利用低成本领口组合布局标的上涨 同时买入11月认沽获取对极端下跌风险的保护丨65期「信·期权」
<section style="margin-top: 2em; padding-top: 0.5em; padding-bottom: 0.5em; max-width: 100%; font-family: inherit; font-size: 1em; font-weight: inherit; white-space: normal; line-height: 26.9474px; border-radius: 4px; border: 1px solid rgb(204, 204, 204); text-decoration: inherit; color: rgb(166, 166, 166); box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important; background-color: rgb(255, 255, 255);"><section style="margin-top: -1.8em; max-width: 100%; text-align: center; border-width: medium; border-style: none; line-height: 1.4; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;"><section class="" style="padding: 8px 12px; max-width: 100%; border-radius: 4px; color: rgb(255, 255, 255); font-size: 1em; font-family: inherit; font-weight: inherit; text-decoration: inherit; display: inline-block; border-color: rgb(183, 184, 184); box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important; background-color: rgb(255, 105, 31);"><section style="max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;">信·语</section></section></section><section style="padding: 16px; max-width: 100%; color: rgb(32, 32, 32); font-size: 1em; line-height: 1.4; font-family: inherit; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;"><p style="max-width: 100%; min-height: 1em; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;"><span style="max-width: 100%; font-size: 14px; line-height: 22.4px; text-align: center; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;">如期奉上中信证券独家期权策略，带你玩转期权，带你飞！</span></p></section></section><p style="max-width: 100%; min-height: 1em; color: rgb(62, 62, 62); font-size: 16px; line-height: 26.9474px; box-sizing: border-box !important; word-wrap: break-word !important; background-color: rgb(255, 255, 255);"></p><p style="margin-bottom: 20px; max-width: 100%; min-height: 1em; white-space: normal; color: rgb(62, 62, 62); font-size: 16px; text-align: center; line-height: 1.5em; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important; background-color: rgb(255, 255, 255);"><strong style="max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;"><span style="max-width: 100%; color: rgb(255, 76, 0); box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;"><span style="max-width: 100%; color: rgb(255, 111, 15); box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;"><strong style="max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;">>>></strong></span><strong style="max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;"><span style="max-width: 100%; color: rgb(181, 36, 31); box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;"> <span style="max-width: 100%; color: rgb(0, 0, 0); box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;">信·期权</span> <span style="max-width: 100%; color: rgb(255, 111, 15); box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;"><<<</span></span></strong></span></strong></p><p style="max-width: 100%; min-height: 1em; white-space: normal; color: rgb(62, 62, 62); font-size: 16px; text-align: center; line-height: 1.5em; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important; background-color: rgb(255, 255, 255);"><span style="max-width: 100%; color: rgb(255, 255, 255); box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important; background-color: rgb(255, 76, 0);"><strong style="max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;"><span style="max-width: 100%; font-size: 14px; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;"> 上期市场及组合绩效回顾 </span></strong></span></p><p style="margin-bottom: 15px; max-width: 100%; min-height: 1em; white-space: normal; color: rgb(62, 62, 62); font-size: 16px; text-align: center; line-height: 1.5em; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important; background-color: rgb(255, 255, 255);"><span style="max-width: 100%; font-size: 14px; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;">（2016.10.17-2016.10.21）</span></p><p style="max-width: 100%; min-height: 1em; color: rgb(62, 62, 62); font-size: 16px; line-height: 26.9474px; box-sizing: border-box !important; word-wrap: break-word !important; background-color: rgb(255, 255, 255);"><strong style="max-width: 100%; line-height: 