沪银买入看涨期权收益显著，烧碱期权领口策略效果较好

分析师谢怡伦从业资格号：F03135587投资咨询号：Z0021150Tel：021-65789205Email：xieyilun_qh@chinastock.com.cn 衍生品业务总部 目录一．二．2.1.看涨期权.....................................................................................................................................................52.2.看跌期权.....................................................................................................................................................62.3.跨式期权.....................................................................................................................................................72.4.宽跨期权.....................................................................................................................................................82.5.牛市价差.....................................................................................................................................................92.6.熊市价差...................................................................................................................................................102.7.看涨比例...................................................................................................................................................112.8.看跌比例...................................................................................................................................................122.9.备兑策略...................................................................................................................................................132.10.2.11.2.12. 2衍生品业务总部策略表现速览............................................................................................................................................3策略分析.....................................................................................................................................................5保险策略...................................................................................................................................................14领口策略...................................................................................................................................................15合成期货...................................................................................................................................................16 一．策略表现速览图表1：商品期权策略周度收益率（1）品种合约标的涨跌豆粕M2509-0.10%玉米C25070.43%棕榈油P25090.62%豆一A25070.46%豆二B2507-0.73%豆油Y2509-0.47%白糖SR2507-0.71%棉花CF2509-0.64%菜籽粕RM2507-2.09%菜籽油OI2509-2.67%花生PK25100.41%苹果AP25100.89%工业硅SI2507-2.79%LPGPG2507-0.20%聚丙烯PP25090.26%聚乙烯L25090.89%PVCV2509-0.23%PTATA2507-0.50%甲醇MA25072.66%橡胶RU2509-1.88%原油SC25072.36%苯乙烯EB25070.24%乙二醇EG2509-0.65%合成橡胶BR2507-1.70%烧碱SH2507-3.74%对二甲苯PX2509-0.76%纯碱SA2509-0.99%短纤PF2507-0.53%锰硅SM2507-1.87%硅铁SF2507-4.70%尿素UR2509-3.80%碳酸锂LC2507-0.46%铜CU25070.39%金AU25081.48%铝AL2507-0.42%锌ZN25070.59%铁矿石I25090.36%银AG25083.02%螺纹RB2510-0.17%资料来源：衍生品业务总部 4衍生品业务总部*平值IV计算方式为：1.筛选出标的价格上下两档最近的行权价，根据两档行权价下的看涨和看跌期权的IV，基于行权价到标的价格的距离加权计算改期限下的平值IV；2.根据不同期限下的平值IV，再基于各自期限的成交量加权计算综合平值IV，且IV涨跌计算方式为绝对值计算。 二．策略分析2.1.看涨期权图表3：主流品种买入看涨期权收益率分布图纯碱,-0.45%-1.50%-1.00%-0.50%波动率涨跌资料来源：衍生品业务总部*注：买入看涨期权行权价选择为虚值一档；气泡图中，横坐标表示标的涨跌幅，纵坐标为波动率涨跌幅，红色气泡表示收益率为正，灰色表示收益率为负，气泡大小表示收益率绝对值的大小。图表4：近一月主流品种价格走势0.850.90.9511.051.11.152025-05-082025-05-102025-05-122025-05-142025-05-16银棉花豆粕甲醇资料来源：衍生品业务总部 2025-05-18 5衍生品业务总部图表5：近一月主流品种买入看涨策略净值2025-05-202025-05-222025-05-242025-05-262025-05-282025-05-302025-06-012025-06-03苯乙烯铁矿石棕榈油螺纹0.940.960.9811.021.041.061.082025-05-072025-05-092025-05-112025-05-132025-05-152025-05-172025-05-192025-05-212025-05-232025-05-252025-05-272025-05-292025-05-312025-06-022025-06-04银棉花苯乙烯铁矿石豆粕甲醇棕榈油螺纹资料来源：衍生品业务总部 2.2.看跌期权图表6：主流品种买入看跌期权收益率分布图纯碱,0.45%-1.50%-1.00%波动率涨跌资料来源：衍生品业务总部*注：买入看跌期权行权价选择为虚值一档；气泡图中，横坐标表示标的涨跌幅，纵坐标为波动率涨跌幅，红色气泡表示收益率为正，灰色表示收益率为负，气泡大小表示收益率绝对值的大小。图表7：近一月主流品种价格走势0.850.90.9511.051.11.152025-05-082025-05-102025-05-12银豆粕资料来源：衍生品业务总部 2025-05-142025-05-162025-05-18棉花甲醇 6衍生品业务总部图表8：近一月主流品种买入看跌策略净值2025-05-202025-05-222025-05-242025-05-262025-05-282025-05-302025-06-012025-06-03苯乙烯铁矿石棕榈油螺纹0.950.970.991.011.031.051.072025-05-072025-05-092025-05-112025-05-132025-05-152025-05-172025-05-192025-05-212025-05-232025-05-252025-05-272025-05-292025-05-312025-06-022025-06-04银棉花苯乙烯铁矿石豆粕甲醇棕榈油螺纹资料来源：衍生品业务总部 2.3.跨式期权图表9：主流品种买入跨式期权收益率分布图棉花,-0.11%纯碱,-0.04%-1.50%-1.00%波动率涨跌资料来源：衍生品业务总部*注：买入跨式期权行权价选择为平值期权；气泡图中，横坐标表示标的涨跌幅，纵坐标为波动率涨跌幅，红色气泡表示收益率为正，灰色表示收益率为负，气泡大小表示收益率绝对值的大小。图表10：近一月主流品种价格走势0.850.90.9511.051.11.152025-05-082025-05-102025-05-12银豆粕资料来源：衍生品业务总部 7衍生品业务总部图表11：近一月主流品种买入跨式策略净值2025-05-142025-05-162025-05-182025-05-202025-05-222025-05-242025-05-262025-05-282025-05-302025-06-012025-06-03棉花苯乙烯铁矿石甲醇棕榈油螺纹0.950.960.970.980.9911.011.021.031.042025-05-072025-05-092025-05-112025-05-132025-05-152025-05-172025-05-192025-05-212025-05-232025-05-252025-05-272025-05-292025-05-312025-06-022025-06-04银棉花苯乙烯铁矿石豆粕甲醇棕榈油螺纹资料来源：衍生品业务总部 2.4.宽跨期权图表12：主流品种买入宽跨期权收益率分布图-1.50%-1.00%波动率涨跌资料来源：衍生品业务总部*注：买入宽跨式期权行权价选择为虚值一档；气泡图中，横坐标表示标的涨跌幅，纵坐标为波动率涨跌幅，红色气泡表示收益率为正，灰色表示收益率为负，气泡大小表示收益率绝对