It is worth noting that according to historical statistics, when the CPR value of option position is below its historical 10% quantile, the underlying probability will rise and fall; On the contrary, when it is above the 90% quantile, the underlying probability will hit the bottom and rebound. (Table 4 below is the historical quantile reference value of CPR of 50ETF option position)
Reference case:
(1) On March 23, 2020, the CPR of 50ETF option position rose to 2.17, above the historical 90% quantile of CPR (or the corresponding PCR decreased to 0.46, below the historical 10% quantile of PCR), and the underlying 50ETF rebounded sharply the next day;
(2) On July 6, 2020, the CPR of 50ETF option position fell to 0.62, below the historical 10% quantile of CPR (or the corresponding PCR rose to 1.61, above the historical 90% quantile of PCR), and the target 50ETF peaked the next day.
