商品期權(quán)市場(chǎng)全景數(shù)據(jù)報(bào)告

1、一、豆粕期權(quán) 1、成交持倉情況表 1.1、豆粕期權(quán)合約成交持倉情況2022-7-19成交量變化持倉量變化成交量PCR持倉量PCR認(rèn)購61098-25474243901-1126認(rèn)沽165993-78434481276-440豆粕期權(quán)227091-103908725177-15662.71681.9732數(shù)據(jù)來源：Wind 資訊，整理2500020000150001000050000認(rèn)購 認(rèn)沽圖 1.1：豆粕期權(quán)主力合約分執(zhí)行價(jià)成交量情況圖 1.2：豆粕期權(quán)主力合約分執(zhí)行價(jià)持倉量情況300002500020000150001000050000認(rèn)購 認(rèn)沽2650275028502950305031

2、5032503350345035503650375038503950405041504250435044504550465047502650275028502950305031503250335034503550365037503850395040504150425043504450455046504750數(shù)據(jù)來源：Wind 資訊，整理20000-2000-4000-6000-8000-10000-12000-14000認(rèn)購 認(rèn)沽3000200010000-1000-2000-3000-4000-5000-6000認(rèn)購 認(rèn)沽圖 1.3：豆粕期權(quán)主力合約分執(zhí)行價(jià)成交量變化情況圖 1.4：豆粕期權(quán)

3、主力合約分執(zhí)行價(jià)持倉量變化情況26502750285029503050315032503350345035503650375038503950405041504250435044504550465047502650275028502950305031503250335034503550365037503850395040504150425043504450455046504750數(shù)據(jù)來源：Wind 資訊，整理2、成交持倉活躍前 5 期權(quán)重要指標(biāo)表 1.2：成交、持倉前 5 期權(quán)重要指標(biāo)期權(quán)代碼成交量deltagamma*100vegathetarhoM2209-P-360022396-0.16

4、410.07002.2342-3.1601-0.0138M2209-P-370016525-0.24430.10002.8348-3.8023-0.0220M2209-P-350014924-0.10970.05001.7031-2.5080-0.0089M2209-P-380013678-0.35160.13003.3499-4.1934-0.0337M2209-P-390011733-0.48880.15003.5997-4.1890-0.0507期權(quán)代碼持倉量deltagamma*100vegathetarhoM2209-P-350027987-0.10970.05001.7031-2.

5、5080-0.0089M2301-P-385027099-0.65360.08008.3141-0.8615-0.9224M2209-P-355024970-0.13370.06001.9480-2.8291-0.0109M2209-P-370022923-0.24430.10002.8348-3.8023-0.0220M2209-P-380022273-0.35160.13003.3499-4.1934-0.0337數(shù)據(jù)來源：Wind 資訊，整理3、波動(dòng)率min10%25%50%75%90%maxHV906030100.450.40.350.30.250.20.150.10.0501.210

6、.80.60.40.20認(rèn)購 認(rèn)沽 認(rèn)購_前一交易日 認(rèn)沽_前一交易日?qǐng)D 1.5：豆粕主連 3 年歷史波動(dòng)率錐圖 1.6：豆粕期權(quán)主力合約隱含波動(dòng)率情況2650275028502950305031503250335034503550365037503850395040504150425043504450455046504750數(shù)據(jù)來源：Wind 資訊，整理數(shù)據(jù)來源：Wind 資訊，整理二、白糖期權(quán) 1、成交持倉情況表 2.1、白糖期權(quán)合約成交持倉情況2022-7-19成交量變化持倉量變化成交量PCR持倉量PCR認(rèn)購69550-25882186876-4311認(rèn)沽38156-1073910964

7、13581白糖期權(quán)107706-36621296517-7300.54860.5867數(shù)據(jù)來源：Wind 資訊，整理圖 2.1：白糖期權(quán)主力合約分執(zhí)行價(jià)成交量情況圖 2.2：白糖期權(quán)主力合約分執(zhí)行價(jià)持倉量情況16000140001200010000800060004000200005200 5300 5400 5500 5600 5700 5800 5900 6000 6100 6200 6300 6400 6500 6600 6700認(rèn)購 認(rèn)沽 25000200001500010000500005200 5300 5400 5500 5600 5700 5800 5900 6000 6100

