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： 美选举人团确认拜登获胜，拜登正式赢得美国大选。美国司法部长威廉·巴尔向总统特朗普递交辞呈。美国新冠死亡人数超 30 万，投资者正权衡美国推出新冠疫苗以及达成抗疫刺激方案的前景。辉瑞新冠疫苗获得 FDA 授予紧急使用授权后，已开始在全美分发。纽约市长称纽约很快就会“全面关闭”。目前来看，即使有疫苗，未来经济仍存在重大挑战和不确定，但投资者预期显得更加乐观，认为美联储、欧洲央行等进一步宽松的前景升温。这也将继续推动大宗商品上涨，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3,1080.23%6285344393978154789玉米期权2,569-0.43%23634-2433133110962铁矿石期权994.01.48%37802-214261299361150LPG期权3,891.0-0.23%3393-448915337555聚丙烯期权8,319.0-3.35%13308-428724183409塑料期权7,800.0-3.23%6639-1527321620279PVC期权7,880.0-4.60%14391-166873157114白糖期权5,0470.30%18295-15881031691441棉花期权14,820-0.20%18933-4064844521704PTA期权3,798.0-0.11%72274-613052845933693甲醇期权2,515.01.86%589388216861593792菜籽粕期权2,525.00.12%1061748545947972动力煤期权721.0-2.12%54108338577451-841铜期权57,7000.00%18376-147142169577橡胶期权14,6100.07%14364-675056954-119黄金期权385.70.41%10344220634271823铝期权16,230-0.28%9808-668423339237锌期权21,4550.00%11916-405819028633成交量PCR变化持仓量PCR变化波动率指数分位点豆粕期权0.58040.11820.9752-0.00910.17240.3569玉米期权0.9576-0.76111.31990.08800.13440.7751铁矿石期权2.05220.08893.0939-0.09650.42840.8790LPG期权0.43770.10270.61850.02100.33970.5230聚丙烯期权0.71250.12581.08510.06740.27030.9009塑料期权0.57620.00260.87060.06000.27630.8378PVC期权0.57110.02760.8672-0.00720.28610.8468白糖期权0.52170.14600.8250-0.01050.16750.6409棉花期权0.44750.05340.79960.02150.20010.3939PTA期权0.43580.04040.4981-0.00430.26690.4737甲醇期权0.76140.17411.0679-0.01010.27120.4170菜籽粕期权0.68630.03831.0527-0.00700.18850.3111动力煤期权2.0544-0.48111.7890-0.24180.34040.9661铜期权0.98680.11731.50220.02290.22930.8333橡胶期权0.4839-0.09620.5638-0.00140.33980.8952黄金期权0.6869-0.01630.53760.00510.23100.5774铝期权0.88430.25610.8561-0.01420.24760.9195锌期权0.7340-0.03300.6193-0.04560.25930.8851大商所郑商所上期所波动率情况大商所郑商所上期所2020-12-152020-12-15标的情况期权成交持仓情况期权市场情绪情况 2020/12/16 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 ...............................................