截至2022/12/30，铜期货主力合约收于66260元/吨，较上周(65390元/吨)上涨1.33%；从T型报价来看，执行价69000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63000看跌期权成交活跃，执行价60000看跌期权持仓集中度较高，标的价格在60000-70000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2023年1月2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持有2月期权构建买入牛市价差组合选择2月期权构建买入牛市价差组合参铜期权6626012712127178CU2302震荡偏多133-345184-0056000070000参考买入CU2302C66000同时卖出考买入CU2302C66000同时卖出实际波动或回升CU2302C68000CU2302C68000持有前期买入勒式期权组合参考买买入勒式期权组合参考买入86328524159246i2305震荡偏多铁矿石期权461-173-071-011700900入I2305C840同时买入I2305P800I2305C840同时买入I2305P800波动率或抬升震荡1269516412502069RU2305暂且观望暂且观望橡胶期权095-029-0090131200015000波动率或抬升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30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CU2302SHF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2500907137-066182004800004458200021163CU2301SHF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20-1151712049000041952000518720-323164600980549000057792000136010-344154600920750000054022000024000-1231612050000039362000078200010-366144600861951000050312000030510-393134600803952000046662000125270-42312460074675300004596410000129400-131151205100003681200045290-45811460069015400003952200049703280-5001046006341550000401862000093277100-14014120520000343020000771500330-5499460057865600003637620000114946320-610846005235570000326162000044794300-1501312053000033954100006125540-6877460046865800003070104000032311751028-86764020364059000027441250000444179640-162121205400003373830000710303203-1198529060000025642210000016923557100020111-1355434001727610000230334240001787210065523-18773288620000214870842147352551100-177111205500003103830000231688781106-234323860148963000020801645185550942561079206-32741524015136400001862298164161052611180-1941012056000026324100001024381425812-45898300150265000016885688405631229850013773752-6242360014686600001641108814771240684130-21591205700002640104000019441720084229-72531500156067000018091880224013257920723829-7872600166268000020712794230839286340-240812058000024261250000153106922501768-753832018636900002956387424171812235471199-5185260217670000025054710165313570822708-400012022677100055421066078852-22971545900002311204000034512466453220006023787200003212670011783436100062000630003192386400010000465000025567300066000761467000893668000376900070000710001090-32861246000002156308750909246435523300020264574000854068801178613900020290075000954061202984-3325180610000189634-190546854463410002031507600010540551006000020339577000115405000038711-3814246620000172352-4583715109617795-51733386300001623100-50501847197813428-9022460009686400001555202-47671549819截至20221230铜期货主力合约收于66260元吨19969-17421640011306500001523406-392215791023257412-27871004012186600001503750-3004580808较上周65390元吨上涨133从T型报价来看798903-39525600127567000015311284-20051601767执行价69000看涨期权成交活跃执行价70000看涨9911252-47243060136368000017362066-8582628312642068-54391560142769000019022912-358104124期权持仓集中度较高执行价63000看跌期权成交活16841352-5579840151970000022673890057434跃执行价60000看跌期权持仓集中度较高标的价898400-4800520165071000027324920297033424646-3750300174572000029725872255627格在60000-70000运行为主279252-272716018117300003296686424562851734225001001911740000368278802520018120610000802060750000400988802300287791000040209276000043259880207003421000040227277000046321088018700期权持仓量与成交量期价与持仓量PCR期价与成交量PCR25700003570000PCROIunderlyingclosePCRVolumeunderlyingclose680006800032660006600064000256400015620006200026000060000151580005800056000156000055400054000055200052000050000050000202285202295202210520221152022125202285202295202210520221152022125持仓量PCR震荡回落期铜震荡偏多成交量PCR区间震荡为主看涨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4520vix-HvHV30VIX45VIXunderlyingclose7000040680001535406600030106400035620002553060000205800015025560001054000-5205520000-101550000202285202295202210520221152022125202285202295202210520221152022125波动率指数低位反弹实际波动率维持低位运行波动率价差扩大关注实际波动率回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120251080206015040102005001230202212292022122820221227202212262022122320221230202212292022122820221227202212262022122320221月期权合约已到期12月26日2月期权波动率微笑