商品期权周报 I 2025/08/18—2025/08/22 隐波下降，市场震荡回落 本周摘要 波动率方面，截至本周五收盘，原油期权隐含波动率 28.91%,较 一周前下降-4.35%。碳酸锂期权隐含波动率 42.69%,较一周前下 降-5.54%。螺纹钢期权隐含波动率 11.35%,较一周前下降- 0.46%。纯碱期权隐含波动率 18.20%,较一周前下降-1.48%。黄 金期权隐含波动率 15.51%,较一周前下降-0.25%,较一周前下降- 1.48%。白银期权隐含波动率 18.06%,较一周前下降-0.21%。棕 榈油期权隐含波动率 15.61%,较一周前上升 0.14%。豆油期权隐 含波动率 21.60%,较一周前上升 2.06%。菜油期权隐含波动率 19.84%,较一周前下降-0.35%。橡胶期权隐含波动率 12.69%,较 一周前下降-2.85%。 本周商品期权成交量较上周大幅下降 24.45%，持仓量较上周下 降 24.29%。本周商品期权市场情绪较上周显著降温，期权隐含 波动率普遍下降。碳酸锂、纯碱期权隐含波动率较上周五下降均 超 4 个百分点，目前分别处于历史 60%-70%，30%-40 ...

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]

Investment Rating - The report suggests a cautious approach towards the agricultural commodities sector, recommending selling out-of-the-money call options for glass and considering buying out-of-the-money options for soybean meal and soybean oil as potential hedging strategies [2]. Core Insights - The report highlights a downward trend in futures prices for various agricultural commodities, with specific recommendations for trading strategies based on market volatility and price movements [2][3]. - It emphasizes the potential for price increases in soybean meal and soybean oil, suggesting that investors may benefit from buying options to hedge against risks [2]. Agricultural Data Summary - **Futures Market Statistics**: - Corn (c2505) closed at 2308 with no change, while soybean meal (m2505) decreased by 8 to 2885. Palm oil (p2505) saw an increase of 144 to 9106, indicating mixed performance across different commodities [3]. - **Options Market Statistics**: - The trading volume for corn options was 51,926, down by 40,988, with a put-call ratio (PCR) of 0.9533. Soybean meal options showed a significant drop in trading volume, indicating reduced market activity [6]. - **Volatility Indicators**: - The report provides insights into the implied volatility for various commodities, with soybean meal showing a 60-day historical volatility of 22.28% and corn at 10.98%, suggesting varying levels of market uncertainty [8]. Energy and Chemical Data Summary - **Futures Market Statistics**: - PTA (ta2505) closed at 4864, up by 22, while ethylene glycol (eg2505) decreased by 6 to 4538. The report notes significant changes in trading volumes across various chemical commodities [9]. - **Options Market Statistics**: - The trading volume for PTA options was 214,104, down by 111,296, indicating a decline in market engagement [10]. - **Volatility Indicators**: - PTA options showed a 60-day historical volatility of 14.64%, reflecting market expectations of price fluctuations [11]. Metal Data Summary - **Futures Market Statistics**: - Iron ore (i2505) closed at 774.0, with a slight increase of 1.0, while rebar (rb2505) decreased by 30 to 3252, indicating mixed performance in the metal sector [12]. - **Options Market Statistics**: - The trading volume for iron ore options was 124,608, down by 67,787, suggesting reduced trading activity [13]. - **Volatility Indicators**: - Iron ore options displayed a 60-day historical volatility of 15.68%, indicating moderate market uncertainty [14]. Precious Metals Data Summary - **Futures Market Statistics**: - Gold (au2506) closed at 681.24, down by 1.16, while silver (ag2506) decreased by 7 to 8069, reflecting a downward trend in precious metals [16]. - **Options Market Statistics**: - The trading volume for gold options was 70,981, down by 21,215, indicating a decline in market participation [18]. - **Volatility Indicators**: - Gold options showed a PCR of 1.593, suggesting a higher level of put options relative to calls, indicating bearish sentiment in the market [18].