波动率数据日报 永安期货期权总部 更新时间: 2026/1/5 隐波指教分位教与波动率价差分位费排名图 1、隐波分位数代表当前品种隐波在历史上的水平。分位教高代表当前稳波偏高。分位数低代表稳疲隔低。2、波动率价差书急按指数十历史皮 动率。 隐含波动率分位数排名 历史波动率分位数排名 PTA - PTA PVC 日期 1000 G 3.05 th The t 0.2 0.4 05 o.6 0.7 0.8 0.9 0.1 0.3 0 0.1 0.3 0.4 0.5 0.6 0.7 0.8 I 0 0.2 ora 1 、隐含波动率指数、历史波动率及其价差走势图 1、金融期权隐含波动率指数反映截止上一交易日的30日隐波走势,商品期权隐含波动 率指数通过主力月平值期权上下两档隐波加权所得,反映主力合约的隐波变化趋势。2 隐波指数与历史波动率的差值,差值越大反映隐波相对历史波动率越高,差值越小代 表隐波相对历史波动率越低。 70 -300股指 IV -- 300股指 HV IV-HV美 IV-HV套 - 50ETF IV - 50ETF HV 20 BO IV-HV差 -- 1000股指 IV -- 1000股指 HV ...

Core View - The report provides data on the implied volatility index, historical volatility, and their spreads of financial and commodity options, as well as the quantile rankings of implied volatility and volatility spreads, to reflect the relative levels of implied volatility of different options [3][5] Summary by Related Catalog Implied Volatility Index, Historical Volatility, and Their Spread Chart - 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 prices above and below the at - the - money option of the main contract, reflecting the implied volatility change trend of the main contract. The larger the difference between the implied volatility index and historical volatility, the higher the implied volatility relative to historical volatility; the smaller the difference, the lower the implied volatility relative to historical volatility [3] Implied Volatility Quantile and Volatility Spread Quantile Ranking Chart - 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 implied volatility index minus historical volatility [5]

Group 1: Implied Volatility Index and Its Relationship with 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 compared to historical volatility. A larger difference means the implied volatility is relatively higher, and a smaller difference means it is relatively lower [3] Group 2: Implied Volatility and Historical Volatility Graphs - There are graphs 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, and many commodity options such as silver, corn, sugar, cotton, etc [4] Group 3: Implied Volatility Quantile and Volatility Spread Quantile Ranking - 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 it is low. Volatility spread is related to the implied volatility index and historical volatility [5] - There are rankings of implied volatility quantiles and historical volatility quantiles for different options, such as 300 - stock index, PTA, 50ETF, etc [6]

Group 1: Introduction to Volatility Indexes - 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 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 Data Graphs - There are graphs showing the IV, HV, and IV - HV differences for various financial and commodity options, including 300 Index, 50ETF, 1000 Index, 500ETF, and many commodity options such as silver, gold, sugar, cotton, etc. [4] Group 3: Quantile Rankings of Volatility - 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 IV is low. Volatility spread is related to the IV index and historical volatility [5] - There are rankings of implied volatility quantiles and historical volatility quantiles for different varieties, such as 300 Index with quantiles of 0.89 and 0.74, 300 Index with 0.62, etc. [5][6]

Group 1: Volatility Index Explanation - 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 weighted by the IV of the upper and lower two - strike options of the front - month at - the - money options, showing the IV change trend of the front - month 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 IV is relatively higher than HV, and a smaller difference means IV is relatively lower [2] Group 2: Volatility Data Chart - The chart shows the IV, HV, and IV - HV differences of various financial and commodity options, including 300 Index, 50ETF, 1000 Index, 500ETF, and many commodity options such as silver, soybean meal, corn, etc [3] Group 3: Implied Volatility Quantile and Volatility Spread Quantile - 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. Volatility spread is the difference between the implied volatility index and historical volatility [4] - The implied volatility quantile rankings of different varieties are presented, such as 300 Index with a quantile of 0.63, 50ETF with 0.73, PTA with 0.22, etc [5]

