摘要
2008年7月,芝加哥期权交易所推出了原油波动率指数(OVX),与美国股票市场恐慌指数(VIX)相似,OVX本质上是包含了市场情绪的隐含波动率加权平均值。从走势来看,OVX与WTI首行价格具有明显的负相关性,历史上OVX的4次大幅暴涨也与WTI价格暴跌密切相关。文章创新地增加了实证研究手段,分析OVX与WTI价格数量相关关系得出,OVX与WTI具有显著的负相关关系,且OVX大于40时,WTI当日涨跌区间的整体表现更大。此外,OVX还对下一交易日的WTI价格有影响,当OVX上升一个单位,WTI价格将下降0.015%。
In July 2008,Chicago Board Options Exchange(CBOE)launched the Crude Oil ETF Volatility Index(OVX),which is similar to the stock market panic index VIX.The OVX index essentially contains a weighted average of implied volatility on market sentiment.From the trend point of view,OVX and WTI’s first line of prices have an obvious negative correlation,and the four sharp rises of OVX in history are also closely related to the collapse of WTI prices.This article analyzes the correlation between OVX and WTI crude oil price,and finds that OVX and WTI have a significant negative correlation.When OVX is greater than 40,WTI crude oil price volatile in a larger range.In addition,OVX also has an impact on the WTI crude oil price on the next trading day.When OVX rises by one unit,WTI falls by 0.015%on the next day.
作者
张婧
刘子悦
Zhang Jing;Liu Ziyue(China International United Petroleum&Chemicals Co.,Ltd.,Beijing 100728,China)
出处
《当代石油石化》
CAS
2023年第1期14-18,共5页
Petroleum & Petrochemical Today