品种：50ETF期权、510300ETF期权、IO股指期权、铜期权、黄金期权和其他品种的商品期权

可提供时段：2015年3月至上月底

特色：综合提供了BKM风险中性及CBO*的波动率、偏度、峰度以及中国波指，为您节省成本。计算过程中，经过了手动试算，确保了准确性；对比了多个文献，比如积分的近似法，确保了所采用的公式的精确性。

亦可提供波动率期限结构、偏度期限结构、峰度期限结构，如有需要，请您联系客服。

日频率：中国波指+VIX+VWA+VWB+SKEW+KURT+BKM风险中性波动率偏度峰度日数据

80元/年/品种

基于15秒数据
字段：日期、开盘、高、低、收盘指数值
BKM风险中性波动率+偏度+峰度字段：日期、开盘、最高、最低、收盘、到期日、距离到期日天数、距离到期日分钟数、连续标志。

连续标志L1表示当月连续，L2表示下月连续，其余类推。

分钟频率：中国波指+VIX+VWA+VWB+SKEW+KURT+BKM风险中性波动率偏度峰度分钟数据

一分钟80元/月/品种，五分钟60元/月/品种。
波指+VIX+VWA+VWB+SKEW+KURT字段：时间、开盘、高、低、收盘指数值
BKM风险中性波动率+偏度+峰度字段：时间、开盘、高、低、收盘、到期日、距离到期日天数、距离到期日下午三点分钟数、连续标志

15秒频率：中国波指+VIX+VWA+VWB+SKEW+KURT+BKM风险中性波动率偏度峰度15秒数据

15秒频率100元/月/品种。
波指+VIX+VWA+VWB+SKEW+KURT字段：时间、指数值
BKM风险中性波动率+偏度+峰度字段：日期、时间、波动率指数、到期日、距离到期日天数、距离到期日下午三点分钟数、连续标志、偏度、峰度

