能源化工期权 2025-05-15 能源化工期权策略早报 | 卢品先 | 投研经理 | 从业资格号：F3047321 | 交易咨询号：Z0015541 | 邮箱：lupx@wkqh.cn | | --- | --- | --- | --- | --- | | 黄柯涵 | 期权研究员 | 从业资格号：F03138607 | 电话：0755-23375252 | 邮箱：huangkh@wkqh.cn | 能源化工期权策略早报概要：能源类：原油、LPG；聚烯烃类期权：聚丙烯、聚氯乙烯、塑料、苯乙烯；聚酯类期 权：对二甲苯、PTA、短纤、瓶片；碱化工类：烧碱、纯碱；其他能源化工类：橡胶等。 策略上：构建卖方为主的期权组合策略以及现货套保或备兑策略增强收益。 表1：标的期货市场概况 | 期权品种 | 标的合约 | 最新价 | 涨跌 | 涨跌幅 | 成交量 | 量变化 | 持仓量 | 仓变化 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | （%） | (万手) | | (万手) | | | 原油 | SC2507 | 478 | 0 ...

农产品期权 2025-05-15 农产品期权策略早报 | 卢品先 | 投研经理 | 从业资格号：F3047321 | 交易咨询号：Z0015541 | 邮箱：lupx@wkqh.cn | | --- | --- | --- | --- | --- | | 黄柯涵 | 期权研究员 | 从业资格号：F03138607 | 电话：0755-23375252 | 邮箱：huangkh@wkqh.cn | 农产品期权策略早报概要：油料油脂类农产品区间盘整，油脂类，豆类偏弱行情，农副产品维持震荡行情，软商品 白糖上升受阻回落，棉花延续弱势反弹形态，谷物类玉米和淀粉逐渐回暖上升后窄幅盘整。 策略上：构建卖方为主的期权组合策略以及现货套保或备兑策略增强收益。 表1：标的期货市场概况 | 期权品种 | 标的合约 | 最新价 | 涨跌 | 涨跌幅 | 成交量 | 量变化 | 持仓量 | 仓变化 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | （%） | (万手) | | (万手) | | | 豆一 | A2507 | 4,183 | 18 | ...

Market Overview - A-shares opened high but closed low on May 13, with total trading volume at 1.33 trillion yuan, unchanged from the previous trading day [1] - Over 3200 stocks declined, while sectors such as port shipping, photovoltaic, banking, and pharmaceuticals saw gains [1] - The Shanghai Stock Exchange 50 Index and CSI 300 Index rose, while other indices fell [1] Options Market Activity - Total options trading volume in the Shanghai and Shenzhen markets was 5.19 million contracts, down from 5.39 million contracts the previous day [1] - Total open interest increased to 8.91 million contracts, up from 8.16 million contracts [1] - The trading volume of the SSE 50 ETF options decreased by 31.53%, while open interest increased by 10.42% [1] - The SSE 50 ETF options traded 674,400 contracts, down from 985,000 contracts the previous day, with open interest at 1.47 million contracts, up from 1.33 million contracts [1] Options Position Changes - For the May contracts, a total of 75,100 contracts were added, with call options increasing by 32,900 contracts and put options by 42,200 contracts [1] - The increase in both call and put options occurred in the shallow out-of-the-money positions, with a broader increase in call options, indicating a potential continuation of market volatility [1] CSI 300 Options Performance - The trading volume for CSI 300 options also showed a decline, with the Shenzhen Stock Exchange's CSI 300 ETF options down by 32.85% and the Shanghai Stock Exchange's down by 23.96% [2] - Open interest for CSI 300 ETF options increased, with the Shenzhen Stock Exchange up by 11.92% and the Shanghai Stock Exchange up by 9.84% [2] - The total increase in open interest for the Shanghai Stock Exchange's CSI 300 ETF options was 53,400 contracts, with call options increasing by 28,200 contracts and put options by 25,200 contracts [2] Volatility Analysis - Implied volatility remained stable, with the SSE 50 ETF at 12.69% as of May 13 [3] - Historical volatility for the SSE 50 ETF was 19.02%, while the CSI 300 Index was at 22.06% [3] - Overall, the A-share market showed a low volatility environment, with both call and put options increasing in shallow out-of-the-money positions, suggesting a short-term market consolidation [3]

金融期权 2025/05/09 金融期权策略早报 | 卢品先 | 投研经理 | 从业资格号：F3047321 | 交易咨询号：Z0015541 | 邮箱：lupx@wkqh.cn | | --- | --- | --- | --- | --- | | 黄柯涵 | 期权研究员 | 从业资格号：F03138607 | 电话：0755-23375252 | 邮箱：huangkh@wkqh.cn | 金融期权策略早报概要： （1）股市短评：上证综指数、深成指数、中小创指均小幅波动。 （2）金融期权波动性分析：金融期权隐含波动率在历史均值偏下水平波动。 （3）金融期权策略与建议：对于ETF期权来说，适合构建备兑策略和偏中性的双卖策略，垂直价差组合策略；对于 股指期权来说，适合构建偏中性的双卖策略和期权合成期货多头或空头与期货空头或多头做套利策略。 表1：金融市场重要指数概况 | 重要指数 | 指数代码 | 收盘价 | 涨跌 | 涨跌幅 | 成交额 | 额变化 | PE | | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | （%） | (亿元) | （ ...

