20240707-国泰期货-商品期权周报_28页_1mb
报告摘要
商品期权周报总结
核心内容
过去一周，商品期权市场整体成交量小幅上涨，持仓量略有下降。随着大商所8月系列期权合约到期，农产品期权成交量增幅显著，能化与黑色板块成交量也有所提升，而贵金属和有色板块成交量下降。值得注意的是，贵金属期权持仓量有所增加，而有色期权持仓量下降。
整体隐含波动率小幅下降，但能化和金属板块的隐含波动率有所上升，黑色和有色板块则有所下降。纯碱、白银和碳酸锂期权的隐含波动率排名靠前。
主要观点
-
成交量变化：
- 市场整体成交量上涨0.61%，持仓量微降0.01%。
- 农产品板块成交量增幅明显，达到1.73%，主要由于8月合约到期后持仓转移至9月合约。
- 能化板块成交量上涨0.68%，黑色板块成交量上涨0.37%。
- 贵金属成交量下降0.94%，有色成交量下降0.4%。
-
期权策略建议：
- 豆粕期权成交量明显放大，但隐含波动率下降，处于近期约40%分位线附近，偏度值为正。
- 由于天气因素影响，可考虑买入看涨期权布局多头，同时为避免时间价值损耗，可卖出虚值看跌期权构建领口策略，以期待下跌趋势反转。
- 领口策略需支付保证金，且时间价值仍会小幅消耗，建议持有时间不宜过长，若下跌趋势延续，应及时平仓并换至愿意接仓期货多头的价位卖出看跌期权。
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） | 涨跌幅（成交量） | 持仓量（本周） | 持仓量（上周） | 涨跌幅（持仓量） |
|---|---|---|---|---|---|---|
| 市场 | 4,510,093.0 | 3,910,809.2 | 0.61% | 8,160,617 | 8,261,745 | -0.01% |
| 农产品 | 1,493,250.8 | 1,042,285.8 | 1.73% | 3,439,627 | 3,435,867 | 0.0% |
| 能源化工 | 1,652,285.0 | 1,413,324.0 | 0.68% | 2,435,783 | 2,336,838 | 0.04% |
| 黑色 | 614,242.2 | 562,672.8 | 0.37% | 1,442,893 | 1,462,109 | -0.01% |
| 贵金属 | 300,599.4 | 393,368.2 | -0.94% | 453,924 | 399,795 | 0.14% |
| 有色 | 449,715.6 | 499,158.4 | -0.4% | 388,390 | 627,136 | -0.38% |
各品种隐含波动率变化
| 品种 | 平值波动率（本周） | 平值波动率（上周） | 涨跌幅（波动率） | HV-10日（本周） | HV-10日（上周） | 涨跌幅（HV-10日） | HV-20日（本周） | HV-20日（上周） | 涨跌幅（HV-20日） | Skew（本周） | Skew（上周） | 涨跌幅（Skew） |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 玉米 | 7.95% | 8.38% | -0.43% | 9.33% | 8.0% | 1.33% | 8.09% | 6.89% | 1.2% | 22.13% | 11.72% | 10.41% |
| 豆粕 | 17.47% | 19.27% | -1.79% | 13.71% | 12.51% | 1.2% | 14.92% | 13.57% | 1.35% | 22.67% | 21.39% | 1.27% |
| 菜粕 | 21.19% | 24.33% | -3.14% | 16.49% | 16.52% | -0.03% | 19.85% | 18.3% | 1.55% | 11.26% | 14.36% | -3.1% |
| 棕榈油 | 17.9% | 17.67% | 0.24% | 17.04% | 17.83% | -0.79% | 20.22% | 22.97% | -2.75% | 13.42% | 6.56% | 6.86% |
| 豆油 | 14.65% | 15.65% | -1.0% | 13.69% | 14.14% | -0.45% | 15.17% | 18.23% | -3.07% | 5.35% | 4.75% | 0.6% |
| 菜籽油 | 19.4% | 18.68% | 0.73% | 18.81% | 17.28% | 1.53% | 18.47% | 17.48% | 0.99% | 11.71% | 12.87% | -1.17% |
| 花生 | 13.7% | 13.7% | -0.0% | 6.09% | 7.52% | -1.43% | 9.13% | 9.62% | -0.49% | 11.03% | 12.21% | -1.17% |
| 黄大豆1号 | 8.52% | 8.95% | -0.42% | 6.76% | 9.57% | -2.81% | 8.02% | 8.05% | -0.03% | 0.01% | 7.44% | -7.43% |
| 黄大豆2号 | 16.21% | 17.86% | -1.65% | 13.4% | 15.49% | -2.09% | 16.23% | 17.06% | -0.82% | 3.43% | 13.94% | -10.51% |
| 乙二醇 | 11.37% | 11.4% | -0.02% | 9.6% | 8.12% | 1.47% | 9.37% | 10.81% | -1.43% | 12.14% | 29.99% | -17.85% |
| 苯乙烯 | 15.62% | nan | nan | 16.66% | 16.58% | 0.08% | 14.55% | 17.35% | -2.8% | -7.0% | nan | nan |
| 白糖 | 10.5% | 1.67% | 8.83% | 12.44% | 14.14% | -1.7% | 13.6% | 15.65% | -2.05% | -3.44% | nan | nan |
| 棉花 | 12.44% | 40.0% | -27.6% | 12.44% | 14.14% | -1.7% | 13.6% | 15.65% | -2.05% | -12.31% | nan | nan |
| PTA | 12.48% | 60.0% | -47.52% | 12.48% | 14.14% | -1.7% | 13.6% | 15.65% | -2.05% | 22.03% | nan | nan |
| PX | 11.63% | 8.33% | 3.33% | 11.63% | 10.81% | 0.82% | 11.63% | 10.81% | 0.82% | 17.46% | nan | nan |
| 烧碱 | 18.82% | 11.67% | 7.14% | 18.82% | 17.28% | 1.53% | 18.82% | 17.48% | 1.33% | 8.82% | nan | nan |
| 橡胶 | 16.88% | 1.67% | 15.21% | 16.88% | 11.9% | 4.98% | 16.88% | 10.81% | 6.07% | 15.35% | nan | nan |
| BR橡胶 | 19.61% | 10.0% | 9.61% | 19.61% | 11.9% | 7.71% | 19.61% | 10.81% | 8.8% | 8.66% | nan | nan |
| 聚乙烯 | 8.73% | 3.33% | 5.4% | 8.73% | 11.9% | -3.17% | 8.73% | 11.9% | -3.17% | 1.2% | nan | nan |
| 聚丙烯 | 8.97% | 3.33% | 5.64% | 8.97% | 11.9% | -3.17% | 8.97% | 11.9% | -3.17% | -1.58% | nan | nan |
| 红枣 | 26.9% | 62.5% | -35.6% | 26.9% | 18.75% | 8.15% | 26.9% | 18.75% | 8.15% | -6.67% | nan | nan |
| 玻璃 | 26.95% | 93.75% | -66.8% | 26.95% | 18.75% | 8.15% | 26.95% | 18.75% | 8.15% | 12.98% | nan | nan |
总结
整体来看，商品期权市场呈现成交量上涨、持仓量微降的趋势，其中农产品板块受8月合约到期影响，成交量显著增长。能化与金属板块的隐含波动率有所上升，而黑色与有色板块则下降。纯碱、白银和碳酸锂期权的隐含波动率排名靠前，显示出较高的市场不确定性。策略上，豆粕期权可考虑买入看涨期权布局多头，并结合领口策略应对可能的下跌趋势。
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