以下文章来源于紫金天风期货研究所 ，作者金融量化组 紫金天风期货研究所 . 紫金天风期货研究所官方订阅号 文 | 贾瑞斌 来源 | 紫金天风期货研究所 编辑 | 杨兰 审核 | 浦电路交易员 中秋降至，市场即将迎来长达8天的休市期。本公众号已对节假日期间应持仓或持币做过相关指引，简洁来说，对于持仓过节的投资 者来说，风险和机遇并存。除了通过资产标的持仓参与市场外，可以用期权这个相对占用资金小，风险可控的方式来参与。本文主 要基于以往思路，聚焦分析国庆假期中的期权组合的优劣（全部采用收盘作为计算依据），本文不构成投资建议。 01 摘要 、 当前市场各板块呈现差异化特征：原油和LPG波动率扩张，贵金属走势与宏观背离且隐含波动率高企，工业金属及新能源金属分化明 显，农产品内部结构差异显著。节前上需针对性布局，能源化工侧重波动率交易，贵金属避免卖权风险，工业金属分波动放大与弱势品 种施策，农产品关注油脂类看空波动率机会及菜粕特殊操作。国庆前后需聚焦隐含波动率、偏度结构等核心维度，高波动品种以价差组 合控风险，低波动品种控仓收权利金，同时跟踪宏观与政策动态应对风险。 02 各品种市场概况 首先，我们对过去三年国庆节前后 ...

Group 1: Implied Volatility Index and Its Calculation - The implied volatility index of financial options reflects the 30 - day implied volatility (IV) trend as of the previous trading day. The implied volatility index of commodity options is obtained by weighting the IV of the two strike - prices above and below the at - the - money option of the front - month contract, reflecting the IV change trend of the front - month contract [2] - The difference between the IV index and historical volatility (HV) indicates the relative level of IV to HV. A larger difference means higher IV relative to HV, and a smaller difference means lower IV relative to HV [2] Group 2: Implied Volatility and Historical Volatility Difference Graph - The document presents graphs showing the IV, HV, and IV - HV differences for various financial and commodity options, including 300 - stock index, 50ETF, 1000 - stock index, 500ETF, and many commodity options such as soybeans, corn, sugar, cotton, etc [3] Group 3: Implied Volatility Quantile and Volatility Spread Quantile Ranking - Implied volatility quantiles represent the current level of a variety's IV in history. A high quantile means the current IV is high, and a low quantile means the current IV is low. The volatility spread is calculated as the IV index minus the historical volatility [4] - The implied volatility quantile rankings are provided for different options, such as 50ETF with a quantile of 0.79, 300 - stock index with 0.80, iron ore with 0.37, PVC with 0.46, etc [5][7]

Key Points of the Report Core Concepts - The implied volatility index of financial options reflects the 30 - day implied volatility trend as of the previous trading day. The implied volatility index of commodity options is obtained by weighting the implied volatilities of the two - point - up and - down options at the at - the - money strike price of the main contract month, reflecting the implied volatility change trend of the main contract [2]. - The difference between the implied volatility index and historical volatility shows the relative level of implied volatility to historical volatility. A larger difference means the implied volatility is relatively higher, and a smaller difference means it is relatively lower [2]. - The implied volatility quantile represents the current implied volatility level of a variety in history. A high quantile means the current implied volatility is high, and a low quantile means it is low. The volatility spread is the implied volatility index minus the historical volatility [4]. Implied Volatility and Historical Volatility Data - The report presents the implied volatility (IV), historical volatility (HV), and their differences (IV - HV) of various options, including 300 Index, 50ETF, 1000 Index, 500ETF, and many commodity options such as soybean meal, corn, sugar, cotton, etc. [3] Implied Volatility Quantile and Volatility Spread Quantile Ranking - The report shows the ranking of implied volatility quantiles and historical volatility quantiles of different varieties, such as 300 Index, PVC, PTA, corn, etc. [4][5]

