20240714-国泰期货-商品期权周报_28页
报告摘要
商品期权周报总结
核心内容概述
过去一周，商品期权市场整体呈现成交量与持仓量小幅上涨的态势，但不同板块表现各异。贵金属期权成交量显著上升，而农产品和有色期权成交量有所下降。能化和黑色板块的持仓量下降，其中能化板块隐含波动率上涨，农产品板块隐含波动率也略有上升，黑色和金属板块则隐含波动率下降。纯碱期权的隐含波动率处于高位，表明市场对其价格波动预期较强。
主要观点
- 市场成交量与持仓量：整体市场成交量和持仓量均小幅增长，但不同板块变化趋势不同。贵金属期权成交量增长较多，而能化和黑色板块持仓量下降。
- 隐含波动率变化：整体交易量加权隐含波动率下降0.023%，其中能化板块隐含波动率上涨0.43%，农产品板块隐含波动率上涨0.006%，黑色板块隐含波动率下降0.11%，金属板块隐含波动率下降0.16%。
- 品种表现：纯碱期权的隐含波动率处于断层高位，为35.06%，显示出市场对其价格波动的高度关注。其他如白糖、棉花、豆粕、花生、豆油等品种的波动率也有所变化，部分品种波动率下降，部分则上升。
关键信息
各板块成交量与持仓量变化
| 板块 | 成交量（本周） | 成交量（上周） | 成交量涨跌幅 | 持仓量（本周） | 持仓量（上周） | 持仓量涨跌幅 |
|---|---|---|---|---|---|---|
| 市场 | 4,693,030.2 | 4,510,093.0 | 0.16% | 8,369,769 | 8,160,617 | 0.03% |
| 农产品 | 1,390,219.8 | 1,493,250.8 | -0.28% | 3,715,019 | 3,439,627 | 0.08% |
| 能源化工 | 1,762,523.2 | 1,652,285.0 | 0.27% | 2,345,279 | 2,435,783 | -0.04% |
| 黑色 | 675,389.2 | 614,242.2 | 0.4% | 1,284,728 | 1,442,893 | -0.11% |
| 贵金属 | 520,893.8 | 300,599.4 | 2.93% | 504,082 | 453,924 | 0.11% |
| 有色 | 344,004.2 | 449,715.6 | -0.94% | 520,661 | 388,390 | 0.34% |
各期权品种关键数据
| 品种 | 平值波动率 | HV-10日 | HV-20日 | Skew |
|---|---|---|---|---|
| 玉米 | 8.87% | 5.91% | 8.05% | 8.3% |
| 豆粕 | 17.68% | 15.47% | 14.05% | 14.04% |
| 菜粕 | 21.55% | 20.76% | 18.42% | 16.82% |
| 棕榈油 | 18.33% | 23.24% | 20.20% | 12.27% |
| 豆油 | 16.04% | 19.79% | 16.81% | 8.21% |
| 菜籽油 | 18.61% | 26.66% | 21.88% | 10.78% |
| 花生 | 12.56% | 7.51% | 7.51% | 12.56% |
| 黄大豆1号 | 8.62% | 7.27% | 9.10% | 2.08% |
| 黄大豆2号 | 16.98% | 17.70% | 16.45% | 7.89% |
| 乙二醇 | 14.28% | 11.61% | 9.77% | 14.15% |
| 苯乙烯 | 16.29% | 14.46% | 15.43% | -12.86% |
| 白糖 | 10.53% | 19.79% | 16.81% | -10.81% |
| 棉花 | 13.47% | 26.66% | 25.97% | -9.01% |
| PTA | 10.35% | 18.75% | 16.00% | 16.42% |
| PX | 9.94% | 13.33% | 13.87% | 7.89% |
| 烧碱 | 18.78% | 18.33% | 18.02% | 10.70% |
| 橡胶 | 16.59% | 16.59% | 16.26% | 6.35% |
| BR橡胶 | 22.38% | 22.38% | 22.38% | -3.98% |
| 聚乙烯 | 8.72% | 8.72% | 8.72% | 3.24% |
| 聚丙烯 | 8.96% | 8.96% | 8.96% | 8.05% |
| 甲醇 | 14.24% | 11.61% | 11.61% | 14.15% |
| 液化石油气 | 17.37% | 17.37% | 17.37% | 13.06% |
| PVC | 13.18% | 21.03% | 18.44% | 13.93% |
| 原油 | 24.11% | 24.11% | 24.11% | -11.16% |
| 铁矿石 | 26.56% | 26.56% | 26.56% | -5.86% |
| 动力煤 | nan% | nan% | nan% | nan% |
| 螺纹钢 | 13.83% | 13.83% | 13.83% | -8.37% |
| 黄金 | 13.14% | 13.14% | 13.14% | 12.37% |
| 白银 | 26.80% | 26.80% | 26.80% | 10.38% |
| 铜 | 14.35% | 14.35% | 14.35% | -6.36% |
| 锌 | 16.47% | 16.47% | 16.47% | -2.17% |
| 铝 | 12.30% | 12.30% | 12.30% | -8.66% |
| 工业硅 | 24.07% | 24.07% | 24.07% | 5.00% |
| 碳酸锂 | 22.39% | 22.39% | 22.39% | -12.25% |
| 苹果 | 19.28% | 19.28% | 19.28% | -3.74% |
| 硅铁 | 17.59% | 17.59% | 17.59% | 11.90% |
| 锰硅 | 24.41% | 24.41% | 24.41% | 6.65% |
| 尿素 | 23.03% | 23.03% | 23.03% | 6.22% |
| 短纤 | 8.68% | 8.68% | 8.68% | 11.06% |
| 红枣 | 26.39% | 26.39% | 26.39% | 5.81% |
| 玻璃 | 25.71% | 25.71% | 25.71% | 18.40% |
总结
整体来看，商品期权市场在本周呈现出一定的波动性，成交量和持仓量有所变化，但整体趋势较为温和。贵金属期权成交量增长明显，而能化和黑色板块的持仓量有所下降。隐含波动率方面，能化和农产品板块略有上升，而黑色和金属板块则下降。纯碱期权的隐含波动率处于较高水平，显示出市场对其价格波动的预期较为强烈。不同品种的成交量PCR和持仓量PCR也反映了市场对看涨和看跌期权的偏好变化。
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