看跌情绪未呈现升温策略上继续持有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80001363570916627000419414-13044737180463050882160471004085148-195724421047000286090015260186172004038163-220185938186000358093414510233373003988179-241517514295000485379081370246274003960199-2491242665238692147313630326575003936221-25342296667240006667135512740316376003883241-26973583296300060830129411960314277003835263-2814243863200061034100210980295478003816291-2815377172562648122510540315379003824325-2713507278810003427762985970304580003791355-27403859610009291098819020303181003746385-28042483818108208308408508608708808909009106681057588370302082003737423-274421856612022036187730299883003727463-26978828766452354847150299684003680499-273758652128811514361660299485003672544-26689741726截至20221230铁矿石期货主力合约收于863元11846333536160303786003595579-27532843313253151265620300887003667643-2515143214吨较上周825元吨上涨461从T型报价来看1207648-0195160300788003604685-2562127185执行价900看涨期权成交活跃执行价900看涨期权452205-1254750301989003561733-2558438972593749-2014380303890003605799-23906783持仓集中度较高执行价700看跌期权成交活跃执901190-5543920299291003559851-23883428行价700看跌期权持仓集中度较高标的价格在700-624262-8053540297592003534909-23483130534384-9243240299093003581982-22002430900运行为主371176-102729703009940039441112-165851817301491-120926903008950035741116-20741735486156-13782440301396003713121-18461325584254-172421602985970047231453-698013137924834-17431990301798004526149-926130期权持仓量与成交量期价与持仓量PCR期价与成交量PCR390025900PCROIunderlyingclosePCRVolumeunderlyingclose8508502528008007502750157007001565065016001600055505505000550004502022852022952022105202211520221250450202285202295202210520221152022125持仓量PCR继续上行铁矿石阶段性高位运行成交量PCR回落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702506atm2ivunderlyingclose1000vix-HvHV30VIX2090060051580070050100460054003500040030-502300-102020001-1510010-2000202285202295202210520221152022125202285202295202210520221152022125远月合约ATM波动放缓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045048040460350440304204025038020360150340103200503012302022122920221228202212302022122920221228202212272022122720221226202212232022期权隐波持稳看涨情绪一般策略建议波动率或再度抬升继续持有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RU2305SHF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4500160-1812436102500216216-2727925334000140-2012199105000210223-3429423713500230-2231970107500204533-41071367083000596-2791744110000199047-44051315422500261-2841537112500195969-42981376002000787-6011299115000192799-421135117601500594-78611021175001942148-36756561532100026929-713951013441200001998221-2917447272050025314-773800015191225002129332-17821792180027491-950657015971250002203449-1230131900115001175012000122501250012750130001325013500137501400023472-1211530016451275002205563-1176326001285301-869452017891300002285715-82248435637274-721373018641325002409894-43912195110018928033102021135000261411070182226截至20221230橡胶期货主力合约收于12695元7111301562600202313750026111273-1092117吨较上周12575元吨上涨095从T型报价来29138241194225021261400002798149810824217看执行价14000看涨期权成交活跃执行价1500012831571603181021541425002834169103024117看涨期权持仓集中度较高执行价12000看跌期权成162519728331540222714500028901896-0212681交活跃执行价12000看跌期权持仓集中度较高标160217939131280227714750031592154160033480979369571170239115000032942384158010的价格在12000-15000运行为主29925609020970242915250034342618147051期权持仓量与成交量期价与持仓量PCR期价与成交量PCR08148000814800PCROIunderlyingclosePCRVolumeunderlyingclose0712800071280006061080010800050588008800040468006800030348004800020201280001280008000800202285202295202210520221152022125202285202295202210520221152022125持仓量PCR持稳高位橡胶期价震荡运行成交量PCR区间运行波动率波动率指数与期价历史波动率与波动率指数301428VIXunderlyingclose14000vix-HvHV30VIX281227135002610261300024228251250020624120001842311500162221100014120211050010-22010000202285202295202210520221152022125202285202295202210520221152022125波动率指数放缓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10290902708070250602305040210301902010170015202212302022122920221228202212302022122920221228202212272022122620221223202212262022122320221222橡胶期权1月份合约到期主力期权合约切换至5月隐波以看跌期权偏高为主平值橡胶期权合成期货处于贴水短期看涨情绪不高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