TZ Quant OS - Morning Brief

CSI 500 ETF 28.7% · 中证500ETF深 28.8% · 中证1000期货 28.6%
5 names sit above the 85th percentile. Elevated volatility remains the dominant sector theme.

Short Fiber 59.1% · Bottle Flake 65.0% · Benzene 68.7%
18 names sit above the 85th percentile. Elevated volatility remains the dominant sector theme.

Palm Oil 28.1% · Rapeseed Oil 22.6% · Soybean Oil 18.4%
3 names sit above the 85th percentile. Elevated volatility remains the dominant sector theme.

沪金 36.5% · 沪铝 21.1% · 沪银 73.1%
3 names show extreme skew percentile. Directional positioning is concentrated.

ATM IV		RV22	IV / RV
59.1%	100.00	47.7%	1.24	+5.56
65.0%	99.55	65.8%	0.99	+7.20
68.7%	98.20	71.5%	0.96	+5.39
31.7%	97.52	20.5%	1.55	+3.11
84.4%	96.69	80.3%	1.05	+6.17
11.6%	10.33	7.1%	1.62	-0.27
42.8%	14.58	49.0%	0.87	-3.19

ATM IV

RV22

IV / RV

59.1%

100.00

47.7%

1.24

+5.56

65.0%

99.55

65.8%

0.99

+7.20

68.7%

98.20

71.5%

0.96

+5.39

31.7%

97.52

20.5%

1.55

+3.11

84.4%

96.69

80.3%

1.05

+6.17

11.6%

10.33

7.1%

1.62

-0.27

42.8%

14.58

49.0%

0.87

-3.19

		ATM IV
+13.81	100.00	59.1%	100.00
+7.31	99.54	65.0%	99.55
+5.11	96.91	68.7%	98.20
+4.06	94.98	53.7%	96.68
-1.75	0.00	18.0%	81.40
-2.31	0.00	19.7%	89.26
-2.94	0.41	24.0%	82.23
-3.69	0.41	34.9%	73.97

ATM IV

+13.81

100.00

59.1%

100.00

+7.31

99.54

65.0%

99.55

+5.11

96.91

68.7%

98.20

+4.06

94.98

53.7%

96.68

-1.75

0.00

18.0%

81.40

-2.31

0.00

19.7%

89.26

-2.94

0.41

24.0%

82.23

-3.69

0.41

34.9%

73.97