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[世华财讯]以下是8月COMEX期铜期权报价:
看涨期权
隐含波动率
收盘日期 期权报价 执行价 买入 卖出 Delta Vega gamma 行权日
(美分) (美分/磅)
2011-7-5 7.20 434 22.56878392 19.90346913 0.513511909 0.404167616 0.017428660 2011-7-26
2011-7-5 6.80 435 22.45814804 19.88746482 0.494765441 0.403445327 0.017468830 2011-7-26
2011-7-5 6.40 436 22.42723508 19.94545796 0.476165368 0.401990294 0.017413344 2011-7-26
2011-7-5 6.00 437 22.35585069 19.95843010 0.457596558 0.399788486 0.017356562 2011-7-26
2011-7-5 5.65 438 22.36541117 20.04589132 0.439446527 0.396918021 0.017206545 2011-7-26
2011-7-5 5.30 439 22.20942712 19.96720809 0.420802982 0.393182397 0.017146882 2011-7-26
2011-7-5 5.00 440 22.13520242 19.96502018 0.402640838 0.388799721 0.016993401 2011-7-26
2011-7-5 4.70 441 22.14605468 20.04227382 0.385210793 0.383895995 0.016750431 2011-7-26
看跌期权
隐含波动率
收盘日期 期权报价 执行价 买入 卖出 Delta Vega gamma 行权日
(美分) (美分/磅)
2011-7-5 11.55 434 18.33442919 20.98700123 -0.486446626 0.404049632 0.020317389 2011-7-26
2011-7-5 10.95 433 18.40903084 20.96035122 -0.467726773 0.404180162 0.020270529 2011-7-26
2011-7-5 10.40 432 18.55376064 21.01017145 -0.449135101 0.403319540 0.020095707 2011-7-26
2011-7-5 9.85 431 18.52710293 20.89456865 -0.430330982 0.401471978 0.020049494 2011-7-26
2011-7-5 9.35 430 18.69432055 23.32300415 -0.412116925 0.399492349 0.017653935 2011-7-26
2011-7-5 8.80 429 18.68982419 20.89373396 -0.393524190 0.394952270 0.019579654 2011-7-26
2011-7-5 8.35 428 18.75888421 20.88790466 -0.375393869 0.390334041 0.019287466 2011-7-26
2011-7-5 7.85 427 18.77850434 20.83574312 -0.357237174 0.384783899 0.018996710 2011-7-26
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数据来源:综合媒体
(杜慧琴 编译)