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： 美国国会通过市场等待已久的联邦支出和刺激法案，但被特朗普否决，市场等待新的刺激法案。投资者仍在评估英国变异新冠病毒对全球经济复苏的影响，美疾控中心估计该病毒可能已传入美国。美国 12 月消费者信心指数降至 4 个月低点。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，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。但短期受英国变异新冠病毒以及超涨影响，或有回调风险。 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3,3210.39%160168-7178037690215822玉米期权2,6741.25%481241903318842213985铁矿石期权1,026.5-5.78%9843440291661981LPG期权3,901.0-2.11%7537-1350190581356聚丙烯期权8,179.0-2.36%18154-209227499577塑料期权7,765.0-1.46%53989322909170PVC期权7,475.0-1.52%9934-147234673628白糖期权5,2450.54%35816-6121965212351棉花期权14,725-0.41%23902-9863961883269PTA期权3,766.0-1.21%87299-169772981193105甲醇期权2,428.0-3.19%72026-36661115651914菜籽粕期权2,759.01.06%38138-1144508423323动力煤期权678.8-2.16%51247-1280484847-1224铜期权57,850-1.11%27550-686545191-101橡胶期权14,105-1.98%3001919257044655黄金期权391.4-0.73%10956-237236516395铝期权15,890-1.24%12399-410625182780锌期权21,335-2.22%16850126622239-562成交量PCR变化持仓量PCR变化波动率指数分位点豆粕期权0.6204-0.19881.2286-0.05760.18050.4621玉米期权0.58750.03360.7594-0.05810.13780.8039铁矿石期权1.8454-0.08982.9023-0.40230.46770.9173LPG期权0.3709-0.01580.5485-0.01030.48940.9444聚丙烯期权0.98930.07601.0230-0.05770.34770.9915塑料期权0.70550.37500.86650.00510.26480.7778PVC期权0.86240.36610.91010.03780.33560.9487白糖期权0.39710.03710.6488-0.04130.18070.7767棉花期权0.43870.03540.8058-0.02400.21600.5464PTA期权0.49290.07460.52840.00880.25220.3874甲醇期权0.89130.24491.0347-0.03610.29500.5850菜籽粕期权0.7321-0.05160.9967-0.12310.27500.9264动力煤期权1.4145-0.03631.6937-0.20420.35940.9597铜期权1.22880.15371.4789-0.04630.23330.8388橡胶期权0.78810.21230.5584-0.00970.40650.9634黄金期权0.7031-0.01730.51830.00280.22620.4980铝期权1.51350.60891.05450.05530.26670.9247锌期权0.94460.24420.81620.04110.27050.8817大商所郑商所上期所波动率情况大商所郑商所上期所2020-12-232020-12-23标的情况期权成交持仓情况期权市场情绪情况 2020/12/24 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 .................................................