截至2023/02/03，铜期货主力合约收于68890元/吨，较上周(70420元/吨)下跌2.17%；从T型报价来看，执行价72000看涨期权成交活跃，执行价80000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65000看跌期权持仓集中度较高，标的价格在65000-80000运行为主。
　　

研究报告全文：金属特殊商品期权周报陈俊州投资咨询号Z0014862联系方式020-888180172023年2月5日广发期货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大震荡铜期权6889019092150135CU2303暂且观望幅获利平仓观望参考买入波动率适中-217131-559-0176500080000CU2302C66000同时卖出CU2302C68000前期持有买入勒式期权组合获利可观853533834172285i2305震荡铁矿石期权-133221-067027700980暂且观望逐步减仓参考买入I2305C840同时波动率适中买入I2305P800震荡运行1268520462395067RU2305暂且观望暂且观望橡胶期权-527321-156-0011225015000波动率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2月3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CU2303SHF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00-16718860500000493541000035344400000-17617860510000437720002111350000-186168605200004117200007200-19815860530000386020000158300000-2111486054000036072000161250020-226138605500003579410000658364-58012416560000311220006200200040-2631186057000028692000212971500230-2861086058000030248300007974140-314986059000028931250000659169610001010-349886060000026691460000129320365001160-39178606100002510209000079373727321-660671262000023112616000108289508914-1199546063000021443846151113125964000650006600067000680006900070000710007200073000740008626-13774520640000201262-3132240136961037-63940406500001911110-20293038371172049-173128486600001771180-32332574287834899-15672238013766700001711334-298328701401877233-23801498014076800001639580-264029121234截至20230203铜期货主力合约收于68890元吨8132058-3615890013796900001623992-1829165713009622502-47984900140070000017001612-8414791838较上周70420元吨下跌217从T型报价来看13012773-53972780149471000017892364-23976101执行价72000看涨期权成交活跃执行价80000看涨16683569-5326172016337200002566351610366314013261603-518910201736730000216741683423755期权持仓集中度较高执行价65000看跌期权成交活10592235-362174019097400003723564614481831跃执行价65000看跌期权持仓集中度较高标的价23452735-10005402064750000282761544733455550701214334021507600004453761211191839格在65000-80000运行为主4001182100002402268770000343081423980125909173500018023967800003729914036000511570400001002424790000402810140326002444503400001002621800000431911140296008671171000040272582000064771358859931期权持仓量与成交量期价与持仓量PCR期价与成交量PCR25750003575000PCROIunderlyingclosePCRVolumeunderlyingclose3270000700002515650006500021516000060000105550005500005050000050000202291202210120221112022121202311202321202291202210120221112022121202311202321持仓量PCR低位震荡铜价处于阶段性高位成交量PCR小幅抬升看跌期权交易需求小幅略增短期市场谨慎看涨波动率波动率指数与期价历史波动率与波动率指数4518vix-HvHV30VIXVIXunderlyingclose4575000401640351470000301235650002510302086000015625104550002052001550000202291202210120221112022121202311202321202291202210120221112022121202311202321波动率指数持续回落市场预期波动放缓实际波动率上修波动率价差收敛显著后市关注隐波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03030250250202015015010100500500232023222023212023131202313020231202023202323202322202321202313120231302023120波动率微笑回归常态整体期权相对价格较低策略上预计铜价短期以震荡为主关注市场情绪变化尤其是期权集中度较高的合约的交易情况策略暂且观望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1600013170-60115187000397973208983126714140002840-62214327100388277184676127692830-65213477200382988113980447401200034510-862124730037609942190214931000043113-6981186740037361151771467243823658-1095106575003701132-07579971354780006032-73310370233876003666151-3218994995600054833-5659860277677003640173-4958431843400055824-9768780246478003602196-6671314574052553-8628270273579003595225-702925382220002016103-8467680285480003558253-833930715054076029-12106830271781003531285-8955471268800810820830840850860870880890900526192-7816610305082003520322-87834822245727450-923600304183003488359