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05 5月 2022

Eurex Asia

【期貨選擇權】VSTOXX®股指波動率指數期貨(FVS)三月市場動態

VSTOXX®股指波動率指數期貨(FVS)三月市場動態

VSTOXX®股指波動率指數期貨(FVS) - 2022年3月

客戶賬戶 FVS 持倉量- 2月15日與3月14日到期前持倉倉位對比

VSTOXX®股指波動率指數期貨交易在2月底和3月上半月非常活躍。烏克蘭戰爭將波動率指數推高超過40%以上，並加劇了期限結構的逆價差。最活躍的一天是3月4日，有14萬份交易合約。 3月下半月交易活動放緩。

終端客戶大幅將3月份淨多頭頭寸繼續展倉到4月份合約，並同時相當程度增加5月份合約的多頭頭寸。它暗示了對更高波動水平的更長時期的預期。然而，終端客戶開始在4月和3月的淨持倉開始轉成淨賣出，將部分淨多頭頭寸獲利了結，這類交易持續到了3月底。但在3 月底，終端客戶仍持有4月、5月和 6 月期貨的淨多頭。

EURO STOXX®50指數在VSTOXX®股指波動率指數2月份(FVS)期貨和EURO STOXX® 3月(OESX)選擇權的到期日實現了43.5點的歷史波動率。與2月份的VSTOXX®股指波動率指數期貨最終結算價25.67相比，這意味著17.83個波動點的負波動風險溢價。

近月FVS期貨結算價

期限結構

VSTOXX®股指波動率指數選擇權(OVS2)三月表現

VSTOXX®股指波動率指數選擇權交易量恢復到前幾個月的水平。最活躍的一天是3月1日，交易量為9萬手。當天，終端客戶賣出6月份行權價為23點看跌選擇權，買入6月份行權價為60點的看漲選擇權。一些客戶還持有大量3月份看漲選擇權和多頭看跌選擇權直到到期，並沒有展期。到3月底，終端客戶交易策略為4月份持有淨多頭看漲選擇權以及小幅多頭看跌選擇權的頭寸，並在6月份進行23/60風險逆轉的持倉策略，60點的看漲選擇權作為配對交易其中一端多頭的那條腿。

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