1.6; white-space: normal; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;"><span style="max-width: 100%; font-size: 14px; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;"></span></strong><strong style="max-width: 100%; line-height: 1.6; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;"><span style="max-width: 100%; font-size: 14px; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;">50ETF上涨1.28%，20天历史波动率保持不变，40天历史波动率下降，期权合约隐含波动率继续下降</span></strong><strong style="max-width: 100%; line-height: 1.6; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;"><span style="max-width: 100%; font-size: 14px; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;">。</span></strong><span style="max-width: 100%; color: rgb(136, 136, 136); font-size: 14px; line-height: 21px; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;">上周50ETF震荡上行，其中在周二、周五分别创造出1.42%、0.66%的较大涨幅，全周累积上涨1.28%。波动率方面，20日历史波动率在星期二创造10.31%的阶段高点之后保持下降，最终在周五收盘时为9.22%，与前周相比变化不大，而40日历史波动率则保持下降，跌至8.57%；隐含波动率在前周创造历史新低之后，在上周继续下降，20日加权隐含波动率从13.04%下降至12.43%，继续创造新低。</span><span style="max-width: 100%; color: rgb(136, 136, 136); font-size: 14px; line-height: 21px; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;"></span><strong style="max-width: 100%; line-height: 1.6; white-space: normal; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;"><span style="max-width: 100%; font-size: 14px; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;"></span></strong></p><p style="max-width: 100%; min-height: 1em; color: rgb(62, 62, 62); font-size: 16px; line-height: 25.6px; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important; background-color: rgb(255, 255, 255);"></p><p style="max-width: 100%; min-height: 1em; color: rgb(62, 62, 62); font-size: 16px; line-height: 26.9474px; box-sizing: border-box !important; word-wrap: break-word !important; background-color: rgb(255, 255, 255);"><strong style="max-width: 100%; line-height: 1.6; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;"><span style="max-width: 100%; font-size: 14px; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;">组合绩效：“信·期权”组合上涨0.12%。</span></strong><span style="max-width: 100%; color: rgb(136, 136, 136); font-size: 14px; line-height: 21px; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;">上周“信·期权”组合Delta为正、Vega为负，在50ETF上涨、期权隐含波动率下跌的环境中获得了Delta和Vega收益。此外，当前“信·期权”组合的整体布局是“卖出12月、买入10月”合约，上周12月合约的加权隐含波动率相对于10月合约出现下降，使得组合从期限结构变化方面获得了额外收益，扣除组合承受的时间价值流逝损失以外，最终，“信·期权”组合净值全周上涨0.12%。</span></p><p style="max-width: 100%; min-height: 1em; color: rgb(62, 62, 62); font-size: 16px; line-height: 26.9474px; box-sizing: border-box !important; word-wrap: break-word !important; background-color: rgb(255, 255, 255);"><span style="max-width: 100%; color: rgb(136, 136, 136); font-size: 14px; line-height: 21px; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;"></span></p><p style="max-width: 100%; min-height: 1em; color: rgb(62, 62, 62); font-size: 16px; line-height: 26.9474px; box-sizing: border-box !important; word-wrap: break-word !important; background-color: rgb(255, 255, 255);"><span style="max-width: 100%; color: rgb(136, 136, 136); font-size: 14px; line-height: 21px; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;"></span></p><p style="max-width: 100%; min-height: 1em; white-space: normal; color: rgb(62, 62, 62); font-size: 16px; text-align: center; line-height: 1.5em; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important; background-color: rgb(255, 255, 255);"><span style="max-width: 100%; color: rgb(255, 255, 255); box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important; background-color: rgb(255, 76, 0);"><strong style="max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;"><span style="max-width: 100%; font-size: 14px; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;"> 下周市场展望及信期权策略 </span></strong></span></p><p style="margin-bottom: 15px; max-width: 100%; min-height: 1em; color: rgb(62, 62, 62); font-size: 16px; line-height: 25.6px; text-align: center; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important; background-color: rgb(255, 255, 255);"><span style="max-width: 100%; font-size: 14px; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;">（2016.10.24-2016.10.28）</span></p><p style="max-width: 100%; min-height: 1em; color: rgb(62, 62, 62); font-size: 16px; line-height: 26.9474px; box-sizing: border-box !important; word-wrap: break-word !important; background-color: rgb(255, 255, 255);"><strong style="max-width: 100%; line-height: 1.6; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;"><span style="max-width: 100%; font-size: 14px; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;">下周展望：利用低成本领口组合布局标的上涨，同时买入11月认沽获取对极端下跌风险的保护。