【国投期货】金融期权波动率日报-250613（25页）.pdf

1、期货从业号:F03097698投资咨询号:Z0018336【50ETF】【50ETF】当月合约距离到期还剩8天日期标的物价格5HV10HV20HV当月IV当月近1年IV分位数当月近2年IV分位数次月IV次月近2年IV分位数2025/6/112.7626.91%5.08%9.13%11.70%11.40%5.70%12.75%13.10%2025/6/122.766.95%5.06%6.50%11.86%14.60%7.30%12.83%14.50%2025/6/132.7467.91%5.58%6.50%12.12%22.80%11.40%13.11%17.50%2025年6月13日次月近1年

2、IV分位数24.80%27.40%29.90%范丽军国投期货金融期权波动金融期权波动0.0%5.0%10.0%15.0%20.0%ATM IV(M1)ATM IV(M2)ATM IV(Q1)ATM IV(Q2)ATM IV期限结构今日昨日前日数据来源：同花顺iFinD，国投期货0.00%10.00%20.00%30.00%40.00%50.00%60.00%70.00%1.502.002.503.003.504.004.502016-5-272016/8/192016/11/182017/2/162017/5/122017/8/42017/11/12018/1/232018/4/242018/

3、7/182018/10/162019/1/82019/4/82019/7/32019/9/242019/12/202020/3/202020/6/162020/9/82020/12/72021/3/52021/6/12021/8/232021/11/222022/2/182022/5/182022/8/92022/11/72023/2/32023/4/272023/7/252023/10/232024/1/122024/4/152024/7/102024/10/92024/12/302025/3/3150ETF价格、历史波动率、隐波走势左轴50ETF20HV当月IV数据来源：同花顺iFinD，

4、国投期货-0.6-0.4-0.200.20.40.60.82016-5-272016/8/162016/11/102017/2/32017/4/252017/7/142017/9/292017/12/222018/3/192018/6/82018/8/272018/11/202019/2/142019/5/82019/7/252019/10/182020/1/62020/3/312020/6/222020/9/92020/12/32021/2/262021/5/202021/8/62021/11/22022/1/192022/4/152022/7/72022/9/232022/12/16202

5、3/3/132023/6/22023/8/222023/11/152024/2/12024/4/302024/7/222024/10/162025/1/22025/3/2850ETF历史波动率、隐波及差值走势当月IV-同期HV当月IV20HV0.120.1250.130.1350.140.1450.150.1550.169:31:009:44:009:57:0010:10:0010:23:0010:36:0010:49:0011:02:0011:15:0011:28:0013:11:0013:24:0013:37:0013:50:0014:03:0014:16:0014:29:0014:42:

6、0014:55:00不同月份平值IV日内走势ATM IV(M1)ATM IV(M2)ATM IV(Q1)ATM IV(Q2)数据来源：同花顺iFinD，国投期货数据来源：同花顺iFinD，国投期货本报告版权属于国投期货有限公司1不可作为投资依据，转载请标明出处历史波动率5日HV10日HV20日HV 40日HV60日HV最大值88%66%50%39%33%90分位27%30%28%37%32%75分位16%17%21%19%24%50分位 10%12%13%14%16%25分位7%9%10%10%10%10分位4%6%8%9%10%最小值2%4%6%8%9%时间主力月份skew指数今日100.8