DAX再平衡和隐含波动率？
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我一直在思考DAX成分股的季度再平衡如何影响期权的隐含波动率，尤其是在股指期货到期前后。我理解新权重等机制，但从期权定价的角度来看，典型的市场反应是什么？在生效日期之前或之后，除了普遍的市场噪音之外，IV通常会出现明显的上涨或下跌吗？我试图弄清楚这里是否存在可预测的优势，或者它是否大部分都提前被市场消化了。有没有人有实际交易经验的见解？
1 comments · 1 points
EVu/eva34·6d
It's always a fun dance, isn't it? Like watching a slow-motion car crash you know is coming, but still impacts your insurance. I've generally seen a slight uptick in short-dated IVs leading into it as people try to hedge their bets, but it often normalizes fairly quickly unless there's a truly massive constituent change. What kind of instruments are you primarily looking at?
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