8、 6200 6300 6400 6500 6600 6700認(rèn)購 認(rèn)沽數(shù)據(jù)來源：Wind 資訊，整理認(rèn)購 認(rèn)沽認(rèn)購 認(rèn)沽圖 2.3：白糖期權(quán)主力合約分執(zhí)行價(jià)成交量變化情況圖 2.4：白糖期權(quán)主力合約分執(zhí)行價(jià)持倉量變化情況3000150020001000100050000-1000-500-2000-1000-3000-1500-40005200 5300 5400 5500 5600 5700 5800 5900 6000 6100 6200 6300 6400 6500 6600 6700-200052005300 54005500560057005800 5900 6000 6100 62

9、00 6300 6400 6500 6600 6700數(shù)據(jù)來源：Wind 資訊，整理2、成交持倉活躍前 5 期權(quán)重要指標(biāo)表 2.2：成交、持倉前 5 期權(quán)重要指標(biāo)期權(quán)代碼成交量deltagamma*100vegathetarhoSR209C6100144730.05220.07001.3333-0.7411-0.0013SR209C6000121980.13310.14002.6874-1.4457-0.0039SR209P56009883-0.09750.09002.1538-1.3903-0.0033SR209C590096370.30340.26004.3659-2.1701-0.010

10、5SR209P57006608-0.19560.18003.4523-1.9294-0.0068期權(quán)代碼持倉量deltagamma*100vegathetarhoSR209C6700237850.00510.00000.1843-0.18160.0000SR209C6100174830.05220.07001.3333-0.7411-0.0013SR209C6000162070.13310.14002.6874-1.4457-0.0039SR209P550015585-0.05470.05001.3835-1.0196-0.0018SR209P580013758-0.41300.29004.8

11、644-2.4175-0.0166數(shù)據(jù)來源：Wind 資訊，整理3、波動(dòng)率圖 2.5：白糖主連 3 年歷史波動(dòng)率錐圖 2.6：白糖期權(quán)主力合約隱含波動(dòng)率情況min10%25%50%75%90%maxHV906030100.30.250.20.150.10.050 0.30.250.20.150.10.0505200 5300 5400 5500 5600 5700 5800 5900 6000 6100 6200 6300 6400 6500 6600 6700認(rèn)購 認(rèn)沽 認(rèn)購_前一交易日 認(rèn)沽_前一交易日數(shù)據(jù)來源：Wind 資訊，整理數(shù)據(jù)來源：Wind 資訊，整理三、銅期權(quán) 1、成交持倉情況

12、表 3.1、銅期權(quán)合約成交持倉情況2022-7-19成交量變化持倉量變化成交量PCR持倉量PCR認(rèn)購32700141049529-1158認(rèn)沽383028600333291915銅期權(quán)7100210010828587571.17130.6729數(shù)據(jù)來源：Wind 資訊，整理70006000500040003000200010000認(rèn)購 認(rèn)沽3500300025002000150010005000認(rèn)購 認(rèn)沽圖 3.1：銅期權(quán)主力合約分執(zhí)行價(jià)成交量情況圖 3.2：銅期權(quán)主力合約分執(zhí)行價(jià)持倉量情況數(shù)據(jù)來源：Wind 資訊，整理圖 3.3：銅期權(quán)主力合約分執(zhí)行價(jià)成交量變化情況圖 3.4：銅期權(quán)主力合約

13、分執(zhí)行價(jià)持倉量變化情況300080025006002000150010005000-500-10004002000-200-400-1500-600-2000-800認(rèn)購 認(rèn)沽認(rèn)購 認(rèn)沽數(shù)據(jù)來源：Wind 資訊，整理2、成交持倉活躍前 5 期權(quán)重要指標(biāo)表 3.2：成交、持倉前 5 期權(quán)重要指標(biāo)期權(quán)代碼成交量deltagamma*100vegathetarhoCU2208C6000063090.11300.010013.8033-74.1734-0.0274CU2208P540005944-0.25600.010023.1760#-0.0866CU2208P500005529-0.05570.0

14、0008.0952-57.6249-0.0165CU2208P520005360-0.13030.010015.2593#-0.0426CU2208P550003932-0.36810.010027.1459#-0.1468期權(quán)代碼持倉量deltagamma*100vegathetarhoCU2208C6000033280.11300.010013.8033-74.1734-0.0274CU2208P520003235-0.13030.010015.2593#-0.0426CU2208P500002232-0.05570.00008.0952-57.6249-0.0165CU2208C6200

15、021400.02740.00004.5447-22.9825-0.0050CU2209C6200021200.21500.000054.4130-37.3470-0.8926數(shù)據(jù)來源：Wind 資訊，整理3、波動(dòng)率min10%25%50%75%90%maxHV906030100.450.40.350.30.250.20.150.10.0501.241.040.840.640.440.240.04 認(rèn)購 認(rèn)沽 認(rèn)購_前一交易日 認(rèn)沽_前一交易日?qǐng)D 3.5：銅主連 3 年歷史波動(dòng)率錐圖 3.6：銅期權(quán)主力合約隱含波動(dòng)率情況數(shù)據(jù)來源：Wind 資訊，整理數(shù)據(jù)來源：Wind 資訊，整理四、玉米期權(quán)