</span></strong><span style="max-width: 100%; color: rgb(136, 136, 136); font-size: 14px; line-height: 21px; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;">本期我们认为市场存在一定的上涨动能、并且下跌空间有限，我们计划利用低成本组合布局标的上涨，建议构建“买入12月牛市价差，并且卖出12月虚值认沽”的看涨领口组合，一方面12月合约的隐含波动率偏低，使得买入12月合约的成本较低，另一方面，卖出的虚值认购及认沽可以降低做多市场的成本。同时，考虑到当前隐含波动率整体偏低，我们建议买入11月权利金较低的虚</span><span style="max-width: 100%; color: rgb(136, 136, 136); font-size: 14px; line-height: 21px; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;">值认沽期权，以获取对极端下跌风险的保护。综上所述，我们建议构建“12月看涨领口组合与买入11月认沽”构成的复合组合。因此，</span><strong style="max-width: 100%; line-height: 1.6; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;"><span style="max-width: 100%; font-size: 14px; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;">建议开仓</span></strong><strong style="max-width: 100%; line-height: 1.6; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;"><span style="max-width: 100%; font-size: 14px; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;">【买入1购12月2300，卖出1购12月2400，卖出1沽12月2150，买入1沽11月2150】。</span></strong></p><p style="max-width: 100%; min-height: 1em; color: rgb(62, 62, 62); font-size: 16px; line-height: 26.9474px; box-sizing: border-box !important; word-wrap: break-word !important; background-color: rgb(255, 255, 255);"><span style="max-width: 100%; color: rgb(136, 136, 136); font-size: 14px; line-height: 21px; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;"></span></p><p style="max-width: 100%; min-height: 1em; color: rgb(62, 62, 62); font-size: 16px; line-height: 26.9474px; box-sizing: border-box !important; word-wrap: break-word !important; background-color: rgb(255, 255, 255);"><strong style="max-width: 100%; line-height: 1.6; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;"><span style="max-width: 100%; font-size: 14px; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;">“信·期权”操作建议：新开仓</span></strong><span style="max-width: 100%; color: rgb(136, 136, 136); font-size: 14px; line-height: 21px; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;">【买入1购12月2300，卖出1购12月2400，卖出1沽12月2150，买入1沽11月2150】；</span><strong style="max-width: 100%; line-height: 1.6; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;"><span style="max-width: 100%; font-size: 14px; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;">继续持有</span></strong><span style="max-width: 100%; color: rgb(136, 136, 136); font-size: 14px; line-height: 21px; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;">【卖出1沽12月2150，买入2沽10月2150】、【卖出1沽12月2150，买入3沽10月2100】。</span></p><p style="max-width: 100%; min-height: 1em; color: rgb(62, 62, 62); font-size: 16px; line-height: 26.9474px; box-sizing: border-box !important; word-wrap: break-word !important; background-color: rgb(255, 255, 255);"><span style="max-width: 100%; color: rgb(136, 136, 136); font-size: 14px; line-height: 21px; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;"></span></p><p style="max-width: 100%; min-height: 1em; white-space: normal; color: rgb(62, 62, 62); font-size: 16px; line-height: 25.6px; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important; background-color: rgb(255, 255, 255);"><span style="max-width: 100%; white-space: pre-wrap; color: rgb(136, 136, 136); font-size: 14px; line-height: 21px; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;">风险提示：期权流动性对组合构建会存在一定影响。