商品期权市场全景数据报告

、 商品期权市场全景数据报告 Option Market Data Report 方正中期期货研究院 金融衍生品研究组 牛秋乐 执业编号：Z0002616 彭博 执业编号：Z0011662 联系人：冯世佃 TEL：010-68578820 Email:niuqiule@foundersc.com 更多精彩请关注方正中期官方微信 要点： 美元指数大幅反弹，欧美股市一片哀嚎。对二次疫情大爆发可能造成重新封锁的担忧、以及财政刺激谈判面临的不确定性令市场承压。多家国际大行涉嫌转移逾 2 万亿美元可疑资金的消息也打击了投资者信心。此外，中方或将否决 TikTok 与甲骨文和沃尔玛之间不平等的协议。总的来说，二次疫情爆发，而且地缘政治风险仍存，中美、中印以及台海局势情景不明。随着美国 11 月大选临近，或将愈演愈烈。本周也将进入国庆长期的倒数第二周。假期效应将逐步开始影响市场。因此，短期我们建议投资者还是偏谨慎为主。操作上，下游企业可考虑节前买入看跌期权进行保值。 期权综合指标 收盘价涨跌幅成交量变化持仓量变化豆粕期权3,096-1.43%205635223745130542671玉米期权2,470-0.36%89437397862688027921铁矿石期权772.5-2.03%43914-3594185985-476LPG期权3,418.0-3.17%9337201752649180聚丙烯期权7,646.0-1.71%1307381834919-644塑料期权7,240.0-2.29%64691792227131756PVC期权6,645.0-0.60%4251-10119986547白糖期权5,237-1.50%264517691122438-1871棉花期权12,9600.58%19572569284512-475PTA期权3,580.0-0.94%6867017871182728992甲醇期权2,014.0-2.47%7670529526130310-1963菜籽粕期权2,419.0-1.22%15927-29764970231动力煤期权596.8-0.47%17940-203773863579铜期权51,780-0.92%340121087642675704橡胶期权12,400-1.55%12409125554610黄金期权407.6-2.35%2291315038455711241铝期权14,525-0.89%3609-4291354996锌期权19,770-1.69%17389623116881-48成交量PCR变化持仓量PCR变化波动率指数分位点豆粕期权0.3577-0.01920.8203-0.00250.19030.5734玉米期权0.6196-0.49460.9272-0.00130.17720.9752铁矿石期权1.7415-0.20652.7760-0.20850.37330.4948LPG期权0.78390.11761.00560.02530.30390.0750聚丙烯期权1.2763-0.04031.61490.07480.20000.5263塑料期权1.48810.84070.96670.05960.18230.1404PVC期权0.7523-0.02770.8272-0.00420.17340.2456白糖期权0.47910.05240.45010.01680.16630.6595棉花期权0.77460.19930.92150.01350.18140.2605PTA期权1.11190.24590.5626-0.01860.21800.3316甲醇期权0.74670.09090.78450.02340.24450.2850菜籽粕期权0.73800.14120.77490.03440.20350.5088动力煤期权0.79690.08910.9527-0.00990.14790.5846铜期权1.87730.96631.77690.06450.24710.8827橡胶期权0.54590.01010.53750.02090.24490.3465黄金期权1.05410.31790.9923-0.03890.27240.8324铝期权2.08731.01121.15030.06680.21181.0000锌期权2.11020.96071.0430-0.04650.28360.9394大商所郑商所上期所波动率情况大商所郑商所上期所2020-9-222020-9-22标的情况期权成交持仓情况期权市场情绪情况 2020/9/23 目录 一、豆粕期权 ................................................................................................................................ 2 二、白糖期权 ................................................................................................................................ 3 三、铜期权 .................................................................................................................................... 4 四、玉米期权 ................................................................................................................................ 6 五、棉花期权 ................................................................................................................................ 7 六、橡胶期权 ................................................................................................................................ 9 七、铁矿石期权 .......................................................................................................................... 10 八、PTA 期权 .................................