16、1、成交持倉情況表 4.1、玉米期權(quán)合約成交持倉情況2022-7-19成交量變化持倉量變化成交量PCR持倉量PCR認(rèn)購8502816954346753866認(rèn)沽11987723311309058-1677玉米期權(quán)20490540265655811-8111.40990.8913數(shù)據(jù)來源：Wind 資訊，整理2500020000150001000050000認(rèn)購 認(rèn)沽50000450004000035000300002500020000150001000050000認(rèn)購 認(rèn)沽圖 4.1：玉米期權(quán)主力合約分執(zhí)行價(jià)成交量情況圖 4.2：玉米期權(quán)主力合約分執(zhí)行價(jià)持倉量情況224023002360242

17、02480254026002660272027802840290029603040316032803400296030403160數(shù)據(jù)來源：Wind 資訊，整理25002000150010005000-500-1000-1500-2000認(rèn)購 認(rèn)沽500040003000200010000-1000-2000-3000認(rèn)購 認(rèn)沽圖 4.3：玉米期權(quán)主力合約分執(zhí)行價(jià)成交量變化情況圖 4.4：玉米期權(quán)主力合約分執(zhí)行價(jià)持倉量變化情況數(shù)據(jù)來源：Wind 資訊，整理2240230023602420248025402600266027202780284029002960304031603280340029

18、60304031602、成交持倉活躍前 5 期權(quán)重要指標(biāo)表 4.2：成交、持倉前 5 期權(quán)重要指標(biāo)期權(quán)代碼成交量deltagamma*100vegathetarhoC2209-P-260019289-0.44650.37002.3916-1.6429-0.0172C2209-C-2700101390.19970.28001.6928-1.0852-0.0051C2209-P-27008199-0.83970.28001.4694-0.7918-0.0412C2209-P-26407748-0.61360.42002.3136-1.3527-0.0241C2209-C-274076890.113

19、20.19001.1613-0.7419-0.0025期權(quán)代碼持倉量deltagamma*100vegathetarhoC2209-C-3000441220.01690.02000.2540-0.2518-0.0003C2209-C-3200274280.00750.01000.1287-0.1460-0.0001C2209-P-270022769-0.83970.28001.4694-0.7918-0.0412C2209-P-250016840-0.17050.21001.5344-1.2046-0.0053C2209-C-2900160680.02080.04000.3031-0.2388

20、-0.0003數(shù)據(jù)來源：Wind 資訊，整理3、波動(dòng)率min10%25%50%75%90%maxHV906030100.250.20.150.10.0500.440.390.340.290.240.190.140.090.04認(rèn)購 認(rèn)沽 認(rèn)購_前一交易日 認(rèn)沽_前一交易日12800132001360014000144001480015200156001600016400168001720017600180001840018800192001960020000208002160022400232002400012800132001360014000144001480015200156001600

21、0164001680017200176001800018400188001920019600200002080021600224002320024000圖 4.5：玉米主連 3 年歷史波動(dòng)率錐圖 4.6：玉米期權(quán)主力合約隱含波動(dòng)率情況2240228023202360240024402480252025602600264026802720276028002840288029202960300030803160324033203400數(shù)據(jù)來源：Wind 資訊，整理數(shù)據(jù)來源：Wind 資訊，整理五、棉花期權(quán) 1、成交持倉情況2022-7-19成交量認(rèn)購 93152認(rèn)沽 78904棉花期權(quán) 17205

22、6變化持倉量138551626193440912000248264282621變化173179609691成交量PCR 持倉量PCR0.84700.7379表 5.1、棉花期權(quán)合約成交持倉情況數(shù)據(jù)來源：Wind 資訊，整理120001000080006000400020000認(rèn)購 認(rèn)沽120001000080006000400020000認(rèn)購 認(rèn)沽圖 5.1：棉花期權(quán)主力合約分執(zhí)行價(jià)成交量情況圖 5.2：棉花期權(quán)主力合約分執(zhí)行價(jià)持倉量情況1280013200136001400014400148001520015600160001640016800172001760018000184001880

