le] 品 研 2025 年 8 月 29 日 投资咨询从业资格号: Z0018397 张银 zhangyin2@gtht.com 2 表 1: 期货市场统计 | 品种 | 主力合约 | 收盘价 | 涨跌幅 | 主力成交量 | 变化 | 主力持仓量 | 变化 | | --- | --- | --- | --- | --- | --- | --- | --- | | 玉米 | c2511 | 2191 | 6 | 505054 | -193655 | 983279 | -9015 | | 豆粕 | m2601 | 3025 | 1 ୧ | 910391 | -204145 | 2030073 | -22318 | | 菜粕 | rm2601 | 2513 | 30 | 321780 | -181276 | 414170 | 3670 | | 棕榈油 | p2601 | 9316 | -98 | 733188 | -99546 | 478726 | -26017 | | 豆油 | v2601 | 8328 | -14 | 309414 | 1010 | 649889 | -18557 | | 菜油 | o i 2 ...

Report Industry Investment Rating - No relevant information provided Core Viewpoints - In the past week, trading volume and implied volatility of commodity options decreased in almost all sectors. In the energy and chemical sector, the trading volume of p-xylene at the end of its option cycle significantly boosted the trading enthusiasm of the entire sector. The option trading volume of glass and soda ash returned to a high level. Given the pressure in the futures market, using options to capture trading opportunities is relatively safe. [5] - Due to the impact of interest rate cuts, the implied volatility of precious metal options rose in direct proportion to the futures price, and the skewness was at a relatively high level. Attention could be paid to the signal of volatility decline for right-side trading. [5] - In the agricultural products sector, the long position of cotton call options increased, and the trading volume of put options increased significantly. The volatility skewness declined from a high level. Consider selling at-the-money call options and buying out-of-the-money call options for protection. [5] Summary by Directory 1. Market Overview - The trading volume and implied volatility of commodity options decreased in almost all sectors last week. The end-of-cycle trading volume of p-xylene in the energy and chemical sector boosted the trading enthusiasm of the entire sector. The option trading volume of glass and soda ash returned to a high level. The futures market still faced pressure, and using options to capture trading opportunities was relatively safe. [5] - Affected by interest rate cuts, the implied volatility of precious metal options rose in direct proportion to the futures price, and the skewness was at a relatively high level. Attention could be paid to the signal of volatility decline for right-side trading. [5] - In agricultural products, the long position of cotton call options increased, and the trading volume of put options increased significantly. The volatility skewness declined from a high level. Consider selling at-the-money call options and buying out-of-the-money call options for protection. [5] 2. Market Data 2.1 Market Overview - Provided the quantitative data of commodity options, including the volatility, 60-day quantile, skewness, and 60-day quantile of various commodities such as corn, soybean meal, and palm oil [13]. 2.2 - 2.55 Individual Option Market Data - Detailed market data for various options were presented, including contract information, trading volume, open interest, volume PCR, open interest PCR, implied volatility, historical volatility, and skewness. For example, in the corn option market, the trading volume and open interest of call and put options, as well as their changes compared to the previous week, were provided [14][15][16].

