买入日历跨式组合, 捕捉隐含波动率期限结构中的收益机会丨66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-top-left-radius: 4px; border-top-right-radius: 4px; border-bottom-right-radius: 4px; border-bottom-left-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-top-left-radius: 4px; border-top-right-radius: 4px; border-bottom-right-radius: 4px; border-bottom-left-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: 25.6000003814697px; 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;">（2016.10.24-2016.10.28）</span></p><p style="max-width: 100%; min-height: 1em; color: rgb(62, 62, 62); font-size: 16px; line-height: 25.6000003814697px; 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;">上周三10月期权合约到期，周四<strong style="color: rgb(62, 62, 62); font-size: 16px; line-height: 1.6; white-space: pre-wrap; 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;">新挂</span></strong>2017年6月到期的<strong style="color: rgb(62, 62, 62); font-size: 16px; line-height: 1.6; white-space: pre-wrap; 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;">合约</span></strong>。50ETF全周上涨0.52%，标的波动率、期权合约隐含波动率小幅上升。</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;">上周一50ETF单日上涨1.26%，此后连续多日震荡下行，最终全周上涨0.52%。在标的冲高回落的行情影响下，波动率小幅升高，20日、40日历史波动率分别从9.2%、8.6%上升至9.9%、8.9%，期权合约20日加权隐含波动率从12.4%上升至13.6%。此外，上周三10月期权合约到期，共计有10560张认购期权和4367张认沽期权进行了行权，10月合约过期后2017年6月到期的合约于周四新挂并开始进行交易。</span></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: 25.6000003814697px; 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：</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;">“信·期权”组合下跌0.01%。</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”组合持有正Delta、负Vega，以及微负的Theta。在50ETF小幅上涨、期权隐含波动率上涨的环境中，Delta方面的收益与Vega方面的损失基本抵消，再扣除时间价值的损耗后，全周净值下跌0.01%。</span></p><p style="max-width: 100%; min-height: 1em; color: rgb(62, 62, 62); font-size: 16px; line-height: 25.6000003814697px; 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: 25.6000003814697px; 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;">（2016.10.31-2016.11.4）</span></p><p style="max-width: 100%; min-height: 1em; color: rgb(62, 62, 62); font-size: 16px; line-height: 25.6000003814697px; 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：</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;">买入日历跨式组合, 捕捉隐含波动率期限结构中的收益机会。</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冲高回落后，目前各月份期权合约的隐含波动率相对较为接近。在此情况下可以买入日历跨式组合，卖出3月合约、买入6月合约，捕捉期限结构中的潜在收益机会（但需要注意交易成本对期限结构收益的影响较大，组合构建后可能需要长期持有）。通过该方式构建的组合Vega为正，如果未来市场大幅波动，则隐含波动率继续上升可以获得收益；如果后续50ETF波动降低，则隐含波动率期限结构可能再次向下变陡（较近月合约隐含波动率下降的相对更多），使组合在隐含波动率期限结构变化中获利。</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;">建议开仓【卖出1购3月2300，卖出1沽3月2300，买入1购6月2350，买入1沽6月2250】。</span></p><p style="max-width: 100%; min-height: 1em; color: rgb(62, 62, 62); font-size: 16px; line-height: 25.6000003814697px; 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: 25.6000003814697px; 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：</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;">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;">【卖出1购3月2300，卖出1沽3月2300，买入1购6月2350，买入1沽6月2250】；</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;">【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】。（含有10月合约的两个组合已在10月合约到期时平去）</span></p><p style="max-width: 100%; min-height: 1em; color: rgb(62, 62, 62); font-size: 16px; line-height: 25.6000003814697px; box-sizing: border-box !important; word-wrap: break-word !important; background-color: rgb(255, 255, 255);"></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);"><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;"></span></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);"><span style="max-width: 100%; font-family: 宋体; box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;"></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: 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; 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</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: 25.6000003814697px; 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><section label="Copyright2015 playhudong All Rights Reserved." donone="shifuMouseDownStyle('shifu_c_001')" style="margin: 1em auto; line-height: 25.6px; white-space: normal; border: none; text-align: center;"><section style="overflow: hidden;"><section style="white-space: nowrap; overflow-x: scroll;"><section style="display: inline-block; margin-right: 5px;">
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</section></section></section></section><p style="max-width: 100%; min-height: 1em; color: rgb(62, 62, 62); font-size: 16px; line-height: 25.6000003814697px; text-align: center; box-sizing: border-box !important; word-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: 25.6000003814697px; text-align: center; box-sizing: border-box !important; word-wrap: break-word !important; background-color: rgb(255, 255, 255);"><strong style="white-space: normal; 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><section label="Copyright2015 playhudong All Rights Reserved." donone="shifuMouseDownStyle('shifu_c_001')" style="margin: 1em auto; line-height: 25.6px; white-space: normal; border: none; text-align: center;"><section style="overflow: hidden;"><section style="white-space: nowrap; overflow-x: scroll;"><section style="margin-right: 5px; display: inline-block;">
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</section></section><p></p></section></section><p class="shifubrush"><strong style="color: rgb(62, 62, 62); 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="line-height: 25.6px; max-width: 100%; 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><span style="line-height: 25.6px; max-width: 100%; font-size: 12px; text-align: center; color: rgb(255, 111, 5); box-sizing: border-box !important; word-wrap: break-word !important; overflow-wrap: break-word !important;"></span><span style="color: rgb(255, 111, 5); font-size: 12px; line-height: 25.6px; text-align: center;"></span><span style="color: rgb(255, 111, 5); font-size: 12px; line-height: 25.6px; text-align: center;"></span></p><section label="Copyright2015 playhudong All Rights Reserved." donone="shifuMouseDownStyle('shifu_c_001')" style="margin: 1em auto; line-height: 25.6px; white-space: normal; border: none; text-align: center;"><section style="overflow: hidden;"><section style="white-space: nowrap; overflow-x: scroll;"><section style="display: inline-block; margin-right: 5px;">
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</section></section></section></section><p class="shifubrush"><strong style="color: rgb(62, 62, 62); font-size: 16px; 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11月合约，因此第一行便是11月到期的行权价为2.10元的认购合约，合约现价为0.2061元。50ETF当前价格2.307元，如果到期时上涨9%则对应的价格为2.515元，则对应的期权理论价格为0.4150元，涨幅为101%，如表中第一行+9%栏所示。</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);"><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> 谢谢分享 谢谢分享 不错感谢分享 感谢分享
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