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2015年2月,在岸人民币兑美元汇率延续弱势,单月下跌0.30%,自年初以来跌幅达1.02%,人民币市场价连续逼近中间价2%的波动幅度上限。同期,离岸人民币兑美元汇率贬值0.01%,在波动较大的时点与CNY走势明显背离,为套利交易提供了机会。在人民币兑美元贬值过程中,人民币隐含波动率再创新高,离岸人民币隐含波动率上升至5.15%,带动离岸人民币期货(CNH)交易量、持仓量环比
In February 2015, the onshore Renminbi exchange rate against the U.S. dollar continued its weakness, down 0.30% in a single month and down 1.02% since the beginning of the year. The market price of Renminbi continuously approached the upper limit of 2% of the middle price. In the same period, the devaluation of the offshore RMB against the U.S. dollar devalued by 0.01%, which obviously departed from the CNY movement at a time of great fluctuation and provided an opportunity for carry trade. During the devaluation of the renminbi against the U.S. dollar, the implied volatility of the Renminbi reached a new high. The implied volatility of the offshore Renminbi rose to 5.15%, driving the trading volume of offshore RMB futures (CNH)