Market Performance - On May 6, the A-share market opened high and closed higher, with the Shanghai Composite Index rising by 1.13%, the ChiNext Index increasing by 1.97%, and the STAR Market Index up by 1.39% [1] - The total trading volume in the Shanghai and Shenzhen markets reached 1.36 trillion yuan, showing a slight increase compared to the previous trading day [1] - More than 5,000 stocks rose, indicating a generally positive market sentiment, while only the banking sector experienced a slight decline [1] Options Market Activity - The options market saw a significant increase in trading volume, with total transactions reaching 4.9417 million contracts, up 49.08% from the previous day [1] - Total open interest rose to 7.9678 million contracts, an increase of 13.47% [1] - The trading volume of the SSE 50 ETF options increased by 25.51%, with open interest rising by 14.12% [2] Specific Options Insights - For the SSE 50 ETF options, the trading volume was 829,500 contracts, up from 660,900 contracts, with open interest at 1.3745 million contracts, an increase from 1.2044 million contracts [2] - The May contracts showed a total increase of 101,500 contracts, with call options increasing by 45,900 contracts and put options by 55,600 contracts, indicating a broader range of positions in the shallow out-of-the-money area [2] - The CSI 300 options also saw a near 80% increase in trading volume, with significant increases in both trading and open interest across different exchanges [2] Volatility and Market Outlook - The implied volatility for options decreased, with the SSE 50 ETF at 12.24% [2] - Historical volatility remained stable, with the 30-day historical volatility for the SSE 50 ETF at 19.58% and for the CSI 300 Index at 21.97% [2] - The overall market is expected to maintain a strong short-term trend, with recommendations for volatility strategy exits and small positions in bullish spread combinations [3]

农产品期权 2025-04-29 农产品期权策略早报 | 卢品先 | 期权研究员 | 从业资格号：F3047321 | 交易咨询号：Z0015541 | 邮箱：lupx@wkqh.cn | | --- | --- | --- | --- | --- | | 黄柯涵 | 期权研究员 | 从业资格号：F03138607 | 电话：0755-23375252 | 邮箱：huangkh@wkqh.cn | 农产品期权策略早报概要：油料油脂类农产品区间盘整，油脂类，豆类偏弱行情，农副产品维持震荡行情，软商品 白糖上升受阻回落，棉花延续弱势反弹形态，谷物类玉米和淀粉逐渐回暖上升后窄幅盘整。 策略上：构建卖方为主的期权组合策略以及现货套保或备兑策略增强收益。 表1：标的期货市场概况 | 期权品种 | 标的合约 | 最新价 | 涨跌 | 涨跌幅 | 成交量 | 量变化 | 持仓量 | 仓变化 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | （%） | (万手) | | (万手) | | | 豆一 | A2507 | 4,185 | -36 ...

Group 1: Trading Volume and Open Interest of Financial Options - The average daily trading volume of 50ETF options this week was 769,600 contracts, a -31.45% decrease from the previous week. The put - call trading ratio was 0.95, higher than the previous week and the historical average. The put - call open interest ratio last week was 0.92, also higher than the previous week and the historical average [2]. - The average daily trading volume of Huatai Berich 300ETF options was 734,200 contracts, and the average daily open interest was 1,169,100 contracts [2]. - The average daily trading volume of Southern China Securities 500ETF options was 1,023,300 contracts, and the average daily open interest was 1,100,800 contracts [2]. - The average daily trading volume of ChinaAMC SSE STAR 50ETF options was 579,500 contracts, and the average daily open interest was 1,654,100 contracts [2]. - The average daily trading volume of Shenzhen 100ETF options was 45,000 contracts, and the average daily open interest was 116,500 contracts [2]. - The average daily trading volume of ChiNext ETF options was 1,024,000 contracts, and the average daily open interest was 1,349,200 contracts [2]. - The average daily trading volume of CSI 300 index options was 53,900 lots, and the average daily open interest was 164,400 lots [2]. - The average daily trading volume of CSI 1000 index options was 162,300 lots, and the average daily open interest was 208,100 lots [2]. Group 2: Volatility of Options - As of the close on Friday, the implied volatility of CSI 300 index options was 15.80%, a 0.88% decrease from a week ago. The implied volatility of 50ETF options was 14.35%, a 0.49% decrease from a week ago. The implied volatility of CSI 1000 index options was 25.20%, a 0.34% decrease from a week ago [3]. - The Nanhua 50ETF option volatility index was 14.98, the Nanhua CSI 300 option volatility index was 18.26, and the Nanhua CSI 1000 option volatility index was 26.2 [3]. Group 3: Overall Market Situation - The financial market as a whole maintained a volatile pattern this week. The closing prices of the 5 trading days remained almost unchanged, and the intraday amplitude was relatively small. The trading volume hovered around 1 trillion. The implied volatility of options continued to decline. Currently, the implied volatility of SSE 50 and CSI 300 has fallen to a relatively low level in history, while that of CSI 1000 is at a medium - level in history [4].

