纯碱在低库存及强现实逻辑下盘面依然坚挺。纯碱主要有三大矛盾:强现实和弱预期的矛盾，远兴能源5-6月能否兑现的矛盾，以及玻璃冷修和光伏点火所带来的纯碱需求的矛盾。短期纯碱供需仍偏紧，厂家挺价心态坚决，虽然玻璃盘面近日转弱，但纯碱短期交易逻辑未转换，价格难跌，建议单边多单止盈，月间上，09供应过剩的确定性更强，5-9正套思路。
　　

研究报告全文：金属特殊商品期权周报陈俊州咨询编号Z0014862联系方式020-88818017广发期货APP微信公众号本报告中所有观点仅供参考请务必阅读此报告倒数第二页的免责声明2022年12月18日本周主要观点标的收盘价30HVVIX持仓量PCR参考运行范围主要观点本周策略上周策略买入牛市价差止损平仓新仓暂且观望继续持有买入牛市价差组合买入铜期权6526016812237159CU2301震荡-277083-0540346300070000CU2301C67000同时卖出波动放缓CU2301C6900082129614363216i2305新仓暂且观望I2301期权合约已到期新仓暂且观望铁矿石期权080191148055700900谨慎偏多波动率或抬升震荡偏多前期持有买入看涨期权RU2301C12750前期持有买入看涨期权RU2301C127501315521442545051RU2301波动率或抬升橡胶期权-0721791930041200016500部分减仓止盈底仓继续持有跌破部分减仓止盈底仓继续持有13000则底仓全部平仓注本期权周报以金属期权和特殊商品期权为主30HV30天历史波动率波动率指数VIX由期权市场价格计算得出反映市场对未来短期波动率的预期持仓量PCRPut-Call-Ratio看跌期权持仓量和看涨期权持仓量的比值波动率价差VIX-HV波动率指数和1个月历史波动率的差值本报告数据统计截止时间至2022年12月16日1500风险提示单腿卖出期权的投资策略潜在风险较大当市场行情不利时投资者需及时对冲或止损目录01铜期权02铁矿石期权03橡胶期权1铜期权T型报价T型报价期权持仓量分布CU2301SHF持仓量成交量涨跌幅收盘价IVC执行价PIV收盘价涨跌幅成交量持仓量看涨期权持仓量ATM看跌期权持仓量20-32316460098054900005779200013604500CU2301SHF持仓量成交量涨跌幅收盘价IVC执行价PIV收盘价涨跌幅成交量持仓量10-3441546009207500000540220000240400020-323164600980549000057792000136010-344154600920750000054022000024010-366144600861951000050312000030510-3661446008619510000503120000305350010-393134600803952000046662000125210-393134600803952000046662000125270-423124600746753000045964100001294300090-4581146006901540000395220004970370-423124600746753000045964100001294280-50010460063415500004018620000932771330-549946005786560000363762000011494690-458114600690154000039522000497032500320-6108460052355700003261620000447943540-687746004686580000307010400003231175280-500104600634155000040186200009327711028-86764020364059000027441250000444179620003203-119852906000002564221000001692355720111-13554340017276100002303342400017872100330-549946005786560000363762000011494665523-187732886200002148708421473525511500781106-23432386014896300002080164518555094256320-61084600523557000032616200004479431079206-3274152401513640000186229816416105261110001425812-458983001502650000168856884056312298540-68774600468658000030701040000323117513773752-624236001468660000164110881477124068420084229-7253150015606700001809188022401325791028-86764020364059000027441250000444179650020723829-787260016626800002071279423083928622501768-75383201863690000295638742417181223203-119852906000002564221000001692355735471199-5185260217670000025054710165313570822708-40001202267710005542106607820111-1355434001727610000230334240001787210064532200060237872000032126700117834360000610006200031923863000100004640000255673000650007614660008936670003768000690007000065523-18773288620000214870842147352551355233000202645740008540688011786139000202900750009540612026341000203150760001054055100781106-23432386014896300002080164518555094256600002033957700011540500001079206-327415240151364000018622981641610526111425812-45898300150265000016885688405631229813773752-6242360014686600001641108814771240684截至20221216铜期货主力合约收于65260元吨20084