Report Summary 1. Report Industry Investment Rating - No information provided in the given content. 2. Core View of the Report - The report presents data on commodity options, including historical volatility, implied volatility, and provides strategy recommendations for different commodities based on their current volatility levels [3][9]. 3. Summary by Relevant Content Commodity Historical Volatility - Various commodities' historical volatility data (HV20, HV40, HV60, HV120) and daily price changes are presented, such as for沪铝 (20590, 49%, 10.13%, 6%, 8%, 9%, 11%),沪铜 (78540, -0.05%, 6.52%, 7%, 10%, 9%, 16%), etc. [3] Commodity Implied Volatility - Data on implied volatility, including主力平值IV and主力平值IV分位值, are provided for different commodities like氧化铝 (62%, 20%, 55%),二烯橡胶 (41%, 88%), etc. [5] Strategy Recommendations - For碳酸锂, recommend selling a wide - straddle (卖出LC2509C80000 + 卖HLC2509P75000) on 2025.7.24 as its volatility is relatively high [9]. - For铁矿石,豆油, and菜油, recommend buying wide - straddles on 2025.6.3 as their volatilities are relatively low. For example, for铁矿石, buy 头入I2509C690 + 头入12509P700 [9].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - In the past week, the trading volume of commodity options increased slightly, mainly due to the increment brought by the rising volatility of the agricultural products sector. Meanwhile, the trading volume of the non - ferrous and new energy sectors decreased along with the decline of implied volatility. The implied volatility of non - ferrous sector options is at a relatively low level recently, and buying options for price reversal trading can be considered [5]. - The options of contracts such as soybean meal, corn, starch, iron ore, liquefied gas, polypropylene, PVC, plastic, palm oil, soybean No.1, soybean No.2, soybean oil, styrene, ethylene glycol, eggs, live pigs, and log 509 are about to expire. Attention should be paid to the end - of - month risks when changing contracts [5]. 3. Summary According to the Table of Contents 3.1 Market Overview - The trading volume of commodity options increased slightly last week, mainly due to the increment from the agricultural products sector. The trading volume of non - ferrous and new energy sectors decreased, and their implied volatility also declined. The implied volatility of non - ferrous sector options is at a recent low [5]. - The options of certain contracts are about to expire, and attention should be paid to the end - of - month risks [5]. 3.2 Market Data 3.2.1 Market Overview - The trading volume of the overall market this week was 8,808,344.8, with a week - on - week increase of 0.17%. The open interest was 8,996,228, with a week - on - week decrease of 0.27%. Among them, the trading volume of the agricultural products sector increased by 2.45%, that of the energy and chemical sector increased by 0.17%, that of the black sector increased by 0.4%, and that of the precious metals sector increased by 1.26%. The trading volume of the non - ferrous and new energy sectors decreased by 1.82%. The open interest of the agricultural products sector decreased by 0.1%, that of the energy and chemical sector decreased by 0.55%, that of the black sector decreased by 0.19%, and that of the non - ferrous and new energy sectors increased by 0.41% [6]. 3.2.2 - 3.2.55 Various Option Market Data - For each type of option (such as corn, soybean meal, etc.), detailed data on trading volume, open interest, volume PCR, open interest PCR, at - the - money volatility, HV - 10 days, HV - 20 days, and Skew are provided, including data for this week, last week, and their changes [12 - 44]. 3.3 Chart Analysis No relevant content provided.

Group 1: Report Industry Investment Rating - No relevant content provided Group 2: Core Viewpoints of the Report - On June 16, 2025, the trading volume of commodity options reached 6.75 million contracts. The trading volume of some varieties was relatively large, such as styrene options with 1.24 million contracts, PTA options with 480,000 contracts, and silver options with 430,000 contracts. In terms of open interest, soybean meal options exceeded 1.03 million contracts, and soda ash options exceeded 760,000 contracts. In terms of trading volume PCR, some varieties deviated significantly, such as zinc options with a PCR of 1.59 and urea options with a PCR of 0.39, presenting trading opportunities but also requiring caution regarding liquidity risks [1][3]. - In the agricultural products sector, the IV of hog options increased by 8.74%, and the IV of corn starch decreased by 2.48%. In the energy and chemical sector, the IV of styrene options increased by 9.24%, and the IV of manganese silicon options decreased by 1.18%. In the metal sector, the IV of each variety fluctuated, with the IV of iron ore options decreasing by 5.33% [3]. Group 3: Summary by Directory 1. Market Quick View 1.1 Trading Volume and Open Interest - Provided detailed trading volume, open - interest, and other data for various option varieties, including soybean meal, corn, palm oil, etc. The trading volume and open - interest of different varieties showed significant differences, and the trading volume PCR and open - interest PCR also varied widely [6]. 1.2 Volatility - Presented the flat - strike IV, IV change (absolute value), historical volatility (30 - day, 60 - day, 90 - day), and implied - historical volatility difference for various option varieties. Different varieties had different trends in IV changes, such as an 8.74% increase in the IV of hog options and a 5.33% decrease in the IV of iron ore options [12]. 2. Variety Research - For each option variety (soybean meal options, rapeseed meal options, PTA options, etc.), it provided charts of the volatility smile curve, volatility term structure, recent one - month IV trend, and recent one - month implied - historical volatility difference [15][19][23].