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19 12月 2022

Eurex Asia

【期货期权】欧洲基准股指期货展期速报

12月展期最新数据统计

随着时间步入机构投资人在每季末对于期货持仓展期窗口的最后一周,我们集中整合了12月展期的统计数据,其中重点聚焦在基准股指期货。

以下四幅图中均包含一条实线,代表远月份合约持仓占总未平仓合约的比率。虚线表示最近十次展期的均值,灰色带宽表示历史均值的标准差。


从上图可以看出,展期开始时,欧元蓝筹STOXX 50®指数期货的远月份合约占总未平仓合约的5%。在展期窗口的前两周,会员将30%的未平仓合约转换到远月份(一般旗舰合约都在每个季月第三周到期,因此展期时间窗口约近3周的时间)。预计还将有48%的未平仓合约在到期前剩下的3-5天期间作展期处理(文章撰写日期为旗舰近月合约到期前一周)。

上图显示会员在到期前8天才开始对欧元STOXX®银行类股期货作展期处理。截至本周五(合约到期的前一周),有17%的未平仓合约为远月份合约,另外59%的未平仓合约预计将在合约到期当周内作展期处理。

与上述两种期货情况略有不同,STOXX®欧洲600股指期货的展期活动在到期前七个交易日才逐步开始。截至到期当周一开始时,35%的未平仓合约展期至远月份,这个数字略低于历史均值。预计多数展期操作将在到期当周内完成。

瑞士蓝筹SMI®期货的展期操作在季月合约到期前1周并不十分活跃。自到期当周始,有30%的未平仓合约展期至远月份月份,预计还有41%的未平仓合约将在合约到期前的几个交易日内作展期处理。

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