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19 12月 2022

Eurex Asia

【期貨選擇權】歐洲基準指數期貨展期速報

12月展期最新數據統計

隨著時間步入機構投資人在每季末對於期貨持倉展期窗口的最後一周，我們集中整合了12月展期的統計數據，其中重點聚焦在基準指數期貨。

以下四幅圖中均包含一條實線，代表遠月份合約持倉佔總未平倉合約的比率。虛線表示最近十次展期的均值，灰色帶寬表示歷史均值的標準差。

從上圖可以看出，展期開始時，歐元藍籌STOXX 50®指數期貨的遠月份合約佔總未平倉合約的5%。在展期窗口的前兩週，會員將30%的未平倉合約轉換到遠月份（一般旗艦合約都在每個季月第三周到期，因此展期時間窗口約近3週的時間）。預計還將有48%的未平倉合約在到期前剩下的3-5天期間作展期處理（文章撰寫日期為旗艦近月合約到期前一周）。

上圖顯示會員在到期前8天才開始對歐元STOXX®銀行類股期貨作展期處理。截至本週五（合約到期的前一周），有17%的未平倉合約為遠月份合約，另外59%的未平倉合約預計將在合約到期當週內作展期處理。

與上述兩種期貨情況略有不同，STOXX®歐洲600指數期貨的展期活動在到期前七個交易日才逐步開始。截至到期當週一開始時，35%的未平倉合約展期至遠月份，這個數字略低於歷史均值。預計多數展期操作將在到期當週內完成。

瑞士藍籌SMI®期貨的展期操作在季月合約到期前1週並不十分活躍。自到期當週始，有30%的未平倉合約展期至遠月份月份，預計還有41%的未平倉合約將在合約到期前的幾個交易日內作展期處理。

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