豆粕期权日报：豆粕小幅下跌 看跌隐波略升

000026561 豆粕小幅下跌 看跌隐波略升 观点回顾： ----豆粕期权日报  赵晓慧  021-52133641  zhaoxiaohui014019@gtjas.com 证书编号：Z0010373 【期权成交概况】 今日豆粕期权全天总成交量和总持仓量分别为66802手和570780手。豆粕期权1809系列合约成交量为50024手、持仓量为376580手。豆粕期权合约详细行情统计如表1～2、图1～2。 【波动率分析】 豆粕期权1809系列合约隐含波动率主要处在15%～50%之间，其中看涨期权隐含波动率平均值为20.90%，看跌期权隐含波动率较前期有所提升，平均值达到24.83%，看涨期权ATM隐含波动率为14.45%，看跌期权ATM隐含波动率为15.63%（如图3）；豆粕期权1809系列合约隐含波动率曲线呈微笑形态（如图4）。 【P/C比率分析】 从豆粕期权1809系列合约统计看，全部成交量计算的P/C比率0.90，持仓量计算的P/C比率为0.65，在行权价格2750、2800上P/C比率最高，分别为9.28、15.28，如图5～6。 从合约月份统计来看，持仓量计算的P/C比率平均值为1.06。从行权价格统计来看，行权价格2500～2800之间P/C比率水平较高，持仓量计算的P/C比率在行权价格2500上P/C比率最高为9.38，行权价格3100以上P/C比率均低于1，如图7～8。 【投资策略建议】 豆粕期货1809合约小幅下跌，报收3124元/吨。豆粕高位弱势震荡概率偏大，投资者可继续持有期构造的卖出宽跨式交易策略。 2018.07.23 星期一 金融衍生品研究 商品期权日报 GUOTAI JUNAN FUTURES 【豆粕期权日报图表】 表1：豆粕期权1809系列合约行情统计 表1：豆粕期权1809系列合约行情统计 资料来源：Wind、国泰君安期货金融衍生品研究所 图1：看跌-看涨期权成交、持仓净值（合约月份） 图2：看跌-看涨期权成交、持仓净值（行权价格） 资料来源：Wind、国泰君安期货金融衍生品研究所 资料来源：Wind、国泰君安期货金融衍生品研究所 最新价涨跌幅%成交量持仓量最新价涨跌幅%成交量持仓量730.50044824000.50901832680.50034624500.50321964641.51.99242625000.50324088580.50051225500.5083194530.50051026000.5065039604820041626500.5002980422.5-1.526512270011004084706373-1.58656427500.50825234323-1.82665428001100409996273-2.15681006285011001129544227-1.315813982900210011808858173.5-4.93142235029502-42.86656612606126.5-8.33636599030005.5-38.8939362836685.5-13.215949760305013-33.3345041568650-23.66511818154310028-23.2925661291628-30468214992315054-11.482038906215-33.33504026390320091.5-2.1463842408-30.431968186783250134.51.5137012364.5-1010941941833001833.9828427463508121601233502271.797413722300103494223400277.52.02226721.52008121002234503292.3336504110075011040350037106434110053855943550417-0.952050611001864539583600459.5001306行权价格看涨期权看跌期权合约代码涨跌幅%成交量持仓量合约代码涨跌幅%成交量持仓量M1809-C-340030010349422M1811-P-265020060290M1809-C-345020081210022M1901-P-2500166.677584636M1809-C-350010075011040M1809-P-27001004084706M1809-C-3150-30468214992M1809-P-3000-38.89393628366M1809-C-3250-30.43196818678M1905-P-2550-40.4510990M1809-C-3200-33.33504026390M1809-P-2950-42.86656612606M1809-C-3100-23.66511818154M1809-P-2950-42.86656612606M1809-C-3200-33.33504026390M1809-P-3050-33.33450415686M1809-C-3150-30468214992M1809-P-3000-38.89393628366M1809-C-3600100186453958M1809-P-3000-38.89393628366M1809-C-3200-33.33504026390M1809-P-3050-33.33450415686M1809-C-3300-10109419418M1809-P-3100-23.29256612916持仓最大成交最大看涨期权表现方式看跌期权涨幅最大跌幅最大-90000-80000-70000-60000-50000-40000-30000-20000-10000010000201809201811201812201901201903201905持仓量成交量-70000-60000-50000-40000-30000-20000-100000100002000030000400002400250026002700280029003000310032003300340035003600持仓量成交量 