option01 c, jpm all put skew, higher iv striking down; c relativ

来源: marketreflections 于 2011-06-25 07:43:25 [档案] [博客] [旧帖] [给我悄悄话] 本文已被阅读：次 (75468 bytes)

回答: dailycheck01 http://www.advicetrade.com/ 由 marketreflections 于 2011-05-21 21:11:52

HISTORICAL VOLATILITY
10 days	19.89%	22.58%	21.42%	44.56% - 07-Jul	6.95% - 05-Apr
20 days	21.99%	21.85%	18.34%	38.97% - 22-Jul	15.40% - 15-Apr
30 days	21.12%	20.88%	18.88%	41.94% - 29-Jun	15.80% - 02-May
IMPLIED VOLATILITY
IV Index call	31.68%	29.48%	23.76%	42.99% - 01-Jul	19.06% - 28-Apr
IV Index put	30.87%	29.99%	23.42%	43.12% - 30-Jun	19.10% - 27-Apr
IV Index mean	31.27%	29.74%	23.59%	42.82% - 30-Jun	19.16% - 28-Apr
HISTORICAL 30-DAYS CORRELATION AGAINST S&P 500 Index (SPX)
30 days	71.50%	72.30%	59.59%	91.71% - 10-Aug	44.04% - 29-Apr

Implied Vola (%)	Call Delta	Change (%)	Call Bid/Ask Mean	Expiry	Strike	Days	Put Bid/Ask Mean	Change (%)	Put Delta	Implied Vola (%)
34.97%	68.54%	-0.43 (-17.48)	2.030	Jul 16, 2011	38.0	22	0.725	0.16 (28.32)	-33.06%	33.83%
33.55%	55.62%	-0.33 (-19.19)	1.390	Jul 16, 2011	39.0	22	1.105	0.25 (28.49)	-45.27%	32.65%
32.40%	42.08%	-0.24 (-21.24)	0.890	Jul 16, 2011	40.0	22	1.600	0.33 (25.98)	-58.63%	31.19%
31.07%	29.13%	-0.16 (-23.13)	0.515	Jul 16, 2011	41.0	22	2.240	0.41 (22.74)	-71.61%	30.12%
31.70%	62.69%	-0.37 (-12.29)	2.605	Aug 20, 2011	38.0	57	1.320	0.19 (17.33)	-37.19%	31.14%
30.59%	54.54%	-0.32 (-13.61)	2.000	Aug 20, 2011	39.0	57	1.715	0.25 (17.06)	-45.49%	30.05%
29.62%	45.84%	-0.26 (-14.90)	1.485	Aug 20, 2011	40.0	57	2.200	0.31 (16.09)	-54.35%	29.08%
28.81%	37.07%	-0.20 (-15.81)	1.065	Aug 20, 2011	41.0	57	2.775	0.36 (14.91)	-63.34%	28.18%

Price Chart

Volatility Chart

HISTORICAL VOLATILITY

10 days

27.67%

38.08%

20.46%

53.11% - 26-Jul

9.13% - 04-Apr

20 days

32.79%

31.54%

20.60%

49.04% - 22-Jul

14.29% - 18-Apr

30 days

28.34%

28.36%

19.78%

45.21% - 16-Jul

15.93% - 29-Apr

IMPLIED VOLATILITY

IV Index call

36.31%

35.40%

25.49%

51.32% - 29-Jun

19.41% - 20-Apr

IV Index put

34.07%

35.44%

25.40%

49.47% - 29-Jun

20.54% - 20-Apr

IV Index mean

35.19%

35.42%

25.45%

50.40% - 29-Jun

19.98% - 20-Apr

HISTORICAL 30-DAYS CORRELATION AGAINST S&P 500 Index (SPX)

30 days

56.95%

53.70%

44.01%

87.65% - 13-Sep

16.05% - 29-Apr

Implied Vola (%)	Call Delta	Change (%)	Call Bid/Ask Mean	Expiry	Strike	Days	Put Bid/Ask Mean	Change (%)	Put Delta	Implied Vola (%)
39.40%	68.52%	0.16 (7.40)	2.395	Jul 16, 2011	38.0	22	0.705	-0.10 (-11.88)	-30.38%	36.49%
37.59%	58.43%	0.12 (7.79)	1.730	Jul 16, 2011	39.0	22	1.040	-0.13 (-11.11)	-41.21%	34.97%
36.21%	47.05%	0.09 (8.72)	1.185	Jul 16, 2011	40.0	22	1.490	-0.16 (-9.97)	-53.47%	33.50%
35.25%	35.56%	0.06 (8.45)	0.770	Jul 16, 2011	41.0	22	2.075	-0.19 (-8.39)	-65.97%	32.34%
36.87%	63.99%	0.18 (6.29)	3.125	Aug 20, 2011	38.0	57	1.430	-0.06 (-4.03)	-35.63%	35.27%
35.87%	57.12%	0.17 (7.48)	2.515	Aug 20, 2011	39.0	57	1.820	-0.08 (-4.21)	-42.81%	34.33%
34.97%	49.83%	0.14 (7.90)	1.980	Aug 20, 2011	40.0	57	2.275	-0.11 (-4.61)	-50.47%	33.29%
34.20%	42.40%	0.12 (8.93)	1.525	Aug 20, 2011	41.0	57	2.820	-0.15 (-4.89)	-58.30%	32.49%