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300699股票新股_中国版“恐慌指数”创新低(2017-03-10)

300699股票新股——万里马官网

  More than three months after the official release, the Shanghai Stock Exchange 50ETF volatility index (also known as the “China wave index”) closed at 10.57 yesterday, hitting a record low of 10.31 during the day.市场人士指出,该指数反映了投资者对上交所50指数后市的预期,指数越低,投资者对后市的预期越稳定。
  去年11月28日,上交所和中国证券指数公司正式发布了上交所50ETF波动率指数。根据上交所此前披露的编制方案,波动率指数以方差互换原则为基础,以上交所近几个月及未来几个月50ETF期权合约为基础编制,反映了投资者对上交所50ETF未来30天波动性的预期。

300699股票新股

  什么是波动率指数?为何能反映投资者的预期?据悉,波动率指数是一种跟踪市场波动率的指数,一般通过标的期权的隐含波动率来计算。以芝加哥期权交易所波动率指数为例,标的期权隐含波动率越高,指数越高。
  所谓隐含波动率,可以理解为标的股票价格在未来一段时间内波动的预期值。“总之,隐含波动率可以看作是市场对期权合约的估值,类似于股票的市盈率,即其他因素不变。隐含波动率越高,期权价格(即溢价)就越高,”一位市场人士表示,换句话说,该指数反映了投资者愿意为对冲投资风险付出多少。

300699股票新股——600530股吧

  有趣的是,波动率指数在国外又称恐慌指数,是市场“黑天鹅”事件的预警装置。“总之,指数点越高,投资者对后市波动的预期越强烈;指数点越低,后市走势越稳定。”市场人士对记者说。

  早在1993年,美国芝加哥期权交易所就首次推出了波动率指数。该指数在2003年升级后,标准由标准普尔100指数改为标准普尔500指数,用来反映未来30天市场对标准普尔500指数的预期波动。
  以上述芝加哥波动率指数为例。该指数在2008年9月初迅速上涨,并于当年10月24日达到89.53的历史峰值。在此期间,著名投资银行雷曼兄弟倒闭,全球金融危机爆发,引发全球资本市场大幅波动。In June last year, the index rose sharply from about 13.5 at the beginning of June to 26.7 at the end of the month due to the great divergence in the market over brexit.

300699股票新股——st星美

  From the data during the trial operation of China wave index, from June to September 2015, during the period of A-share market volatility, China wave index also maintained high operation, and reached the highest on August 25, 2015, with the index reaching 66.82.In the secondary market, the Shanghai Stock Exchange 50 index fell 7.01% on the same day, with a cumulative decline of 15.31% in the previous three trading days.However, in the next three trading days, the market staged a “Jedi counterattack”, a number of stocks opened a continuous limit after retaliatory rebound, the Shanghai Stock Exchange 50 index also rose nearly 13% in the last three trading days, the market volatility can be seen.
  Since its official release three months ago, China’s wave index has been relatively stable, and has shown a downward trend in the near future, indicating that investors’ expectations of future market fluctuations tend to be stable.In terms of the secondary market, as of March 9, the Shanghai Stock Exchange 50 index had a small decline of 1.98% compared with November 28 last year, with the maximum amplitude of 9.05%.

  Ma Gang, an analyst at Zhongtai securities, pointed out that China wave index will pave the way for the further development of futures and options based on volatility, and provide more risk management and volatility trading tools for market participants.It is reported that in the United States, derivatives based on the volatility index include futures, options and ETFs, among which the volatility index option is the most active and has become one of the important options.

300699股票新股——上海城投控股

  In fact, with the continuous development of options business and the continuous promotion of Shanghai Stock Exchange, the insurance function of options is gradually recognized by the market.According to the data of Shanghai Stock Exchange, the total turnover of 50 ETF options of Shanghai Stock Exchange in 2016 was 79.069 million, with an average daily turnover of 324 000 and a maximum daily turnover of 1.067 million.Compared with the average daily turnover of 255 000 and the maximum daily turnover of 613 000 in the first month of listing in early 2015, the development momentum is rapid.
  It is worth mentioning that at the beginning of this year, the Shanghai Stock Exchange’s stock option market development report also clearly pointed out that in the past two years since the listing of Shanghai Stock Exchange’s 50 ETF options, the market has been running smoothly and orderly, with steady growth in scale and initial demonstration of functions.同时,2017年,上交所将加强市场培育和推广,推动新增股票期权交易标的,推出组合保证金、区块匹配交易机制等创新制度安排。

  【市场趋势】

  
  总体来看,在宏观经济复苏、投融资环境明显改善、股票博弈格局有望打破的背景下,A股战略出击的时机有望到来。

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