-95713714019972410-11515380300084003491404-8804252374915831145-1041499030958500347945-872268639043622647-13144430304686003467499-8443962992截至20230203铁矿石期货主力合约收于8535元1505591-14383990305687003460552-8153861388吨较上周865元吨下跌133从T型报价来看2282641-1722351030148800346861-74436519831068548-1891313030188900346867-694296670执行价900看涨期权成交活跃执行价980看涨期权80046302-2000280303490003413725-753169720持仓集中度较高执行价700看跌期权成交活跃执1333406-2177248030369100348080-599353101250494-23782180303092003816914-06521168行价700看跌期权持仓集中度较高标的价格在700-715372-24421950305793003610956-3633929980运行为主682506-271616903039940037451046-178111935623728-2885148030429500420611793247441071564-310212903042960034971167-4343501116536-33531110303297004603137960806581135534-355796030319800449514424341501701012845-3684840304599004735154957303163334234-389872030411000048051636555051期权持仓量与成交量期价与持仓量PCR期价与成交量PCR359503950PCROIunderlyingclosePCRVolumeunderlyingclose9009003258508508002580027507502157007006501565016001600550055505000550004502022912022101202211120221212023112023210450202291202210120221112022121202311202321持仓量PCR持稳上升铁矿石期价续攀升高位横盘运行成交量PCR有所回落市场多空博弈较大方向仍不明朗波动率平值隐波与期价历史波动率与波动率指数552005atm2ivunderlyingclose1000vix-HvHV30VIX5018045900451604800140357004012036003510025500308024002560153002040120015200510010000202291202210120221112022121202311202321202291202210120221112022121202311202321隐波持稳实际波动率低持平运行波动率未持续上升后续关注实际波动率变化有望再度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0370440360420350403803403603303403203203103032320232220232120232320232220232120231312023131202313020231202023市场仍对左尾风险感到担忧斜偏程度较大短期来看铁矿石多空博弈呈现震荡态势后续实际波动率仍有望抬升市场情绪上偏空策略上暂且观望3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8000171-23025540260610250020694-42861449077000141-30422980213310500020227-46151363186000218-6531991107500191710-583323735550006822-8071744110000191019-525034867440002915-8981521112500190234-4688230533300010939-1078129900931115000186955-4444106523668341-1406107601297117500190796-337911202832200025092-1737880014691200001968159-231917153831100058491-1937720016381225002012240-1549955425601150011750120001225012500127501300013250135001375014000381200-1707612018861250002070346-87118113309435471-206047801893127500221649404144287125961309-188439202011130000228564433725811821089274-199030602048132500234280848082416截至20230203橡胶期货主力合约收于12685元1998664-15102530216013500024641001683181456吨较上周13390元吨下跌527从T型报价来998282-1043206022431375002591120679754253看执行价14000看涨期权成交活跃执行价15000680724970001740235514000027781431915555271820649769140024121425002936165692332167看涨期权持仓集中度较高执行价12250看跌期权成29914821789112024611450003028187482622153交活跃执行价12250看跌期权持仓集中度较高标17933123188910252014750030952093706272的价格在12250-15000运行为主693414687143840266615000032592331668399566314611000070027291525003388256660317716859161125051027031550003546280755304期权持仓量与成交量期价与持仓量PCR期价与成交量PCR08148000914800PCROIunderlyingclosePCRVolumeunderlyingclose080712800128000706108001080006058800058800046800046800030348004800020228002800010108000800202291202210120221112022121202311202321202291202210120221112022121202311202321持仓量PCR持稳小幅上升成交量PCR大幅上冲橡胶期价当周大幅下跌看跌期权交易需求激增波动率波动率指数与期价历史波动率与波动率指数301428VIXunderlyingclose13600vix-HvHV30VIX2812271340026261320024102225130008202412800618231260016422124001421221122001002012000202291202210120221112022121202311202321202291202210120221112022121202311202321波动率指数回落实际波动率抬升波动率价差收敛波动率微笑主力期权波动率微笑次主力期权波动率微笑0302702502502302021015019010170050150232023222023212023131202320232320232220232120231302023120130202312020231192023看跌期权隐波较低市场情绪未呈现持续偏空波动率微笑仍呈现右偏状态策略上静待期价企稳不宜过分追空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