229-72531500156067000018091880224013257920723829-7872600166268000020712794230839286较上周67120元吨下跌277从T型报价来看22501768-7538320186369000029563874241718122执行价67000看涨期权成交活跃执行价70000看涨35471199-518526021767000002505471016531357822708-400012022677100055421066078期权持仓集中度较高执行价64000看跌期权成交活645322000602378720000321267001178343跃执行价63000看跌期权持仓集中度较高标的价31923810000402556730007614893637355233000202645740008540688011格在63000-70000运行为主78613900020290075000954061202634100020315076000105405510060000203395770001154050000期权持仓量与成交量期价与持仓量PCR期价与成交量PCR25700003570000PCROIunderlyingclosePCRVolumeunderlyingclose68000680003266000660006400025640001562000620002600006000015158000580005600015600005540005400005520005200005000005000020227222022822202292220221022202211222022722202282220229222022102220221122持仓量PCR震荡上行期铜回落成交量PCR有所上升短期看跌期权交易需求提升波动率波动率指数与期价历史波动率与波动率指数4520vix-HvHV30VIX45VIXunderlyingclose7000040156800035406600010306400035562000253060000200580001525-5560001054000-10205520000-15155000020227222022822202292220221022202211222022722202282220229222022102220221122波动率指数低位运行实际波动率也维持低位运行波动率价差持稳市场短期波动放缓或延续波动率微笑主力期权波动率微笑次主力期权波动率微笑030302502502020150101500501000502022121620221215202212142022121320221212202212912162022121520221214202212132022121220221292022隐波持稳看跌情绪未升温CU2301跌破66000预计市场短期以震荡运行为主策略上暂且观望2铁矿石期权9T型报价T型报价期权持仓量分布I2305DCE看涨期权持仓量ATM看跌期权持仓量持仓量成交量涨跌幅收盘价IVC执行价PIV收盘价涨跌幅成交量持仓量400010129762339050716100448294382421512453500113211062270519662004431104300017180412020105821640491863004382115223489932300013527368194203166640043341271651121112625001802205618065004286141111225229432634-287166660042671578282777412000161038016920334067004217172361309872150022203931614033966800422519531737988010002046-05414702716690042012161415533804166642-40613480224870004173238-08339071168250033333-24013030272971004140261-2976191568028812691300337672004031275-8331448245577078079080081082083084085086087034677-55811330263673004013303-9014171241515502611390324874004022337-8672647292403144-05610680323275003985366-10075461476472212-5329610296776003925393-12082431291074132-605900299577003932433-1163629930截至20221216铁矿石期货主力合约收于821元782240-4658610313678003921472-11784631395吨较上周8145元吨上涨080从T型报价来613202-3298220325179003874507-12892828251936291084-500760321480003906558-115719543209看执行价900看涨期权成交活跃执行价900看涨837295-559710323181003836593-1318383403598332-637661032398200387765-1168362355期权持仓集中度较高执行价700看跌期权成交活跃490334-8306080321083003823692-1263389341执行价700看跌期权持仓集中度较高标的价格在560555-10955530315784003823746-122417730117111791-1203512031668500386681-1099218392600-900运行为主767279-11584810321586003843864-1120263233336224-12774440321987003988951-8292564812187-189538503089880040151018-7711233467170-205435203087890040481088-70965932792444-181633803182900040011145-7662526期权持仓量与成交量期价与持仓量PCR期价与成交量PCR2585025850PCROIunderlyingclosePCRVolumeunderlyingclose8008002275075070070015156506501600160055005550055005000450202272220228222022922202210222022112204502022722202