Report Title - The report is titled "Commodity Option Data Daily Report" [3] Report Industry Investment Rating - No industry investment rating is provided in the report Core Viewpoints - The report presents historical volatility, daily fluctuations, and other data of various commodities, and recommends option trading strategies based on the relative levels of commodity volatility [2][4][9] Summary by Relevant Catalogs Commodity Volatility Data - **Historical Volatility and Daily Fluctuations**: Data on historical volatility (HV20, HV40, HV60, HV120) and daily price fluctuations of multiple commodities such as Shanghai Aluminum, Shanghai Copper, and Shanghai Zinc are provided For example, Shanghai Aluminum's main price is 20790 with a 0.63% daily increase, and its HV20 is 7.71% [4] Implied Volatility Data - **主力平值IV and Its Quantile**: Implied volatility data, including the main at - the - money implied volatility (IV) and its quantile, are given for various commodities For instance, the main at - the - money IV of butadiene rubber is 74% with a quantile of 49% [5] Strategy Recommendations - **Selling Strangle for Lithium Carbonate**: Due to the relatively high volatility of lithium carbonate, it is recommended to sell a strangle combination (sell LC2509C80000 + sell LC2509P75000) on July 24, 2025, and use dynamic futures hedging, then close the position when volatility decreases [9] - **Buying Strangle for Iron Ore, Soybean Oil, and Rapeseed Oil**: Given the relatively low volatility of iron ore, soybean oil, and rapeseed oil, it is recommended to buy strangle combinations for these commodities on June 3, 2025, use dynamic futures hedging, and close the position when volatility increases For example, for iron ore, buy I2509C690 + buy I2509P700 [9]

Group 1: Implied Volatility Index and Historical Volatility - The financial option implied volatility index reflects the 30 - day implied volatility (IV) trend as of the previous trading day. The commodity option implied volatility index is obtained by weighting the IV of the two - strike options around the at - the - money option of the front - month contract, reflecting the IV change trend of the front - month contract [3] - The difference between the IV index and historical volatility (HV) indicates the relative level of IV to HV. A larger difference means higher IV relative to HV, and a smaller difference means lower IV relative to HV [3] Group 2: Implied Volatility and Historical Volatility Graphs - The document presents graphs showing the IV, HV, and IV - HV differences for various financial and commodity options, including 300 - stock index, 50ETF, 1000 - stock index, 500ETF, and many commodity options such as silver, soybean meal, corn, etc [4] Group 3: Implied Volatility Quantile and Volatility Spread Quantile Ranking - Implied volatility quantile represents the current level of a variety's IV in history. A high quantile means the current IV is high, and a low quantile means the current IV is low. Volatility spread is the difference between the implied volatility index and historical volatility [5] - The document provides the implied volatility quantile rankings for different options, such as PVC with a quantile of 0.92, PTA with 0.39, etc [6]

