金属期权 2025-05-14 金属期权策略早报 | 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 | 金属期权策略早报概要：（1）有色金属盘整震荡，构建做空波动率策略策略；（2）黑色系波动较大，适合构建卖 方期权组合策略；（3）贵金属多头趋势方向上高位震荡，构建牛市价差组合策略、做空波动率策略和现货避险策 略。 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) | | | 铜 | CU2506 | 78,650 | 770 | 0.99 | 9.09 | -3.42 ...

策略早餐 主要品种策略早餐 金融期货和期权 （2025.05.14） 参考策略：持有 IF2506 多单、多 IF206 空 IM2506 对冲组合 核心逻辑： 1.中美经贸高层会谈取得实质性进展，双方共同发布日内瓦经贸会谈联合声明，达成磋 商机制，成果高于预期，不过利多消息基本被市场消化，短期扰动逐步淡化。 2.市场重回基本面定价逻辑，国内政策托举有助稳定市场预期。"一行一局一会"再出 政策组合拳，措施密集且针对性强。央行推出"数量+价格+结构"组合，"降准降息"释放 流动性、再贷款工具定向发力提质增效；金融监管总局推出稳楼市、稳股市、稳外贸等八项 增量政策；证监会围绕稳定和活跃资本市场强调全力支持中央汇金发挥类平准基金作用、深 化双创改革发展新质生产力、引导长期资金入市等。 3.证监会印发《推动公募基金高质量发展行动方案》，督促行业从"重规模"向"重回 报"转变，或对 A 股市场生态产生中长期影响，中低风险偏好的主动权益资金进一步加大沪 深 300 等权重行业配置或加大红利资产的配置。 股指期货 品种：IF、IH、IC、IM 日内观点：区间震荡，沪深 300 指数相对强势 中期观点：蓄力上涨 1.中美经贸 ...

金融期权 2025/05/13 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：上证综指数偏上窄幅盘整，大盘蓝筹股偏强震荡，而中小盘股和创业板股偏弱盘整。 （2）金融期权波动性分析：金融期权隐含波动率历史均值偏下水平波动。 | 期权品种 | 成交量 | 量变化 | 持仓量 | 仓变化 | 成交量 | 量PCR | 持仓量 | 仓PCR | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | （万张) | | （万张） | | PCR | 变化 | PCR | 变化 | | 上证50ETF | 98.50 | 51.00 | 143.31 | 12.27 | 0.82 | -0.34 | 1.0 ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - Last week, 8 new products were issued in the US, with Pacer launching two new products to expand its cash - flow product line, including a strategy product combining cash - flow factors and quality, and a rotation strategy product between its cash - flow ETF COWZ and the Nasdaq 100 [1][6]. - US stock ETFs continued to have some outflows last week, while international stock and bond products still had significant inflows, and the inflow of bond ETFs increased, with the risk preference of bond ETF funds rising [1][9]. - Since May, US Treasury bonds, especially long - term bonds, have performed weakly, with the decline of Treasury bond ETFs over 20 years exceeding 2%. However, the sentiment of funds has improved, and recently, bond ETFs have seen continuous inflows, while short - term bond products with stable performance have seen outflows [1][12]. - In March 2025, the total amount of non - money public funds in the US was $21.17 trillion, a decrease of $0.88 trillion compared to February 2025. From April 23 to April 30, US domestic stock funds had a total outflow of $10.2 billion, and the outflow has enlarged again, while the outflow of bond products has slowed down [1][14]. 3. Summary According to the Directory 3.1 US ETF Innovation Products: Pacer Issues Cash - Flow Rotation Strategy Products - Last week, 8 new products were issued in the US. Pacer issued two new products. One is a strategy product combining the representative cash - flow factor and quality, selecting 100 S&P 500 component stocks with at least 10 consecutive years of positive free cash flow and the highest free - cash - flow quality scores. The other is a rotation strategy product between its cash - flow ETF COWZ and the Nasdaq 100, which rotates based on momentum [6][7]. - VistaShares issued an options strategy product last week, selecting 20 - 50 stocks through quality criteria and then enhancing returns by selling options, with an annualized return of 15% currently [6]. - Invesco issued 3 new products last week. QQHG mainly invests in Nasdaq 100 stocks and adds an options strategy to control drawdowns, CTSK looks for undervalued stocks, and IMF selects assets with low correlation to traditional markets [7]. - YieldMax continued to expand its single - stock Covered Call strategy products last week, linked to the online brokerage Robinhood [7]. 3.2 US ETF Dynamics 3.2.1 US ETF Funds: Bond Product Inflows Increase - Last week, US stock ETFs continued to have some outflows, while international stock and bond products still had significant inflows, and the inflow of bond ETFs increased. Vanguard's S&P 500 ETF had significantly more inflows than the other two products, and Bitcoin ETFs also had inflows of over $1 billion. Credit - bond and long - bond ETFs had inflows, and CLO products have also attracted high attention recently [9]. - The inflow gap between the State Street's S&P 500 ETF and VOO in two weeks reached $12 billion. Corporate - bond ETFs had inflows and short - term bond ETFs had outflows, indicating an increase in the risk preference of bond ETF funds [11]. 3.2.2 US ETF Performance: Long - Term Bonds Continue to Decline - Since May, US Treasury bonds, especially long - term bonds, have performed weakly, with the decline of Treasury bond ETFs over 20 years exceeding 2%. However, the sentiment of funds has improved, and recently, bond ETFs have seen continuous inflows, while short - term bond products with stable performance have seen outflows [12]. 3.3 Recent Capital Flows of US Ordinary Public Funds - In March 2025, the total amount of non - money public funds in the US was $21.17 trillion, a decrease of $0.88 trillion compared to February 2025. In March, the S&P 500 fell 5.75%, and the scale of US domestic stock products declined by 6.55%, with the scale decline rate still higher than the stock decline rate [14]. - From April 23 to April 30, US domestic stock funds had a total outflow of $10.2 billion, and the outflow has enlarged again, while the outflow of bond products has slowed down [14].

