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[世华财讯]以下是9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)
2011-8-24 3.50 400 30.97273400 26.88862593 0.493134865 0.035284940 0.090741737 2011-8-25
2011-8-24 3.05 401 31.60614295 28.04183450 0.440575159 0.043093447 0.091694528 2011-8-25
2011-8-24 2.60 402 32.12937771 28.96588784 0.389419421 0.045678136 0.087106808 2011-8-25
2011-8-24 2.25 403 32.58660436 29.74461722 0.340503795 0.045673531 0.080689614 2011-8-25
2011-8-24 1.90 404 33.03287591 30.45270862 0.294726402 0.044070424 0.073362842 2011-8-25
2011-8-24 1.60 405 32.81293837 40.62427766 0.248508423 0.041232218 0.066908145 2011-8-25
2011-8-24 1.35 406 33.40590907 43.43156076 0.211281325 0.037933504 0.058659977 2011-8-25
2011-8-24 1.15 407 33.39291657 31.39541640 0.174234052 0.033953598 0.051324300 2011-8-25
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)
2011-8-24 3.90 400 15.28496277 189.4684774 -0.506863666 0.044575645 0.036553569 2011-8-25
2011-8-24 3.40 399 39.99847617 43.01093394 -0.453686603 0.043238920 0.036405414 2011-8-25
2011-8-24 2.95 398 40.06125824 42.83785920 -0.402201143 0.041509066 0.035361697 2011-8-25
2011-8-24 2.50 397 39.52656455 42.08515654 -0.351043270 0.039233974 0.034217639 2011-8-25
2011-8-24 2.15 396 39.00986777 41.37071630 -0.301693845 0.036505991 0.032556626 2011-8-25
2011-8-24 1.80 395 39.29405148 111.5555664 -0.259297303 0.033758748 0.030194899 2011-8-25
2011-8-24 1.50 394 38.97648911 41.02227332 -0.217415202 0.030520362 0.027728764 2011-8-25
2011-8-24 1.25 393 38.85143834 40.76085654 -0.180502832 0.027232523 0.024996021 2011-8-25
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数据来源:综合媒体
(杜慧琴 编译)