20231022-国泰期货-商品期权周报_22页_871kb

报告摘要

本报告对商品期权市场进行了周度数据回顾，涵盖成交量、持仓量、波动率和Skew等关键指标，分析了多个期权品种的表现及市场情绪变化。整体来看，市场成交量与持仓量呈现分化趋势，部分品种波动率上升，显示市场对价格波动的预期有所增强。

市场成交量：本周商品期权市场总成交量为3,611,289.6，较上周下降0.48%。其中，农产品板块成交量下降幅度最大，为-1.46%；能源化工板块成交量略有下降，为-0.12%；黑色板块成交量小幅上升，为0.3%；贵金属和有色板块成交量分别上升2.62%和0.62%。
市场持仓量：本周市场总持仓量为5,484,638，较上周上升0.22%。农产品板块持仓量上升0.18%，能源化工板块上升0.4%，黑色板块上升0.17%，贵金属和有色板块分别上升0.16%和0.12%。
波动率变化：多数期权品种平值波动率有所下降，表明市场对价格波动的预期趋于平稳。部分品种如白糖、豆粕、菜籽油等波动率下降幅度较大，显示市场情绪偏谨慎。
Skew变化：Skew指标整体偏负，显示市场对下行风险的担忧。例如，豆粕期权Skew为-1.77%，表明市场对看跌期权的偏好较高。

品种	成交量（本周）	成交量（上周）	涨跌幅	持仓量（本周）	持仓量（上周）	涨跌幅
市场	3,611,289.6	4,108,277.0	-0.48%	5,484,638	4,487,261	0.22%
农产品	1,040,728.2	1,640,598.6	-1.46%	2,503,240	2,126,870	0.18%
能源化工	1,540,984.6	1,588,095.2	-0.12%	1,438,297	1,025,193	0.4%
黑色	518,189.2	482,325.8	0.3%	949,456	813,541	0.17%
贵金属	175,076.2	105,832.8	2.62%	229,427	197,631	0.16%
有色	336,311.4	291,424.6	0.62%	364,218	324,026	0.12%

品种	平值波动率	HV-10日	HV-20日	Skew	60日分位数
玉米	9.41%	10.62%	10.2%	10.95%	nan%
豆粕	14.74%	21.48%	20.03%	-1.77%	38.33%
菜粕	22.37%	24.72%	22.95%	1.16%	41.67%
棕榈油	21.04%	25.46%	23.29%	7.0%	61.67%
豆油	15.98%	22.63%	22.26%	7.57%	73.33%
菜油	18.38%	22.74%	24.02%	-4.24%	8.33%
花生	14.27%	5.72%	11.07%	-3.54%	41.67%
黄大豆1号	12.44%	11.15%	10.02%	10.82%	66.67%
黄大豆2号	15.96%	28.68%	26.08%	-2.59%	36.67%
白糖	11.6%	22.59%	23.08%	-8.21%	13.33%
棉花	18.0%	11.23%	12.14%	5.62%	11.67%
乙二醇	14.88%	7.44%	11.6%	10.87%	36.67%
苯乙烯	25.13%	23.44%	26.01%	2.57%	45.0%
棉花	18.0%	11.23%	12.14%	5.62%	11.67%
PTA	18.63%	23.29%	22.26%	6.33%	28.33%
PX	23.34%	28.68%	26.08%	2.29%	90.0%
烧碱	27.39%	25.46%	23.29%	1.87%	40.0%
橡胶	21.37%	22.05%	21.1%	15.58%	6.67%
BR橡胶	25.75%	29.88%	29.88%	14.11%	50.0%
聚乙烯	12.96%	22.63%	22.26%	5.21%	71.67%
聚丙烯	12.73%	22.74%	22.0%	8.01%	83.33%
甲醇	21.91%	25.46%	23.29%	2.45%	36.67%
LPG	29.88%	22.05%	21.1%	6.33%	75.0%
PVC	17.01%	22.74%	22.0%	7.65%	5.0%
原油	33.48%	22.63%	22.26%	9.81%	100.0%
铁矿石	24.12%	22.74%	22.0%	-7.53%	68.33%
动力煤	nan%	nan%	nan%	nan%	nan%
螺纹钢	15.01%	22.74%	22.0%	2.71%	43.33%
黄金	13.85%	22.59%	22.26%	12.91%	68.33%
白银	19.86%	22.74%	22.0%	9.38%	30.0%
铜	12.92%	22.74%	22.0%	-13.28%	13.33%
锌	18.44%	22.74%	22.0%	2.21%	50.0%
铝	10.28%	22.74%	22.0%	-1.41%	26.67%
工业硅	17.25%	22.74%	22.0%	6.35%	18.33%
碳酸锂	42.72%	22.74%	22.0%	-20.08%	1.67%