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： 当前市场关注美国后续财政刺激规模、新冠疫苗进展等因素。在疫情方面，目前欧美疫情形势十分严峻，新增确诊病例猛增，虽然辉瑞疫苗效果令人鼓舞，但受疫苗产能所限，预计未来 2-3 年内全球新冠疫情仍将对经济造成持续冲击。美联储以及各国央行为了经济复苏，维持货币大宽松的总基调将维持不变，利好大宗商品。短期内，随着风险事件落地，市场风险偏好上升，波动可能仍会较大，但期权隐波或将开始逐步走弱。总的来说，在操作策略上，下游套保的企业建议构建领口策略进行保值。在波动率方面，则可逢高做空波动率。 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3,159-1.22%211386-166586682776537玉米期权2,5640.39%374449884284601846铁矿石期权832.5-0.83%43567-18710262926324LPG期权3,522.0-3.11%5605139204171622聚丙烯期权8,227.01.84%3973924188646071889塑料期权7,605.02.63%13871563233775539PVC期权7,335.04.12%2720718088508473376白糖期权5,123-0.50%332622761758581386棉花期权14,220-0.80%16596-14591251982121PTA期权3,364.0-0.41%92798-355015616621696甲醇期权2,255.04.01%11167645213173934-1548菜籽粕期权2,485.0-1.11%21717208655849-915动力煤期权613.41.59%2808116402602191685铜期权52,1800.83%232419611368902466橡胶期权14,3850.81%18817-609950147522黄金期权396.90.74%10292-58004603562铝期权15,5301.77%16588317518514758锌期权20,0200.15%12189-530012286602成交量PCR变化持仓量PCR变化波动率指数分位点豆粕期权0.91720.49480.8148-0.01530.16390.2854玉米期权1.97580.50331.21550.00120.17220.9335铁矿石期权1.53490.30821.8893-0.01930.31550.1991LPG期权0.92940.10261.01330.00570.35890.6842聚丙烯期权0.5183-0.15731.3147-0.04080.22320.7079塑料期权0.4691-0.25130.83370.02280.21020.6292PVC期权0.6862-0.41880.8775-0.01240.29310.9888白糖期权0.2834-0.01880.4560-0.00010.17790.7592棉花期权0.5365-0.08221.0758-0.02030.20320.4138PTA期权0.3727-0.05830.31290.00620.26860.4578甲醇期权0.6716-0.06320.68640.03160.26850.4044菜籽粕期权0.59160.07790.78280.07200.19850.3990动力煤期权0.7338-0.11910.55630.01230.15850.4536铜期权0.7912-0.35221.5160-0.17100.19080.6815橡胶期权0.54630.02430.5865-0.01670.34040.9083黄金期权0.6454-0.06540.78020.00180.23460.6267铝期权0.80680.08980.91100.02930.21630.8769锌期权0.8649-0.45740.8752-0.01270.22150.3846大商所郑商所上期所波动率情况大商所郑商所上期所2020-11-132020-11-13标的情况期权成交持仓情况期权市场情绪情况 2020/11/16 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 ..........................................