金属、特殊商品期权周报

2021年12月26日金属、特殊商品期权周报本报告中所有观点仅供参考，请务必阅读此报告倒数第二页的免责声明。广发期货APP微信公众号陈俊州 本周主要观点标的收盘价30HVVIX持仓量PCR参考运行范围主要观点本周策略上周策略铜期权69610(+0.35%)13.71%(-1.21%)22.90(-1.90)1.29(0.00)CU2201【61000，71000】震荡偏多波动或抬升静态持有买入跨式组合等待波动抬升静态持有买入跨式组合等待波动抬升铁矿石期权708(+3.89%)49.44%(-8.70%)50.94(-1.33)1.09(+0.16)i2205【550，800】谨慎追涨波动回落前期持有的买入牛市价差组合获利丰厚，可逐步获利止盈期持有的买入牛市价差组合获利丰厚，可逐步获利止盈橡胶期权14130(-1.67%)24.62%(-3.58%)33.10(-1.11)0.44(+0.02)RU2201【13000，17750】震荡偏空波动适中空仓观望持有买入牛市价差组合2注：本期权周报以金属期权和特殊商品期权为主30HV:30天历史波动率(%)波动率指数（VIX），由期权市场价格计算得出，反映市场对未来短期波动率的预期；持仓量PCR（Put-Call-Ratio），看跌期权持仓量和看跌期权持仓量的比值；波动率价差（VIX-HV），波动率指数和1个月历史波动率的差值；本报告数据统计截止时间至2021年12月24日15:00。风险提示：单腿卖出期权的投资策略潜在风险较大，当市场行情不利时，投资者需及时对冲或止损。 目录3铜期权橡胶期权铁矿石期权010203 铜期权41 T型报价T型报价期权持仓量分布截至2021/12/24，铜期货主力合约收于69610元/吨，较上周(69370元/吨)上涨0.35%；从T型报价来看，执行价71000看涨期权成交活跃，执行价71000看涨期权持仓集中度较高，执行价61000看跌期权成交活跃，执行价61000看跌期权持仓集中度较高，标的价格在61000-71000运行为主。0500100015002000250030006500066000670006800069000700007100072000730007400075000看涨期权持仓量ATM看跌期权持仓量CU2201.SHF持仓量成交量涨跌幅(%)收盘价IVC 执行价 PIV收盘价涨跌幅(%)成交量持仓量290-1.47 86880.7819 610000.5138 20.001954311256-2.30 76380.5018 620000.4560 20.0045085512-2.61 66400.4540 630000.3985 20.0044113930240-3.06 56400.3875 640000.3413 20.00229138714532-3.69 46400.3216 650000.2842 20.00713239013560-4.66 36420.2666 660000.2269 20.00705193414083-6.77 26420.1993 670000.1941 6-57.14 10791320322290-12.99 16480.1454 680000.1514 16-78.38 55922406711831-36.76 6880.1009 690000.1142 74-72.39 7468190917776418-78.35 1100.0995 700000.1096 496-27.91 206595120896521-78.26 400.1572 710000.1315 13821.3222636317183628-84.00 80.1778 720000.1312 23646.106316116881642-60.00 40.2181 7300033605.4032948412760.0020.2523 740004042-3.30 151199141240.0020.3016 7500053583.4826106512410.0020.3494 7600063482.75207792800.0020.3960 7700071860.1126319455240.0020.4415 7800083081.5905534740.0020.4859 7900093081.4205252100.0020.5294 80000103081.300201252130.0020.6138 82000123061.07028 期权持仓量与成交量期价与持仓量PCR期价与成交量PCR持仓量整体PCR回落，铜价上方压力缓解成交量PCR中枢回落，近期市场看涨期权需求回暖5000055000600006500070000750008000000.20.40.60.811.21.41.61.82021/7/292021/8/292021/9/292021/10/292021/11/29PCR_OIunderlying_close5000055000600006500070000750008000000.511.522.52021/7/292021/8/292021/9/292021/10/292021/11/29PCR_Volumeunderlying_close 波动率波动率指数与期价历史波动率与波动率指数实际波动率持稳，但波动率指数再度下降，市场预期波动下降后市关注实际波动回升5000055000600006500070000750008000015171921232527293133352021/7/292021/8/292021/9/292021/10/292021/11/29VIXunderlying_close0246810121416181015202530352021/7/292021/8/292021/9/292021/10/292021/11/29vix-HvHV30VIX 