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 冯世佃 执业编号：Z0015710 TEL：010-68578820 Email:niuqiule@foundersc.com 更多精彩请关注方正中期官方微信 要点： 尽管疫苗消息频传利好，但美国新增确诊新冠病例激增，令投资者担心美国多个州与城市将收紧防疫限制措施，进而危及脆弱的商业活动与经济复苏。市场在权衡二者的影响。此外，美联储官员再度强调财政刺激措施支持经济,与美财政部发生明显分歧，加重了市场压力。美参院共和党领袖同意继续就刺激方案进行谈判。总的来说，虽然疫苗进展迅速，但疫苗的产能有限，各国经济复苏也需要一定的过程。预计未来 2-3 年内全球维持货币大宽松的总基调将维持不变，利好大宗商品，未来大概率将迎来商品市场的大牛市。因此，从中长期看，力荐滚动卖出看跌期权。 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3,2211.32%22481092603672420-15888玉米期权2,599-0.19%30666-278414406661817铁矿石期权887.51.72%52468-47495262103-900LPG期权3,467.0-3.45%1347110967237692260聚丙烯期权8,523.0-0.13%18796-1019766142936塑料期权7,740.0-0.90%12972440376071374PVC期权7,375.0-1.21%14223-1168760071465白糖期权5,0420.00%20872-54121775041196棉花期权14,2650.11%60042353191332791806PTA期权3,472.01.34%13849232957540280-15443甲醇期权2,287.00.13%56025-781921841271709菜籽粕期权2,559.02.16%256542557576311414动力煤期权602.4-1.21%25547-477621791864铜期权53,5201.36%26109-1592443951192橡胶期权14,230-0.39%18097-2203538277黄金期权392.2-0.23%137935245121-260铝期权15,9600.98%13878-562322284128锌期权21,2402.68%26121646215721668成交量PCR变化持仓量PCR变化波动率指数分位点豆粕期权0.4760-0.06230.82350.00560.16160.2669玉米期权0.89210.11571.2066-0.00870.14800.8685铁矿石期权1.92770.86352.00850.00660.35040.3030LPG期权0.99100.20880.9329-0.06000.30500.0828聚丙烯期权0.99470.21511.34080.04240.27220.9787塑料期权0.70390.08670.8058-0.02420.29650.9681PVC期权0.8734-0.09691.02010.04390.39671.0000白糖期权0.40330.03930.49630.00180.17820.7628棉花期权0.42610.01830.9211-0.04560.21530.5205PTA期权0.50150.08530.32070.00480.24160.3565甲醇期权0.77620.04490.80360.00810.27960.4783菜籽粕期权0.4246-0.08620.77080.00410.20730.4760动力煤期权0.4326-0.07400.5054-0.01150.17740.6569铜期权0.52200.01671.1215-0.02130.20620.7189橡胶期权0.3298-0.02590.51310.00070.34150.9116黄金期权1.23880.19700.7467-0.03310.22910.5360铝期权0.5722-0.05720.97100.03900.20500.7429锌期权0.5927-0.12600.88030.10160.22320.4714波动率情况大商所郑商所上期所2020-11-202020-11-20标的情况期权成交持仓情况期权市场情绪情况大商所郑商所上期所 2020/11/23 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 .............