图3：豆粕期权1809系列合约隐含波动率 图4：豆粕期权1809系列合约隐含波动率曲线 资料来源：Wind、国泰君安期货金融衍生品研究所 资料来源：Wind、国泰君安期货金融衍生品研究所 表3：全部豆粕期权合约隐含波动率（%） 资料来源：Wind、国泰君安期货金融衍生品研究所 图5：豆粕期权1809系列合约P/C比率（成交量） 图6：豆粕期权1809系列合约P/C比率（持仓量） 资料来源：Wind、国泰君安期货金融衍生品研究所 资料来源：Wind、国泰君安期货金融衍生品研究所 0.0%10.0%20.0%30.0%40.0%50.0%60.0%70.0%80.0%90.0%240025502700285030003150330034503600看跌期权看涨期权10.0%15.0%20.0%25.0%30.0%35.0%40.0%45.0%50.0%55.0%2400245025002550260026502700275028002850290029503000305031003150320032503300335034003450350035503600隐含波动率趋势线20180920181120181220190120190320190520180920181120181220190120190320190575.00240050.0070.310.00245025.0023.4481.2530.470.000.00250025.0023.4423.4423.0560.9428.130.0030.0819.14255025.0021.8818.7521.8814.0656.250.000.000.0010.35260025.0022.6622.6620.3114.0653.130.000.0026.170.0015.43265025.0020.3119.9219.5316.4114.650.0022.6635.3521.098.9817.38270031.2518.7519.5319.5317.6815.530.0021.090.0023.8339.5517.77275025.0017.9718.7519.3416.7014.840.0027.7333.2021.0936.7217.58280025.0017.9720.3118.9516.9914.450.0024.020.0020.3127.1518.55285021.8816.0220.5118.5515.2315.3323.440.0010.9419.7331.5418.85290020.3116.0217.5818.1616.5015.236.250.000.0019.1414.9418.95295017.1916.2115.8217.7717.9719.4314.060.0018.3619.1416.0218.46300016.4115.8215.4317.4818.5521.1914.8411.3312.7918.650.7818.36305015.6315.8215.4317.6819.0419.8214.4516.6017.0918.5517.9718.75310015.6315.6315.6317.8717.3818.5515.6316.4115.2318.6518.5518.75315015.6315.4322.6617.7717.5816.8016.8017.5815.8218.4617.19320017.1916.2119.7317.8720.9017.9716.6016.5018.8518.95325017.9716.1123.1418.1620.5118.7516.9916.7019.5317.77330021.8821.0916.9918.1621.9721.0917.5817.4819.7318.36335018.7515.6328.0318.3630.4721.8817.1917.3819.5320.21340021.8823.240.0017.9721.7825.0017.3821.0919.7319.14345028.1327.340.0024.7123.3425.0017.5821.4819.9221.4835000.0025.980.0017.7724.4128.1317.5821.8820.1220.3135500.0026.760.0018.9525.0031.2518.3624.4120.5119.5336000.0028.130.0026.1723.2424.8020.7036500.0022.07看跌期权隐含波动率(%)看涨期权0.0010.0020.0030.0040.0050.0060.0070.0080.002400250026002700280029003000310032003300340035003600成交量0.005.0010.0015.0020.002400250026002700280029003000310032003300340035003600持仓量 图7：全部豆粕期权合约P/C比率（合约月份） 图8：全部豆粕期权合约P/C比率（行权价格） 资料来源：Wind、国泰君安期货金融衍生品研究所 注：部分数据异常 资料来源：Wind、国泰君安期货金融衍生品研究所 0.000.501.001.502.002.503.003.504