50ETF期权到期作废率创新高
作者:牛秋乐 冯世佃  2019/9/10 20:54:25  来源:原创  浏览:446

   50ETF期权在2015年上市以来,市场活跃度不断提升。进入2019年以来,随着股市波动加大,50ETF期权市场成交持仓屡创新高,期权市场也进一步被广大投资者所熟知。

   2019年6月20日50ETF放量大涨3.43%,期权成交量达到626.7万手的天量。今年4月7日,期权持仓首次突破400万手,8月期权持仓再创新高,最高达到413万手,盘中甚至达到433万手。9月5日期权成交量再度放大,达到490万手,为历史第三高,9月6日收盘后期权持仓也达到360万手以上。9月合约将于9月25日到期,预计未来期权持仓有望再度突破400万手,甚至刷新历史新高。

   投资者参与期权市场普遍基于买方“风险有限”而“收益无限”的认知,但我们统计了2015年50ETF期权上市以来的每一个到期日的情况,发现绝大部分期权合约价值在到期日都将归零,期权合约作废比率平均达到90%以上。因此期权买方的风险也不容忽视。

   例如,7月24日收盘后,期权持仓仍达到366万张以上,其中有135万张近月到期的合约,而合约作废数量达到128万张,即7月份期权合约到期作废比率高达94.6%。在8月28日收盘后,期权持仓393万张,其中近月合约有121万张,比7月略有下降,但作废合约却达到117万张,作废比率创下历史新高的97.5%。

   认购和认沽合约的作废比率会随着市场行情的波动而发生较大变化,在2015年股市大跌时期,认沽合约绝大部分都是实值期权,2015年8月26日合约作废比率仅为4.5%。

   在2018年年底,当时大盘在二次筑底,投资者抄底热情较高,认购持仓当时也达到历史高位。但最终由于抄底时间过早,绝大部分认购期权合约价值最终归零。

   在2019年3月,受2月25日192倍期权刺激,投资者对深度虚值期权热情极高,深度虚值期权也一度成为最为活跃的合约,但最终由于50ETF未能继续上涨,这些深度期权在到期日也全部作废。

   自2015年上市以来,50ETF期权合约作废总数不断上升,作废比率平均达到90%以上。近三个月合约作废比率甚至达到95%以上,其中8月合约作废达到历史新高的97.5%。即绝大部分合约随着到期日的临近,期权合约价值最终都将归零。

   总体来说,由于期权具有非线性的价格曲线以及风险收益不对称的特征,大家普遍认为作为期权买方“风险有限”而“收益无限”。但是从过往的数据来看,由于时间价值的流逝,买方的风险也不容忽视。因此,作为期权的买方,一定要认准时机,最好是在行情启动前进行买入。此外,当行情判断错误时,要及时进行止损。当行情判断正确时,也不可过分乐观,要及时进行止盈,否则终将也只是“纸上富贵”。  

                                      (作者单位:方正中期)


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