</span></p><p style="max-width: 100%; min-height: 1em; white-space: normal; color: rgb(62, 62, 62); font-size: 16px; line-height: 25.6px; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important; background-color: rgb(255, 255, 255);"></p><p style="margin-bottom: 5px; max-width: 100%; min-height: 1em; white-space: normal; color: rgb(62, 62, 62); font-size: 16px; line-height: 1.5em; text-align: center; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important; background-color: rgb(255, 255, 255);"><strong style="max-width: 100%; line-height: 1.5em; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;"><span style="max-width: 100%; font-size: 14px; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;">分策略损益模拟图</span></strong></p><p style="margin-top: 5px; margin-bottom: 25px; max-width: 100%; min-height: 1em; white-space: normal; color: rgb(62, 62, 62); font-size: 16px; line-height: 1.5em; text-align: center; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important; background-color: rgb(255, 255, 255);"><span style="max-width: 100%; color: rgb(136, 136, 136); font-size: 12.6316px; line-height: 20.2105px; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;">（左右滑动查看）<span style="max-width: 100%; color: rgb(255, 111, 5); box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;"></span></span></p><p></p><section label="Copyright2015 playhudong All Rights Reserved." style="margin: 1em auto; max-width: 100%; color: rgb(62, 62, 62); font-size: 16px; white-space: normal; line-height: 25.6px; border-width: medium; border-style: none; text-align: center; box-sizing: border-box !important; word-wrap: break-word !important; background-color: rgb(255, 255, 255);"><section style="margin-right: 5px; margin-left: 5px; padding-top: 1em; padding-right: 0.5em; padding-left: 0.5em; max-width: 100%; box-shadow: rgb(204, 204, 204) 0px 0px 2px 2px; overflow: hidden; box-sizing: border-box !important; word-wrap: break-word !important;"><section style="max-width: 100%; white-space: nowrap; overflow-x: scroll; box-sizing: border-box !important; word-wrap: break-word !important;"><section style="max-width: 100%; display: inline-block; box-sizing: border-box !important; word-wrap: break-word !important;"></section><section style="max-width: 100%; display: inline-block; box-sizing: border-box !important; word-wrap: break-word !important;"></section><section style="max-width: 100%; display: inline-block; box-sizing: border-box !important; word-wrap: break-word !important;"></section><section style="max-width: 100%; display: inline-block; box-sizing: border-box !important; word-wrap: break-word !important;"></section></section></section></section><p></p><p style="margin-top: 20px;"></p><p style="margin-bottom: 5px; max-width: 100%; min-height: 1em; white-space: normal; color: rgb(62, 62, 62); font-size: 16px; line-height: 25.6px; text-align: center; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important; background-color: rgb(255, 255, 255);"><strong style="max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;"><span style="max-width: 100%; color: rgb(255, 111, 15); box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;">[信·期权]</span></strong><span style="max-width: 100%; color: rgb(255, 111, 15); box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;">专业组合建议</span></p><p style="margin-bottom: 5px; max-width: 100%; min-height: 1em; white-space: normal; color: rgb(62, 62, 62); font-size: 16px; line-height: 25.6px; text-align: center; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important; background-color: rgb(255, 255, 255);"><span style="max-width: 100%; color: rgb(255, 111, 15); box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;">意犹未尽？</span></p><p style="margin-bottom: 5px; max-width: 100%; min-height: 1em; white-space: normal; color: rgb(62, 62, 62); font-size: 16px; line-height: 25.6px; text-align: center; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important; background-color: rgb(255, 255, 255);"><span style="max-width: 100%; color: rgb(255, 111, 15); line-height: 22px; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;">看 <strong style="max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;">[信·矛] </strong>＆ <strong style="max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;">[信·盾] </strong>独家策略</span></p><p style="max-width: 100%; min-height: 1em; color: rgb(62, 62, 62); font-size: 16px; line-height: 26.9474px; text-align: center; box-sizing: border-box !important; word-wrap: break-word !important; background-color: rgb(255, 255, 255);"><span style="max-width: 100%; color: rgb(255, 111, 15); line-height: 22px; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;"><span style="max-width: 