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美股指數窩輪跳動點計?

如投資者希望計算美股指數窩輪跳動敏感度,即輪證跳動1個價位所需相關期指變化(升或跌多少點),可參考以下公式:

[(兌換比率 ÷ 對沖值)]÷ 美元兌港元匯價 x 窩輪最低上落差價

舉例說,某道指認購證的兌換比率為80000兌1,對沖值約0.3。假設港元兌美元的匯率為7.8,每個價位的買賣差價為0.001港元。

認購證變動一個價位納指100近月期貨約需變化的點數約為 = 80000 ÷ 0.3÷ 7.8 x 0.001 = 34.2點

不過上述計算僅反映相關資產變化對輪價影響,實際上輪價亦須反映引伸波幅及時間值等變化等因素。摩根大通網站為窩輪產品提供每日時間值損耗及引伸波幅敏感度數據,投資者考慮持倉時宜同時參閱這些資訊。

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文中提及的相關資產價格、其變動以及模擬產品條款僅作教學範例用途。以上資料僅供參考,不構成任何投資建議或意見。過去表現並不代表將來的表現。無抵押結構性產品,結構性產品之價格可急升或急跌,投資者或損失所有投資。投資者應為自己作風險評估,並在需要時諮詢專業意見。
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