截至2022/12/23，铜期货主力合约收于65450元/吨，较上周(65260元/吨)上涨0.29%；从T型报价来看，执行价66000看涨期权成交活跃，执行价70000看涨期权持仓集中度较高，执行价65000看跌期权成交活跃，执行价63000看跌期权持仓集中度较高，标的价格在63000-70000运行为主。

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25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选择2月期权构建买入牛市价差组合买入牛市价差止损平仓新仓暂且观望铜期权6545016161943183CU2301震荡偏多029-065-2940186300070000参考买入CU2302C66000同时卖出波动放缓CU2302C68000买入勒式期权组合参考买入新仓暂且观望82530254230257i2305谨慎偏多铁矿石期权049064-133032700900I2305C840同时买入I2305P800波动率或抬升震荡暂且观望前期持有买入看涨期权RU2301C127501275016702511056RU2301波动率或抬升橡胶期权-308-474-0340021200016500部分减仓止盈底仓继续持有跌破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23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20-2881650049000200003313000CU2301SHF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10-30615500500000993020002120520-3231646009805490000577920001360250010-344154600920750000054022000024010-3271450051000092542000027410-366144600861951000050312000030510-393134600803952000046662000125210-3501350052000085882000022370-423124600746753000045964100001294200090-4581146006901540000395220004970370-377125005300007932200053242280-50010460063415500004018620000932771330-549946005786560000363762000011494690-4091150009888540000728420005646320-61084600523557000032616200004479431500540-687746004686580000307010400003231175280-446105000904855000071034100006825191028-8676402036405900002744125000044417963203-119852906000002564221000001692355720111-13554340017276100002303342400017872100330-4909500082175600006013200012688065523-187732886200002148708421473525511000781106-23432386014896300002080164518555094256310-54585000739457000053882000198841079206-327415240151364000018622981641610526111425812-458983001502650000168856884056312298490-6137500065785800004768200011100213773752-624236001468660000164110881477124068450020084229-7253150015606700001809188022401325791097-84464005900004153200036147220723829-787260016626800002071279423083928622501768-753832018636900002956387424171812230519-7015570062956000003541200081211935471199-5185260217670000025054710165313570822708-40001202267710005542106607819750-10904446610000293120001451032645322000602378720000321267001178343600006100062000319238630001000046400002556730006500076146600089366700037680006900070000259276-121335060345662000023192000507179935523300020264574000854068801178613900020290075000954061202634100020315076000105405510047528-17102482020646300001955600014402700600002033957700011540500001027134-28641450640000140212-7143527923371355912-4983590012476500001248116-38308667268717848495-90445200938660000101659065012551063截至20221223铜期货主力合约收于65450元吨15341485-95748013146700001626155029386933611223509-956520166868000021012536233578199较上周65260元吨上涨029从T型报价来看1201105-7500202227690003504161850100执行价66000看涨期权成交活跃执行价70000看涨2282991000040298370000450612372886375270002032837100002745552410262187期权持仓集中度较高执行价65000看跌期权成交活51442000203787720000613965929681546跃执行价63000看跌期权持仓集中度较高标的价2852200020427773000750871020533540000204756740008500612011格在63000-70000运行为主75120002052237500095005440261000020568076000105004900082000206127770001150044500期权持仓量与成交量期价与持仓量PCR期价与成交量PCR25700003570000PCROIunderlyingclosePCRVolumeunderlyingclose68000680003266000660006400025640001562000620002600006000015158000580005600015600005540005400005520005200005000005000020227292022829202292920221029202211292022729202282920229292022102920221129持仓量PCR震荡上行期铜震荡收窄成交量PCR区间震荡为主总体而言看跌期权交易需求占比较高波动率波动率指数与期价历史波动率与波动率指数4520vix-HvHV30VIX45VIXunderlyingclose7000040680001535406600030106400035620002553060000205800015025560001054000-5205520000-10155000020227292022829202292920221029202211292022729202282920229292022102920221129波动率指数持续低位运行实际波动率也维持低位运行波动率价差收窄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04504030350250302502020150150101005000501223202212222022122120221220202212192022121620221223202212222022122120221220202212192022121620221月期权合约即将到期12月26日到期2月期权波动率微笑看跌情绪未呈现升温而看涨情绪上略有抬升策略上2月期权构建买入牛市价差组合参考买入CU2302C66000同时卖出CU2302C680002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45008091-0782285