1. Report Industry Investment Rating No information regarding the report industry investment rating is provided in the content. 2. Report's Core View The report focuses on the optimization of short strategies for China commodity options, analyzing the performance of different option - selling strategies, exploring directional and timing optimizations, and examining the impact of volatility environments on these strategies. It aims to find better investment opportunities and improve the win - rate of option - selling strategies through various optimization methods [7][12][45]. 3. Summary by Relevant Catalogs 3.1 Backtesting of Short Strategies - **Performance of Short Put Options**: In different gold price scenarios (rally, decline, and range - bounded move), the short put option can earn normal returns in rallies and range - bounded moves but may experience significant drawdowns in declines. In the past year, long - term holding of short put options on gold has shown good results, but protection against sharp declines is needed [7]. - **Directional Optimization of Short Put Options**: By using moving - average (MA) for directional timing (opening positions when the short MA crosses above the long MA and closing otherwise), the strategy has achieved better results in the past year, with a 50% increase in annualized return compared to standalone puts and about a 2% reduction in drawdown [12]. - **Problems with Short Call Options**: In the first half of 2025, the continuous and sharp rise in gold prices led to significant drawdowns in short call option strategies. Backtesting results from 2020.1 - 2025.5 show an annualized return of - 11.87% and a maximum drawdown of - 67.62% [19]. - **Directional Timing Optimization of Short Call Options**: When the 10 - day moving average crosses above the 20 - day moving average, closing short option positions can effectively avoid large drawdowns, reducing drawdowns by about 70%. After hedging, the annualized return of AU improved from - 11.87% to - 0.81%, and the maximum drawdown decreased from - 67.62% to - 20.93% [24]. - **Impact of Volatility on Short Straddle Strategy**: The short straddle strategy can earn income in range - bounded markets but incurs losses in rallies and declines. It has good long - term returns but faces recent drawdowns due to higher volatility [31]. - **Timing Optimization of Short Straddle Strategy**: The short straddle strategy with price - movement timing optimization has an annualized return of 6.05%, a maximum drawdown of - 9.97%, a win - rate of 60.21%, and a trade frequency of 1051 times, which is better than the non - optimized short straddle strategy [36]. 3.2 Volatility Environment Analysis - **Implied Volatility of Commodity Options - Outlook**: The implied volatility of commodity options tends to spike rapidly and decline slowly. This is due to market asymmetry, where sellers suppress IV in range - bounded markets, and when events occur, IV surges due to increased hedging and speculative demand, and then gradually declines as the market stabilizes [45]. - **Implied Volatility of Commodity Options - Example of Copper**: The short straddle strategy for copper options can continuously obtain time value at the Theta end and has a better holding experience as IV downtrends usually last longer. However, it needs to avoid the "double - kill" of Vega and Gamma caused by short - term IV spikes. The report aims to improve the win - rate by filtering short - straddle environments through volatility statistical features [50]. - **Review of Short Straddle Environments in Commodity Options**: Using a 20 - day rolling window to group implied volatility into 10 levels, the weekly performance of short straddle strategies for most commodities shows a "U - shape", performing better at low or high volatility levels and weaker at mid - range volatility. The preferred put - selling ranges are the 20 - day low (below 0.2 percentile) or 20 - day high (above 0.8 percentile), and short - straddling in these ranges for selected 10 commodities can optimize win - rates and payoff ratios [63][68]. - **Example of Lithium Carbonate Options**: When the implied volatility of lithium carbonate options retreats from highs and the option market activity is weak, it is suitable to deploy short option strategies [73].

Group 1: Implied Volatility Index and Historical Volatility - The financial option implied volatility index reflects the 30 - day implied volatility trend as of the previous trading day. The commodity option implied volatility index is obtained by weighting the implied volatilities of the two - strike options above and below the at - the - money option of the main contract, reflecting the implied volatility change trend of the main contract [3] - The difference between the implied volatility index and historical volatility: a larger difference indicates that the implied volatility is relatively higher than the historical volatility, while a smaller difference means the opposite [3] Group 2: Implied Volatility and Historical Volatility Graphs - There are graphs showing the trends of implied volatility (IV), historical volatility (HV), and their differences (IV - HV) for various financial and commodity options, including 50ETF, 1000 - stock index, 500ETF, ES, Shanghai Gold, corn, soybean meal, sugar, cotton, rubber, PTA, methanol, iron ore, crude oil, aluminum, zinc, urea, palm oil, rapeseed meal, Shanghai copper, PVC, and rebar [4][6][7][8][9][10][11][12][13][14][15] Group 3: Implied Volatility and Historical Volatility Quantiles - Implied volatility quantiles represent the current implied volatility level of a variety in history. A high quantile means the current implied volatility is high, and a low quantile means it is low [17] - The implied volatility quantile rankings are as follows: PTA (0.78), natural rubber (0.70), etc. [18] - The historical volatility quantile rankings are as follows: PTA (0.94), 50ETF (0.87), etc. [19]