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VSTOXX® 期貨 (FVS) 9月月度報告
VSTOXX® 期貨的交易活動反映了夏季的假期。 8月15日成交量為8月峰值，當日共成交6.3萬手，持倉量略高於均值。
儘管面臨全球緊張態勢和經濟衰退預期，VSTOXX®期限結構仍然處於升水狀態——近月份合約價格低於遠月份的。
從絕對值的角度看，從上月至今市場波動率沒有太大變化，VSTOXX®期貨成交價圍繞25上下波動（目前交易價約為27）。但EURO STOXX 50®指數較上月攀升了近8%。
此外，終端客戶已大幅減持淨多頭敞口，特別是在近月合約的部分。 10、11月份到期的合約持倉上，終端客戶的淨敞口仍然是淨“多頭”。
EURO STOXX 50®指數在以交易下個月份選擇權合約的波動率的VSTOXX®期貨（7月）和其標的EURO STOXX®選擇權（8月）到期日實現的歷史波動率值為13.27，相較7月份VSTOXX®的最終結算價26.91，代表波動率風險溢價為13.64。這一數值在5和6月份的VSTOXX和標的選擇權合約上的風險溢價值是1.06，而6和7月的風險溢價則為6.94。
VSTOXX® 期貨選擇權（OVS2）九月月報
8月份，VSTOXX®選擇權市場交易並不十分活躍，日均交易量約為7千手。 8月30日成交量為8月峰值，當日共成交23,000手。
終端客戶降低對短期vol的持倉曝險額，但中期則是加倉。他們在8月淨買入看漲選擇權，但在9月則是反向淨賣出看漲選擇權和淨買入看跌選擇權。 11月份到期的合約，他們再次淨買入看漲選擇權。儘管如此，終端客戶整體而言仍然做多波動率。在即月做多看漲，做空看跌（已較前月減倉），在10、11月做多看漲。
做多5萬手的8月份行權價在3570看漲選擇權到期前展倉。
Market Status ⓘ
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