摘要
随着人民币汇率形成机制的不断完善以及人民币国际化进程的深入，2017年人民币期权市场产生了诸多新的变化特点，如期权波动率风险溢价消退、波动率曲线的形态由“冷笑”变为“微笑”等。展望2018年，随着人民币双向波动特征的逐渐增强，人民币汇率实现波动率和隐含波动率有望双双提升。文章在此基础上提出进一步完善人民币期权市场交易体系的相关发展举措。
With the continuous improvement of the RMB exchange rate formation mechanism and the deepening of the RMB internationalization, the RMB options market has shown new features in 2017, such as the fading of the risk premium of the option volatility, and the volatility curve going more like a ＂Smile＂ than a ＂Sneer＂. Looking forward to 2018, with the RMB exhibiting more two-way fluctuations, both the realized and implied volatility of RMB are expected to rise. Based on this, this paper puts forward some relevant measures to further improve the trading system of RMB options maket.
出处
《中国货币市场》
北大核心
2017年第12期28-32,共5页
China Money