以上字段综合了如下述链接部分内容：

https://www.wikitter.com/vix

https://www.wikitter.com/bkm-ivx

如下均是指50ETF期权

1分钟CBO*偏度

date,open,high,low,close

2021-02-01 09:25:00,101.6591,101.6591,101.6591,101.6591

2021-02-01 09:30:00,101.7207,101.9507,101.7013,101.7013

2021-02-01 09:31:00,101.8461,101.9118,101.7678,101.9118

2021-02-01 09:32:00,101.8915,101.8915,101.7123,101.7123

2021-02-01 09:33:00,101.9066,101.9725,101.8172,101.9725

1分钟CBO*峰度

date,open,high,low,close

2021-02-01 09:25:00,4.3158,4.3158,4.3158,4.3158

2021-02-01 09:30:00,4.3438,4.4333,4.3438,4.4333

2021-02-01 09:31:00,4.4177,4.4177,4.3832,4.3968

2021-02-01 09:32:00,4.4170,4.4329,4.3975,4.4329

2021-02-01 09:33:00,4.4284,4.4291,4.4066,4.4291

1分钟CBO* VIX

date,open,high,low,close

2021-02-01 09:25:00,25.3884,25.3884,25.3884,25.3884

2021-02-01 09:30:00,25.4786,25.4786,25.4103,25.4632

2021-02-01 09:31:00,25.4216,25.5591,25.4216,25.5578

2021-02-01 09:32:00,25.5289,25.5872,25.5289,25.5520

2021-02-01 09:33:00,25.5582,25.6400,25.5582,25.6400

一分钟中国波指ivx

date,open,high,low,close

2021-02-01 09:25:00,25.4167,25.4167,25.4167,25.4167

2021-02-01 09:30:00,25.4507,25.4604,25.4191,25.4500

2021-02-01 09:31:00,25.4186,25.5617,25.4186,25.5529

2021-02-01 09:32:00,25.5308,25.5900,25.5308,25.5509

2021-02-01 09:33:00,25.5524,25.6461,25.5524,25.6461

CBO*偏度日数据

date,open,high,low,close

2021-02-01 15:00:00,101.6591,103.5041,101.3494,103.3301

2021-02-02 15:00:00,103.4385,105.3461,103.1155,104.6605

2021-02-03 15:00:00,104.9240,107.0759,104.7322,107.0759

2021-02-04 15:00:00,106.2251,109.0513,105.6606,107.5379

2021-02-05 15:00:00,108.3898,108.3898,105.6360,106.0595

CBO*峰度日数据

date,open,high,low,close

2021-02-01 15:00:00,4.3158,4.6641,4.2547,4.5637

2021-02-02 15:00:00,4.4163,4.6330,4.0807,4.3041

2021-02-03 15:00:00,4.1761,5.0899,0.9852,3.3387

2021-02-04 15:00:00,4.6172,6.0337,0.0095,0.3946

2021-02-05 15:00:00,-2.7475,6.0837,-2.7475,5.8715

CBO* vix日数据

date,open,high,low,close

2021-02-01 15:00:00,25.3884,25.9884,24.6731,24.7806

2021-02-02 15:00:00,24.8317,24.8809,22.7864,22.9971

2021-02-03 15:00:00,23.2214,23.3949,21.7143,21.8263

2021-02-04 15:00:00,22.3350,23.7659,21.7623,22.7755

2021-02-05 15:00:00,22.9835,23.9151,22.8585,23.2062

中国波指日数据

date,open,high,low,close

2021-02-01 15:00:00,25.4167,26.0415,24.6734,24.7423

2021-02-02 15:00:00,24.8000,24.9827,22.7923,22.9781

2021-02-03 15:00:00,23.1917,23.3333,21.7172,21.7816

2021-02-04 15:00:00,22.3013,23.7693,21.7706,22.7654

2021-02-05 15:00:00,22.9669,24.0697,22.8752,23.1746

依照skew白皮书及部分中国波指细则计算的skew，15秒数据

2021-02-26 14:56:00,104.3710

2021-02-26 14:56:15,104.2398

2021-02-26 14:56:30,104.1713

2021-02-26 14:56:45,104.2133

2021-02-26 14:57:00,

2021-02-26 15:00:30,103.8249

依照skew白皮书及部分中国波指细则计算的kurt，1分钟数据，基于15秒频率

date,open,high,low,close

2021-02-01 09:25:00,4.3158,4.3158,4.3158,4.3158

2021-02-01 09:30:00,4.3438,4.4333,4.3438,4.4333

2021-02-01 09:31:00,4.4177,4.4177,4.3832,4.3968

2021-02-01 09:32:00,4.4170,4.4329,4.3975,4.4329

2021-02-01 09:33:00,4.4284,4.4291,4.4066,4.4291

依照vix白皮书及部分中国波指细则计算的vix，15秒数据

2021-02-26 14:56:00,25.3858

2021-02-26 14:56:15,25.4152

2021-02-26 14:56:30,25.4266

2021-02-26 14:56:45,25.4049

2021-02-26 14:57:00,

2021-02-26 15:00:30,25.5410

依照中国波指细则计算的ivx，15秒数据

2021-02-26 14:56:00,25.3849

2021-02-26 14:56:15,25.4131

2021-02-26 14:56:30,25.4214

2021-02-26 14:56:45,25.4180

2021-02-26 14:57:00,

2021-02-26 15:00:30,25.5189

依照美国VIX\SKEW白皮书计算的各个期限波动率、偏度、峰度，15秒数据，蓝色字体数值与指标一一对应

20210226,14:56:45,0.260306,2021-03-24,26,37443.2,L1,-0.479951,5.63443

20210226,14:56:45,0.232170,2021-04-28,61,87843.2,L2,0.033258,1.63266

20210226,14:56:45,0.239981,2021-06-23,117,168483,L3,-0.221233,2.47904

20210226,14:56:45,0.216511,2021-09-22,208,299523,L4,0.221571,1.31938

20210226,15:00:30,0.262058,2021-03-24,26,37439.5,L1,-0.434592,5.49754

20210226,15:00:30,0.232101,2021-04-28,61,87839.5,L2,0.021274,1.63219

20210226,15:00:30,0.240422,2021-06-23,117,168480,L3,-0.194088,2.47007

20210226,15:00:30,0.216109,2021-09-22,208,299520,L4,0.245388,1.34135

如下是基于15秒频率合成的BKM日数据样本，与基于1分钟合成的BKM日数据链接(https://www.wikitter.com/opt-bkm)不同。

依照BKM（Bakshi 2003）计算的风险中性波动率波动率日数据，基于15秒频率

date,open,high,low,close,expiration,remaindays,remainmins,lx

2021-02-19 15:00,0.2486,0.7872,0.1948,0.2288,2021-03-24,33,47520,L2

2021-02-22 15:00,0.2266,0.3449,0.2126,0.2537,2021-03-24,30,43199.8,L2

2021-02-23 15:00,0.2551,0.6063,0.2154,0.2504,2021-03-24,29,41759.8,L2

2021-02-24 15:00,0.2559,0.8334,0.2487,0.2519,2021-03-24,28,40319.8,L2

2021-02-25 15:00,0.2188,0.2188,0.2131,0.2143,2021-04-28,62,89279.8,L2

2021-02-26 15:00,0.2232,0.2433,0.1269,0.2326,2021-04-28,61,87839.5,L2

依照BKM（Bakshi 2003）计算的风险中性波动率偏度日数据，基于15秒频率

2021-02-19 15:00,-0.8253,2.0191,-1.6692,-0.8162,2021-03-24,33,47520,L2

2021-02-22 15:00,-1.0556,-0.4766,-2.0948,-0.7117,2021-03-24,30,43199.8,L2

2021-02-23 15:00,-0.6969,1.7902,-1.1171,-0.6776,2021-03-24,29,41759.8,L2

2021-02-24 15:00,-0.6940,1.7031,-0.6940,-0.5029,2021-03-24,28,40319.8,L2

2021-02-25 15:00,-0.3738,-0.3596,-0.4828,-0.4195,2021-04-28,62,89279.8,L2

2021-02-26 15:00,-0.1988,0.1007,-5.1611,-0.1718,2021-04-28,61,87839.5,L2

依照BKM（Bakshi 2003）计算的风险中性波动率峰度日数据，基于15秒频率

2021-02-19 15:00,6.5677,14.4279,3.3087,7.0683,2021-03-24,33,47520,L2

2021-02-22 15:00,8.2779,11.4084,5.0702,6.0983,2021-03-24,30,43199.8,L2

2021-02-23 15:00,6.3641,11.4578,2.8010,6.0145,2021-03-24,29,41759.8,L2

2021-02-24 15:00,5.6808,6.3454,2.5798,6.2016,2021-03-24,28,40319.8,L2

2021-02-25 15:00,2.3506,2.3810,2.2243,2.2711,2021-04-28,62,89279.8,L2

2021-02-26 15:00,1.8652,32.6275,1.7681,1.9019,2021-04-28,61,87839.5,L2