金工研究：VIX与SKEW双双回落市场风险信号减弱

信达证券股份有...2024-12-28

本周点评：VIX 与SKEW 双双回落，市场风险信号减弱：本周期指市场成交缩量，小盘对冲策略出现回撤。各品种VIX 与SKEW 整体下行，市场预期的短期波动风险有所下降，虽然目前市场发生大幅下行的预期较低，但中证500 和中证1000 指数的短期VIX 仍在长期VIX 之上，小盘指数风险仍然相对偏高。内容摘要：多数合约基差贴水收敛：2024 年12 月27 日，我们预估未来一年中证500、...

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金工研究：VIX与SKEW双双回落 市场风险信号减弱

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金工研究：VIX与SKEW双双回落市场风险信号减弱