用期权的全新视角看待股指期货

PCR(Put-Call-Ratio)-期权市场衍生出指标
从侧面预判股指期货走势

假设1:期权保护头寸

做一个大胆的假设,某些资金在现货端准备操作前后,也许会在期权端进行保护, 虽然这部分在现货端成交量可能不足为奇,但是期权端当前市场成交量并不大, 略微的成交量放大都比较容易观察。反过来说期权端是否就是现货的一个缩影,或者踪迹。

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假设2:跨期期权累计有效

当前期权成交量不足,为了保证PCR平滑,期权跨期累计可以对标股指期货主连。 或者说跨期期权的不均匀并不会影响到PCR。

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假设3:PCR可以与标的物累加

PCR本质上是一个成交量比值单位,原则上不能够与标的物股指期货进行拟合。 但是这里本人为了能够获得一个平稳序列,就是将PCR(比值)与股指期货(涨跌)进行了拟合, 或者近似平稳序列。

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