商品期权周报-20260301

1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints of the Report - After the holiday, the overall volatility of the commodity options market decreased. The trading volume of agricultural product options increased due to contract roll - over. Some varieties in the black and non - ferrous sectors experienced increased volatility and higher open interest. The geopolitical risks over the weekend led to increased expected volatility in the precious metals, non - ferrous metals, and chemical sectors. Considering the high implied volatility of call options, a bull call spread strategy can be considered for long positions, and the strike price of the long call option can be gradually raised to reduce the maximum risk of the position [5]. 3. Summary by Directory 3.1 Market Overview - The overall volatility of the commodity options market decreased after the holiday. The trading volume of agricultural product options increased during the contract roll - over. Some varieties in the black and non - ferrous sectors saw increased volatility and higher open interest. Due to weekend geopolitical risks, the expected volatility of precious metals, non - ferrous metals, and the chemical sector increased. A bull call spread strategy can be used for long positions, and the strike price of the long call option can be gradually raised to reduce the maximum risk of the position [5]. - Market data shows that the trading volume of the entire market decreased by 0.67% to 5,512,888.0, while the open interest increased by 0.09% to 7,701,848. Among different sectors, the trading volume of agricultural products increased by 0.06% to 1,422,480.75, and the open interest decreased by 0.14% to 2,507,785; the trading volume of energy and chemicals decreased by 0.43% to 2,419,537.25, and the open interest increased by 0.23% to 3,144,995; the trading volume of the black sector increased by 3.82% to 488,594.0, and the open interest increased by 0.13% to 766,022; the trading volume of precious metals decreased by 2.71% to 307,045.75, and the open interest increased by 0.2% to 309,152; the trading volume of non - ferrous and new energy decreased by 1.33% to 875,230.25, and the open interest increased by 0.46% to 973,894 [6]. 3.2 Market Data 3.2.1 Market Overview - The report provides the implied volatility, 60 - day percentile of implied volatility, skew, and 60 - day percentile of skew for various commodity options, including corn, soybean meal, rapeseed meal, etc. For example, the implied volatility of corn is 9.97%, and the skew is 7.54% [12]. 3.2.2 - 3.2.61 Option Data for Each Commodity - For each commodity option (such as corn, soybean meal, etc.), the report details the closing price, price change, remaining trading days, trading volume (including call and put trading volume, and total trading volume), trading volume PCR, open interest (including call and put open interest, and total open interest), open interest PCR, implied volatility, historical volatility (HV - 10 days and HV - 20 days), and skew of the main and secondary contracts, as well as the overall contract data [13 - 74].