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26 9月 2022

Eurex Asia

【期货期权】VSTOXX® 9月月度报告

VSTOXX® 期货 (FVS) 9月月度报告
VSTOXX® 期货的交易活动反映了夏季的假期。8月15日成交量为8月峰值，当日共成交6.3万手，持仓量略高于均值。

尽管面临全球紧张态势和经济衰退预期，VSTOXX®期限结构仍然处于升水状态——近月份合约价格低于远月份的。

从绝对值的角度看，从上月至今市场波动率没有太大变化，VSTOXX®期货成交价围绕25上下波动（目前交易价约为27）。但EURO STOXX 50®指数较上月攀升了近8%。

此外，终端客户已大幅减持净多头敞口，特别是在近月合约的部分。10、11月份到期的合约持仓上，终端客户的净敞口仍然是净“多头”。

EURO STOXX 50®指数在以交易下个月份期权合约的波动率的VSTOXX®期货（7月）和其标的EURO STOXX®期权（8月）到期日实现的历史波动率值为13.27，相较7月份VSTOXX®的最终结算价26.91，代表波动率风险溢价为13.64。这一数值在5和6月份的VSTOXX和标的期权合约上的风险溢价值是1.06，而6和7月的风险溢价则为6.94。


VSTOXX® 期货期权（OVS2）九月月报
8月份，VSTOXX®期权市场交易并不十分活跃，日均交易量约为7千手。8月30日成交量为8月峰值，当日共成交23,000手。

终端客户降低对短期vol的持仓曝险额，但中期则是加仓。他们在8月净买入看涨期权，但在9月则是反向净卖出看涨期权和净买入看跌期权。11月份到期的合约，他们再次净买入看涨期权。尽管如此，终端客户整体而言仍然做多波动率。在即月做多看涨，做空看跌（已较前月减仓），在10、11月做多看涨。

做多5万手的8月份行权价在3570看涨期权到期前展仓。

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