282220229222022102220221122持仓量PCR上行铁矿石阶段性高位运行成交量PCR震荡短期看跌期权和看涨期权交易需求维持均衡波动率平值隐波与期价历史波动率与波动率指数702506atm2ivunderlyingclose900vix-HvHV30VIX2080060051570050100460055004003040030-502300-102002001-1510010-200020227222022822202292220221022202211222022722202282220229222022102220221122远月合约ATM波动放大实际波动率持稳后市波动率有望抬升波动率微笑主力期权波动率微笑次主力期权波动率微笑04504804046035044030420402503802036015034010320050301216202212152022121420221216202212152022121420221213202212132022121220221292022期权隐波持稳看涨情绪一般策略建议后市谨慎追涨新仓暂且观望3橡胶期权14T型报价T型报价期权持仓量分布RU2301SHF持仓量成交量涨跌幅收盘价IVC执行价PIV收盘价涨跌幅成交量持仓量看涨期权持仓量ATM看跌期权持仓量450000407294008372102500553710002022740002253627130884710500054382100001221953500604952440069811075004570100043375300014242421631100004099100012877161414192084096431125003634100003562500302854016601150003439210000854620005321558139911750027201000174731150011756-167105712000022671000261208010001717673589112250019852-600060617855005831331007656125000206612-454517501781045835695142601191127500188431-51562572110312000122501250012750130001325013500137501400014250145001766131231323101480130000181886-4228231886516753046-179110016761325001925210-26838453273160553100047018251350002209401-15048629112332693375022020441375002209607-121653164截至20221216橡胶期货主力合约收于13155元424239841600013023431400002992863-7103475吨较上周13250元吨下跌072从T型报价来11716204000050241214250037311118-485334010432001000020250714500041811363-4351583看执行价13500看涨期权成交活跃执行价165006071802000030304514750067671704173948看涨期权持仓集中度较高执行价12000看跌期权成320414010000203260150001734-992419交活跃执行价12000看跌期权持仓集中度较高标295000010335015250040462081-4323163011100010367815500053922343-338112的价格在12000-16500运行为主320000010399715750062052600-2802652215100010430916000067962853-24622389300010461316250075543110-205244277358000104911165003310-336041期权持仓量与成交量期价与持仓量PCR期价与成交量PCR07148000814800PCROIunderlyingclosePCRVolumeunderlyingclose0612800071280006051080010800050488008800040368006800030248004800020128000128000800080020227222022822202292220221022202211222022722202282220229222022102220221122持仓量PCR持稳上行橡胶期价震荡成交量PCR上冲短期看跌期权交易需求占比提升波动率波动率指数与期价历史波动率与波动率指数301430VIXunderlyingclose14000vix-HvHV30VIX2812291350026281013000242722826125002062512000184241150016232110001422120211050010-2201000020227222022822202292220221022202211222022722202282220229222022102220221122波动率指数抬升显著波动率价差持稳预计市场后市仍有大波动波动率微笑主力期权波动率微笑次主力期权波动率微笑035024030230220250210202015019018010170050160015202212162022121520221214202212162022121520221214202212132022121220221292022121220221292022128橡胶期权波动率微笑右偏看涨期权情绪抬升策略上前期持有买入看涨期权RU2301C12750部分减仓止盈底仓继续持有跌破13000则底仓全部平仓免责声明报告中的信息均来源于被广发期货有限公司认为可靠的已公开资料但广发期货对这些信息的准确性及完整性不作任何保证本报告反映研究人员的不同观点见解及分析方法并不代表广发期货或其附属机构的立场报告所载资料意见及推测仅反映研究人员于发出本报告当日的判断可随时更改且不予通告在任何情况下报告内容仅供参考报告中的信息或所表达的意见并不构成所述品种买卖的出价或询价投资者据此投资风险自担本报告旨在发送给广发期货特定客户及其他专业人士版权归广发期货所有未经广发期货书面授权任何人不得对本报告进行任何形式的发布复制如引用刊发需注明出处为广发期货且不得对本报告进行有悖原意的删节和修改投资咨询业务资格证监许可20111292号陈俊州咨询编号Z0014862广发期货有限公司提醒广大投资者期市有风险入市需谨慎感谢倾听Thanks本报告中所有观点仅供参考请务必阅读此报告倒数第二页的免责声明