100%; color: rgb(136, 136, 136); font-size: 12px; line-height: 25.6px; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;">（左右滑动查看）<span style="max-width: 100%; color: rgb(255, 111, 5); font-size: 12.6316px; line-height: 20.2105px; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;"></span></span></span></p><p></p><section label="Copyright2015 playhudong All Rights Reserved." style="margin: 1em auto; max-width: 100%; color: rgb(62, 62, 62); font-size: 16px; white-space: normal; line-height: 25.6px; border-width: medium; border-style: none; text-align: center; box-sizing: border-box !important; word-wrap: break-word !important; background-color: rgb(255, 255, 255);"><section style="margin-right: 5px; margin-left: 5px; padding-top: 1em; padding-right: 0.5em; padding-left: 0.5em; max-width: 100%; box-shadow: rgb(204, 204, 204) 0px 0px 2px 2px; overflow: hidden; box-sizing: border-box !important; word-wrap: break-word !important;"><section style="max-width: 100%; white-space: nowrap; overflow-x: scroll; box-sizing: border-box !important; word-wrap: break-word !important;"><section style="max-width: 100%; display: inline-block; box-sizing: border-box !important; word-wrap: break-word !important;"></section><section style="max-width: 100%; display: inline-block; box-sizing: border-box !important; word-wrap: break-word !important;">
</section><section style="max-width: 100%; display: inline-block; box-sizing: border-box !important; word-wrap: break-word !important;"></section></section></section></section><p></p><p style="margin-top: 15px; margin-bottom: 5px; max-width: 100%; min-height: 1em; white-space: normal; color: rgb(62, 62, 62); font-size: 16px; line-height: 25.6px; text-align: center; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important; background-color: rgb(255, 255, 255);"><strong style="max-width: 100%; line-height: 1.5em; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;"><strong style="max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;"><span style="max-width: 100%; color: rgb(255, 111, 15); box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;">>>> </span></strong>附录<strong style="max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;"><span style="max-width: 100%; color: rgb(255, 111, 15); box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;"> <<<</span></strong></strong></p><p style="max-width: 100%; min-height: 1em; color: rgb(62, 62, 62); font-size: 16px; line-height: 25.6px; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important; background-color: rgb(255, 255, 255);"><strong style="max-width: 100%; font-size: 14px; line-height: 1.5em; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;">附录1：50ETF期权跟踪数据<span style="max-width: 100%; color: rgb(178, 178, 178); line-height: 25.6px; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;"></span></strong><span style="max-width: 100%; line-height: 25.6px; color: rgb(136, 136, 136); font-size: 12px; text-align: center; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;">（左右滑动查看）<span style="max-width: 100%; color: rgb(255, 111, 5); box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;"></span></span></p><p></p><section label="Copyright2015 playhudong All Rights Reserved." style="margin: 1em auto; max-width: 100%; color: rgb(62, 62, 62); font-size: 16px; white-space: normal; line-height: 25.6px; border-width: medium; border-style: none; text-align: center; box-sizing: border-box !important; word-wrap: break-word !important; background-color: rgb(255, 255, 255);"><section style="margin-right: 5px; margin-left: 5px; padding-top: 1em; padding-right: 0.5em; padding-left: 0.5em; max-width: 100%; box-shadow: rgb(204, 204, 204) 0px 0px 2px 2px; overflow: hidden; box-sizing: border-box !important; word-wrap: break-word !important;"><section style="max-width: 100%; white-space: nowrap; overflow-x: scroll; box-sizing: border-box !important; word-wrap: break-word !important;"><section style="max-width: 100%; display: inline-block; box-sizing: border-box !important; word-wrap: break-word !important;">
