国泰君安期货商品期权周报

商品期权周报投资咨询从业资格号：Z0018397目录 zhangyin023941@gtjas.com 1 请务必阅读正文之后的免责条款部分22.33工业硅期权..............................................................................................................................................................222.34碳酸锂期权..............................................................................................................................................................232.35苹果期权...................................................................................................................................................................232.36硅铁期权...................................................................................................................................................................242.37锰硅期权...................................................................................................................................................................242.38尿素期权...................................................................................................................................................................252.39纯碱期权...................................................................................................................................................................252.40短纤期权...................................................................................................................................................................262.41红枣期权...................................................................................................................................................................262.42玻璃期权...................................................................................................................................................................272.43生猪期权...................................................................................................................................................................272.44鸡蛋期权...................................................................................................................................................................282.45玉米淀粉期权..........................................................................................................................................................282.46沪镍期权...................................................................................................................................................................292.47沪铅期权...................................................................................................................................................................292.48沪锡期权...................................................................................................................................................................302.49氧化铝期权..............................................................................................................................................................302.50动力煤期权..............................................................................................................................................................312.51原木期权...................................................................................................................................................................312.52多晶硅期权..............................................................................................................................................................322.53瓶片期权...................................................................................................................................................................323.注释：...................................................................................................................................................................................33 请务必阅读正文之后的免责条款部分（正文）1.市场综述商品期权市场过去一周整体交易量略有提升，同步伴随着波动率的小幅抬升。周五受伊以冲突影响，期权大面积升波，从原油爆发扩散至金融和化工全品种和油脂系，盘中隐含波动率上升较多，卖方可能触及止损阈值后又出现隐波回落的机会。广期所的7月期权合约在上周二完成换月，郑商所的7月常规期权合约在上周四完成换月，接下来将在周三到期的是大商所的7月常规期权，有豆粕、玉米、淀粉、铁矿石、液化气、聚丙烯、PVC、塑料、棕榈油、豆一、豆二、豆油、乙二醇、苯乙烯、鸡蛋、生猪、原木。能化板块受原油影响在周五大幅升波，临近到期的苯乙烯交易量快速放大，期权隐波相对实际波动率溢价较高，隐含波动率曲线偏度在高位继续上升，可考虑卖出深度虚值看跌期权，赚取临近到期的时间价值，注意进行风控和止损。表1：商品期权市场数据资料来源：RQData，国泰君安期货研究 市场农产品能源化工黑色贵金属有色 3成交量持仓量本周上周涨跌幅本周上周涨跌幅6191803.46112225.750.08%859234310035031-0.14%1330376.81114923.751.21%31329323366267-0.07%3049829.62602051.751.08%28876833583447-0.19%470810.0607053.5-1.4%11302931228807-0.08%466094.6335203.02.44%5357434263080.26%871374.01452993.75-2.5%9013651430202-0.37% 请务必阅读正文之后的免责条款部分资料来源：国泰君安期货研究图2：日均成交量升序排列资料来源：国泰君安期货研究 请务必阅读正文之后的免责条款部分资料来源：国泰君安期货研究图4：周五收盘隐含波动率升序排列资料来源：国泰君安期货研究 请务必阅读正文之后的免责条款部分2.市场数据2.1市场概览表2：商品期权量化数据平值波动率玉米9.36%豆粕15.03%菜粕21.14%棕榈油17.99%豆油13.49%菜油14.83%花生10.2%豆一13.47%豆二12.65%白糖8.56%棉花9.76%乙二醇20.79%苯乙烯29.13%PTA24.1%PX24.43%烧碱22.96%橡胶18.71%聚乙烯15.03%聚丙烯15.11%红枣18.46%苹果14.75%生猪11.11%鸡蛋19.85%玉米淀粉8.11%动力煤nan%多晶硅27.12%资料来源：RQData，国泰君安期货研究 请务必阅读正文之后的免责条款部分2.2玉米期权表3：玉米期权市场数据合约收盘价2378本周看涨成交量48187