波动率微笑主力期权波动率微笑次主力期权波动率微笑整体期权溢价回落，但是近月看涨期权溢价抬升，短期波动率微笑呈现右偏次月期权波动率继续下降，次月看涨情绪低落策略上，静态持有买入跨式组合等待波动抬升0.150.170.190.210.230.250.270.2912/23/202112/22/202112/21/202112/20/202112/17/202112/16/202100.050.10.150.20.250.30.350.412/24/202112/23/202112/22/202112/21/202112/20/202112/17/2021 铁矿石期权92 T型报价T型报价期权持仓量分布截至2021/12/24，铁矿石期货主力合约收于713.5元/吨，较上周(676.5元/吨)上涨5.47%；从T型报价来看，执行价800看涨期权成交活跃，执行价800看涨期权持仓集中度较高，执行价550看跌期权成交活跃，执行价550看跌期权持仓集中度较高，标的价格在550-800运行为主。010002000300040005000600070008000660670680690700710720730740750760看涨期权持仓量ATM看跌期权持仓量I2205.DCE持仓量成交量涨跌幅(%)收盘价IVC 执行价 PIV收盘价涨跌幅(%)成交量持仓量6268.742704400.5424 3.124.00137462778207.952584500.5374 3.616.131579484111214.482404600.5336 4.27.69286217012808.43239.24700.5278 4.82.1331219527008.702304800.5360 6.17.0228214536208.98220.94900.5264 6.7-2.90 458164490112.47218.25000.5233 7.7-6.10 151875299309.54203.25100.5132 8.4-12.50 120126516209.76194.55200.5103 9.6-15.04 236112612809.991865300.5112 11.2-14.50 4166644195010.37177.85400.5073 12.6-16.56 16314762791713.49174.10.3355 5500.5054 14.3-17.82 226214716311010.83161.70.2407 5600.4983 15.7-20.71 425324510094313.85157.80.3605 5700.4943 17.5-22.22 33821415523812.47147.90.3401 5800.4970 20.1-20.87 3461764752913.15141.10.3607 5900.4898 21.9-23.16 226774124030815.161360.3925 6000.4906 24.7-22.57 187033002881613.25126.50.3734 6100.4904 27.6-22.25 174597461228.71114.80.3325 6200.5000 31.9-18.83 197645102810013.341130.3836 6300.4849 33.4-23.04 1719168986911.05104.50.3703 6400.4822 36.6-23.27 14672967419512.7599.90.3868 6500.4803 40.1-23.33 3649595864612.57940.3901 6600.4856 44.8-21.54 2496548552912.4888.30.3926 6700.4820 48.5-21.90 48216345955511.2582.10.3897 6800.4819 52.9-21.40 1139644345210.3976.50.3891 6900.4999 60.2-17.31 1045477396146712.31730.4008 7000.4773 61.7-21.40 48173492631211.9968.20.4019 7100.4828 67.6-19.91 8729711104254.3859.60.3765 7200.4888 73.8-18.45 65378119725810.1158.80.4004 7300.5018 81.3-16.01 3122250014911.2055.60.4069 7400.4921 85.5-17.23 5219314483579.21510.4029 7500.5051 93.4-15.09 631606031073.4445.10.3888 7600.5214 102-12.75 361685771189.3444.50.4079 7700.5139 107.1-13.56 831788301547.9240.90.4060 7800.5066 112.4-14.26 2813118833337.34380.4074 7900.5270 122.1-11.84 12155680719647.2935.30.4088 8000.5228 128.2-12.19 39203 期权持仓量与成交量期价与持仓量PCR期价与成交量PCR持仓量PCR历史企稳反弹，铁矿石创阶段性企稳反弹成交量PCR反弹，市场对铁矿石持续反弹仍担忧回调的风险，短期对看跌期权交易需求激增4505506507508509501050115000.20.40.60.811.21.41.61.822021/7/292021/8/292021/9/292021/10/292021/11/29PCR_OIunderlying_close4505506507508509501050