23、01920019600200002080021600224002320024000128001320013600140001440014800152001560016000164001680017200176001800018400188001920019600200002080021600224002320024000數(shù)據(jù)來源：Wind 資訊，整理80006000400020000-2000-4000-6000認(rèn)購 認(rèn)沽25002000150010005000-500-1000認(rèn)購 認(rèn)沽圖 5.3：棉花期權(quán)主力合約分執(zhí)行價(jià)成交量變化情況圖 5.4：棉花期權(quán)主力合約分執(zhí)行價(jià)持倉量變化情況數(shù)據(jù)來

24、源：Wind 資訊，整理2、成交持倉活躍前 5 期權(quán)重要指標(biāo)表 5.2：成交、持倉前 5 期權(quán)重要指標(biāo)期權(quán)代碼成交量deltagamma*100vegathetarhoCF209C1600099630.14960.01007.0428-16.7893-0.0467CF209P140009174-0.44990.020011.9689-31.2846-0.2551CF209P128008171-0.21310.02008.7865-24.6691-0.0973CF209C1500049410.31970.020010.8284-26.2462-0.1275CF209C1700047240.060

25、70.01003.6395-8.4945-0.0148期權(quán)代碼持倉量deltagamma*100vegathetarhoCF209C1900095440.01560.00001.1841-3.0114-0.0025CF209C2000095100.00790.00000.6523-1.7229-0.0007CF209C2360082220.00150.00000.1499-0.44050.0005CF209P200006873-0.98920.00000.8313-2.0527-1.1803CF209C1800061600.02450.00001.7406-4.0527-0.0045數(shù)據(jù)來源：

26、Wind 資訊，整理3、波動(dòng)率min10%25%50%75%90%maxHV906030100.60.50.40.30.20.101.251.050.850.650.450.250.05認(rèn)購 認(rèn)沽 認(rèn)購_前一交易日 認(rèn)沽_前一交易日?qǐng)D 5.5：棉花主連 3 年歷史波動(dòng)率錐圖 5.6：棉花期權(quán)主力合約隱含波動(dòng)率情況128001320013600140001440014800152001560016000164001680017200176001800018400188001920019600200002080021600224002320024000數(shù)據(jù)來源：Wind 資訊，整理數(shù)據(jù)來源：Win

27、d 資訊，整理六、橡膠期權(quán) 1、成交持倉情況表 6.1、橡膠期權(quán)合約成交持倉情況2022-7-19成交量變化持倉量變化成交量PCR持倉量PCR認(rèn)購15791-581071863-350認(rèn)沽6531-508022477-350橡膠期權(quán)22322-1089094340-7000.41360.3128數(shù)據(jù)來源：Wind 資訊，整理圖 6.1：橡膠期權(quán)主力合約分執(zhí)行價(jià)成交量情況圖 6.2：橡膠期權(quán)主力合約分執(zhí)行價(jià)持倉量情況25002000150010005000認(rèn)購 認(rèn)沽 1600014000120001000080006000400020000認(rèn)購 認(rèn)沽數(shù)據(jù)來源：Wind 資訊，整理4002000-

28、200-400-600-800-1000-1200-1400-1600-1800認(rèn)購 認(rèn)沽3002001000-100-200-300-400-500-600-700認(rèn)購 認(rèn)沽圖 6.3：橡膠期權(quán)主力合約分執(zhí)行價(jià)成交量變化情況圖 6.4：橡膠期權(quán)主力合約分執(zhí)行價(jià)持倉量變化情況數(shù)據(jù)來源：Wind 資訊，整理2、成交持倉活躍前 5 期權(quán)重要指標(biāo)表 6.2：成交、持倉前 5 期權(quán)重要指標(biāo)期權(quán)代碼成交量deltagamma*100vegathetarhoRU2209C1500019910.03040.00002.7466-1.7512-0.0108RU2209C1300018950.16350.020

29、09.8368-4.5384-0.0757RU2209C1400018540.06340.01004.9591-2.7355-0.0260RU2209P110001582-0.18120.020010.5006-5.5432-0.1083RU2209C1775010960.01440.00001.4592-1.3466-0.0042期權(quán)代碼持倉量deltagamma*100vegathetarhoRU220901440.00001.4592-1.3466-0.0042RU220903040.00002.7466-1.7512-0.0108RU

30、2209C1400070790.06340.01004.9591-2.7355-0.0260RU2209C1300045960.16350.02009.8368-4.5384-0.0757RU2209P110004026-0.18120.020010.5006-5.5432-0.1083數(shù)據(jù)來源：Wind 資訊，整理3、波動(dòng)率圖 6.5：橡膠主連 3 年歷史波動(dòng)率錐圖 6.6：橡膠期權(quán)主力合約隱含波動(dòng)率情況min10%25%50%75%90%maxHV906030100.60.50.40.30.20.10 0.70.60.50.40.30.20.10 認(rèn)購 認(rèn)沽 認(rèn)購_前一交易日 認(rèn)沽_前一交

