期权量化指标
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商品期权日报-20260302
Guo Tai Jun An Qi Huo· 2026-03-02 06:04
1. 农产品数据 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 | c2605 | 2360 | 18 | 525106 | -22795 | 1475478 | 58465 | | 豆粕 | m2605 | 2833 | -1 | 720186 | -108533 | 2027937 | 6902 | | 菜粕 | rm2605 | 2287 | -9 | 329069 | -83774 | 908742 | 4222 | | 棕榈油 | p2605 | 8780 | 66 | 379616 | -31517 | 393602 | -3369 | | 豆油 | y2605 | 8226 | 28 | 242046 | -1688 | 666610 | 7442 | | 菜油 | oi2605 | 9185 | 0 | 145907 | 2752 | 257944 | 6138 | | 花生 | pk2605 | 7890 ...
商品期权日报-20260113
Guo Tai Jun An Qi Huo· 2026-01-13 02:55
1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints - The report presents the daily data of commodity options on January 12, 2026, including the futures and options market statistics and option quantitative indicators of agricultural products, energy chemicals, black commodities, and metals [1][5][9][11] 3. Summary by Category 3.1 Agricultural Products 3.1.1 Futures Market Statistics - Various agricultural products show different price changes, trading volumes, and open interest changes. For example, the closing price of corn (c2603) is 2290 with a change of 27, and the trading volume increases by 98441 [1] 3.1.2 Options Market Statistics - Data on the trading volume, PCR (Put - Call Ratio), and open interest of options for different agricultural products are provided, along with their changes [3] 3.1.3 Option Quantitative Indicators - Includes information such as remaining trading days, at - the - money volatility, and its changes, as well as historical volatility and skew for different agricultural product options [4] 3.2 Energy Chemicals 3.2.1 Futures Market Statistics - Different energy chemical products have distinct price movements, trading volume changes, and open interest changes. For instance, the closing price of PTA (ta2605) is 5142 with an increase of 34, and the trading volume increases by 504652 [5] 3.2.2 Options Market Statistics - Information on the trading volume, PCR, and open interest of options for energy chemical products, along with their changes [6][7] 3.2.3 Option Quantitative Indicators - Details about remaining trading days, at - the - money volatility, and its changes, historical volatility, and skew for energy chemical product options [8] 3.3 Black Commodities 3.3.1 Futures Market Statistics - The futures market statistics of black commodities like iron ore, power coal, and rebar are presented, including price changes, trading volumes, and open interest changes [9] 3.3.2 Options Market Statistics - Data on the trading volume, PCR, and open interest of options for black commodities, along with their changes [9] 3.3.3 Option Quantitative Indicators - Information on remaining trading days, at - the - money volatility, and its changes, historical volatility, and skew for black commodity options [10] 3.4 Metals 3.4.1 Futures Market Statistics - The futures market statistics of metals such as gold, silver, and copper are shown, including price changes, trading volumes, and open interest changes [11] 3.4.2 Options Market Statistics - Data on the trading volume, PCR, and open interest of options for metals, along with their changes [12] 3.4.3 Option Quantitative Indicators - Details about remaining trading days, at - the - money volatility, and its changes, historical volatility, and skew for metal options [13]
商品期权日报-20251224
Guo Tai Jun An Qi Huo· 2025-12-24 03:27
1. Report Industry Investment Rating - Not provided in the report 2. Report's Core View - The report presents the daily statistics of futures and options markets for various commodities, including agricultural products, energy chemicals, black commodities, and metals, on December 23, 2025, covering data such as closing prices, price changes, trading volumes, and open interests [1][5][9][11] 3. Summary by Relevant Catalogs 3.1 Agricultural Products Data 3.1.1 Futures Market Statistics - The closing prices of various agricultural products showed different trends, with cotton, apple, and palm oil rising by 70, 81, and 72 respectively, while peanut, egg, and红枣 fell by 12, 12, and 70 respectively [1] - The trading volumes and open interests of most varieties also changed, with corn starch and soybean meal showing significant changes in trading volume and open interest [1] 3.1.2 Options Market Statistics - The trading volumes and open interests of options for different agricultural products had different degrees of change, and the Put - Call Ratios (PCR) also showed different trends [3] 3.1.3 Options Quantitative Indicators - The implied volatilities, historical volatilities, and skewness of different agricultural products' options were presented, with the implied volatilities of some varieties such as palm oil and soybean meal having certain changes [4] 3.2 Energy Chemical Data 3.2.1 Futures Market Statistics - Among energy chemical products, PVC, short - fiber, and urea rose by 147, 20, and 23 respectively, while LPG, BR rubber, and asphalt fell by 94, 55, and 18 respectively [5] - The trading volumes and open interests of different varieties also changed, with PVC and methanol showing relatively large changes in trading volume [5] 3.2.2 Options Market Statistics - The trading volumes and open interests of energy chemical options changed, and the PCR values also showed different trends, such as the PCR of PTA options having a certain increase [6][7] 3.2.3 Options Quantitative Indicators - The implied volatilities, historical volatilities, and skewness of energy chemical options were provided, with the implied volatilities of some varieties like PTA and PVC being relatively high [8] 3.3 Black Data 3.3.1 Futures Market Statistics - In the black commodity market, silicon iron and rebar rose by 4 and 2 respectively, while manganese silicon and iron ore fell by 18 and 3 respectively [9] - The trading volumes and open interests of different varieties changed, with the trading volume of iron ore decreasing significantly [9] 3.3.2 Options Market Statistics - The trading volumes and open interests of black commodity options changed, and the PCR values also showed different trends, such as the PCR of iron ore options increasing [9] 3.3.3 Options Quantitative Indicators - The implied volatilities, historical volatilities, and skewness of black commodity options were presented, with the implied volatility of rebar options having a relatively large change [10] 3.4 Metal Data 3.4.1 Futures Market Statistics - Among metals, silver, nickel, and tin rose by 231, 1740, and 3490 respectively, while copper, zinc, and aluminum fell by 390, 25, and 25 respectively [11] - The trading volumes and open interests of different varieties changed, with the trading volume of silver decreasing significantly [11] 3.4.2 Options Market Statistics - The trading volumes and open interests of metal options changed, and the PCR values also showed different trends, such as the PCR of silver options increasing [12] 3.4.3 Options Quantitative Indicators - The implied volatilities, historical volatilities, and skewness of metal options were provided, with the implied volatility of silver being relatively high [13]