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Thread: 东京汇市15日美元/日圆外汇期权隐含波动率走高

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    Default 东京汇市15日美元/日圆外汇期权隐含波动率走高

    2008年10月15日 15:24

    受现汇走低推动,东京汇市15日美元/日圆外汇期权隐含波动率走高。

    综合外电10月15日报道,亚洲汇市15日美元/日圆外汇期权引申波幅走高。尽管美国政府宣布了向银行注资的方案,但外汇市场仍维持动荡不定的走势。

    某日本大型银行资深期权交易商表示,美元/日圆外汇期权隐含波动率走高是因为美元已跌至100日圆附近,因此交易商都认为美元仍有大幅下跌的风险。

    预计,即使美元升至102日圆上方,美元/日圆外汇期权隐含波动率短线仍将维持在当前水平。上述交易商称,由于市场对金融危机的担忧依然存在,美元/日圆外汇期权隐含波动率短线应不会跌破15%。

    3个月期美元/日圆期权隐含波动率最新报16%/18%,低于东京汇市14日的17%/18%。

    上述期权交易商表示,只要这种情况持续下去,且美元维持在105日圆下方交投,市场人士仍会担心美元出现大幅下跌,因此他们就不会大举抛售美元看跌期权。

    以下是格林威治时间0200的1个月期外汇期权隐含波动率:


    东京汇市 纽约汇市 东京汇市
    15日 14日 14日

    美元/日圆 21.0%/23.0% 18.0%/20.0% 19.0%/21.0%
    欧元/美元 17.0%/19.0% 17.5%/19.0% 18.0%/19.5%
    欧元/日圆 25.0%/27.0% 23.0%/27.0% 22.5%/25.5%


    上述隐含波动率为场外交易市场平价期权的隐含波动率。

    在1个月期德尔塔值为0.25的期权组合中,针对美元看跌/日圆看涨期权的隐含波动率差为6.25/7.25%,纽约市场14日为6.00%/7.00%。

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    Default

    日圆外汇期权是什么啊?

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