商品期权市场策略日报

OptionMarketStrategyReport 投资咨询业务资格：京证监许可【2012】75号 要点： 作者：金融衍生品研究中心牛秋乐执业编号：F0268914(从业)Z0002616(投资咨询)联系方式：010-68578820/niuqiule@foundersc.com 宏观市场方面，美国8月PPI与零售销售数据均高于预期，上周初请失业救济人数升至22万符合预期。欧洲央行连续第10次加息。此外，8月PPI同比上升1.6%预估为1.3%。8月CPI同比增长3.7%，预期为3.6%，前值为3.2%；8月CPI环比增长0.6%，预期为0.6%，前值为0.2%。8月非农不及预期，制造业PMI表现则强于预期。关注周四的美联储议息会议。国内方面，央行决定于9月15日下调金融机构存款准备金率0.25个百分点。8月社会消费品零售总额同比增长4.6%，规模以上工业增加值同比增长4.5%。8月社融等金融数据超预期，8月CPI同比转正、PPI环比转正，通胀触底，但需求仍然疲软。PMI数据连续3个月上升。海关总署数据显示今年前8个月我国进出口基本持平，8月份进出口环比增长3.9%。 作者：金融衍生品研究中心冯世佃执业编号：F3049858(从业)Z0015710(投资咨询)联系方式：fengshidian@foundersc.com 成文时间：2023年9月19日星期二 当前市场风险偏好下降。随着国内经济回暖，国内品种方面，预计未来大概率还是以底部震荡抬升为主。建议回调做多，谨慎追涨。海外宏观仍存较大不确定性，9月不加息概率较大，年内还有一次加息的可能。明年二季度或才迎来降息。与海外关联度较高的品种，单边期货持仓的投资者建议利用期权保险策略做好风险管理。具体品种来看，参与波段趋势性行情的投资者，可关注原油、苯乙烯、LPG、油脂油料、棉花、白糖、铁矿石、黄金等品种。参与波动率交易投资者，可把握日间、日内Gamma机会，可关注原油、LPG、铁矿、两粕等期权品种。 目录 一、豆粕期权(M).............................................................................................................................................2二、白糖期权(SR).............................................................................................................................................6三、铜期权(CU)..............................................................................................................................................10四、玉米期权(C).............................................................................................................................................13五、棉花期权(CF)...........................................................................................................................................17六、橡胶期权(RU)..........................................................................................................................................21七、铁矿石期权(I)..........................................................................................................................................25八、PTA期权(TA)...........................................................................................................................................29九、甲醇期权(MA).........................................................................................................................................33十、黄金期权(AU)..........................................................................................................................................37十一、菜籽粕期权(RM).................................................................................................................................41十二、LPG期权(PG).......................................................................................................................................45十三、聚丙烯期权(PP)...................................................................................................................................49十四、塑料期权(L).........................................................................................................................................53十五、PVC期权(V).........................................................................................................................................57十六、铝期权(AL)...........................................................................................................................................61十七、锌期权(ZN)..........................................................................................................................................65十八、棕榈油期权(P).....................................................................................................................................69十九、原油期权(SC).......................................................................................................................................73二十、豆一期权(A)........................................................................................................................................77二十一、豆二期权(B).....................................................................................................................................81二十二、豆油期权(Y).....................................................................................................................................84 二十三、花生期权(PK)...................................................................................................................................88二十四、菜油期权(OI)...................................................................................................................................92二十五、工业硅期权(SI)................................................................................................................................96二十六、白银期权(AG)................................................................................................................................100二十七、螺纹期权(RB)................................................................................................................................104二十八、乙二醇期权(EG)............................................................................................................................108二十九、苯乙烯期