【金融期权策略早报概要】上证综指、深成指数和中小创指均小幅波动。金融期权隐含波动率在历史均值偏下水平波动。对于 ETF 期权,适合构建备兑策略、偏中性的双卖策略及垂直价差组合策略;对于股指期权,适合构建偏中性的双卖策略和期权合成期货多头或空头与期货空头或多头做套利策略。
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