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《期貨》價差轉正，多方續樂觀
2013/09/16 07:56 時報資訊

【時報-台北電】上周五美股收漲，上周六獨自開盤的台指期開高，在外資休假內資也無力追價下，期指量縮震盪。然在最後一盤現貨下殺，期貨卻上拉的情況下，終場小漲15點收在8,162點，期現貨轉正價差20點，選擇權波動率下降，凸顯期貨市場樂觀的一面。

籌碼面上三大法人現貨合計買超6.9億元，其中外資買超15.3億元，自營商則賣超4.2億元，投信賣超4.13億元。台指期方面，外資加碼淨多單1,503口至3,598口，自營商則減碼淨多單1,407口至417口，三大法人合計增加淨多單69口至6,477口，法人對後市看法並無太大改變。

選擇權部分，整體隱含波動率再次下降0.59％，其中買、賣權隱含波動率分別減少0.58％與0.63％，顯示選擇權買方追價的意願持續衰退，而未平倉量P/C Ratio也僅小幅增加0.01。買賣權未平倉履約以8,250買權與8,050賣權增加較為顯著，顯示市場預期季線附近位置將提供有效支撐，而上檔壓力逐漸沉重。

元大寶來期貨表示，由於中秋連假即將到來，台指期9月合約也將於周三結算，又適逢美國FOMC利率會議即將展開，買盤不願持股過節的心態，導致逢高賣壓有加重跡象，連日來指數遲滯不前；而台指期也持續陷入5日均線保衛戰，只是連日來壓回時量能都呈現萎縮，且歐美股市表現依然不弱，下檔空間恐怕不大，震盪整理後多頭仍有可為。

國泰期貨副總錢冠州指出，期權策略方面，由於盤面陷入無量的整理局面，貿然以選擇權買方進場不完全有利，但行情於量能放大時則有機會走出波段行情，故可採選選擇權多頭價差的方式偏多操作，以獲取未來可能的波段利潤。在選擇權履約價的選取上，可買進價平的買權及賣出價外一檔或二檔的買權，可持有至9月合約結算，應可期待波段行情的利潤。（新聞來源：工商時報─記者潘臆涵／台北報導）

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作者dino1206 (單車戀)

站內Taoyuan

標題[自介] dino1206

時間Sat Sep 14 18:27:15 2013

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• Massacres That Matter - Part 1 - 'Responsibility To Protect' In Egypt, Libya And Syria
• Massacres That Matter - Part 2 - The Media Response On Egypt, Libya And Syria
• National demonstration: No attack on Syria - Saturday 31 August, 12 noon, Temple Place, London, UK

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This entry passed through the Full-Text RSS service — if this is your content and you're reading it on someone else's site, please read the FAQ at fivefilters.org/content-only/faq.php#publishers. Five Filters recommends:

• Massacres That Matter - Part 1 - 'Responsibility To Protect' In Egypt, Libya And Syria
• Massacres That Matter - Part 2 - The Media Response On Egypt, Libya And Syria
• National demonstration: No attack on Syria - Saturday 31 August, 12 noon, Temple Place, London, UK