商品期权市场全景数据报告-20201015-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2020-10-14成交量变化持仓量变化成交量PCR持仓量PCR认购90151-455822981648095认沽47883-31971239201-560豆粕期权138034-775

2、5353736575350.53110.8022数据来源：Wind资讯，整理120001000080006000400020000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245025002550260026502700275028002850290029503000305031003150320032503300335034003450350035503600365024502500255026002650270

3、02750280028502900295030003050310031503200325033003350340034503500355036003650数据来源：Wind资讯，整理400020000-2000-4000-6000-8000-10000-12000-14000认购认沽40003000200010000-1000-2000-3000-4000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24502500255026002650270027502800285029002950

4、300030503100315032003250330033503400345035003550360036502450250025502600265027002750280028502900295030003050310031503200325033003350340034503500355036003650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-3300106850.39790.16894.7938-0.

5、8092-0.0794m2101-C-350089410.13750.09632.8000-0.4630-0.0211m2101-C-335075360.31860.15634.3703-0.7500-0.0594m2101-C-73590.48290.17454.9517-0.8348-0.10303250m2101-C-360071690.06800.05751.6650-0.2768-0.0092期权代码持仓量deltagamma*100vegathetarhom2105-P-270032995-0.16120.06295.0507-0.

6、2646-0.1517m2101-P-280031098-0.01890.02020.6204-0.0974-0.0023m2101-C-3300267400.39790.16894.7938-0.8092-0.0794m2105-P-265024683-0.12800.05384.2363-0.2269-0.1148m2101-C-3200202660.57000.17194.8807-0.8203-0.1299数据来源：Wind资讯，整理3、波动率min10%25%50%75%90%maxHV906030100.60.50.40.30.20

7、.100.70.60.50.40.30.20.10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2450250025502600265027002750280028502900295030003050310031503200325033003350340034503500355036003650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2020-10-14成交量认购11241认沽4776白糖期权16017变化-6509-2202-871

8、1持仓量8223740113122350变化10589301988成交量PCR持仓量PCR0.42490.4878表2.1、白糖期权合约成交持仓情况数