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ETF期权日数据可提供日期从2015年3月1日开始,更新至上月底。
品种:50ETF期权、300ETF期权、500ETF期权、创业板ETF期权等。


基于Tick数据转换而来的1分钟数据,计算出隐含利率及隐含融券利率

100元/年/品种,1分钟数据240元/年/品种。

字段:日期、到期日、隐含融券利率、隐含利率。


样本:

50ETF期权

date,expiration_date,implied_borrow_rate,implied_interest_rate

2024-08-01,2024-08-28,0.0156,0.0421

2024-08-01,2024-09-25,-0.0023,0.0213

2024-08-01,2024-12-25,0.0016,0.0201

2024-08-01,2025-03-26,0.0076,0.0248

2024-08-02,2024-08-28,0.0024,0.019

2024-08-02,2024-09-25,0.0214,0.0333

2024-08-02,2024-12-25,0.0072,0.0236

2024-08-02,2025-03-26,0.015,0.0292

2024-08-05,2024-08-28,0.0024,0.0223

2024-08-05,2024-09-25,0.0136,0.0287

2024-08-05,2024-12-25,0.0086,0.0232

2024-08-05,2025-03-26,0.0142,0.0287

2024-08-06,2024-08-28,0.0314,0.0403

2024-08-06,2024-09-25,0.016,0.0276

2024-08-06,2024-12-25,0.009,0.026

2024-08-06,2025-03-26,0.0134,0.0286



500ETF期权

date,expiration_date,implied_borrow_rate,implied_interest_rate

2024-07-01,2024-07-24,0.0812,0.0318

2024-07-01,2024-08-28,0.07,0.0337

2024-07-01,2024-09-25,0.0634,0.0303

2024-07-01,2024-12-25,0.0551,0.0268

2024-07-02,2024-07-24,0.0583,0.0195

2024-07-02,2024-08-28,0.0518,0.0219

2024-07-02,2024-09-25,0.0505,0.0243

2024-07-02,2024-12-25,0.0526,0.0272

2024-07-03,2024-07-24,0.081,0.0348

2024-07-03,2024-08-28,0.0564,0.0227

2024-07-03,2024-09-25,0.0542,0.0262

2024-07-03,2024-12-25,0.0525,0.0262

2024-07-04,2024-07-24,0.0945,0.0312

2024-07-04,2024-08-28,0.0904,0.0453

2024-07-04,2024-09-25,0.0677,0.0305

2024-07-04,2024-12-25,0.0582,0.0256



300ETF期权

date,expiration_date,implied_borrow_rate,implied_interest_rate

2024-08-01,2024-08-28,0.0272,0.0457

2024-08-01,2024-09-25,0.0213,0.0373

2024-08-01,2024-12-25,0.0172,0.026

2024-08-01,2025-03-26,0.0225,0.0293

2024-08-02,2024-08-28,0.0152,0.0295

2024-08-02,2024-09-25,0.0204,0.0271

2024-08-02,2024-12-25,0.0236,0.0272

2024-08-02,2025-03-26,0.0239,0.0272

2024-08-05,2024-08-28,0.0298,0.0355

2024-08-05,2024-09-25,0.0338,0.0301

2024-08-05,2024-12-25,0.0258,0.0258

2024-08-05,2025-03-26,0.0224,0.0233

2024-08-06,2024-08-28,0.0472,0.0268

2024-08-06,2024-09-25,0.0441,0.0378

2024-08-06,2024-12-25,0.0422,0.0391

2024-08-06,2025-03-26,0.0292,0.0277



文件存储方式:csv文件,每月一个品种一个文件,文件名含有ETF期权名称,如O510050表示50ETF期权。
发货方式:网络发送,快捷方便。


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ETF期权隐含利率及隐含融券利率日数据及1分钟数据,基于含一档价量的1分钟数据计算

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