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</section></section></section></section><p></p><p style="max-width: 100%; min-height: 1em; color: rgb(62, 62, 62); font-size: 16px; line-height: 24.381px; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important; background-color: rgb(255, 255, 255);"><strong style="max-width: 100%; white-space: normal; font-size: 14px; line-height: 1.5em; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;"></strong></p><p style="max-width: 100%; min-height: 1em; color: rgb(62, 62, 62); font-size: 16px; line-height: 24.381px; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important; background-color: rgb(255, 255, 255);"><strong style="max-width: 100%; white-space: normal; font-size: 14px; line-height: 1.5em; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;">附录2：多空HeatMap_当月合约到期收益图谱</strong><span style="max-width: 100%; color: rgb(136, 136, 136); font-size: 12px; line-height: 25.6px; text-align: center; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;">（左右滑动查看）</span><span style="max-width: 100%; font-size: 12px; line-height: 25.6px; text-align: center; color: rgb(255, 111, 5); box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;"></span></p><p></p><section label="Copyright2015 playhudong All Rights Reserved." style="margin: 1em auto; max-width: 100%; color: rgb(62, 62, 62); font-size: 16px; white-space: normal; line-height: 25.6px; border-width: medium; border-style: none; text-align: center; box-sizing: border-box !important; word-wrap: break-word !important; background-color: rgb(255, 255, 255);"><section style="margin-right: 5px; margin-left: 5px; padding-top: 1em; padding-right: 0.5em; padding-left: 0.5em; max-width: 100%; box-shadow: rgb(204, 204, 204) 0px 0px 2px 2px; overflow: hidden; box-sizing: border-box !important; word-wrap: break-word !important;"><section style="max-width: 100%; white-space: nowrap; overflow-x: scroll; box-sizing: border-box !important; word-wrap: break-word !important;"><section style="max-width: 100%; display: inline-block; box-sizing: border-box !important; word-wrap: break-word !important;">
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</section><section style="max-width: 100%; display: inline-block; box-sizing: border-box !important; word-wrap: break-word !important;"></section></section></section></section><p></p><p class="" style="max-width: 100%; min-height: 1em; color: rgb(62, 62, 62); font-size: 16px; line-height: 26.9474px; box-sizing: border-box !important; word-wrap: break-word !important; background-color: rgb(255, 255, 255);"><strong style="max-width: 100%; line-height: 26.9474px; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;"><span style="max-width: 100%; color: rgb(136, 136, 136); font-size: 14px; line-height: 1.6; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;">说明：</span></strong><span style="max-width: 100%; color: rgb(136, 136, 136); font-size: 14px; line-height: 1.6; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;">选取平值附近的当月期权合约，按照50ETF及合约的最新价格，计算出合约到期时50ETF出现标题栏中的涨跌幅时，各期权合约对应的涨跌情况。供对标的方向、涨跌幅有判断，需要选择合约的投资者参考。</span></p><p style="margin-bottom: 6pt; max-width: 100%; min-height: 1em; color: rgb(62, 62, 62); font-size: 16px; line-height: 26.9474px; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important; background-color: rgb(255, 255, 255);"><strong style="max-width: 100%; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;"><span style="max-width: 100%; color: rgb(136, 136, 136); font-size: 14px; line-height: 1.6; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;">投资举例：</span></strong><span style="max-width: 100%; color: rgb(136, 136, 136); font-size: 14px; line-height: 1.6; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;">当月认购第一行，由于当月合约是10月合约，因此第一行便是10月到期的行权价为2.10元的认购合约，合约现价为0.19元。50ETF当前价格2.295元，如果到期时上涨9%则对应的价格为2.5015元，则对应的期权理论价格为0.4015元，涨幅为111%，如表中第一行+9%栏所示。</span></p><p><span style="max-width: 100%; color: rgb(136, 136, 136); font-size: 14px; line-height: 1.6; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;"></span></p><p style="white-space: normal; line-height: 25.6px; text-align: center;"></p><p style="white-space: normal; line-height: 25.6px; text-align: center;"><span style="font-size: 14px;"><em style="color: rgb(62, 62, 62); line-height: 24px;"><span style="font-family: 微软雅黑, sans-serif; line-height: 1.5em; text-indent: 0em;">
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