and a smaller difference means a lower IV relative to HV [3] Group 2: Volatility Index Charts - There are multiple charts 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 commodities like cotton, rubber, methanol, PTA, crude oil, etc., over different time periods from 2019 to 2025 [4][5][6] Group 3: Implied Volatility and Historical Volatility Quantiles - 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 [20] - Quantile rankings are provided for different options such as PVC, PTA, 300 - stock index, 50ETF, cotton, iron ore, etc., with specific quantile values given [21]
波动率数据日报-20250723
Yong An Qi Huo· 2025-07-23 09:01
Group 1: Implied Volatility Index and Historical Volatility - 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: a larger difference indicates that the implied volatility is relatively higher than historical volatility, and a smaller difference indicates the opposite [3] Group 2: Implied Volatility and Historical Volatility Charts - There are multiple charts showing the implied volatility (IV), historical volatility (HV), and the difference between them (IV - HV) for various options, including 300股指, 50ETF, 1000股指, 500ETF, etc. [4] 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 [21] - The volatility spread is the difference between the implied volatility index and historical volatility [21] - The implied volatility quantile rankings for different varieties are presented, such as PTA with a quantile of 0.92, PVC with 0.85, etc. [22]
波动率数据日报-20250715
Yong An Qi Huo· 2025-07-15 08:45
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, while the commodity option implied volatility index is weighted by the implied volatility of the two - strike prices 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 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 Index, 50ETF, 1000 Index, 500ETF, daily report options, and many commodity options such as soybean meal, corn, cotton, rubber, methanol, PTA, crude oil, iron ore, copper, PVC, rebar, urea, palm oil, aluminum, zinc, 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. Volatility spread is the difference between the implied volatility index and historical volatility [20] - Quantile rankings are provided for some options, such as PVC (0.63), PTA (0.65), 50ETF (0.54), etc. [21]
波动率数据日报-20250710
Yong An Qi Huo· 2025-07-10 05:11
Group 1: Volatility Index Explanation - 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 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: Volatility Index 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, soybean meal, corn, cotton, rubber, methanol, PTA, crude oil, iron ore, copper, PVC, rebar, urea, aluminum, zinc, etc. [4][5][6] Group 3: Implied Volatility and Historical Volatility Quantiles - Implied volatility quantiles represent the current level of a variety's IV in history; a high quantile means high IV, and a low quantile means low IV [20] - The document also shows the quantile rankings of implied volatility and historical volatility for some options such as PTA, PVC, 50ETF, 300 - stock index, etc. [20][21]
波动率数据日报-20250709
Yong An Qi Huo· 2025-07-09 12:58
Group 1: Implied Volatility Index and Calculation Method - The financial option implied volatility index reflects the 30 - day implied volatility trend as of the previous trading day. 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: the larger the difference, the higher the implied volatility relative to historical volatility; the smaller the difference, the lower the 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 the difference between them (IV - HV) for various financial and commodity options, including 300 stock index, 50ETF, 1000 stock index, 500ETF, PTA, crude oil, iron ore, etc. from different time periods [4][5][6] Group 3: Implied Volatility Quantile Ranking - The implied volatility quantile rankings of different options are provided, such as PTA (0.51, 0.81), Tianan (0.37), 50ETF (0.21, 0.10), PVC (0.23, 0.15), methanol (0.20), etc. [19] Group 4: Implied Volatility Quantile and Volatility Spread Quantile Ranking Chart - 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 implied volatility is low. The volatility spread is the difference between the implied volatility index and historical volatility [22]
波动率数据日报-20250704
Yong An Qi Huo· 2025-07-04 15:09
Group 1: Implied Volatility Index and Its Calculation - 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 IV of the two - strike prices 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 IV 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 [3] Group 2: Implied Volatility and Historical 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, silver, bean粕, corn, cotton, rubber, methanol, PTA, crude oil, iron ore, copper, PVC, rebar, urea, fuel oil, aluminum, zinc, and sugar from 2019 to 2025 [4][5][6] Group 3: Implied Volatility and Historical Volatility Quantiles - Implied volatility quantiles represent the current IV level of a variety 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 [20] - The implied volatility and historical volatility quantile rankings of various varieties are presented, such as copper (0.67), PTA (0.82), PVC (0.35), 50ETF (0.10), 300 - stock index (0.09), etc. [22]