2022年12月25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（咨询编号Z0014862）联系方式:020-88818017 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65450(+0.29%)16.16%(-0.65%)19.43(-2.94)1.83(+0.18)CU2301【63000，70000】震荡偏多波动放缓选择2月期权构建买入牛市价差组合（参考买入CU2302C66000，同时卖出CU2302C68000）买入牛市价差止损平仓，新仓暂且观望铁矿石期权825(+0.49%)30.25%(+0.64%)42.30(-1.33)2.57(+0.32)i2305【700，900】谨慎偏多波动率或抬升买入勒式期权组合。（参考买入I2305C840同时买入I2305P800）新仓暂且观望橡胶期权12750(-3.08%)16.70%(-4.74%)25.11(-0.34)0.56(+0.02)RU2301【12000，16500】震荡波动率或抬升暂且观望前期持有买入看涨期权RU2301C12750部分减仓止盈，底仓继续持有，跌破13000则底仓全部平仓注：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12月23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2022/12/23，铜期货主力合约收于65450元/吨，较上周(65260元/吨)上涨0.29%；从T型报价来看，执行价66000看涨期权成交活跃，执行价70000看涨期权持仓集中度较高，执行价65000看跌期权成交活跃，执行价63000看跌期权持仓集中度较高，标的价格在63000-70000运行为主。CU2301.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20-3.23 164600.9805 49000 0.5779 20.00 136010-3.44 154600.9207 50000 0.5402 20.00 024010-3.66 144600.8619 51000 0.5031 20.00 030510-3.93 134600.8039 52000 0.4666 20.00 125270-4.23 124600.7467 53000 0.4596 4100.00 129490-4.58 114600.6901 54000 0.3952 20.00 49703280-5.00 104600.6341 55000 0.4018 6200.00 932771330-5.49 94600.5786 56000 0.3637 6200.00 114946320-6.10 84600.5235 57000 0.3261 6200.00 447943540-6.87 74600.4686 58000 0.3070 10400.00 32311751028-8.67 64020.3640 59000 0.2744 12500.00 44417963203-11.98 529060000 0.2564 221000.00 1692355720111-13.55 43400.1727 61000 0.2303 34240.00 1787210065523-18.77 328862000 0.2148 7084.21 47352551781106-23.43 23860.1489 63000 0.2080 16451.85 550942561079206-32.74 15240.1513 64000 0.1862 29816.41 610526111425812-45.89 8300.1502 65000 0.1688 5688.40 5631229813773752-62.42 3600.1468 66000 0.1641 108814.77 124068420084229-72.53 1500.1560 67000 0.1809 188022.40 13257920723829-78.72 600.1662 68000 0.2071 279423.08 3928622501768-75.38 320.1863 69000 0.2956 387424.17 1812235471199-51.85 260.2176 70000 0.2505 471016.53 1357822708-40.00 120.2267 71000 554210.66 0786453220.00 60.2378 72000 0.3212 670011.78 343319238100.00 40.2556 73000 76148.93 6373552330.00 20.2645 74000 85406.88 0117861390.00 20.2900 75000 95406.12 0263410.00 20.3150 76000 105405.51 00600.00 20.3395 77000 115405.00 000500100015002000250030006000061000620006300064000650006600067000680006900070000看涨期权持仓量ATM看跌期权持仓量CU2301.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20-2.88 165004900020.00033110-3.06 15500500000.9930 20.002120510-3.27 14500510000.9254 20.00027410-3.50 13500520000.8588 20.00022370-3.77 12500530000.7932 20.005324290-4.09 115000.9888 540000.7284 20.005646280-4.46 105000.9048 550000.7103 4100.00682519330-4.90 95000.8217 560000.6013 20.00126880310-5.45 85000.7394 570000.5388 20.0019884490-6.13 75000.6578 580000.4768 20.001110021097-8.44 6400590000.4153 20.0036147230519-7.01 55700.6295 600000.3541 20.0081211919750-10.90 4446610000.2931 20.001451032259276-12.13 35060.3456 620000.2319 20.00507179947528-17.10 24820.2064 630000.1955 60.00144027001027134-28.64 1450640000.1402 12-71.43 527923371355912-49.83 5900.1247 650000.1248 116-38.30 8667268717848495-90.44 520.0938 660000.1016 5906.501255106315341485-95.74 80.1314 670000.1626 155029.386933611223509-95.65 20.1668 680000.2101 253623.35781991201105-75.00 20.2227 69000350416.1850100228299100.0040.2983 70000450612.372886375270.0020.3283 710000.2745 552410.262187514420.0020.3787 720000.6139 65929.681546285220.0020.4277 7300075087.10205335400.0020.4756 7400085006.1201175120.0020.5223 7500095005.44026100.0020.5680 76000105004.9000820.0020.6127 77000115004.4500 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震荡上行，期铜震荡收窄成交量PCR区间震荡为主，总体而言看跌期权交易需求占比较高500005200054000560005800060000620006400066000680007000000.511.522.52022/7/292022/8/292022/9/292022/10/292022/11/29PCR_OIunderlying_close500005200054000560005800060000620006400066000680007000000.511.522.533.52022/7/292022/8/292022/9/292022/10/292022/11/29PCR_Volumeunderlying_close 波动率波动率指数与期价历史波动率与波动率指数波动率指数持续低位运行，实际波动率也维持低位运行波动率价差收窄，市场短期波动放缓或延续5000052000540005600058000600006200064000660006800070000152025303540452022/7/292022/8/292022/9/292022/10/292022/11/29VIXunderlying_close-10-5051015200510152025303540452022/7/292022/8/292022/9/292022/10/292022/11/29vix-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1月期权合约即将到期（12月26日到期）2月期权波动率微笑，看跌情绪未呈现升温，而看涨情绪上略有抬升策略上，2月期权构建买入牛市价差组合（参考买入CU2302C66000，同时卖出CU2302C68000）00.050.10.150.20.250.312/23/202212/22/202212/21/202212/20/202212/19/202212/16/202200.050.10.150.20.250.30.350.40.4512/23/202212/22/202212/21/202212/20/202212/19/202212/16/2022 铁矿石期权92 T型报价T型报价期权持仓量分布截至2022/12/23，铁矿石期货主力合约收于825元/吨，较上周(821元/吨)上涨0.49%；从T型报价来看，执行价900看涨期权成交活跃，执行价900看涨期权持仓集中度较高，执行价700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600-900运行为主。050010001500200025003000350040004500770780790800810820830840850860870看涨期权持仓量ATM看跌期权持仓量I2305.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8091-0.78 228.56000.4609 7.873.33392717903960-4.48 211.36100.4504 8.353.