| 张银 投资咨询从业资格号：Z0018397 zhangyin023941@gtjas.com | | --- | | 目录 | | 1. 市场综述 3 | | 2. 市场数据 6 | | 2.1 市场概览 6 | | 2.2 玉米期权 7 | | 2.3 豆粕期权 7 | | 2.4 菜粕期权 8 | | 2.5 棕榈油期权 8 | | 2.6 豆油期权 9 | | 2.7 菜籽油期权 9 | | 2.8 花生期权 10 | | 2.9 黄大豆 1 号期权 10 | | 2.10 黄大豆 2 号期权 11 | | 2.11 乙二醇期权 11 | | 2.12 苯乙烯期权 12 | | 2.13 白糖期权 12 | | 2.14 棉花期权 13 | | 2.15 PTA 期权 13 | | 2.16 PX 期权 14 | | 2.17 烧碱期权 14 | | 2.18 橡胶期权 15 | | 2.19 BR 橡胶期权 15 | | 2.20 聚乙烯期权 16 | | 2.21 聚丙烯期权 16 | | 2.22 甲醇期权 17 | | 2.23 液化石油气期权 17 | | 2.24 PVC 期权 18 | ...

| 看涨期权 | | | 看跌期权 | | --- | --- | --- | --- | | 品种 | 日涨跌幅 | 品种 | 日涨跌幅 | | 锰硅 | 133.33% | PVC | 41.32% | | 硅铁 | 37.72% | 多晶硅 | 39.68% | | 碳酸锂 | 25.94% | 棕榈油 | 37.41% | | 白糖 | 24.50% | 短纤 | 36.78% | | 铂 | 17.20% | 塑料 | 33.14% | | 液化石油气 | 15.95% | 合成橡胶 | 30.77% | | 燃料油 | 6.89% | 纯苯 | 28.69% | | 铸造铝合金 | 6.09% | 甲醇 | 28.40% | | 豆粕 | 4.12% | 工业硅 | 26.64% | | 铅 | 4.07% | 氧化铝 | 26.41% | 备注：上述涨跌幅统一以各品种主力合约的平值期权为标的，并以其 收盘价作为计算基准。 表 2：期权持仓 商品期权日报(2026 年 02 月 27 日) 表 1：期权行情 | 看涨期权 | | | 看跌期权 | | --- | --- | --- | --- | ...

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - Not provided in the content 3. Summary by Relevant Catalogs 3.1 Market Overview - The report presents the trading volume and open interest data of the commodity options market, including the overall market and different sectors such as agriculture, energy and chemicals, black metals, precious metals, and non - ferrous metals and new energy. The overall trading volume of the market this week was 6,628,465.8, a decrease of 0.95% from last week, and the open interest was 7,083,253, a decrease of 0.24% from last week. Among them, the trading volume of agricultural products increased by 0.48%, while the trading volume of other sectors decreased to varying degrees [5]. 3.2 Market Data 3.2.1 Market Overview - The report provides the quantitative data of commodity options, including the at - the - money volatility, 60 - day quantile, skew, and 60 - day skew quantile of various options. For example, the at - the - money volatility of corn options is 8.65%, and the 60 - day quantile is 13.33% [15]. 3.2.2 - 3.2.61 Various Option Data - For each type of option (such as corn options, soybean meal options, etc.), the report details the closing price, trading volume, open interest, volume PCR, open interest PCR, at - the - money volatility, HV - 10 days, HV - 20 days, and skew of the main and secondary contracts. For example, for corn options, the total trading volume of the main contract this week was 145,658, an increase of 48,066 from last week, and the volume PCR was 0.4574, a decrease of 0.0707 from last week [17].

