截至2023/01/06，铜期货主力合约收于65240元/吨，较上周(66430元/吨)下跌1.79%；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8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持有2月期权构建买入牛市价差组合参铜期权6524014552257175CU2302震荡偏多-179176140-0086000070000参考买入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持有前期买入勒式期权组合参考买85527064128233i2305不宜追多铁矿石期权118-247-129-007700900入I2305C840同时买入I2305P800入I2305C840同时买入I2305P800波动率或抬升震荡1289518682439069RU2305暂且观望暂且观望橡胶期权166174032-0011200015000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2023年1月6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400030470017238480000562420007157CU2301SHF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2068816150490000527420005146350020-323164600980549000057792000136010-344154600920750000054022000024000737151505000004930200026810-3661446008619510000503120000305300010-393134600803952000046662000125200793141505100004592200005270-42312460074675300004596410000129490-458114600690154000039522000497032500280-50010460063415500004018620000932771008591315052000042592000171330-5499460057865600003637620000114946320-61084600523557000032616200004479430093612150530000393120008110540-68774600468658000030701040000323117520001028-86764020364059000027441250000444179640102911150540000385241000011710403203-1198529060000025642210000016923557150020111-13554340017276100002303342400017872100100114210150550000351441000014392665523-18773288620000214870842147352551781106-234323860148963000020801645185550942561079206-3274152401513640000186229816416105261118012829150560000317941000028836810001425812-45898300150265000016885688405631229813773752-62423600146866000016411088147712406842623139281005700003160104000051184020084229-72531500156067000018091880224013257950020723829-7872600166268000020712794230839286392518047212580000292614600001166137122501768-753832018636900002956387424171812235471199-518526021767000002505471016531357768220062445900002649188000222421860822708-4000120226771000554210660786453220006023787200003212670011783436000061000620003192386300010000464000025567300065000761466000893667000376800069000700001083026635250600000240326-2778371935703552330002026457400085406880117861390002029007500095406120220724330014176610000224148-53852395140263410002031507600010540551006000020339577000115405000090516937303232620000203482-66674869162162212445662348010746300001859154-69448097250029347148341516013686400001814342-625059341392截至20230106铜期货主力合约收于65240元吨53330004932884014946500001818698-5290459119911241575826923960142666000017431200-4550626492较上周66430元吨下跌179从T型报价来看1082403821621800152467000019862002-3406220400执行价66000看涨期权成交活跃执行价70000看涨126627182258760160868000022682900-265835153136022643333320170269000028313912-20364277期权持仓集中度较高执行价63000看跌期权成交活2092282515000200190570000031934880-1723430跃执行价60000看跌期权持仓集中度较高标的价85659840000100202171000036335876-147214373372572000060217272000033466750-1445131格在60000-70000运行为主2721941000040233473000043577850-1170042460131000040258774000047588850-105203166600020264975000051479850-95502870000202877760000552610850-87500340000203100770000589611850-80700期权持仓量与成交量期价与持仓量PCR期价与成交量PCR25700003570000PCROIunderlyingclosePCRVolumeunderlyingclose6800068000326600066000640002564000156200062000260000600001515800058000560001560000554000540000552000520000500000500002022811202291120221011202211112022121120228112022911202210112022111120221211持仓量PCR平台震荡期铜震荡偏多成交量PCR上冲回落对应上周铜价下挫后反弹波动率波动率指数与期价历史波动率与波动率指数4520vix-HvHV30VIX45VIXunderlyingclose7000040680001535406600030106400035620002553060000205800015025560001054000-5205520000-1015500002022811202291120221011202211112022121120228112022911202210112022111120221211波动率指数低位运行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03025025020201501501010050050016202315202314202313202312302022122920221620231520231420231320231230202212292022隐波整体水平略有抬升对于持有期权买方而言对冲部分时间价值损耗策略上以震荡偏多思路波动幅度有所抬升预期下继续持有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10000135653791165025027000400612-13041137