权益及期权策略（商品期权）专题报告：商品期权的卖权回溯及优化

2024-05-30 !"#$%&$'()*+, 投资咨询业务资格：证监许可【2012】669号 ˚¸#Ï! !ÛÙ<=()*+,-+´l7ıˆ˜:;YEFYúyåY?J¯˘#./,st7öõ?9ÆRØ˙«8∞±-+´l∂•≤≥B! "#$! %&'()*+,-+./01234! 56789*+:;7()-+,<=>?9@A:;BCDEFG,HIJKLM%@#N9OP@A:;,QRST7UVWXYZ[\],^_'7`HIabcde,fR7ZgEhijklmBno7pTq]L&rst7CD)u,vwxxwKyz{JK7|}~,vwxxwKy{ÄÅÇ*,&ÉÑÖ7~Ü{ÄÅÇ*áàâäBSTãåçRéè:ê7ë0íì9QRST7|}~çRSTîï<ñGóòôBöõ7úyåU8-+HIùWûüst7†úyå°¢G7£C§•¶ßy,®å©™7C§9-+´lB! !"#$!%&! !"#$%&'%()*+,(-*).-,%/012340256070689:6;<%=>?@A$BC((D,E(%F?GHA$I((*)E(J% %g'?9¨≠ÆRØ78∞±,-+´l≤≥¥μ014! KLM%(*(+D-*CD.D)%N123OP2QP56070689:6;<%=>?@A$B(C(.(-()%F?GHA$I((*,-DC% 567?9ÆRØ8•¶∂•∑∏7π∫ª£C§,•¶73qºT7L¥≤≥´!l7|}~a~Ü,Ω≥HIæøè¿¡¬ôa√¡¬ô7ƒ≈∆«,*»…´l! no78ê:•¶G,¨≠¶ÀÃÕ∂•∑∏7Sh*+EF7Œœ–—•+,bcB{“”•¶G7-‘Z[EF7n’-‘d[EF*+7L¥ó÷<ñB! öõ7?J8-+UùW&rst7◊/¶ÿG•¶ª£Ÿè@⁄¤‹B{›fiè@,°¢“7∂•-+´lfl#‡·‚q„‰Â°¢B! <=É*¬Ê¬Ê¡¿Á¬Ê¬ò¡á7æø?9|}~Y~Ü,@A:;-‘ËÈ*+7í8÷úyå,!~ÜHIé†$! -‘|}~ËÈ*+$Ω≥HIå¿¡áÍô7îï<ñÎò¡òÊô! -‘~ÜËÈ*+$Ω≥HIåò¡√¿ô7îï<ñάá¡√áô! bcÏ$%¿'Ìy”bc!%¬'úyåïÓßyÔ,ÒÚ !"#$%&'()*+,-./01234156789:;<=>?@ABC5DEFGHIJ8KLMNO7<*+DPQRSTUVWXYZ&'([\]^_SJ`Rabcdefgh5KLijkOl&'(mno0pqXrdst_S[\5uvG*+den6_Swxoyz{|5}~Ä*+ÅÇ_SÉwnÑvgh5DmnG6o0Xrdst8_SÖÜ5DEFGHIáàxoXDxoâ2oR8MNXäã5Dåç&'(8HI[\éè?R7<*+ê?8ëíXìîOvHIïñ35HIáàóé&'(êxo8HI?RXD?R57<*+DëòHIôHOö !""#" 摘要：..........................................................................................................................................................................1 一、卖权回测及参数的影响........................................................................................................................................3 1.1卖出看涨期权回测..................................................................................................................................................31.2为什么最优移仓日存在差异？...............................................................................................................................51.3调仓频率设定多久合适？......................................................................................................................................61.4波动率环境是否对策略产生影响？.......................................................................................................................7 2.1温度计指标..............................................................................................................................................................82.2温度计择时——行情筛选.......................................................................................................................................92.3温度计择时——行情强弱调仓.............................................................................................................................102.4温度计择时——基差策略.....................................................................................................................................11 免责声明.....................................................................................................................................................................14 图目录! 图表%"：#$%期权的隐含波动率..........................................................................................................................................3图表%&：%'期权的隐含波动率............................................................................................................................................3图表%(：卖出#$%看涨期权净值（提前)天移仓）..........................................................................................................4图表%*：卖出#$%虚一档看涨期权净值.............................................................................................................................4图表%+：卖出%'看涨期权净值（提前&天移仓）............................................................................................................4图表%,：卖出%'虚一档看涨期权净值...............................................................................................................................4图表%-：#$%、%'卖出看涨期权策略汇总（不同档位）...................................................................................................5图表%)：#$%平值看涨期权到期前.日/RSSR.....................................................................................................................5图表%0：%'平值看涨期权到期前.日的/RSSR...................................................................................................................5图表%"1：#$%卖出看涨期权净值对比................................................................................................................................6图表%""：%'卖出看涨期权净值对比..................................................................................................................................6图表%"&：#$%卖出平值看涨期权表现（不同波动率维度）.............................................................................................7图表%"(：%'卖出平值看涨期权表现（不同波动率维度）...............................................................................................7图表%"*：&1&(年-2"1月#$%期货价格震荡为主.............................................................................................................8图表%"+：#$%升波环境下的策略净值.....................................................................................................