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25 1月 2023

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【期貨選擇權】歐洲基準股指期貨換月展倉匯報

2022年十二月展倉統計數據

隨著我們步入期貨換月期的最後一周,我們想以基準股指期貨為重點,展示當前十二月換月的統計數據。

本文以下內容的每個圖表都包含一條實線,表示遠月持倉佔總未平倉合約之比。虛線表示近十個換月的歷史平均值,灰色區間帶錶示歷史均值水平的一個標準差。


從上面的圖表可以看出,展倉高峰通常若在季月份,當進入高峰的季月初期,STOXX歐元藍籌50(EURO STOXX 50®)指數期貨遠月份佔總未平倉合約之比率較低(佔約5%)。在展倉高峰月份的前兩週,會員逐漸將未平倉量的30%轉移到遠月。我們預計會員在到期前還會轉移48%的頭寸。

這次,會員們在到期前八天才開始為STOXX歐元銀行類股指(EURO STOXX® Banks)倉位進行展倉。截至週五,遠月的未平倉量佔比累計為17%,本週預計還有59%的持倉將進行展倉。


與以往不同,STOXX®歐洲600股指期貨展倉於到期前七個交易日開始。截至本周初,未平倉量的35%已經換月到後期,略低於歷史平均值。我們預計本周大部分換月活動將完成。


上週SMI®瑞士股指期貨的展倉活動平穩。本週開始時,未平倉量的30%被換月到後期,預計還將有41%近月合約持倉會進行轉倉。


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