Report Summary Core View - The report provides daily volatility data, including the implied volatility index, historical volatility, and their spread for various financial and commodity options [2]. - The implied volatility index reflects the 30 - day implied volatility trend as of the previous trading day for financial options and the implied volatility change trend of the main contract for commodity options, calculated through weighted two - level implied volatility of at - the - money options in the main month [2]. - The difference between the implied volatility index and historical volatility indicates the relative level of implied volatility compared to historical volatility [2]. Implied Volatility and Historical Volatility Analysis - Multiple charts show the implied volatility (IV), historical volatility (HV), and their differences (IV - HV) for different options such as 300 Index, 50ETF, 1000 Index, 500ETF, and various commodity options including beans, corn, sugar, cotton, methanol, etc [3]. Implied Volatility and Volatility Spread Quantile Ranking - Implied volatility quantiles represent the current implied volatility level of a variety in history. A high quantile means the current implied volatility is high, while a low quantile means it is low [4]. - The implied volatility quantile rankings are provided for different options, e.g., 300 Index has a quantile of 0.90, 50ETF has 0.63, and corn has 0.51 [5]. - The historical volatility quantile rankings are also presented, but specific data is not fully detailed in the given text [4].

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. The commodity option implied volatility index 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 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 [2] Group 2: Implied Volatility Index and Volatility Spread Quantile Ranking - 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. Volatility spread is IV minus HV [4] - The implied volatility quantile rankings of some varieties are as follows: 300 Index (0.83), China Securities (0.84), PTA (0.80), 5 - year (0.43), 50ETF (0.39), PVC (0.38), etc. The historical volatility quantile rankings of some varieties are also presented, such as PTA (0.27) [4][5]

Group 1: Implied Volatility Index and Its Calculation - 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 - prices above and below the at - the - money option of the front - month contract, reflecting the IV change trend of the front - month contract [2] - 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 [2] Group 2: Implied Volatility and Historical Volatility Difference Graph - The document presents graphs showing the IV, HV, and IV - HV differences for various financial and commodity options, including 300 - stock index, 50ETF, 1000 - stock index, 500ETF, and many commodity options such as soybeans, corn, sugar, cotton, etc [3] Group 3: Implied Volatility Quantile and Volatility Spread 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. The volatility spread is calculated as the IV index minus the historical volatility [4] - The implied volatility quantile rankings are provided for different options, such as 50ETF with a quantile of 0.79, 300 - stock index with 0.80, iron ore with 0.37, PVC with 0.46, etc [5][7]

Key Points of the Report Core Concepts - The implied volatility index of financial options reflects the 30 - day implied volatility trend as of the previous trading day. The implied volatility index of commodity options is obtained by weighting the implied volatilities of the two - point - up and - down options at the at - the - money strike price of the main contract month, reflecting the implied volatility change trend of the main contract [2]. - The difference between the implied volatility index and historical volatility shows the relative level of implied volatility to historical volatility. A larger difference means the implied volatility is relatively higher, and a smaller difference means it is relatively lower [2]. - 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 it is low. The volatility spread is the implied volatility index minus the historical volatility [4]. Implied Volatility and Historical Volatility Data - The report presents the implied volatility (IV), historical volatility (HV), and their differences (IV - HV) of various options, including 300 Index, 50ETF, 1000 Index, 500ETF, and many commodity options such as soybean meal, corn, sugar, cotton, etc. [3] Implied Volatility Quantile and Volatility Spread Quantile Ranking - The report shows the ranking of implied volatility quantiles and historical volatility quantiles of different varieties, such as 300 Index, PVC, PTA, corn, etc. [4][5]

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. The commodity option implied volatility index is obtained by weighting 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: Implied Volatility and Historical Volatility Graphs - The document presents graphs showing the IV, HV, and IV - HV differences for various financial and commodity options, including 300 - stock index, 50ETF, 1000 - stock index, 500ETF, and many commodity options such as silver, soybean meal, corn, etc [4] Group 3: Implied Volatility Quantile and Volatility Spread Quantile Ranking - 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. Volatility spread is the difference between the implied volatility index and historical volatility [5] - The document provides the implied volatility quantile rankings for different options, such as PVC with a quantile of 0.92, PTA with 0.39, etc [6]