Report Summary 1. Report Industry Investment Rating - No information provided in the given content. 2. Core View - No information provided in the given content. 3. Summary by Relevant Catalogs Option Quotes - **Call Options**: Copper had the highest daily increase of 137.59%, followed by tin (59.18%), aluminum (54.56%), etc. [1] - **Put Options**: Caustic soda had the highest daily increase of 42.22%, followed by sugar (23.39%), soybean meal (22.22%), etc. [1] Option Positions - **Call Options**: Silver had the largest daily change in position of 27,327, followed by caustic soda (11,858), rebar (9,163), etc. [2] - **Put Options**: PVC had the largest daily change in position of 7,424, followed by glass (6,201), soybean meal (5,293), etc. [2] Option Position Put - Call Ratio (PCR) - **High - PCR Varieties**: Apple had the highest PCR of 1.5216, followed by propylene (1.2604), offset printing paper (1.0672), etc. [5] - **Low - PCR Varieties**: Alumina had the lowest PCR of 0.2117, followed by live pigs (0.2557), soda ash (0.2706), etc. [5] Option Volume Put - Call Ratio (PCR) - **High - PCR Varieties**: Apple had the highest PCR of 1.5728, followed by silver (1.427), iron ore (1.2379), etc. [6] - **Low - PCR Varieties**: Red dates had the lowest PCR of 0.1912, followed by alumina (0.1944), logs (0.2318), etc. [6] Daily Selections - **Call Options**: PVC, red dates, alumina, etc. were selected, with trend degrees ranging from 21 to 53 and put - call ratios from 0.21 to 0.94 [7] - **Put Options**: Lead, eggs, live pigs, etc. were selected, with trend degrees ranging from - 55 to - 45 and put - call ratios from 0.26 to 0.8 [7] Near - Expiry Options - **Call Options**: For lithium carbonate, industrial silicon, polysilicon, and fuel oil, the remaining days were all 3 days, with different break - even prices and price increase requirements for option doubling [8] - **Put Options**: Similar to call options, for these four varieties, the remaining days were 3 days, with different break - even prices and price decrease requirements for option doubling [8]

1. Market Overview - The total trading volume of the commodity options market this week was 8,927,530.8, up 0.4% from last week, and the total open interest was 9,142,747, up 0.02% [5]. - The trading volume of agricultural products options was 1,480,074.0, up 0.58%, and the open interest was 3,149,035, up 0.04% [5]. - The trading volume of energy and chemical options was 4,184,971.8, up 0.89%, and the open interest was 3,674,765, up 0.15% [5]. - The trading volume of black options was 340,558.0, down 0.65%, and the open interest was 738,944, up 0.12% [5]. - The trading volume of precious metal options was 812,581.6, down 0.97%, and the open interest was 334,994, down 0.37% [5]. - The trading volume of non - ferrous and new energy options was 2,109,345.4, up 0.42%, and the open interest was 1,245,009, down 0.21% [5]. 2. Market Data 2.1 Market Overview - The report provides the implied volatility, 60 - day quantile, skew, and 60 - day skew quantile of the at - the - money options for various commodities such as corn, soybean meal, and methanol [15]. 2.2 - 2.61 Specific Commodity Options - For each of the 61 types of commodity options (e.g., corn options, soybean meal options), the report details the closing price, price change, remaining trading days of the main and secondary contracts, as well as the trading volume, open interest, volume PCR, open interest PCR, at - the - money volatility, 10 - day historical volatility (HV - 10), 20 - day historical volatility (HV - 20), and skew. For example, in corn options, the main contract's closing price was 2271, down 29, with 14 remaining trading days [16].

1. Market Overview - The trading volume of the commodity options market this week was 8,107,246.6, a decrease of 0.35% from last week; the open interest was 8,979,179, a flat compared to last week [5]. - The trading volume of agricultural products was 1,293,877.0, a decrease of 0.63% from last week; the open interest was 3,022,708, a slight decrease of 0.0% [5]. - The trading volume of energy and chemical products was 3,424,908.4, a decrease of 0.85% from last week; the open interest was 3,183,176, a decrease of 0.01% [5]. - The trading volume of black commodities was 406,427.0, a decrease of 0.53% from last week; the open interest was 657,982, a decrease of 0.13% [5]. - The trading volume of precious metals was 1,073,667.6, an increase of 1.41% from last week; the open interest was 534,522, a decrease of 0.03% [5]. - The trading volume of non - ferrous metals and new energy was 1,908,366.6, an increase of 0.41% from last week; the open interest was 1,580,791, an increase of 0.15% [5]. 2. Market Data 2.1 Market Overview - The report provides the flat - volatility, 60 - day quantile, Skew, and 60 - day quantile of various commodity options, such as the flat - volatility of corn options was 9.56% with a 60 - day quantile of 43.33%, and the Skew was 7.15% with a 60 - day quantile of 51.67% [15]. 2.2 - 2.61 Specific Commodity Options - For each of the 61 specific commodity options (including corn, soybean meal, etc.), the report details data such as closing prices, trading volume (including call and put trading volume, total trading volume, and volume PCR), open interest (including call and put open interest, total open interest, and open interest PCR), flat - volatility, HV - 10 days, HV - 20 days, and Skew [16 - 75].