卖出看涨期权、固定赔付累购、牛市价差策略各有优劣 今年上半年PTA期价维持5700~6100元/吨区间箱体震荡格局，供需矛盾不明显。在此背景下，针对不同企业的风 险敞口及诉求特设计卖出看涨期权、固定赔付累购、牛市价差期权三种期权策略方案。 [卖出看涨期权策略] [固定赔付累购期权策略] 累计期权是复杂期权的一种，设置取消价和行权价，行权价通常比签约时的市价有折让，行权价可理解为现货企 业愿意建立库存的采购价格。相比普通期权单一到期日，累计期权有一系列的观察日，每个观察日等同于一个采购时 点，分散风险的同时更契合实际经营情况。 卖出看涨期权，即卖方获得权利金，若买入看涨期权者执行合约，卖出方必须以特定的价格向期权买入方卖出一 定数量的某种特定资产。卖出看涨期权适用于投资者预期标的物未来价格不涨，即下跌或小幅盘整的情景，其最大收 益为收取的权利金。看好后市不涨，到期时价格不超过行权价格即能获得固定收益，需要缴纳保证金，胜率相对较 高。 图为买入及卖出看涨期权收益与标的资产价格关系 在构建PTA期权组合策略之前，需对PTA基本面进行分析。今年1月份，受伊朗突发事件及OPEC承诺保持团结支 撑，原油短线下行风险缓解。 ...

2024年私募基金期权策略类产品净值出现大幅波动，期权策略指数创近几年最大回撤。我们以私募排排网中期权 策略指数为例进行分析，该指数主要通过选取市面上具有代表性的私募基金期权策略产品加权而得，基本能代表整个 私募基金期权策略类产品市场平均表现。 2017年至今，期权策略产品指数累计收益率85.2%，最大回撤6.16%，但近两年收益有明显放缓。其中，2024年 期权策略指数累计收益率仅有2.25%，且2月2日当周创出历史最大回撤。主要原因在于该周A股市场的大幅回落导致波 动率急剧放大，而期权策略产品一般以做空波动率、收取时间价值等卖方策略为主，波动率的快速放大对该类策略极 其不利。 备兑策略构建：持有标的指数现货，同时卖出虚值2%看涨期权，持有到期后自动换月，其中手续费加滑点取0.55 点/手。 图为2017年以来私募基金期权策略指数净值及动态回撤 期权PCR是Put-Call-Ratio的简称，PCR是指看跌期权与看涨期权之间的比值。一般而言，我们常见的PCR指标有 两个：成交量的PCR值和持仓量的PCR值。成交量PCR值，它衡量了过去某段时间不同类型合约的交易活跃程度；持 仓量PCR值，它则代表了过去某段时 ...

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) | （ ...

农产品期权 2025-05-09 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 | 4,171 | 2 | ...

金属期权 2025-05-09 金属期权研究 表2：期权因子—量仓PCR 金属期权策略早报概要：（1）有色金属盘整震荡，构建做空波动率策略策略；（2）黑色系波动较大，适合构建卖 方期权组合策略；（3）贵金属多头趋势方向上高位震荡，构建牛市价差组合策略、做空波动率策略和现货避险策 略。 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) | | | 铜 | CU2506 | 78,140 | 560 | 0.72 | 11.67 | -1.61 | 17.97 | 0.06 | | 铝 | AL2506 | 19,570 | 90 | 0.46 | 26.76 | 0.08 | 19.27 | -0.21 | | 锌 | ZN2506 | 22,340 | 60 | 0.27 | 22.21 | 6.61 | 11.99 | 0.32 | | 铅 | PB2 ...

能源化工期权日报 2025-05-09 能源化工期权策略早报 期权研究 卢品先 从业资格号：F3047321 交易咨询号：Z0015541 0755-23375252 lupx@wkqh.cn 能源化工类期权主要分为5大类：（1）基础化工类：甲醇期权、橡胶期权、合成橡胶期权和苯乙烯 期权；（2）能源类：原油期权、液化气期权；（3）聚酯化工类：对二甲苯期权、PTA期权、乙二醇 期权和短纤期权；（4）聚烯烃化工类：聚丙烯期权、PVC期权和聚乙烯期权；（5）其他化工：烧碱 期权、纯碱期权、尿素期权。 | | 苯乙烯期权 | | --- | --- | | 标的基本面 | 4月苯乙烯三大下游受中美关税战影响，导致其成品库存处于高位，尤其是EPS。整体 来讲4月下游需求开工均呈现不同程度下降，PS和ABS库存位于绝度高位，EPS逆季节 性大累库，拖累苯乙烯需求。进入到5月考虑到终端三大家电排产计划边际下行。 | | 行情分析 | 苯乙烯2月下旬高位回落后连续走弱势，4月初加速下跌后超跌反弹区间震荡，形成上 方有压力的弱势下大幅波动的行情走势形态 | | 期权波动性 | 苯乙烯期权隐含波动延续历史较高水平波动 | | 分 ...