1 thought on “What does the implicit volatility in the certificate mean?”
Judy
What is the "implicit volatility"
This hidden volatility is the theoretical price model of the theoretical price of the right to transaction price on the market, and the volatility value pushed out. Taking the Vanke's put right certificate (038002), which was listed yesterday, the Ganke's closing price yesterday was 378 yuan, the price of Vanke's puts the certificate was 0.87 yuan, the exercise price was 3.73 yuan, and the duration was 9 months (0.75 years). , 1.8%of the one-year deposit rate (after tax) without risk yields, bringing the above parameters into the Black-SCHOLES model to launch its implicit volatility of 72.6%, which is twice that of its historical volatility rate about.
In from Wu Qian, the financial engineer of Debon Securities, historical volatility reports the fluctuation of the target stock price in the past for a period of time. Essence Generally speaking, the higher the implied volatility of the rights, the greater the risk of its implies. In addition to the changes in the price change of the right to the right to use the right to buy and sell the right certificate, investors can also profit from the changes in the fluctuation range of the stock price. Generally speaking, the volatility can not rise or fall infinitely, but to fluctuate back and forth in one range. Investors can adopt the method of buying the right to buy when the implicit volatility is low and selling the priority to profit when it is higher. Essence
What is the "implicit volatility"
This hidden volatility is the theoretical price model of the theoretical price of the right to transaction price on the market, and the volatility value pushed out. Taking the Vanke's put right certificate (038002), which was listed yesterday, the Ganke's closing price yesterday was 378 yuan, the price of Vanke's puts the certificate was 0.87 yuan, the exercise price was 3.73 yuan, and the duration was 9 months (0.75 years). , 1.8%of the one-year deposit rate (after tax) without risk yields, bringing the above parameters into the Black-SCHOLES model to launch its implicit volatility of 72.6%, which is twice that of its historical volatility rate about.
In from Wu Qian, the financial engineer of Debon Securities, historical volatility reports the fluctuation of the target stock price in the past for a period of time. Essence Generally speaking, the higher the implied volatility of the rights, the greater the risk of its implies. In addition to the changes in the price change of the right to the right to use the right to buy and sell the right certificate, investors can also profit from the changes in the fluctuation range of the stock price. Generally speaking, the volatility can not rise or fall infinitely, but to fluctuate back and forth in one range. Investors can adopt the method of buying the right to buy when the implicit volatility is low and selling the priority to profit when it is higher. Essence