31、易日數(shù)據(jù)來源：Wind 資訊，整理數(shù)據(jù)來源：Wind 資訊，整理七、鐵礦石期權(quán) 1、成交持倉情況表 7.1、鐵礦石期權(quán)合約成交持倉情況2022-7-19成交量變化持倉量變化成交量PCR持倉量PCR認(rèn)購102401-149671728691856認(rèn)沽134013-126492034191708鐵礦石期權(quán)236414-2761637628835641.30871.1767數(shù)據(jù)來源：Wind 資訊，整理300002500020000150001000050000認(rèn)購 認(rèn)沽50000450004000035000300002500020000150001000050000認(rèn)購 認(rèn)沽圖 7.1：鐵礦石期

32、權(quán)主力合約分執(zhí)行價(jià)成交量情況圖 7.2：鐵礦石期權(quán)主力合約分執(zhí)行價(jià)持倉量情況4404705005305605906206506807107407708008308608909209509801020108011401200126013201380144044047050053056059062065068071074077080083086089092095098010201080114012001260132013801440數(shù)據(jù)來源：Wind 資訊，整理圖 7.3：鐵礦石期權(quán)主力合約分執(zhí)行價(jià)成交量變化情況圖 7.4：鐵礦石期權(quán)主力合約分執(zhí)行價(jià)持倉量變化情況1000050000-5000-1

33、0000-15000-20000認(rèn)購 認(rèn)沽2000150010005000-500-1000-1500-2000-2500-3000認(rèn)購 認(rèn)沽4404705005305605906206506807107407708008308608909209509801020108011401200126013201380144044047050053056059062065068071074077080083086089092095098010201080114012001260132013801440數(shù)據(jù)來源：Wind 資訊，整理2、成交持倉活躍前 5 期權(quán)重要指標(biāo)表 7.2：成交、持倉前 5 期權(quán)重

34、要指標(biāo)期權(quán)代碼成交量deltagamma*100vegathetarhoI2209-P-60026592-0.24390.33000.4769-1.1603-0.0069I2209-P-55020636-0.10950.19000.2852-0.7219-0.0026I2209-P-65017049-0.44350.43000.6005-1.4143-0.0156I2209-C-800162770.07580.16000.2172-0.4631-0.0012I2209-P-50016031-0.03940.08000.1296-0.3367-0.0007期權(quán)代碼持倉量deltagamma*10

35、0vegathetarhoI2209-P-50044632-0.03940.08000.1296-0.3367-0.0007I2209-C-1100295230.00290.01000.0136-0.03560.0000I2209-C-850246950.03520.09000.1181-0.2561-0.0005I2209-P-60021923-0.24390.33000.4769-1.1603-0.0069I2209-P-44017465-0.01310.03000.0512-0.1488-0.0002數(shù)據(jù)來源：Wind 資訊，整理3、波動(dòng)率圖 7.5：鐵礦石主連 3 年歷史波動(dòng)率錐圖 7

36、.6：鐵礦石期權(quán)主力合約隱含波動(dòng)率情況min10%25%50%75%90%maxHV906030100.90.80.70.60.50.40.30.20.101.040.940.840.740.640.540.440.340.240.140.04認(rèn)購 認(rèn)沽 認(rèn)購_前一交易日 認(rèn)沽_前一交易日數(shù)據(jù)來源：Wind 資訊，整理數(shù)據(jù)來源：Wind 資訊，整理八、PTA 期權(quán) 1、成交持倉情況表 8.1、PTA 期權(quán)合約成交持倉情況2022-7-19成交量變化持倉量變化成交量PCR持倉量PCR認(rèn)購197697-34871893365009認(rèn)沽159560152681231233814PTA期權(quán)357257

37、1178131245988230.80710.6503數(shù)據(jù)來源：Wind 資訊，整理16000認(rèn)購 認(rèn)沽35000180003000025000140001200020000100001500080001000050000440046005400認(rèn)購680070007200740076007800800082006000400020000圖 8.1：PTA 期權(quán)主力合約分執(zhí)行價(jià)成交量情況圖 8.2：PTA 期權(quán)主力合約分執(zhí)行價(jià)持倉量情況43004500470048004900500052005600580060006200640066004300440045004600470048004900

