市场氛围依旧偏空,虽然进口成本支撑力度大,但无奈整体市场对于今年现货行情以看跌为主,期货盘面依旧保持较大的贴水。人民币汇率依旧保持在6.9水平,进口成本短期难以下降。市场对于上半年价格分歧巨大,关注点在于未来2个月美金报价是否会稳中有降,还是平稳为主漂针浆跟随大产能投放的阔叶浆下跌趋势无思念,分岐点在于幅度。短期不建议追空,建议在反弹后6400之上逐步加空远月合约2309.

研究报告全文：金属特殊商品期权周报作者陈俊州联系方式020-88818017投资咨询资格Z0014862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3月5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勒式期权组合参考买入买入勒式期权组合参考买入铜期权6982012292243169CU2304波动率或抬升030199141-0046000073000CU2304C72000同时买入CU2304C72000同时买入CU2304P68000CU2304P68000震荡91923073510321i2305平仓前期构建的买入宽跨式组合构建买入宽跨式组合期权即买入铁矿石期权104-030-1250158001000波动率适中I2305C900同时买入I2305P870构建牛市价差组合参考买入暂且观望126057552163052RU2305震荡偏多橡胶期权012-508-060-0031200014000RU2305C12500卖出波动率回落RU2305C13000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3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CU2304SHF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300000-3231739052000038262000059000-3421639053000038294100001127250000-363153905400003374200008300-38714390550000349762000022110200000-41513390560000336083000019400-4471239057000031188300001153150070-48511390580000301712500001171003130-52910390590000282514600001526151000140-582939060000027362210000021742932140-6448392610000253926120000136410835002100-718739862000023293065000230319681484-4616656630000214538280002047175609916-520568464000020225893333729147865000660006700068000690007000071000720007300074000750007734-437481865000019379836114444221073128-316399066000018271562635925169232657-5763074011366700001767270-81655792491324246-9562252012856800001711454-126945982393截至20230303铜期货主力合约收于69820元吨8161349-11321614014416900001739788-751318512479693399-158810700148070000017641246-43011421449较上周69610元吨上涨030从T型报价来看10762971-17027020155971000018421866-053137297执行价72000看涨期权成交活跃执行价73000看涨11845027-205242601591720000193626001404810214673949-181326201655730000222635185081751期权持仓集中度较高执行价66000看跌期权成交活7882885-100016201727740000228943543471830跃执行价60000看跌期权持仓集中度较高标的价12163160625102018057500003413574012078341074161216675601830760000315864365961643格在60000-73000运行为主78511776364360191177000037047532687428937816160002602021780000421686167220035251425000140204079000045279612645009073024000010021338000004832106105780324641000040224482000054251261048200期权持仓量与成交量期价与持仓量PCR期价与成交量PCR25750003575000PCROIunderlyingclosePCRVolumeunderlyingclose3270000700002515650006500021516000060000105550005500005050000050000202293020221031202211302022123120231312023228202293020221031202211302022123120231312023228持仓量PCR平台震荡铜价处于阶段性高位成交量PCR波动抬升期权市场交易情绪有所上升波动率波动率指数与期价历史波动率与波动率指数3514vix-HvHV30VIX33VIXunderlyingclose750003012312970000251027208650002515623600002110419550005217001550000202293020221031202211302022123120231312023228202293020221031202211302022123120231312023228波动率指数企稳回升市场预期波动上升实际波动率低位运行后市实际波动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030250250202015015010100500500332023322023312023228202322720232242023332023322023312023228202322720232242023波动率微笑平坦整体溢价不高策略上后市波动率有望抬升持有买入勒式期权组合参考买入CU2304C72000同时买入CU2304P680002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12000239514792173030377500381019900061192586410000537129815537600368221500070054354652941154603445770036102525001100339280005179705141378003519291154116358613998102513550328379003484362864035631260002013588961241026308000344144-4351370646458624668411258100335151-135615516694400085343009978200325959-213313504392200069334800958024708300316368-2688146570618263987888026498400312983-278329756739016325974879025578500308810-290811335183408708808909009109209309409509609703103100677710256986