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05 5月 2022

Eurex Asia

【期货期权】VSTOXX®股指波动率指数期货(FVS)三月市场动态

VSTOXX®股指波动率指数期货(FVS)三月市场动态

VSTOXX®股指波动率指数期货(FVS) - 2022年3月

客户账户 FVS 持仓量- 2月15日与3月14日到期前持仓仓位对比

VSTOXX®股指波动率指数期货交易在2月底和3月上半月非常活跃。乌克兰战争将波动率指数推高超过40%以上，并加剧了期限结构的逆价差。最活跃的一天是3月4日，有14万份交易合约。3月下半月交易活动放缓。

终端客户大幅将3月份净多头头寸继续展仓到4月份合约，并同时相当程度增加5月份合约的多头头寸。它暗示了对更高波动水平的更长时期的预期。然而，终端客户开始在4月和3月的净持仓开始转成净卖出，将部分净多头头寸获利了结，这类交易持续到了3月底。但在3 月底，终端客户仍持有4月、5月和 6 月期货的净多头。

EURO STOXX®50指数在VSTOXX®股指波动率指数2月份(FVS)期货和EURO STOXX® 3月(OESX)期权的到期日实现了43.5点的历史波动率。与2月份的VSTOXX®股指波动率指数期货最终结算价25.67相比，这意味着17.83个波动点的负波动风险溢价。

近月FVS期货结算价

期限结构

VSTOXX®股指波动率指数期权(OVS2)三月表现

VSTOXX®股指波动率指数期权交易量恢复到前几个月的水平。最活跃的一天是3月1日，交易量为9万手。当天，终端客户卖出6月份行权价为23点看跌期权，买入6月份行权价为60点的看涨期权。一些客户还持有大量3月份看涨期权和多头看跌期权直到到期，并没有展期。到3月底，终端客户交易策略为4月份持有净多头看涨期权以及小幅多头看跌期权的头寸，并在6月份进行23/60风险逆转的持仓策略，60点的看涨期权作为配对交易其中一端多头的那条腿。

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