517599900030156901550233571003911129-1887706262980002841-298133372003840141-2295539385370003540015130173003674144-3077532150660004542-22812074003766176-25426797185000236523-371111575003697192-27822787682763521-1191078020197600363321-2953973395940005774439010660274977003656241-276332793065300056422-0109630252378003580261-296528163427200058537-4658620231479003577293-28714822873100028551513153860283080003510318-2996488863910870114-1137840276281003458347-304624165980081082083084085086087088089090059395-2437230277682003454386-2930317742690163-7966360260783003367414-3054400730635397-5436090278984003405465-283542066818371082-6685590280885003384509-2770565125336783015-11134950272586003342552-274629612455截至20230106铁矿石期货主力合约收于855元615360-14704410268387003344605-2631165337吨较上周845元吨上涨118从T型报价来看1035444-1649400269788003318656-2571156369533310-1734367027398900335372-239749232执行价900看涨期权成交活跃执行价900看涨期权89275330-1707340280090003344779-231819229持仓集中度较高执行价700看跌期权成交活跃执887259-22162950273691003338841-22274748967456-24862630273292003700967-16061944行价700看跌期权持仓集中度较高标的价格在700-29763218-282623102711930035021001-18297490900运行为主390250-29292102744940037841116-1409216519891243-318718602743950044751299-553042776406-338616602753960045301378-510025799305-356514802765970045081446-555113129316588-36491340279498003731140-1315141期权持仓量与成交量期价与持仓量PCR期价与成交量PCR390025900PCROIunderlyingclosePCRVolumeunderlyingclose85085025280080075027501570070015650650160016000555055050005500045020228112022911202210112022111120221211045020228112022911202210112022111120221211持仓量PCR高位持平运行为主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波动率平值隐波与期价历史波动率与波动率指数702506atm2ivunderlyingclose1000vix-HvHV30VIX90060200580015700500410600400350054003002030020200-50110010-10002022811202291120221011202211112022121120228112022911202210112022111120221211远月合约ATM波动放缓实际波动率持稳后市关注实际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04044035042030402503802036015034010320050301620231520231420231620231520231420231320231320231230202212292022期权隐波小幅回落看涨情绪一般波动率微笑左偏程度凸显看空情绪有所抬升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4500170-477261610250021068-3846626634000141-5032380105000207413-40911073363500203-9432056107500203120-42863825253000635-7401889110000199931-43643044962500271-8911656112500198849-4096305636200015008827-7911478115000197274-3833661199210009211-122412331175001996115-3195891186550027571-10511090012001200002024171-259710462750024551-1215918014331225002074248-192235222571175012000122501250012750130001325013500137501400014250320260-1297772015921250002170355-1080246987302326-1411639016851275002234473-634540655截至20230106橡胶期货主力合约收于12895元14031021-1262540018131300002330617-175195555632624-135644001864132500241377306574208吨较上周12685元吨上涨166从T型报价来1400685-89437701987135000245393109850268看执行价15000看涨期权成交活跃执行价15000642429-661311020471375002837119494426136看涨期权持仓集中度较高执行价12000看跌期权成35763237000265021391400002735133549521218交活跃执行价12000看跌期权持仓集中度较高标1281603670223022091425002821153547817157的价格在12000-15000运行为主1688545116618202246145000284317273541799158148619051500229214750032502014713174145393563395813402396150000330022215760103555146454171110243615250037702525856151期权持仓量与成交量期价与持仓量PCR期价与成交量PCR08148000814800PCROIunderlyingclosePCRVolumeunderlyingclose07128000712800060610800108000505880088000404680068000303480048000202012800012800080008002022811202291120221011202211112022121120228112022911202210112022111120221211持仓量PCR持稳高位橡胶期价震荡运行成交量PCR区间运行短期看涨期权交易占比有所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-HvHV30VIX28122713500262613000241022251250082024120006182311500164221100014212211050010020100002022811202291120221011202211112022121120228112022911202210112022111120221211波动率指数放缓波动市场处于缓波动阶段预计实际波动率向波动率指数收敛后市期价或波动放大波动率微笑主力期权波动率微笑次主力期权波动率微笑025031029020270150250230102101900501700152023162023152023142023162023152023142023132022123020221229202212302022122920221228隐波分布较为不规则总体来看市场看空情绪一般短期市场仍无明朗的方向驱动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