20231128-国投安信期货-金融期权波动率日报_25页

This report is a comprehensive volatility analysis for multiple Chinese equity-related financial instruments, provided by GuoTou Anxin Futures. It covers a range of ETFs and indices, with each section including data such as dates, prices, historical volatility (HV) levels (e.g., 5HV, 10HV, 20HV), implied volatility (IV), IV percentiles, skew, and other metrics like the volatility cone. Key instruments analyzed include 50ETF, 300ETF, 500ETF variants, ChiNext ETF, 1000 index, and various other ETFs and indices like CSI 300 and Shanghai Composite 50.

Common findings across instruments show IV typically ranging from 5% to 20%, with percentile rankings indicating significant market volatility expectations. For example, the 50ETF displayed IV percentiles around 80-99%, suggesting elevated implied volatility, while other instruments like the CSI 300 showed different levels. HV levels vary, with HV often between 8% and 48%, indicating recent and historical price movements. Skew analysis reveals asymmetric volatility risks, and the historical volatility cone provides forward volatility expectations.

Overall, the report suggests periods of high implied volatility in certain instruments, potentially indicating market uncertainty or specific event-driven factors. It also highlights differences in volatility patterns across instruments, aiding in options trading decisions. Final sections emphasize data sources and disclaimers, with all rights reserved and noting the non-investment advice nature of the report.