38、50005200540056005800600062006400660068007000720074007600780080008200認(rèn)沽數(shù)據(jù)來源：Wind 資訊，整理80006000400020000-2000-4000-6000-8000認(rèn)購 認(rèn)沽3500300025002000150010005000-500-1000-1500認(rèn)購 認(rèn)沽圖 8.3：PTA 期權(quán)主力合約分執(zhí)行價(jià)成交量變化情況圖 8.4：PTA 期權(quán)主力合約分執(zhí)行價(jià)持倉量變化情況430044004500460047004800490050005200540056005800600062006400660068007000

39、720074007600780080008200430044004500460047004800490050005200540056005800600062006400660068007000720074007600780080008200數(shù)據(jù)來源：Wind 資訊，整理2、成交持倉活躍前 5 期權(quán)重要指標(biāo)表 8.2：成交、持倉前 5 期權(quán)重要指標(biāo)期權(quán)代碼成交量deltagamma*100vegathetarhoTA209P500030592-0.21840.05003.4302-8.2413-0.0328TA209C6000248740.15740.05002.8004-5.5839-0.01

40、61TA209C6500208790.04170.02001.0368-2.0934-0.0031TA209C5600194960.39670.07004.4865-9.5112-0.0582TA209P430013519-0.03730.01000.9465-2.5617-0.0040期權(quán)代碼持倉量deltagamma*100vegathetarhoTA209C6500170570.04170.02001.0368-2.0934-0.0031TA209C8200163170.00230.00000.0857-0.20270.0001TA209C7300141430.00920.00000.2

41、891-0.6666-0.0004TA209P500013282-0.21840.05003.4302-8.2413-0.0328TA209C7000126110.01240.01000.3726-0.7851-0.0006數(shù)據(jù)來源：Wind 資訊，整理3、波動(dòng)率10.90.80.70.60.50.40.30.20.10認(rèn)購 認(rèn)沽 認(rèn)購_前一交易日 認(rèn)沽_前一交易日?qǐng)D 8.5：PTA 主連 3 年歷史波動(dòng)率錐圖 8.6：PTA 期權(quán)主力合約隱含波動(dòng)率情況0.50.450.40.350.30.250.20.150.10.05010306090min10%25%50%75%90%maxHV4300

42、44004500460047004800490050005200540056005800600062006400660068007000720074007600780080008200數(shù)據(jù)來源：Wind 資訊，整理數(shù)據(jù)來源：Wind 資訊，整理九、甲醇期權(quán) 1、成交持倉情況表 9.1、甲醇期權(quán)合約成交持倉情況2022-7-19成交量變化持倉量變化成交量PCR持倉量PCR認(rèn)購67985-218131283271156認(rèn)沽45525-5177476282958甲醇期權(quán)113510-2699017595541140.66960.3711數(shù)據(jù)來源：Wind 資訊，整理圖 9.1：甲醇期權(quán)主力合約分執(zhí)行

43、價(jià)成交量情況圖 9.2：甲醇期權(quán)主力合約分執(zhí)行價(jià)持倉量情況14000120001000080006000400020000認(rèn)購 認(rèn)沽2500020000150001000050000認(rèn)購 認(rèn)沽數(shù)據(jù)來源：Wind 資訊，整理圖 9.3：甲醇期權(quán)主力合約分執(zhí)行價(jià)成交量變化情況圖 9.4：甲醇期權(quán)主力合約分執(zhí)行價(jià)持倉量變化情況80001400600012004000100020000-2000-4000-6000-8000-10000-12000認(rèn)購 認(rèn)沽8006004002000-200-400-600認(rèn)購 認(rèn)沽數(shù)據(jù)來源：Wind 資訊，整理2、成交持倉活躍前 5 期權(quán)重要指標(biāo)表 9.2：成交、持

44、倉前 5 期權(quán)重要指標(biāo)期權(quán)代碼成交量deltagamma*100vegathetarhoMA209C2500123520.22330.15001.4973-2.6217-0.0096MA209P21758884-0.19290.13001.3736-2.5597-0.0092MA209C270085930.05780.06000.5794-1.0444-0.0018MA209P23008424-0.40380.19001.9424-3.5917-0.0249MA209P22008234-0.22970.15001.5223-2.8627-0.0117期權(quán)代碼持倉量deltagamma*100v

45、egathetarhoMA209C3550227870.00470.00000.0713-0.18100.0000MA209C3000117660.01190.01000.1552-0.3163-0.0002MA209C270084420.05780.06000.5794-1.0444-0.0018MA209C350063440.00680.01000.1022-0.2486-0.0001MA209C250062170.22330.15001.4973-2.6217-0.0096數(shù)據(jù)來源：Wind 資訊，整理3、波動(dòng)率圖 9.5：甲醇主連 3 年歷史波動(dòng)率錐圖 9.6：甲醇期權(quán)主力合約隱含波動(dòng)

