商品期权日报

银河期货商品期权日报 400-880-7799www.yhqh.cn银河期货衍生品业务总部权银河商品期权日报2024-3-22星期五豆粕M24053,316-1.60%1,498,443-10.08%1,379,158-3.16%玉米C24052,401-0.87%558,91935.23%904,3791.99%棕榈油P24058,262-1.10%1,002,125-1.27%481,6940.94%豆一A24054,719-0.34%93,369-0.38%101,733-7.42% 豆二B24053,918-1.61%155,519-25.83%102,668-4.13%豆油Y24057,866-1.06%471,362-16.72%607,8250.57%白糖SR4056,5420.57%290,474-11.25%395,8530.53%棉花CF40515,895-0.72%326,757-3.22%477,1340.92%菜籽粕RM4052,713-1.60%961,501-8.25%567,330-0.28%菜籽油OI4058,364-0.72%401,944-10.44%229,934-1.90%花生PK4109,434-0.74%55,656-42.12%72,3650.10%苹果AP4057,7830.00%68,53347.24%102,4851.21%工业硅SI240512,505-1.50%148,97185.28%156,9553.45%LPGPG24054,685-0.53%110,340103.90%51,452172.45%聚丙烯PP24057,533-0.80%357,9805.13%404,490-7.30%聚乙烯L24058,238-1.00%321,16213.48%328,125-8.00%PVCV24055,938-1.31%893,373-14.35%838,312-3.51%PTATA4055,846-0.03%584,878-42.27%900,552-4.57%甲醇MA4052,543-0.86%935,855-4.94%826,255-5.97%橡胶RU240514,510-4.57%764,40629.72%158,592-4.34%原油SC2405627-0.68%123,711-13.80%35,130-7.76%苯乙烯EB24059,1880.22%366,462-16.29%338,645-2.07%乙二醇EG24054,490-0.24%294,441-4.83%356,063-1.45%合成橡胶BR240513,520-1.46%33,048-17.04%20,992-5.50%烧碱SH4052,668-0.34%38,0893.33%36,3172.92%对二甲苯PX4058,344-0.05%34,906-52.61%74,5140.50%纯碱SA4051,832-0.22%425,771-11.79%433,056-3.90%短纤PF4057,278-0.38%65,529-40.58%132,6943.21%3月22日，近日商品指数呈现弱势下跌，商品期权标的主力期货合约大面积下跌，黑色类品种近期呈现反弹。在农产品板块主力期货合约中，豆粕下跌1.60%，棕榈油下跌1.10%，豆一下跌0.34%，豆二下跌1.61%，白糖上涨0.57%，菜籽油下跌0.72%；在能源化工板块主力期货合约中，PVC下跌1.31%，PTA下跌0.03%，甲醇下跌0.86%，纯碱下跌0.22%，碳酸锂下跌2.68%；在金属板块主力期货合约中，金上涨0.34%，银下跌1.53%，铁矿石上涨1.50%，螺纹上涨0.70%。在主力期货成交量方面，玉米、工业硅、LPG、锰硅、硅铁等品种涨幅居前。在期权成交量与持仓量方面，玉米、豆一、工业硅、橡胶、锰硅等期权品种成交量呈现大幅上涨，各期权品种持仓量基本保持平稳。在期权波动率方面，各主力月份期权品种波动率处于历史分位数正常水平，油脂油料、PVC、橡胶、铁矿石等品种波动率处于相对高位。从IV-HV价差来看，油脂类、乙二醇、硅铁等期权品种处于相对高位；从波动率偏度、峰度来看，油脂类、甲醇、橡胶、烧碱、纯碱等品种处于相对高位，可考虑价差策略、风险逆转策略做波动率偏度回归。一、行情导读（一）市场综述（二）期货成交量与持仓量概览 类别主力期货价格涨跌幅主力期货成交量变化主力期货持仓变化主力合约月份农产品能源化工 锰硅SM4056,1880.32%166,423104.56%283,926-9.93%硅铁SF4056,516-0.43%123,26747.74%180,611-2.10%尿素UR4051,983-1.25%152,899-0.25%191,6641.98%碳酸锂LC2407114,350-2.68%243,8959.35%200,633-3.55%铜CU240572,290-0.80%117,396-7.98%205,498-7.37%金AU24065120.34%253,8686.54%228,361-2.76%铝AL240519,4000.08%189,88212.14%276,385-1.69%锌ZN240521,230-0.45%114,625-2.76%101,672-6.18%铁矿石I24058441.50%349,877-20.34%395,360-3.02%银AG24066,316-1.53%932,73816.44%589,476-9.28%螺纹RB24053,6120.70%1,808,837-14.10%1,739,877-4.22%豆粕324,873-46.22%877,2691.30%0.65较低0.85正常玉米119,73972.28%455,9041.76%1.09正常1.12正常棕榈油191,797-8.90%240,1544.93%0.93正常1.63较高豆一28,98546