金属、特殊商品期权周报

2023年3月5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微信公众号作者：陈俊州联系方式：020-88818017投资咨询资格：Z0014862 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69820(+0.30%)12.29%(+1.99%)22.43(+1.41)1.69(-0.04)CU2304【60000，73000】波动率或抬升买入勒式期权组合（参考买入CU2304C72000，同时买入CU2304P68000）买入勒式期权组合（参考买入CU2304C72000，同时买入CU2304P68000）铁矿石期权919(+1.04%)23.07%(-0.30%)35.10(-1.25)3.21(+0.15)i2305【800，1000】震荡波动率适中平仓前期构建的买入宽跨式组合构建买入宽跨式组合期权（即买入I2305C900，同时买入I2305P870）橡胶期权12605(+0.12%)7.55%(-5.08%)21.63(-0.60)0.52(-0.03)RU2305【12000，14000】震荡偏多波动率回落构建牛市价差组合（参考买入RU2305C12500，卖出RU2305C13000）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2023年3月3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2023/03/03，铜期货主力合约收于69820元/吨，较上周(69610元/吨)上涨0.30%；从T型报价来看，执行价72000看涨期权成交活跃，执行价73000看涨期权持仓集中度较高，执行价66000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60000-73000运行为主。0500100015002000250030006500066000670006800069000700007100072000730007400075000看涨期权持仓量ATM看跌期权持仓量CU2304.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00-3.23 17390520000.3826 20.00059000-3.42 16390530000.3829 4100.00112700-3.63 15390540000.3374 20.0008300-3.87 14390550000.3497 6200.002211000-4.15 13390560000.3360 8300.0019400-4.47 12390570000.3118 8300.00115370-4.85 11390580000.3017 12500.001171003130-5.29 10390590000.2825 14600.00152615140-5.82 9390600000.2736 221000.0021742932140-6.44 8392610000.2539 261200.00136410832100-7.18 7398620000.2329 30650.00230319681484-4.61 6656630000.2145 38280.00204717569916-5.20 5684640000.2022 5893.33372914787734-4.37 4818650000.1937 9836.114444221073128-3.16 3990660000.1827 1562.635925169232657-5.76 30740.1136 670000.1767 270-8.16 55792491324246-9.56 22520.1285 680000.1711 454-12.69 459823938161349-11.32 16140.1441 690000.1739 788-7.51 318512479693399-15.88 10700.1480 700000.1764 1246-4.30 1142144910762971-17.02 7020.1559 710000.1842 1866-0.53 13729711845027-20.52 4260.1591 720000.1936 26001.404810214673949-18.13 2620.1655 730000.2226 35185.0817517882885-10.00 1620.1727 740000.2289 43543.471830121631606.251020.1805 750000.3413 574012.078341074161216.67560.1830 760000.3158 64365.961643785117763.64360.1911 770000.3704 75326.87428937816160.00260.2021 780000.4216 86167.2200352514250.00140.2040 790000.4527 96126.4500907302400.00100.2133 800000.4832 106105.78032464100.0040.2244 820000.5425 126104.8200 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平台震荡，铜价处于阶段性高位成交量PCR波动抬升，期权市场交易情绪有所上升50000550006000065000700007500000.511.522.52022/9/302022/10/312022/11/302022/12/312023/1/312023/2/28PCR_OIunderlying_close50000550006000065000700007500000.511.522.533.52022/9/302022/10/312022/11/302022/12/312023/1/312023/2/28PCR_Volumeunderlying_close 波动率波动率指数与期价历史波动率与波动率指数波动率指数企稳回升，市场预期波动上升实际波动率低位运行，后市实际波动有望抬升500005500060000650007000075000151719212325272931332022/9/302022/10/312022/11/302022/12/312023/1/312023/2/28VIXunderlying_close02468101214051015202530352022/9/302022/10/312022/11/302022/12/312023/1/312023/2/28vix-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波动率微笑平坦，整体溢价不高策略上，后市波动率有望抬升，持有买入勒式期权组合（参考买入CU2304C72000，同时买入CU2304P68000）。00.050.10.150.20.253/3/20233/2/20233/1/20232/28/20232/27/20232/24/202300.050.10.150.20.250.33/3/20233/2/20233/1/20232/28/20232/27/20232/24/2023 铁矿石期权92 T型报价T型报价期权持仓量分布截至2023/03/03，铁矿石期货主力合约收于919元/吨，较上周(909.5元/吨)上涨1.04%；从T型报价来看，执行价950看涨期权成交活跃，执行价1000看涨期权持仓集中度较高，执行价800看跌期权成交活跃，执行价800看跌期权持仓集中度较高，标的价格在800-1000运行为主。020004000600080001000012000870880890900910920930940950960970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2395147.921730.3037 7500.3810 1.990.0061192586453712.98155.37600.3682 2.150.00700543546529.41154.60.3445 7700.3610 2.525.001100339251797.05141.37800.3519 2.911.5411635861399810.25135.50.3283 7900.3484 3.62.86403563122013588.96124.10.2630 8000.3441 4.4-4.35 137064645862466.84112.58100.3351 5.1-13.56 1551669485343.0099.78200.3259 5.9-21.33 13504392693348.0095.80.2470 8300.3163 6.8-26.88 14657061826398.78880.2649 8400.3129 8.3-27.83 297567391632597.48790.2557 8500.3088 10-29.08 113351834031031006.77710.2569 8600.3026 11.8-30.59 3193916617051045.35630.2533 8700.2977 14-31.37 2141578022001324.48560.2562 8800.2945 16.7-30.71 3086677119943992.5248.90.2531 8900.2885 19.5-31.10 1757387155992012-1.65 41.60.2441 9000.2863 23.1-29.79 227834384381912-2.41 36.50.2504 9100.2846 27.2-28.23 1709362722541083-5.18 31.10.2492 9200.2823 31.7-26.79 2159179423431056-9.41 260.2461 9300.2676 35.2-28.31 36270027132334-11.65 220.2477 9400.2854 43-22.38 28028797027312-14.42 18.40.2485 9500.2807 48.6-21.61 1073202125482123-18.38 15.10.2477 9600.2808 55.2-20.00 32108115731021-22.01 12.40.2483 9700.2779 61.9-18.87 7424772633409-22.96 10.40.2520 9800.2862 70.1-16.45 176020951980-28.70 8.20.2498 9900.2663 76-17.30 43189916652-32.99 6.50.2492 10000.2827 85.5-14.59 943 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，铁矿石期价震荡偏强成交量PCR震荡为主45050055060065070075080085090095000.511.522.533.52022/9/302022/10/312022/11/302022/12/312023/1/312023/2/28