· 供应链分析
我指的是两年期期权，而非30天到期(30DTE)的期权。但正如你所指出的，短期内波动性普遍更高。我展示的最可能情景是：三星(Samsung)和SK海力士(SK Hynix)各自的隐含波动率(IV)在55-75之间，且占指数权重的50%。做市商(MMs)此前定价基于5-10年的历史数据，当时指数停滞且预期均值回归，而非三星/SK海力士在新存储交易中的波动性。我使用多个期权数据源，Robinhood因对散户最直观易引而常被提及。但如果IV回落至32%，我就错了；但在我看来，由于波动率和上行空间存在巨大定价偏差，IV很可能维持高位。
I’m talking about 2 year dated options, not 30dte. But as you’re referencing, there’s more short term volatility in general. Most likely scenario I’m showing is Samsung/SK Hynix individually are around IV 55-75 and make up 50% of the index. MMs were pricing in 5-10 year historical values where the index was stagnant + expecting a reversion to mean, rather than the new memory trade volatility in Samsung/Sk Hynix. I use multiple option sources, Robinhood is the easiest to cite visually to retail. But if IV drops back to 32% I would be wrong but it will likely remain much higher since that’s a huge mispricing of volatility/upside from my view.