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 【行情复盘】 节后首交易日商品期权各标的整体波动处于高位。农产品、铁矿等涨幅靠前，原油则跌幅较大。期权市场方面，商品期权成交量整体出现下降。目前铁矿石期权、苯乙烯期权、棉花期权、白银期权、PTA期权等认沽合约成交最为活跃,而工业硅期权、PVC期权、硅铁期权、碳酸锂期权、铝期权等则在认购期权上交投更为积极。在持仓PCR方面,铁矿石期权、铜期权、豆油期权、纯碱期权、黄金期权等处于高位,碳酸锂期权、工业硅期权、烧碱期权、PVC期权、LPG期权等期权品种则处于相对低位。 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 【交易策略】 成文时间：2024年5月6日星期一 近期大宗商品市场波动剧烈，预计未来将延续。此外，近十年来，五一后大宗商品整体表现偏空，5月也下跌居多，建议近期涨幅较大的品种高位要注意盈利保护。 多头趋势品种:铝、豆二、铜、豆粕、菜油、菜粕、纯碱、硅铁、锰硅、锌 空头趋势品种:苹果、棉花 高波动品种有：锰硅、苹果、铜、铝、纯碱、硅铁、尿素、白银、黄金、螺纹 更多精彩内容请关注方正中期官方微信 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).............................................................................................................................................14五、棉花期权(CF)...........................................................................................................................................18六、橡胶期权(RU)..........................................................................................................................................22七、铁矿石期权(I)..........................................................................................................................................26八、PTA期权(TA)...........................................................................................................................................31九、甲醇期权(MA).........................................................................................................................................35十、黄金期权(AU)..........................................................................................................................................39十一、菜籽粕期权(RM).................................................................................................................................43十二、聚丙烯期权(PP)...................................................................................................................................47十三、塑料期权(L).........................................................................................................................................51十四、PVC期权(V).........................................................................................................................................55十五、铝期权(AL)...........................................................................................................................................59十六、锌期权(ZN)..........................................................................................................................................63十七、棕榈油期权(P).....................................................................................................................................67十八、原油期权(SC).......................................................................................................................................71十九、豆一期权(A)........................................................................................................................................75二十、豆二期权(B).........................................................................................................................................79二十一、豆油期权(Y).....................................................................................................................................83二十二、花生期权(PK)...................................................................................................................................87 二十三、菜油期权(OI)...................................................................................................................................91二十四、工业硅期权(SI)................................................................................................................................94二十五、白银期权(AG)..................................................................................................................................98二十六、螺纹期权(RB)................................................................................................................................102二十七、乙二醇期权(EG)............................................................................................................................106二十八、苯乙烯期权(EB).............................................................................................................................110二十九、碳酸锂期权(LC).............................................................................................................................114三十、合成橡胶期权(BR).......................................