2023年1月2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66260(+1.33%)12.71%(-3.45%)21.27(+1.84)1.78(-0.05)CU2302【60000，70000】震荡偏多实际波动或回升持有2月期权构建买入牛市价差组合（参考买入CU2302C66000，同时卖出CU2302C68000）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）铁矿石期权863(+4.61%)28.52%(-1.73%)41.59(-0.71)2.46(-0.11)i2305【700，900】震荡偏多波动率或抬升持有前期买入勒式期权组合。（参考买入I2305C840同时买入I2305P800）买入勒式期权组合。（参考买入I2305C840同时买入I2305P800）橡胶期权12695(+0.95%)16.41%(-0.29%)25.02(-0.09)0.69(+0.13)RU2305【12000，15000】震荡波动率或抬升暂且观望暂且观望注：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30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2022/12/30，铜期货主力合约收于66260元/吨，较上周(65390元/吨)上涨1.33%；从T型报价来看，执行价69000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63000看跌期权成交活跃，执行价60000看跌期权持仓集中度较高，标的价格在60000-70000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 00050010001500200025006100062000630006400065000660006700068000690007000071000看涨期权持仓量ATM看跌期权持仓量CU2302.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907137-0.66 18200480000.4458 20.002116320-1.15 17120490000.4195 20.00518700-1.23 16120500000.3936 20.0007800-1.31 15120510000.3681 20.0045200-1.40 14120520000.3430 20.0007700-1.50 13120530000.3395 4100.00612540-1.62 12120540000.3373 8300.0071030100-1.77 11120550000.3103 8300.00231688180-1.94 10120560000.2632 4100.00102438130-2.15 9120570000.2640 10400.00194417340-2.40 8120580000.2426 12500.001531069852-2.29 7154590000.2311 20400.0034512461090-3.28 6124600000.2156 3087.509092464984-3.32 5180610000.1896 34-19.05 46854438711-3.81 4246620000.1723 52-45.83 715109617795-5.17 3338630000.1623 100-50.50 1847197813428-9.02 24600.0968 640000.1555 202-47.67 154981919969-17.42 16400.1130 650000.1523 406-39.22 15791023257412-27.87 10040.1218 660000.1503 750-30.04 580808798903-39.52 5600.1275 670000.1531 1284-20.05 16017679911252-47.24 3060.1363 680000.1736 2066-8.58 2628312642068-54.39 1560.1427 690000.1902 2912-3.58 10412416841352-55.79 840.1519 700000.2267 38900.57434898400-48.00 520.1650 710000.2732 49202.97033424646-37.50 300.1745 720000.2972 58722.55627279252-27.27 160.1811 730000.3296 68642.4562851734225.00100.1911 740000.3682 78802.5200181206100.0080.2060 750000.4009 88802.30028779100.0040.2092 760000.4325 98802.0700342100.0040.2272 770000.4632 108801.8700 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震荡回落，期铜震荡偏多成交量PCR区间震荡为主，看涨期权交易需求占比提升500005200054000560005800060000620006400066000680007000000.511.522.52022/8/52022/9/52022/10/52022/11/52022/12/5PCR_OIunderlying_close500005200054000560005800060000620006400066000680007000000.511.522.533.52022/8/52022/9/52022/10/52022/11/52022/12/5PCR_Volumeunderlying_close 波动率波动率指数与期价历史波动率与波动率指数波动率指数低位反弹，实际波动率维持低位运行波动率价差扩大，关注实际波动率回升5000052000540005600058000600006200064000660006800070000152025303540452022/8/52022/9/52022/10/52022/11/52022/12/5VIXunderlying_close-10-5051015200510152025303540452022/8/52022/9/52022/10/52022/11/52022/12/5vix-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月期权合约已到期（12月26日）2月期权波动率微笑，看跌情绪未呈现升温策略上，继续持有2月期权构建买入牛市价差组合（参考买入CU2302C66000，同时卖出CU2302C68000）00.050.10.150.20.2512/30/202212/29/202212/28/202212/27/202212/26/202212/23/202200.20.40.60.811.212/30/202212/29/202212/28/202212/27/202212/26/202212/23/2022 铁矿石期权92 T型报价T型报价期权持仓量分布截至2022/12/30，铁矿石期货主力合约收于863元/吨，较上周(825元/吨)上涨4.61%；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700-900运行为主。010002000300040005000600070008000810820830840850860870880890900910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136357.0