、 商品期权市场全景数据报告 Option Market Data Report 方正中期期货研究院 金融衍生品研究组 牛秋乐 执业编号：Z0002616 彭博 执业编号：Z0011662 冯世佃 执业编号：Z0015710 TEL：010-68578820 Email:niuqiule@foundersc.com 更多精彩请关注方正中期官方微信 要点： 美国11月非农就业数据远逊预期，增加了美联储与国会采取更多刺激措施的理由。美众院议长佩洛西认为刺激方案谈判前景改善。BioNTech称今年将与辉瑞生产5000万剂新冠疫苗。另外，据FDA疫苗咨询委员会高级顾问称，美国下周可能批准使用辉瑞新冠疫苗。总的来说，虽然美联储主席一再强调即使有疫苗，未来经济仍存在重大挑战和不确定，但投资者预期更加乐观，认为美联储、欧洲央行等进一步宽松的前景升温。美股不断创新高，这也将继续推动大宗商品上涨，从中长期看，力荐滚动卖出看跌期权。 期权综合指标 收盘价涨跌幅成交量变化持仓量变化豆粕期权3,1090.19%14202032804367381-228524玉米期权2,618-0.65%487177810100974-334445铁矿石期权967.51.57%1833241894960053-205250LPG期权3,879.05.46%23388114329277-12755聚丙烯期权8,572.01.50%32127754618591-51773塑料期权8,000.02.30%20838367913616-25750PVC期权7,940.02.45%297621075618111-33389白糖期权5,0120.16%19526-1246937484561棉花期权14,5701.67%164704057607567278PTA期权3,768.03.01%106375-5428924616212490甲醇期权2,243.00.09%22669-16687629011939菜籽粕期权2,478.00.61%9113-2302374881473动力煤期权693.60.73%5311715821545557520铜期权57,030-0.26%23408-10403758377橡胶期权14,940-0.43%19722-2068454375787黄金期权383.40.01%9490-198629931622铝期权16,075-0.65%15232-186720046290锌期权21,0450.41%228155807173411118成交量PCR变化持仓量PCR变化波动率指数分位点豆粕期权0.5051-0.11861.01330.11920.17390.3693玉米期权2.21971.06181.0583-0.22440.21420.9867铁矿石期权1.13490.31902.2618-0.09460.30540.1777LPG期权0.5337-0.24280.8073-0.06870.55721.0000聚丙烯期权0.8293-0.03270.9299-0.56410.43791.0000塑料期权0.4559-0.10620.8739-0.00020.75461.0000PVC期权0.4859-0.16730.9750-0.22150.76051.0000白糖期权0.7411-0.50240.8443-0.02110.16430.6002棉花期权0.6460-0.08860.9142-0.01920.19400.3237PTA期权0.4309-0.01250.4914-0.00550.27640.5436甲醇期权0.5727-0.56801.0874-0.02570.28050.4938菜籽粕期权0.7322-0.32751.09710.01870.21370.5205动力煤期权1.29530.25501.34750.24250.28970.9646铜期权0.82860.07191.54660.17820.20290.6985橡胶期权0.52660.00780.56730.00030.30680.7677黄金期权0.75940.03420.5646-0.00100.19890.3262铝期权0.9448-0.04111.02870.02020.21660.7654锌期权0.8024-0.25540.6290-0.00730.21720.2963波动率情况大商所郑商所上期所2020-12-72020-12-7标的情况期权成交持仓情况期权市场情绪情况大商所郑商所上期所 2020/12/8 目录 一、豆粕期权 ................................................................................................................................ 2 二、白糖期权 ................................................................................................................................ 3 三、铜期权 .................................................................................................................................... 4 四、玉米期权 ................................................................................................................................ 6 五、棉花期权 ................................................................................................................................ 7 六、橡胶期权 ................................................................................................................................ 9 七、铁矿石期权 .......................................................................................................................... 10 八、PTA期权 ............................................................................................................................... 12 九、甲醇期权 .............................................................................................................................. 13 十、黄金期权 .............................................................................................................................. 15 十一、菜籽粕期权 ...................................................................................................................... 16 十二、LPG期权 ........................................................................................................................... 18 十三、动力煤期权 ...................................................................................................................... 19 十四、聚丙烯期权 ...................................................................................................................... 21 十五、塑料期权 .......................................................................................................................... 23 十六、PVC期权 ........................................................................................................................... 24 十七、铝期权 .............................................................................................................................. 26 十八、锌期权 .............................................................................................................................. 28 商品期权市场全景数据报告 请务必阅读最后重要事项 第2页 一、豆粕期权 1、成交持仓情况 表1.1、豆粕期权合约成交持仓情况 2020-12-7成交量变化持仓量变化成交量PCR持仓量PCR认购9435727096182480-132138认沽476635708184901-96386豆粕期权14202032804367381-2285240.50511.0133 数据来源：Wind资讯，方正中期期货研究院整理 图1.1：豆粕期权主力合约分执行价成交量情况 图1.2：豆粕期权主力合约分执行价持仓量情况 02000400060008000100001200023502400245025002550260026502700275028002850290029503000305031003150320032503300335034003450350035503600认购认沽 010000200003000040000500006000023502400245025002550260026502700275028002850290029503000305031003150320032503300335034003450350035