商品期权市场全景数据报告-20201016-方正中期期货-31页.docx

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1、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12九、甲醇期权13十、黄金期权15十一、菜籽粕期权16十二、LPG期权18十三、动力煤期权19十四、聚丙烯期权21十五、塑料期权23十六、PVC期权24十七、铝期权26十八、锌期权28一、豆粕期权1、成交持仓情况表1.1、豆粕期权合约成交持仓情况2020-10-15成交量变化持仓量变化成交量PCR持仓量PCR认购962986147298301137认沽44540-3343240157956豆粕期权140838280453845810930.46250.8051数据来源：

2、Wind资讯，整理180001600014000120001000080006000400020000认购认沽35000300002500020000150001000050000认购认沽图1.1：豆粕期权主力合约分执行价成交量情况图1.2：豆粕期权主力合约分执行价持仓量情况245025002550260026502700275028002850290029503000305031003150320032503300335034003450350035503600365024502500255026002650270027502800285029002950300030503100315

3、03200325033003350340034503500355036003650数据来源：Wind资讯，整理80006000400020000-2000-4000-6000-8000认购认沽150010005000-500-1000-1500-2000-2500认购认沽图1.3：豆粕期权主力合约分执行价成交量变化情况图1.4：豆粕期权主力合约分执行价持仓量变化情况24502500255026002650270027502800285029002950300030503100315032003250330033503400345035003550360036502450250025502

4、600265027002750280028502900295030003050310031503200325033003350340034503500355036003650数据来源：Wind资讯，整理2、成交持仓活跃前5期权重要指标表1.2：成交、持仓前5期权重要指标期权代码成交量deltagamma*100vegathetarhom2101-C-3300162800.39340.17004.7482-0.8142-0.0761m2101-C-325092850.47900.17624.8723-0.8423-0.0991m2101-C-320087890.56700.17384.83

5、44-0.8289-0.1256m2105-C-82220.51430.10228.3308-0.4259-0.57833050m2101-C-335066310.31370.15684.3287-0.7518-0.0567期权代码持仓量deltagamma*100vegathetarhom2105-P-270032999-0.15570.06155.0431-0.2601-0.1448m2101-P-280030248-0.01850.02000.5200-0.0964-0.0022m2101-C-3300248610.39340.17004.7482-0.8142-0.0761m21

6、05-P-265024659-0.12330.05244.2286-0.2223-0.1094m2101-C-3200207990.56700.17384.8344-0.8289-0.1256数据来源：Wind资讯，整理3、波动率min10%25%50%75%90%maxHV906030100.60.50.40.30.20.100.40.350.30.250.20.150.10.050认购认沽认购_前一交易日认沽_前一交易日图1.5：豆粕主连3年历史波动率锥图1.6：豆粕期权主力合约隐含波动率情况2450250025502600265027002750280028502900295030

7、003050310031503200325033003350340034503500355036003650数据来源：Wind资讯，整理数据来源：Wind资讯，整理二、白糖期权1、成交持仓情况2020-10-15成交量认购20949认沽9983白糖期权30932变化持仓量97088418852074002814915124216变化1951-851866成交量PCR持仓量PCR0.47650.4755表2.1、白糖期权合约成交持仓情