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7日隐含波动率矩阵

认购期权 执行 认沽期权

价格

12月 9月 8月 7月 7月 8月 9月 12月

58.79% 2.20 50.87%

74.01% 2.25 51.77%

54.79% 2.30 51.53%

57.68% 2.35 51.74%

61.03% 2.40 52.48%

61.25% 2.45 52.87%

50.89% 61.72% 61.12% 36.42% 2.50 59.08% 57.36% 54.42% 54.45%

50.21% 58.26% 62.52% 44.71% 2.55 59.04% 58.85% 55.52% 52.25%

51.28% 61.54% 62.51% 44.35% 2.60 58.87% 58.83% 51.05% 52.44%

52.02% 59.92% 64.49% 48.81% 2.65 59.66% 56.82% 55.38% 54.61%

54.68% 59.81% 62.61% 53.33% 2.70 61.79% 59.18% 56.87% 54.91%

61.98% 62.30% 61.50% 54.15% 2.75 62.65% 58.02% 57.14% 52.25%

51.79% 58.60% 62.55% 56.56% 2.80 62.11% 56.65% 56.38% 56.87%

54.41% 64.72% 61.03% 58.19% 2.85 65.62% 60.37% 55.90% 50.50%

56.66% 65.52% 63.58% 59.38% 2.90 70.79% 60.76% 53.44% 55.01%

56.42% 66.99% 64.22% 63.32% 2.95 70.32% 58.44% 61.92% 54.59%

 资料来源:海通期货期权部

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