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： 美国联邦政府即将部分关门，国会仍在尽力达成财政刺激与政府融资协议。FDA 正在审批 Moderna新冠疫苗。美上周初请失业救济人数创三个月新高。美联储重申宽松立场，承诺继续以货币政策支持经济复苏。另外，英国脱欧贸易谈判形势严峻。法国总统感染新冠病毒，多国欧洲政要被迫紧急进行隔离。目前来看，即使有疫苗，未来经济仍可能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。美元指数跌破 90 关口，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3,1891.24%11847637015400995-6808玉米期权2,6150.31%15566-63561454251146铁矿石期权1,073.56.23%56150143711475776641LPG期权3,951.03.21%9476442717396192聚丙烯期权8,382.01.22%1172485726066663塑料期权7,955.01.79%509390922588138PVC期权7,520.01.08%15174286533111623白糖期权5,2051.48%29867-1806394138-1117棉花期权14,9350.61%2085411130918974033PTA期权3,834.0-0.21%995068506288823-2348甲醇期权2,517.01.21%96352286731023188043菜籽粕期权2,622.01.51%15989248347180651动力煤期权707.45.02%5324714574793061306铜期权59,2601.75%27221705943461629橡胶期权14,8402.20%268401195156523640黄金期权393.61.34%14415280335318518铝期权16,7801.91%18092733624614649锌期权21,9501.36%18648-221499265成交量PCR变化持仓量PCR变化波动率指数分位点豆粕期权0.5687-0.00841.03640.05630.15480.2214玉米期权0.5991-0.22661.1092-0.02070.12450.6312铁矿石期权1.7156-0.05273.11690.06660.44530.9084LPG期权0.3946-0.35250.5923-0.01300.39940.7853聚丙烯期权0.88880.13131.01330.00120.28570.9298塑料期权0.4857-0.05370.86110.01820.31880.9211PVC期权0.4953-0.14440.84450.01050.28000.8158白糖期权0.4820-0.33500.7036-0.04470.16550.6176棉花期权0.4697-0.16760.7599-0.00820.20290.4239PTA期权0.4045-0.15490.51160.01620.25200.3880甲醇期权0.6337-0.28001.1426-0.00480.29080.5640菜籽粕期权0.94280.28211.01430.00250.20470.4518动力煤期权1.2478-0.31541.84370.16550.37730.9835铜期权0.7925-0.16611.43270.08090.23650.8508橡胶期权0.4796-0.08820.56600.00560.31530.7983黄金期权0.5574-0.14480.52130.00360.21240.3884铝期权0.4998-0.12500.96300.08600.22710.8222锌期权0.6504-0.01670.75820.00260.25050.7889波动率情况大商所郑商所上期所2020-12-182020-12-18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 2020/12/21 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 ....................................