46、率情況0.90.80.80.70.70.60.60.50.50.40.40.30.30.20.1010306090min10%25%50%75%90%maxHV0.20.10認(rèn)購 認(rèn)沽 認(rèn)購_前一交易日 認(rèn)沽_前一交易日數(shù)據(jù)來源：Wind 資訊，整理數(shù)據(jù)來源：Wind 資訊，整理十、黃金期權(quán) 1、成交持倉情況表 10.1、黃金期權(quán)合約成交持倉情況2022-7-19成交量變化持倉量變化成交量PCR持倉量PCR認(rèn)購8856-10852773186認(rèn)沽13564-315322117404黃金期權(quán)22420-4238498484901.53160.7976數(shù)據(jù)來源：Wind 資訊，整理40003500

47、300025002000150010005000324 332 340 348 356 364 372 380 388 396 408 424 440 456 472認(rèn)購 認(rèn)沽400350300250200150100500認(rèn)購 認(rèn)沽圖 10.1：黃金期權(quán)主力合約分執(zhí)行價(jià)成交量情況圖 10.2：黃金期權(quán)主力合約分執(zhí)行價(jià)持倉量情況328332336340344348352356360364368372376380384388392396400408416424432440448456464472數(shù)據(jù)來源：Wind 資訊，整理200150100500-50-100-150-200-250-3003

48、24 332 340 348 356 364 372 380 388 396 408 424 440 456 472認(rèn)購 認(rèn)沽250200150100500-50-100-150-200認(rèn)購 認(rèn)沽圖 10.3：黃金期權(quán)主力合約分執(zhí)行價(jià)成交量變化情況圖 10.4：黃金期權(quán)主力合約分執(zhí)行價(jià)持倉量變化情況328332336340344348352356360364368372376380384388392396400408416424432440448456464472數(shù)據(jù)來源：Wind 資訊，整理2、成交持倉活躍前 5 期權(quán)重要指標(biāo)表 10.2：成交、持倉前 5 期權(quán)重要指標(biāo)期權(quán)代碼成交量delt

49、agamma*100vegathetarhoAU2208P3602238-0.10851.76000.0892-0.2464-0.0001AU2208P3681715-0.29313.87000.1648-0.3820-0.0003AU2208P3641360-0.17592.70000.1239-0.3098-0.0002AU2208C38013400.19623.32000.1326-0.2887-0.0001AU2208P340959-0.00830.16000.0108-0.04060.0000期權(quán)代碼持倉量deltagamma*100vegathetarhoAU2208C424362

50、40.00650.10000.0088-0.04390.0000AU2208C47230380.00230.02000.0035-0.02630.0000AU2208P3401892-0.00830.16000.0108-0.04060.0000AU2210C47214730.02130.12000.0849-0.0223-0.0006AU2208P3601387-0.10851.76000.0892-0.2464-0.0001數(shù)據(jù)來源：Wind 資訊，整理3、波動(dòng)率min10%25%50%75%90%maxHV906030100.30.250.20.150.10.0500.70.60.50.

51、40.30.20.10認(rèn)購 認(rèn)沽 認(rèn)購_前一交易日 認(rèn)沽_前一交易日?qǐng)D 10.5：黃金主連 4 年歷史波動(dòng)率錐圖 10.6：黃金期權(quán)主力合約隱含波動(dòng)率情況324328332336340344348352356360364368372376380384388392396400408416424432440448456464472數(shù)據(jù)來源：Wind 資訊，整理數(shù)據(jù)來源：Wind 資訊，整理十一、菜籽粕期權(quán) 1、成交持倉情況2022-7-19成交量變化持倉量認(rèn)購8537-3115 27620認(rèn)沽13078-7592 37323菜籽粕期權(quán)21615-10707 64943變化-372347-25成交量

52、PCR 持倉量PCR1.53191.3513表 11.1、菜籽粕期權(quán)合約成交持倉情況數(shù)據(jù)來源：Wind 資訊，整理40003500300025002000150010005000認(rèn)購 認(rèn)沽5000450040003500300025002000150010005000認(rèn)購 認(rèn)沽圖 11.1：菜籽粕期權(quán)主力合約分執(zhí)行價(jià)成交量情況圖 11.2：菜籽粕期權(quán)主力合約分執(zhí)行價(jià)持倉量情況237524252475255026502750285029503050315032503350345035503650375038503950405041504250237524252475255026502750285