.57%55,927-0.26%1.42较高1.03正常豆二25,010-37.60%38,3422.24%0.87正常1.03正常豆油45,984-26.50%129,2020.56%0.97正常1.23较高白糖106,741-8.27%332,0060.96%0.64较低1.10正常棉花169,232-22.31%503,4260.70%0.81正常0.84正常菜籽粕165,768-32.24%306,6222.84%0.61较低0.68较低菜籽油64,498-0.89%94,307-1.79%0.75较低0.68较低花生4,882-40.96%19,2962.00%0.33较低0.47较低苹果30,12855.78%45,7965.82%0.53较低0.61较低工业硅64,394113.88%105,9598.60%0.37较低0.33较低LPG31,04211.34%28,0356.24%0.62较低0.72较低聚丙烯33,5734.18%67,994-0.62%0.20较低0.43较低聚乙烯27,12625.84%55,7881.07%0.37较低0.64较低PVC137,922-23.56%334,7672.18%0.19较低0.25较低PTA222,749-40.45%480,9642.59%0.64较低0.74较低甲醇262,053-7.84%389,6581.95%0.58较低1.17正常橡胶228,29974.68%119,3527.86%0.44较低0.39较低原油29,308-9.68%26,7124.54%0.98正常1.62较高苯乙烯79,100-24.28%91,8405.38%0.45较低0.63较低乙二醇57,926-5.73%153,933-0.49%1.07正常0.65较低合成橡胶41,9085.04%41,704-4.37%0.44较低0.46较低烧碱15,621-6.15%59,417-0.54%0.59较低0.41较低对二甲苯34,332-39.23%72,873-0.12%0.66较低0.36较低纯碱185,624-14.27%507,5551.97%0.55较低0.58较低短纤3,613-49.18%11,0613.09%0.65较低1.04正常锰硅14,213137.24%28,7822.44%0.16较低0.42较低硅铁12,88665.21%35,8272.11%0.36较低0.45较低尿素21,61215.94%62,7714.97%0.50较低0.63较低碳酸锂36,9237.14%172,3060.38%0.38较低0.35较低铜120,840-4.61%101,533-5.21%0.61较低1.01正常金83,806-12.73%96,101-0.77%1.02正常1.75较高铝91,630-5.78%96,4320.38%0.41较低0.87正常锌58,893-10.83%43,926-1.82%0.89正常1.11正常铁矿石354,124-26.79%626,6290.65%1.35较高1.21较高银330,58310.13%195,489-1.85%0.86正常1.02正常螺纹248,2561.35%681,037-0.59%1.62较高0.73较低金属主力期货成交量变化主力期货持仓量变化类别农产品合约月份主力期货价格类别金属持仓量PCR水平持仓量PCR成交量PCR水平期权成交量变化期权持仓量变化成交量PCR（三）期权成交量与持仓量概览涨跌幅能源化工能源化工 数据来源：Wind, 权银河豆粕22.26%-1.59%18.28%16.59%16.17%16.16%18.29%95.60%玉米9.99%-0.30%7.86%11.13%10.63%9.99%12.45%24.90%棕榈油24.36%-2.09%15.99%17.08%18.24%20.11%24.31%76.30%豆一10.48%-0.26%12.54%11.30%10.76%10.53%14.67%24.60%豆二20.69%-1.36%21.72%23.77%22.06%16.41%19.75%82.60%豆油18.83%-1.33%11.39%14.35%17.67%16.17%20.18%63.60%白糖13.88%0.57%10.55%10.89%12.81%11.99%16.22%54.70%棉花13.76%0.64%11.84%10.04%11.81%15.58%19.98%11.10%菜籽粕24.44%0.00%17.79%19.14%20.07%21.34%24.02%79.00%菜籽油19.53%-0.52%12.35%14.79%16.04%18.43%21.31%45.90%花生12.79%0.34%18.26%15.56%15.60%14.35%18.73%4.20%苹果22.02%-2.51%22.34%18.20%23.47%19.05%21.13%85.00%工业硅22.95%2.15%14.95%13.32%14.75%16.91%24.28%69.70%LPG22.88%-0.13%16.56%21.53%24.65%24.60%28.33%13.50%聚丙烯10.79%-1.45%9.91%10.82%10.67%12.38%14.23%#N/A聚乙烯11.45%0.17%9.95%9.15%10.16%12.31%13.92%8.30%PVC16.06%-3.00%12.49%12.32%13.38%15.91%17.54%31.80%PTA13.92%0.31%13.25%13.01%15.75%18.01%22.20%3.30%甲醇17.79%-1.20%12.94%16.40%17.72%20.37%24.02%0.30%橡胶24.27%-2.24%29.44%19.88%18.88%17.37%19.71%97.60%原油23.70%-1