【期权策略周报】原油买入看涨期权收益显著，尿素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M25093.08%玉米C25071.58%棕榈油P2509-1.43%豆一A25071.43%豆二B25073.80%豆油Y25090.16%白糖SR2509-1.45%棉花CF25092.08%菜籽粕RM25094.17%菜籽油OI25090.28%花生PK2510-2.12%苹果AP2510-1.74%工业硅SI25083.77%LPGPG25071.27%聚丙烯PP25090.84%聚乙烯L25091.18%PVCV25091.66%PTATA2509-0.52%甲醇MA25091.37%橡胶RU25090.30%原油SC25076.90%苯乙烯EB25073.78%乙二醇EG2509-1.14%合成橡胶BR25070.68%烧碱SH2509-1.33%对二甲苯PX2509-0.06%纯碱SA2509-2.33%短纤PF2509-0.35%锰硅SM2509-1.02%硅铁SF25091.25%尿素UR2509-4.41%碳酸锂LC2509-0.10%铜CU25070.56%金AU25080.18%铝AL25071.92%锌ZN2507-1.14%铁矿石I25090.43%银AG25084.08%螺纹RB25100.30%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,-1.50%-3.00%-2.00%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0.850.90.9511.051.12025-05-142025-05-162025-05-182025-05-202025-05-22银棉花豆粕甲醇资料来源：衍生品业务总部 2025-05-24 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2025-05-262025-05-282025-05-302025-06-012025-06-032025-06-052025-06-072025-06-092025-06-11苯乙烯铁矿石棕榈油螺纹0.940.960.9811.021.041.062025-05-132025-05-152025-05-172025-05-192025-05-212025-05-232025-05-252025-05-272025-05-292025-05-312025-06-022025-06-042025-06-062025-06-082025-06-10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,0.54%-3.00%-2.00%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0.850.90.9511.051.12025-05-142025-05-162025-05-18银豆粕资料来源：衍生品业务总部 2025-05-202025-05-222025-05-24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2025-05-262025-05-282025-05-302025-06-012025-06-032025-06-052025-06-072025-06-092025-06-11苯乙烯铁矿石棕榈油螺纹0.950.960.970.980.9911.011.021.031.041.052025-05-132025-05-152025-05-172025-05-192025-05-212025-05-232025-05-252025-05-272025-05-292025-05-312025-06-022025-06-042025-06-062025-06-082025-06-10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纯碱,-1.25%-3.00%-2.00%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0.850.90.9511.051.12025-05-142025-05-162025-05-18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2025-05-202025-05-222025-05-242025-05-262025-05-282025-05-302025-06-012025-06-032025-06-052025-06-072025-06-092025-06-11棉花苯乙烯铁矿石甲醇棕榈油螺纹0.950.960.970.980.9911.011.022025-05-132025-05-152025-05-172025-05-192025-05-212025-05-232025-05-252025-05-272025-05-292025-05-312025-06-022025-06-042025-06-062025-06-082025-06-10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纯碱,-0.96%-3.00%-2.00%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