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玉米期价大幅下跌,期权隐波小幅下降豆粕期价小幅上涨,期权隐波保持平稳
An Liang Qi Huo·2025-09-22 10:39

Report Industry Investment Rating - No relevant content provided Core Viewpoints - Corn futures prices dropped significantly, with the futures main contract C2511 closing at 2147 yuan/ton. Corn option trading volume was 113,537 lots, and the open interest was 356,845 lots. The option weighted implied volatility was 10.60%, and the 30 - day historical volatility was 14.83%. The option implied volatility decreased slightly [1][2]. - Soybean meal futures prices rose slightly, with the futures main contract M2601 closing at 3034 yuan/ton. Soybean meal option trading volume was 235,630 lots, and the open interest was 951,504 lots. The option weighted implied volatility was 14.13%, and the 30 - day historical volatility was 12.97%. The option implied volatility remained stable [1][2]. Summary by Related Catalogs 1. Futures Market Data Statistics - For the corn futures main contract C2511, the closing price was 2147 yuan/ton, with a drop of 21 yuan and a decline rate of 0.97%. The trading volume was 592,934 lots, an increase of 288,038 lots, and the open interest was 797,950 lots, a decrease of 13,885 lots [3]. - For the soybean meal futures main contract M2601, the closing price was 3034 yuan/ton, with a rise of 20 yuan and an increase rate of 0.66%. The trading volume was 1,046,478 lots, an increase of 150,872 lots, and the open interest was 1,945,986 lots, a decrease of 74,549 lots [3]. 2. Option Market Data Statistics - For corn options, the trading volume was 113,537 lots, an increase of 62,855 lots. The trading volume PCR was 0.996, an increase of 0.525. The open interest was 356,845 lots, an increase of 6,246 lots, and the open interest ratio was 0.501, a decrease of 0.010 [8]. - For soybean meal options, the trading volume was 235,630 lots, an increase of 5,161 lots. The trading volume PCR was 0.669, a decrease of 0.083. The open interest was 951,504 lots, a decrease of 6,566 lots, and the open interest ratio was 0.600, an increase of 0.005 [8]. 3. Option Volatility Situation - For corn options, the option weighted implied volatility was 10.60%, a decrease of 0.08 percentage points and a decrease rate of 0.75%. The 30 - day historical volatility was 14.83%, and the 30 - day volatility quantile was 0.96 [18]. - For soybean meal options, the option weighted implied volatility was 14.13%, a decrease of 0.11 percentage points and a decrease rate of 0.78%. The 30 - day historical volatility was 12.97%, and the 30 - day volatility quantile was 0.10 [18].