Report Industry Investment Rating No relevant information provided. Core Viewpoints of the Report 1. PVC: Overall, the demand side provides weak support for PVC, and the supply - demand remains in an oversupply pattern, with prices hard to be optimistic, expected to continue in a weakening trend. However, the V2602 contract price rose 2.92% this week, causing losses in the bear - spread option portfolio [3]. 2. Tin: Market sentiment is positive, and the fundamentals are strong, so tin prices are expected to remain strong throughout the year. The bull - spread option portfolio made a profit due to a 3.92% increase in the Shanghai Tin 2602 contract this week [3]. 3. Copper: For the future of copper, upward drivers include further deterioration of overseas inventory structure and better - than - expected interest - rate cut expectations; downward drivers are the negative feedback from weak demand, but the downside space is limited in non - recession scenarios. A bull - spread option portfolio is recommended [4]. Summary According to the Table of Contents 1. Option Underlying Weekly Trading Overview - Price trends: The price trends of option underlyings this week showed significant differentiation. Special commodity sector underlyings generally rose, with lithium carbonate having the largest increase of +11.78%, and silver in the precious metals sector also rising relatively strongly at 4.07%. Most underlyings in the agricultural products sector declined, except for cotton and live pigs, with soybean oil and apples having relatively large declines of - 3.79% and - 3.30% respectively [11]. - Trading volume: The special commodity sector attracted more attention this week, with polysilicon having the largest increase in average daily trading volume, up 73.80% week - on - week. Apples and sugar in the agricultural products sector also had significant increases in average daily trading volume, up 47.61% and 45.97% respectively, while corn in the same sector had a large decline of - 40.58% [11]. - 20 - day HV: Glass and PVC had the largest increases in 20 - day HV, up 18.50% and 15.41% respectively compared to last week. Lithium carbonate and industrial silicon in the special commodity sector had relatively significant declines in 20 - day HV, down 12.60% and 6.81% respectively [11]. 2. Option Contracts Weekly Trading and Position Overview - Trading volume: Options such as p - xylene (+255.64%), nickel (+125.29%), alumina (+99.95%), tin (+83.26%), and gold (+79.56%) had relatively large increases in average daily trading volume week - on - week, while options such as rapeseed meal and glass had large declines [14]. - PCR indicators: In each sector, options such as gold, live pigs, aluminum, and synthetic rubber had an average daily trading PCR below 50% and were still in the historical low - range. Options such as silver, rapeseed meal, apples, iron ore, p - xylene, and polysilicon had an average daily position PCR still exceeding 100% [14]. 3. Option Main - contract At - the - Money IV Overview - IV trends: This week, the IV of option underlyings showed significant differentiation. The IV of underlyings in the special commodity sector all increased, with polysilicon and lithium carbonate having relatively large increases in main - contract at - the - money IV, up 14.18% and 13.59% respectively. In the stock index sector, the main - contract at - the - money IV of the SSE 50 and CSI 1000 indices remained in the historical low - range. PVC, which had a 60.78% increase in IV last week, saw a 28.55% decline this week. Attention can be paid to the mean - reversion of the implied volatility of varieties with an IV historical percentile in the extreme range below 10% or above 90% [17]. 4. Key Data of Major Varieties - Stock indices: The latest closing prices of the SSE 50, CSI 300, and CSI 1000 were 3004.34, 4568.18, and 7329.81 respectively, with corresponding option total trading volumes of 182906600 billion, 720958040 billion, and 2506636660 billion yuan. Other relevant indicators such as trading volume PCR, position volume PCR, variety IV, and historical volatility are also provided [21][24][26]. - Precious metals: The latest closing prices of gold and silver were 979.9 and 15376 respectively, with corresponding option total trading volumes of 1426516000 billion and 4002475400 billion yuan. Other relevant indicators are also given [29][31]. - Agricultural products: The latest closing prices, option total trading volumes, and other relevant indicators of various agricultural products such as cotton, soybean meal, and palm oil are presented [33][36][39]. - Black commodities: The latest closing prices, option total trading volumes, and other relevant indicators of iron ore and rebar are provided [63][65]. - Non - ferrous metals: The latest closing prices, option total trading volumes, and other relevant indicators of copper, aluminum, and other non - ferrous metals are given [68][70]. - Energy and chemicals: The latest closing prices, option total trading volumes, and other relevant indicators of crude oil, PTA, and other energy and chemical products are presented [82][84]. - Special commodities: The latest closing prices, option total trading volumes, and other relevant indicators of industrial silicon, polysilicon, and lithium carbonate are provided [111][113][115].
广发期货期权周报-20251222
Guang Fa Qi Huo·2025-12-22 11:12