金属、特殊商品期权周报

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（投资咨询号：Z0014862）联系方式：020-888180172022年8月7号 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60310(+0.35%)35.28%(-3.89%)33.86(+2.58)1.30(+0.17)CU2209【50000，65000】震荡上行波动率适中持有买入牛市价差组合新仓可构建买入牛市价差组合铁矿石期权780.5(-0.19%)66.60%(-0.19%)56.01(-0.15)1.53(+0.02)i2209【700，850】震荡偏强高波动新仓买入中性牛市价差组合前期买入牛市价差组合大幅获利平仓，新仓观望为主橡胶期权12080(-1.23%)26.03%(-0.65%)26.31(-0.42)0.40(+0.04)RU2209【11000，15000】震荡运行波动适中持有买入牛市价差组合买入牛市价差组合注：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涨期权持仓量的比值；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2022年8月5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。 目录铜期权橡胶期权铁矿石期权010203 铜期权1 T型报价T型报价期权持仓量分布截至2022/08/05，铜期货主力合约收于60310元/吨，较上周(60100元/吨)上涨0.35%；从T型报价来看，执行价65000看涨期权成交活跃，执行价65000看涨期权持仓集中度较高，执行价50000看跌期权成交活跃，执行价50000看跌期权持仓集中度较高，标的价格在50000-65000运行为主。0500100015002000250030003500400045005500056000570005800059000600006100062000630006400065000看涨期权持仓量ATM看跌期权持仓量CU2209.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68310.71115340.5112 490000.4391 42425.002492282313524.489850500000.4378 70288.89476442105286.539000510000.4197 92155.567286801027112.8384440.2538 520000.3966 11458.3312648971422117.1176640.4159 530000.3767 14813.8510626561154213.136378540000.3626 206-7.21 92912671597620.3457500.3554 550000.3487 286-20.99 462329321288421.2248220.3284 560000.3122 322-42.50 2523197217364820.1439020.2975 570000.2929 434-47.71 3805167350125716.9430380.2727 580000.2706 576-51.10 338816466614469.1522180.2461 590000.2581 824-48.95 168375810271771-3.60 15000.2242 600000.2454 1160-45.69 76264312873231-13.40 10080.2227 610000.2410 1650-39.82 120175914534036-25.88 6300.2194 620000.2469 2308-32.63 2042586212488-31.68 4140.2277 630000.2322 2968-29.03 11117614093099-31.28 2900.2420 640000.2307 3784-24.29 719538985343-20.98 2260.2628 650000.2715 4782-18.42 1601807471082-22.11 1480.2691 660000.3116 5784-14.49 4972603956-13.11 1060.2809 670000.6686 80504.6011002587161515.38900.3017 680000.5533 8342-3.56 018174790412.50540.3015 690000.5245 9088-5.53 1236154494642.86400.3126 700000.6237 10300-2.83 019839611375.00280.3202 710000.6593 11290-2.55 084 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回升，铜价震荡上行成交量PCR回落，看跌期权需求占比再次回落5000055000600006500070000750008000000.20.40.60.811.21.41.61.822022/3/102022/4/102022/5/102022/6/102022/7/10PCR_OIunderlying_close5000055000600006500070000750008000000.511.522.532022/3/102022/4/102022/5/102022/6/102022/7/10PCR_Volumeunderlying_close 波动率波动率指数与期价历史波动率与波动率指数波动率指数震荡运行，实际波动率处于高位波动率价差收窄5000055000600006500070000750008000015202530354045502022/3/102022/4/102022/5/102022/6/102022/7/10VIXunderlying_close-15-10-505101520051015202530354045502022/3/102022/4/102022/5/102022/6/102022/7/10vix-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波动率微笑显左偏，期权溢价水平近期持稳策略上，持有买入牛市价差组合00.050.10.150.20.250.30.350.48/5/20228/4/20228/3/20228/2/20228/1/20227/29/202200.050.10.150.20.250.30.350.48/5/20228/4/20228/3/20228/2/20228/1/20227/29/2022 铁矿石期权92 T型报价T型报价期权持仓量分布截至2022/08/05，从T型报价来看，执行价780看涨期权成交活跃，执行价850看涨期权持仓集中度较高，执行价750看跌期权成交活跃，执行价700看跌期权持仓集中度较高，标的价格在700-850运行为主。01000200030004000500060007000730740750760770780790800810820830看涨期权持仓量ATM看跌期权持仓量I2209.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105914214.0280.57000.10.0047311411484511-4.93 57.87100.1-66.67 233523329203422.0762.57200.1-85.71 24472772104936431.7455.27300.9471 0.1-92.86 5280280167677425.5341.87400.7779 0.1-96.43 626220001124257121.57310.7971 7500.6064 0.1-98.00 2286260181061976313.9021.30.6596 7600.4309 0.1-98.78 144543323117017679-19.85 10.57700.2468 0.1-99.21 140893583198018969-98.86 0.17800.0298 0.1-99.45 146102544255211017-98.21 0.10.2234 7909-64.14 5504760593511033-96.97 0.10.4016 80019-42.07 1492184510641817-94.74 0.10.5661 81028.3-31.64 70741020411418-90.00 0.10.7222 82038.3-24.16 61010441764723-80.00 0.10.8720 83052.3-12.83 123742517563-50.00 0.184055-21.20 7532179998330.000.185069.1-13.30 184513029410.000.1860102.514.5310850190510.000.18701000.50151583240010.000.188012211.42163311313100.000.18901211.26128057458180.000.1900132.52.3213733 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中枢位持稳，铁矿石阶段性企稳运行成交量PCR震荡，多空双方交易需求的动态持稳450550650750850950105000.511.522.532022/3/102022/4/102022/5/102022/6/102022/7/10PCR_OIunderlying_close450550650750850950105000.511.522.52022/3/102022/4/102022/5/102022/6/102022/7/10PCR_Volumeunderlying_close 波动率平值隐波与期价历史波动率与波动率指数远月合约ATM隐波小幅回落，市场预期波动仍不低实际波动率回升，短期关注标的企稳温和反弹0100200300400500600700800900100000.10.20.30.40.50.62022/3/102022/4/102022/5/102022/6/102022/7/10atm2_ivunderlying_close-25-20-15-10-50510152010203040506070802022/3/102022/4/102022/5/102022/6/102022/7/10vix-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波动率微笑呈左偏态，期权溢价水平回落策略上，新仓买入中性牛市价差组合0.30.40.50.60.70.80.918/5/20228/4/20228/3/20228/2/20220.30.350.40.450.50.558/5/20228/4/20228/3/20228/2/20228/1/20227/29/2022 橡胶期权143 T型报价T型报价期权持仓量分布截至2022/08/05，从T型报价来看，执行价13000看涨期权成交活跃，执行价15000看涨期权持仓集中度较高，执行价11000看跌期权成交活跃，执行价11000看跌期权持仓集中度较高，标的价格在11000-15000运行为主。0100020003000400050006000700010750110001125011500117501200012250125001