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。英国出现新冠疫情变种，传染性比普通高 70%，伦敦封城，多个国家宣布停止与英国航班来往。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，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3,2984.07%17914560669379378-21617玉米期权2,6451.30%498023423616707821653铁矿石期权1,144.59.68%930183686815869711120LPG期权4,062.02.58%12084261817739347聚丙烯期权8,329.0-0.74%10878-8272613779塑料期权7,815.0-1.57%4557-54223018430PVC期权7,620.00.73%12086-303133694586白糖期权5,186-0.13%26216-365195076938棉花期权15,1000.97%17416-3438929071010PTA期权3,810.0-1.24%82912-165942939555132甲醇期权2,511.0-0.36%92562-37901079305612菜籽粕期权2,722.04.29%291391315046688-492动力煤期权710.80.88%627359488857226416铜期权59,2800.27%24652-2605450541595橡胶期权14,9651.66%27060220565274黄金期权398.41.20%16880246536188870铝期权16,280-2.34%15589-250325139525锌期权22,2001.28%20777212922121622成交量PCR变化持仓量PCR变化波动率指数分位点豆粕期权0.75350.18481.16000.12360.16930.3344玉米期权0.3548-0.24440.8532-0.25600.13210.7403铁矿石期权1.7143-0.00123.47710.36030.54830.9643LPG期权0.43140.03770.5344-0.05710.39560.7753聚丙烯期权0.7131-0.17851.0013-0.01260.32380.9826塑料期权0.2550-0.23240.8373-0.02380.27850.8174PVC期权0.4868-0.00820.8324-0.01280.30630.8870白糖期权0.54560.06360.71820.01450.16300.5869棉花期权0.3291-0.14070.77400.01410.20190.4143PTA期权0.46590.06140.5100-0.00170.27100.4980甲醇期权0.6192-0.01451.0549-0.08770.32070.7570菜籽粕期权0.6053-0.33751.03080.01650.22300.6638动力煤期权1.1839-0.06381.96610.12230.38320.9754铜期权0.6909-0.10191.3789-0.05370.24630.8787橡胶期权0.3546-0.12500.5659-0.00010.35610.9242黄金期权0.63420.07690.52130.00000.23650.6543铝期权0.58120.08140.8920-0.07100.29020.9670锌期权0.6035-0.04690.77550.01730.28740.9560大商所郑商所上期所波动率情况大商所郑商所上期所2020-12-212020-12-21标的情况期权成交持仓情况期权市场情绪情况 2020/12/22 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、