【国投期货】平滑收益，循阶布策-250623（19页）.pdf

1、-5%5%15%25%35%45%55%65%75%85%8%13%18%23%28%33%38%2025-01-012025-02-012025-03-012025-04-012025-05-012025-06-01全品种IV均值沪金IV铜IV豆粕IV原油IV(右轴)螺纹IV10%15%20%25%30%35%40%45%5506006507007508008509002025-01-012025-02-012025-03-012025-04-012025-05-012025-06-01沪金加权沪金IV0%10%20%30%40%50%60%70%80%90%4004505005506006

2、502025-01-012025-02-012025-03-012025-04-012025-05-012025-06-01原油加权原油IV87.49%70.00%62.41%54.68%46.57%37.68%37.51%37.14%36.75%41.51%30.66%32.13%32.42%31.10%32.06%22.65%23.83%25.46%27.19%27.32%12.04%15.40%18.30%20.16%23.73%20日40日60日120日240日最大值四分之三分位数中位数四分之一分位数最小值(80.00)(60.00)(40.00)(20.00)0.0020.0040.

3、0060.00SC备兑32.64%26.76%22.74%18.29%16.22%14.00%14.13%13.53%13.68%12.69%10.24%10.93%11.39%11.29%11.97%8.22%8.66%8.70%9.74%9.85%3.92%4.88%5.41%7.57%8.48%20日40日60日120日240日最大值四分之三分位数中位数四分之一分位数最小值(160.00)(140.00)(120.00)(100.00)(80.00)(60.00)(40.00)(20.00)0.0020.0040.00AU空头保护性看涨0%10%20%30%40%50%60%70%80%

4、90%4004505005506006507007508008502021-06-222021-07-222021-08-222021-09-222021-10-222021-11-222021-12-222022-01-222022-02-222022-03-222022-04-222022-05-222022-06-222022-07-222022-08-222022-09-222022-10-222022-11-222022-12-222023-01-222023-02-222023-03-222023-04-222023-05-222023-06-222023-07-222023-08-222023-09-222023-10-222023-11-222023-12-222024-01-222024-02-222024-03-222024-04-222024-05-222024-06-222024-07-222024-08-222024-09-222024-10-222024-11-222024-12-222025-01-222025-02-222025-03-222025-04-222025-05-22原油加权原油IV