问题背景 "五一"假期期间境内休市而境外市场仍在交易，投资者面临"无法即时对冲"的风险。期权隐含波动率（VIX）成为衡量假期不确定性的 关键指标。对50ETF期权而言，交易者普遍认为"节前买保护、节后消化"是经验法则，但这种印象缺乏系统量化验证。本研究希望回答 两大问题：一是波动率在"五一"前后具体呈现怎样的时间结构，二是能否据此设计可行的波动率交易策略。探索这些问题不仅能丰富国 内节假日效应文献，还可为期权做市商、对冲基金与量化交易员提供优化 Vega 暴露与 Gamma 管理的实证依据。 表为"五一"前后波动率规律的解释 上表将"五一"前后相对交易日分为五大区段：节前第一阶段（T-5→T-4）、节前第二阶段（T-4→T-2）、节前第三阶段（T-2→T-1）、节 后第一阶段（T+1→T+2）、节后第二阶段（T+3→T+5）。其中，节前阶段先现小幅抬升,从第5日均值19.6升至第4日19.7，标志风险溢 价初显；随后在第3日到第2日，隐含波动率快速回落至18.9，反映卖方平仓与套利流动性入场；最后一个交易日（T-1）跌至全周期最低 18.8，说明做市商通过降价吸纳Gamma敞口，平滑假期前头寸。假期结束后的首 ...

4月23日，A股走势曲折，高开低走后冲高回落，各指数表现分化。截至收盘，上证指数跌0.1%，深证指数涨 0.67%，创业板指数涨1.08%，科创50指数跌0.35%。资金方面，沪深两市成交额为12297亿元。 期权多数品种成交活跃度提升，而受ETF期权到期日影响，持仓量升降不一。具体的，上证50ETF期权成交量为 903529张，持仓量为1519014张，成交额为2.91亿元；上交所沪深300ETF期权成交量为861636张，持仓量为1285844 张，成交额为4.45亿元；上交所中证500ETF期权成交量为1083966张，持仓量为1209114张，成交额为11.14亿元；华夏 科创50ETF期权成交量为647160张，持仓量为1944009张，成交额为1.69亿元；易方达科创50ETF期权成交量为178206 张，持仓量为569309张，成交额为0.4亿元；创业板ETF期权成交量为1223068张，持仓量为1562168张，成交额为4.67 亿元；深交所沪深300ETF期权成交量为136603张，持仓量为330954张，成交额为0.52亿元；深交所中证500ETF期权成 交量为188341张，持仓量为39 ...

4月22日，A股继续窄幅震荡。截至收盘，上证指数涨0.37%，创业板指数跌0.69%，科创板指数跌0.03%。沪深两 市累计成交1.12万亿元，基本与上一交易日持平。板块方面，物流、贸易、农业、港口航运等板块收涨，金属新材 料、厨卫电器、通信、酒店旅游等板块收跌。期权标的走势分化，全市场成交量较前一交易日有所下滑，而持仓量稳 步回升。当日，沪深两市及中金所期权总成交489.76万张，较前一交易日减少16.40%；总持仓967.53万张，较前一交 易日增加5.73%。 上证50ETF期权成交和持仓变化方向并不一致。具体来看，成交78.89万张，较前一交易日减少16.65万张；持仓 160.86万张，较前一交易日增加4.86万张。从5月合约各执行价的持仓变动情况来看，合计增持7.41万张。其中，认购 增持3.15万张，认沽增持4.26万张。认购、认沽增持价位均较为宽泛，但都在浅虚值部位集中增持，且认沽增持力度 更大，预计市场延续震荡格局。 与上证50ETF期权表现类似，沪深300期权也是成交量下滑、持仓量回升。深交所沪深300ETF期权成交量减少 12.30%，上交所沪深300ETF期权成交量减少20.57%，中 ...