溢价留待美联储周——期权简报——2026年10月27日

关键论点

• 周一涨势在扣除五个交易日中少一个的时间衰减后，仍抹去约16点权利金，而周五到期合约仍涵盖美联储、欧洲央行、日本央行决议及三份大型财报。
• 隐含相关性自纪录高位15.00降至13.95，离散度升至38.02，暗示本周或被按独立公司事件而非单一指数事件定价。
• 隐含波动率排名中位数仅指数产品由47.7降至45.9，即将发布财报的个股排名上升，印证离散度信号。
• 反向证据是：涨势中指数看跌期权与波动率看涨期权被直接买入，Saxo将其解读为事件周对冲。

对应原文证据

1. Monday’s rally did not only lift the index, it took premium out of the four sessions that follow it, and those sessions still hold a Federal Reserve decision.
2. Index puts and index volatility calls were bought outright while the cash market rallied, and downside was bought in Meta and across semiconductors.
3. One session of five is complete and 39% of that band has been used, to the upside.