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04 10月 2021

Eurex Asia

【期貨選擇權】VSTOXX® 2021年8月度交易數據分析

VSTOXX® 期貨(FVS)8月份交易數據

與7月相比,8月的VSTOXX®期貨市場表現較為平靜。交易量最大、最活躍的一天是8月16日,當天共交易了9.4萬手合約。


終端交易人小幅地降低了他們的交易敞口,尤其是多頭頭寸,並將8月份的一部分倉位直接展期至10月。為了應對可能出現的股市下跌,終端交易人持有一部分10月之後到期合約的淨多頭頭寸。


歐洲STOXX®50指數期貨在7月的VSTOXX®期貨合約和8月的歐洲STOXX®選擇權到期結算期間的波動率達到了10.3。相比於VSTOXX®7月份合約最終結算價為22.48點,波動率交易風險溢價為 12.18 個波動點。


VSTOXX®期貨選擇權(OVS2)9月數據分析


VSTOXX®期貨選擇權的成交量趨於平緩。未平倉的合約量增加了10%,達到了44萬。 9月的多頭看漲敞口更為明顯。


因此,終端交易人在8月期間買入了13萬手看漲選擇權,而賣出的看漲選擇權為10萬手。交易的空頭看跌選擇權為80萬手,多頭看跌選擇權為75萬手。整體來看,終端交易人還是維持了一個做多波動率的多頭頭寸。

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