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玉米期价小幅下跌，期权隐波大幅下降豆粕期价小幅波动，期权隐波持续下降
An Liang Qi Huo·2025-04-17 13:49

Report Summary 1. Report Industry Investment Rating No information provided. 2. Core Viewpoints - Corn futures prices declined slightly, with the main contract C2507 closing at 2303 yuan/ton. Corn option trading volume was 88,597 lots, and the open interest was 182,818 lots. The option weighted implied volatility decreased significantly to 10.94%, while the 30 - day historical volatility was 8.43% [3]. - Soybean meal futures prices fluctuated slightly, with the main contract M2509 closing at 3020 yuan/ton. Soybean meal option trading volume was 591,917 lots, and the open interest was 526,550 lots. The option weighted implied volatility continued to decline to 18.12%, while the 30 - day historical volatility was 27.50% [3]. 3. Summary by Relevant Catalogs 3.1 Futures Market Data Statistics - Corn main contract C2507: closed at 2303 yuan/ton, down 1 yuan (-0.04%), with a trading volume of 414,571 lots (down 47,426 lots) and an open interest of 1,207,309 lots (up 40,783 lots) [5]. - Soybean meal main contract M2509: closed at 3020 yuan/ton, up 7 yuan (0.23%), with a trading volume of 1,385,850 lots (down 806,266 lots) and an open interest of 2,427,840 lots (down 55,056 lots) [5]. 3.2 Option Market Data Statistics - Corn options: trading volume was 88,597 lots (down 30,273 lots), volume PCR was 1.019 (up 0.289), open interest was 182,818 lots (down 340,233 lots), and open interest PCR was 0.608 (down 0.058) [9]. - Soybean meal options: trading volume was 591,917 lots (down 377,483 lots), volume PCR was 0.951 (up 0.122), open interest was 526,550 lots (down 922,935 lots), and open interest PCR was 0.765 (up 0.206) [9]. 3.3 Option Volatility Situation - Corn options: the option weighted implied volatility was 10.94% (down 2.97 percentage points, -21.35%), and the 30 - day historical volatility was 8.43% with a 30 - day volatility quantile of 0.08 [19]. - Soybean meal options: the option weighted implied volatility was 18.12% (down 12.38 percentage points, -40.58%), and the 30 - day historical volatility was 27.50% with a 30 - day volatility quantile of 0.95 [19].