003026118-305931939166170510453563025338700297714-3137214157802200132448560256288002945167-30713086677119943992524890253189002885195-311017573871截至20230303铁矿石期货主力合约收于919元吨55992012-1654160244190002863231-297922783438较上周9095元吨上涨104从T型报价来看执4381912-2413650250491002846272-282317093627行价950看涨期权成交活跃执行价1000看涨期权持22541083-5183110249292002823317-26792159179423431056-941260246193002676352-2831362700仓集中度较高执行价800看跌期权成交活跃执行27132334-116522024779400285443-2238280287价800看跌期权持仓集中度较高标的价格在800-97027312-14421840248595002807486-216110732021运行为主25482123-18381510247796002808552-2000321081100015731021-22011240248397002779619-18877424772633409-22961040252098002862701-1645176020951980-287082024989900266376-173043189916652-32996502492100002827855-1459943期权持仓量与成交量期价与持仓量PCR期价与成交量PCR359503950PCROIunderlyingclosePCRVolumeunderlyingclose9009003258508508002580027507502157007006501565016001600550055505000550004502022930202210312022113020221231202313120232280450202293020221031202211302022123120231312023228持仓量PCR震荡上行铁矿石期价震荡偏强成交量PCR震荡为主波动率平值隐波与期价历史波动率与波动率指数5020045atm2ivunderlyingclose1000vix-HvHV30VIX45180490016800400351470003351260002530105000225840060153002040120015200510010000202293020221031202211302022123120231312023228202293020221031202211302022123120231312023228波动率指数小跌实际波动率走弱波动率未上升市场仍处于波动放缓阶段波动率微笑主力期权波动率微笑次主力期权波动率微笑032036034030320280302802602602402402202202023320233220233120233320233220233120232282023228202322720232242023市场仍旧对左尾风险感到担忧但总体隐波略降策略上当前市场仍处于波动放缓阶段建议平仓前期构建的买入宽跨式组合即买入I2305C900同时买入I2305P870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6000170-02123551025002381320000239835000140-028210610500023496100008707430-032186010750021878000464944000135140551635110000199810-44441626393000676-0071392112500186415-571411153582150261174115000175024-61294162566200010918-22894201237117500171045-57143563138100022762-85270901175120000166179-5241620460168377-1151538014331225001704147-4096146428101031404-1875377014581250001753246-3070679326211250115001175012000122501250012750130001325013500137502006899-2209268015701275001863387-2004485109656912428-2289192016891300002021564-1174162149522171075-2400133017671325002176760-6638942138231111-184997018821350002329970-36796395截至20230303橡胶期货主力合约收于12605元2058524-759730200413750023401171-3782171吨较上周12590元吨上涨012从T型报价来1257925692600630219714000026991425-09040594看执行价14000看涨期权成交活跃执行价1400020574084194440224414250027931650-1141167看涨期权持仓集中度较高执行价12000看跌期权成282542878953402343145000315919080100160交活跃执行价12000看跌期权持仓集中度较高标166919315455280246514750033742151009063的价格在12000-14000运行为主869213473333326026381500003604239701309360075306000021027301525003845264501507618273656500015027571550004099289501704期权持仓量与成交量期价与持仓量PCR期价与成交量PCR08140000914800PCROIunderlyingclosePCRVolumeunderlyingclose0708135001280007061080013000060505880004125000468000312000034800020211500280001010110000800202293020221031202211302022123120231312023228202293020221031202211302022123120231312023228持仓量PCR持续回落后续关注持仓量PCR企稳成交量PCR震荡运行市场交易情绪不高波动率波动率指数与期价历史波动率与波动率指数301628VIXunderlyingclose14000vix-HvHV30VIX142527135001226130002010251250015824120006231041150022522111000002010500202293020221031202211302022123120231312023228202293020221031202211302022123120231312023228波动率指数和实际波动率持续回落市场波动进一步放缓波动率微笑主力期权波动率微笑次主力期权波动率微笑0250220210202015019018010170050160150332023322023312023228202333202332202331202322720232242023227202322420232232023市场情绪回暖策略上持有构建牛市价差组合参考买入RU2305C12500卖出RU2305C13000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研究报告全部内容不代表协会观点仅供交流不构成任何投资建议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