53、029503050315032503350345035503650375038503950405041504250數(shù)據(jù)來源：Wind 資訊，整理圖 11.3：菜籽粕期權(quán)主力合約分執(zhí)行價(jià)成交量變化情況圖 11.4：菜籽粕期權(quán)主力合約分執(zhí)行價(jià)持倉量變化情況5000-500-1000-1500-2000-2500-3000-3500-4000認(rèn)購 認(rèn)沽200150100500-50-100-150-200認(rèn)購 認(rèn)沽2375242524752550265027502850295030503150325033503450355036503750385039504050415042502375242524

54、75255026502750285029503050315032503350345035503650375038503950405041504250數(shù)據(jù)來源：Wind 資訊，整理2、成交持倉活躍前 5 期權(quán)重要指標(biāo)期權(quán)代碼成交量deltagamma*100vegathetarho RM209P30003642-0.11110.06001.3663-2.7778-0.0072RM209P29001668-0.06980.04000.9688-2.0952-0.0043RM209P32001202-0.24040.11002.2569-4.0177-0.0169RM209C385011940.02

55、900.03000.4798-0.6371-0.0008RM209C38008700.04420.04000.6775-0.9043-0.0014期權(quán)代碼持倉量deltagamma*100vegathetarho RM209P30004614-0.11110.06001.3663-2.7778-0.0072RM301P26001753-0.31380.06006.1529-1.0655-0.3846RM301C280017050.54380.07006.8707-1.1246-0.6505RM209P32001624-0.24040.11002.2569-4.0177-0.0169RM209P

56、28001309-0.04220.02000.6550-1.5114-0.0025表 10.2：成交、持倉前 5 期權(quán)重要指標(biāo)數(shù)據(jù)來源：Wind 資訊，整理3、波動(dòng)率0.60.50.40.30.20.1010306090min10%25%50%75%90%maxHV0.80.70.60.50.40.30.20.10認(rèn)購 認(rèn)沽 認(rèn)購_前一交易日 認(rèn)沽_前一交易日?qǐng)D 11.5：菜籽粕主連 4 年歷史波動(dòng)率錐圖 11.6：菜籽粕期權(quán)主力合約隱含波動(dòng)率情況23752425247525502650275028502950305031503250335034503550365037503850395040

57、5041504250數(shù)據(jù)來源：Wind 資訊，整理數(shù)據(jù)來源：Wind 資訊，整理十二、LPG 期權(quán) 1、成交持倉情況表 12.1、LPG 期權(quán)合約成交持倉情況2022-7-19成交量變化持倉量變化成交量PCR持倉量PCR認(rèn)購5976-1679702192認(rèn)沽13493-139315993612LPG期權(quán)19469-3072230147042.25792.2779數(shù)據(jù)來源：Wind 資訊，整理3500300025002000150010005000認(rèn)購 認(rèn)沽450040003500300025002000150010005000認(rèn)購 認(rèn)沽圖 12.1：LPG 期權(quán)主力合約分執(zhí)行價(jià)成交量情況圖 1

58、2.2：LPG 期權(quán)主力合約分執(zhí)行價(jià)持倉量情況36003750390040504200435045004650480049505100525054005550570058506000630066006900720067007000730076003600375039004050420043504500465048004950510052505400555057005850600063006600690072006700700073007600數(shù)據(jù)來源：Wind 資訊，整理3000200010000-1000-2000-3000認(rèn)購 認(rèn)沽10008006004002000-200-400認(rèn)購 認(rèn)

59、沽圖 12.3：LPG 期權(quán)主力合約分執(zhí)行價(jià)成交量變化情況圖 12.4：LPG 期權(quán)主力合約分執(zhí)行價(jià)持倉量變化情況36003750390040504200435045004650480049505100525054005550570058506000630066006900720067007000730076003600375039004050420043504500465048004950510052505400555057005850600063006600690072006700700073007600數(shù)據(jù)來源：Wind 資訊，整理2、成交持倉活躍前 5 期權(quán)重要指標(biāo)表 12.2：成交、

60、持倉前 5 期權(quán)重要指標(biāo)期權(quán)代碼成交量deltagamma*100vegathetarhoPG2209-P-45002882-0.09810.03002.1063-4.3411-0.0144PG2209-P-40002293-0.02570.01000.7269-1.6624-0.0029PG2209-C-600019030.07970.03001.8045-2.6865-0.0072PG2209-P-50001807-0.30570.06004.2859-7.6501-0.0556PG2209-P-36001442-0.01150.00000.3667-0.9737-0.0011期權(quán)代碼持倉