600046097873333927179034000960-44821136100450483537082127935001110-462202462004436914219457321200-487193563004386101328912182630001350-51318486400433711225842599425001860-5371763650042881241923946433920002510-556168660042711416674079215001390-5831599670042101531087579681384-297157024816800414016644019594110001811-973139169004114185221715411350013913-1231447031507000408320500036971335003051-4451330278571004009221-43315220287707807908008108208308408508608702861-124111570154272003902234-100022841133591-43111980303373004008277-4489813435102-126610350228974003902293-929112632238914-5891055030597500386332-1086127051207143-16058890236376003870356-10102493297截至20221223铁矿石期货主力合约收于825元66822-7519240308777003900398-8722291009吨较上周821元吨上涨049从T型报价来看6198-1295820283178003902438-83764154056527-7338220321979003897479-8412422708执行价900看涨期权成交活跃执行价900看涨期权31852273-1127740307380003738496-129812804103907128-1252685030728100372654-1276161332持仓集中度较高执行价700看跌期权成交活跃执667235-14156310306182003702584-1297247397行价700看跌期权持仓集中度较高标的价格在600-854334-1597579030458300367563-1298294529597153-18585260300984003686685-121826244900运行为主14961247-19544860302985003663736-122814529161840-21594430301786003748809-10015015927584-25243940295687003783875-895336963072-26833602965880042031012-127124537490-263633803028890042401082-092107052852061-26703130306290003804107-776546期权持仓量与成交量期价与持仓量PCR期价与成交量PCR385025850PCROIunderlyingclosePCRVolumeunderlyingclose800800252750750270070015650156501600600155005550500055000450202272920228292022929202210292022112904502022729202282920229292022102920221129持仓量PCR继续上行铁矿石阶段性高位运行成交量PCR下跌看涨期权需求占比攀升显著波动率平值隐波与期价历史波动率与波动率指数702506atm2ivunderlyingclose900vix-HvHV30VIX2080060051570050100460055004003040030-502300-102002001-1510010-200020227292022829202292920221029202211292022729202282920229292022102920221129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045046040440350420304025038020360150340103200503012232022122220221221202212232022122220221221202212202022122020221219202212162022期权隐波持稳看涨情绪一般策略建议波动率或再度抬升买入勒式期权组合参考买入I2305C840同时买入I2305P8003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00-3242540102500894910000227450042-0592361105000804910000195400071-1272098107500716310000374350092-645175411000062881000071730001211-948147111250054241000135525001927-1120122111500045661000054020004819-63110540766711750037131000373715006934-15777371200002858100033183315561-23044811225001993100024716451000559178-345525212500017169-1000235715855004701725-6339670140112750015476918971977818025014670-881470153313000012512483478587633115001175012000122501250012750130001325013500137501400017051337-81822020851325003619521349782103226345600010266513500036837532029145164938500001034041375097411316589339542000104111140000552212531138286010080000104793142501444502945截至20221223橡胶期货主力合约收于12750元8790000105452145001703480781吨较上周13155元吨下跌308从T型报价来50100001060911475019473841051291510000106712150002139066316看执行价13000看涨期权成交活跃执行价165002930000107316152502382029218看涨期权持仓集中度较高执行价12000看跌期权成3020000107906155002646080113交活跃执行价12000看跌期权持仓集中度较高标320000010848115750289607313518000010904216000314707013的价格在12000-16500运行为主3850000109591162503399071124204670001165003645055113期权持仓量与成交量期价与持仓量PCR期价与成交量PCR07148000814800PCROIunderlyingclosePCRVolumeunderlyingclose0612800071280006051080010800050488008800040368006800030248004800020128000128000800080020227292022829202292920221029202211292022729202282920229292022102920221129持仓量PCR持稳上行橡胶期价震荡回落成交量PCR宽幅区间波动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301428VIXunderlyingclose14000vix-HvHV30VIX281227135002610261300024228251250020624120001842311500162221100014120211050010-2201000020227292022829202292920221029202211292022729202282920229292022102920221129波动率指数放缓波动率价差小幅回落预计实际波动率向波动率指数收敛后市期价或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060240230502204021020301902018017010160015202212232022122220221221202212232022122220221221202212202022121920221216202212192022121620221215橡胶期权看跌期权隐波回落看跌情绪未随短期回落而上升策略上暂且观望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