玉米期价小幅波动，期权隐波大幅上升豆粕期价大幅下跌，期权隐波小幅回升

Report Summary 1) Report Industry Investment Rating No content provided. 2) Core View of the Report - Corn futures prices showed slight fluctuations, while the implied volatility of corn options increased significantly. The futures price of the main corn contract C2511 closed at 2,158 yuan/ton, with an option trading volume of 128,119 lots, an open interest of 353,386 lots, a trading volume PCR of 0.920, and the most actively traded contract C2511 accounting for about 83% of the total trading volume. The weighted implied volatility of options was 11.91%, and the 30 - day historical volatility was 14.96% [1][2]. - Soybean meal futures prices dropped significantly, and the implied volatility of soybean meal options rebounded slightly. The futures price of the main soybean meal contract M2601 closed at 2,928 yuan/ton, with an option trading volume of 757,172 lots, an open interest of 977,245 lots, a trading volume PCR of 1.118, and the current trading volume concentrated in slightly out - of - the - money options. The weighted implied volatility of options was 14.54%, and the 30 - day historical volatility was 16.33% [1][2]. 3) Summary by Relevant Catalogs Futures Market Data Statistics | Contract | Closing Price (yuan/ton) | Change | Change Rate (%) | Trading Volume | Volume Change | Open Interest | Open Interest Change | | --- | --- | --- | --- | --- | --- | --- | --- | | C2511 | 2,158 | 11 | 0.51 | 564,657 | - 28,277 | 761,736 | - 36,214 | | M2601 | 2,928 | - 106 | - 3.49 | 2,372,830 | 1,326,352 | 2,007,056 | 61,070 | [3] Option Market Data Statistics | Option Underlying | Trading Volume | Volume Change | Trading Volume PCR | PCR Change | Open Interest | Open Interest Change | Open Interest Ratio | Ratio Change | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | Corn | 128,119 | 14,582 | 0.920 | - 0.076 | 353,386 | - 3,459 | 0.517 | 0.016 | | Soybean Meal | 757,172 | 521,542 | 1.118 | 0.449 | 977,245 | 25,741 | 0.549 | - 0.050 | [8] Option Volatility Situation | Variety | Weighted Implied Volatility of Options (%) | Volatility Change (%) | Change Rate | 30 - Day Historical Volatility (%) | 30 - Day Volatility Quantile | | --- | --- | --- | --- | --- | --- | | Corn | 11.91 | 1.31 | 12.34% | 14.96 | 0.97 | | Soybean Meal | 14.54 | 0.41 | 2.91% | 16.33 | 0.33 | [18]