焦煤期权策略：期权新品种上市

Report Summary 1. Report Industry Investment Rating No information provided. 2. Core Viewpoints - The listing of coking coal options on January 16, 2026, can improve market liquidity issues and meet the diverse and personalized risk management needs of enterprises and investors [1][2][4] - Currently, the coking coal market is in a "ceiling" pattern with limited rebound space due to high supply and weak demand [9] - If the implied volatility of options is significantly higher than historical volatility after listing, the strategy of selling out - of - the - money call options can be considered [12] 3. Summary by Relevant Catalog 3.1 Option Listing Information - Coking coal options will be listed for trading on January 16, 2026, with night - trading starting on the same night. The first batch of listed contracts are based on JM2604 - JM2612 futures contracts [1] - The trading of coking coal options can use limit orders and limit stop (profit) orders, with a maximum order quantity of 1000 lots per time. The position limit is 8000 lots, and coking coal options and futures are separately limited [1] 3.2 Listing Background - During the "anti - involution" market in July 2025, coking coal experienced multiple limit - up and limit - down situations, resulting in market liquidity problems. The listing of coking coal options can largely improve these two issues [2] 3.3 Comparison with Futures - Options are more refined risk - management tools. After listing, enterprises can flexibly choose different types of option contracts and strategy combinations, and futures investors can use options to hedge futures position risks [4] 3.4 Contract Details - The contract details include the contract subject (coking coal futures contract), contract type (call and put options), trading unit (1 lot of 60 - ton coking coal futures contract), etc [5] - The exercise price covers a certain price range, and the exercise price intervals vary according to different months and price ranges [5] - The exercise method is American, and the buyer can submit an exercise application before 15:30 on the expiration date or on any trading day before the expiration date [5] 3.5 Volatility - Since the options are not yet listed, historical volatility can be used as a reference. The average historical volatility of coking coal is around 39%, and the 20 - day historical volatility (20HV) is more affected by single - day large fluctuations. It is reasonably speculated that the implied volatility on the listing day is around 40% [4][5][6] 3.6 Fundamental Situation - The coking coal market is currently in a "ceiling" pattern, with limited rebound space. Supply is the main suppressing factor, and demand is weak, so the upward resistance of coking coal prices is large, and there is a lack of short - term trend - rising power [9] 3.7 Strategy Recommendation - Different option strategies can be matched according to the views on the option underlying (bullish, bearish, range - break, or oscillating) and the option volatility trend (rising or falling) [10] - Based on the fundamental situation and historical volatility, if the implied volatility of options is significantly higher than historical volatility after listing, the strategy of selling out - of - the - money call options can be considered [12]