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - New Year commodity options have collectively seen an increase in volatility and trading volume. Some varieties in the chemical sector are about to expire, such as short - fiber, methanol, soda ash, glass, bottle chips, caustic soda, propylene, PTA, and sugar 03 series option contracts will expire on Tuesday, while crude oil near - month option contracts will expire on Wednesday. Most implied volatilities are at high levels, and attention should be paid to the risk of rapid time - value erosion [5]. 3. Summary According to Relevant Catalogs 3.1 Market Overview - The trading volume of the commodity option market this week was 9,363,712.6, up 2.45% from last week; the open interest was 8,928,161, up 0.16% from last week. Among them, the trading volume of agricultural products, energy and chemicals, and black products increased, while the trading volume of precious metals decreased, and the trading volume of non - ferrous and new energy products increased significantly [6]. 3.2 Market Data 3.2.1 Market Overview - The report provides the flat - volatility, 60 - day quantile, Skew, and 60 - day quantile data of various commodity options, such as the flat - volatility of corn options being 11.83% and the 60 - day quantile being 93.33% [15]. 3.2.2 - 3.2.61 Various Commodity Options - For each type of commodity option (such as corn, soybean meal, etc.), the report details the closing prices, price changes, remaining trading days, trading volumes (including call, put, and total), trading volume PCR, open interests (including call, put, and total), open interest PCR, flat - volatility, HV - 10 days, HV - 20 days, and Skew of the main and secondary contracts and all contracts [16][17][18]...[76].

Report Summary 1. Investment Rating No investment rating for the industry is provided in the report. 2. Core View During the week of December 22 - 26, 2025, the rapeseed meal market showed a fluctuating upward trend. The Canadian canola futures hit a nine - month low and still face pressure due to a record harvest, high inventory, and weak export demand, with no short - term trend improvement expected. The spot price of rapeseed meal increased. The import of Canadian rapeseed and rapeseed meal in the near - term is restricted, and the current oil mills are shut down, leading to a tight supply of rapeseed meal. However, Australian rapeseed is arriving at ports, increasing the long - term supply expectation. Meanwhile, soybean meal has a good substitution advantage, weakening the demand expectation for rapeseed meal. The rapeseed meal market is in a situation of weak supply and demand. In the short term, rapeseed meal will maintain a fluctuating trend with no significant fluctuations [2]. 3. Summary by Directory 3.1 Futures Market - **Contract Price**: The rapeseed meal futures price showed a fluctuating upward trend during the week. As of Friday, the main contract, rapeseed meal rm2605, closed at 2391 points, with a high of 2404 points and a low of 2309 points. The position was 650,686 lots, an increase of 52,198 lots from the previous week, and the trading volume was 1.6701 million lots, an increase of 321,800 lots from the previous week [4][5]. - **Variety Market**: In the weekly rapeseed meal futures market, all contracts rose to varying degrees. The total position of the variety was 779,859 lots, and the trading volume was 1,888,527 lots [7]. - **Related Market**: The rapeseed meal options traded 446,920 lots during the week, with a total position of 118,745 lots, an increase of 28,801 lots in position, and a total of 6 lots exercised during the week [9]. 3.2 Spot Market - **Spot Market Conditions**: The spot price of rapeseed meal showed a fluctuating upward trend during the week. On December 22, the benchmark price of rapeseed meal was 2,450 yuan/ton, and on December 26, it was 2,488.33 yuan/ton [11]. - **Basis Data**: The basis of rapeseed meal fluctuated gently during the week, ranging from 113 yuan/ton to 96 yuan/ton [12]. - **Registered Warehouse Receipts**: According to the warehouse receipt daily report of the Zhengzhou Commodity Exchange, as of Friday, the total warehouse receipts of rapeseed meal were 0, the same as the previous week [13]. 3.3 Influencing Factors - **Latest News**: The market has a strong expectation that the supply and demand of domestic rapeseed products will gradually become looser after December with the arrival of Australian rapeseed and Russian rapeseed oil in the 2025/2026 season. Although there was news that some Russian rapeseed oil was returned, which stimulated a short - term rebound in rapeseed oil prices, the overall trend of looser supply and demand remains unchanged, limiting the market's expectation of rapeseed meal price increases [16]. - **Technical Analysis**: The rapeseed meal rm2605 contract showed a fluctuating and strengthening adjustment during the week. The prices on Thursday and Friday rose strongly, indicating a short - term upward rebound. The price was above the moving averages of various periods, and the weekly low was effectively supported near the previous low. Attention should be paid to the pressure of the upper high on the price [17]. 3.4 Market Outlook The price of the rapeseed meal futures rm2605 contract was strongly influenced by market sentiment this week. In the short term, it may continue to maintain a fluctuating and strengthening pattern. However, there is still some uncertainty in the future trend. Later, attention should be paid to the impact of the Canadian rapeseed import policy and the arrival and operation of domestic imported soybeans and rapeseed on prices [20].

Core Viewpoint - The launch of options for rapeseed meal and oil at Zhengzhou Commodity Exchange has significantly transformed risk management in the industry and enhanced China's influence in the global oilseed market. Group 1: Trading Performance - The average daily trading volume of rapeseed meal options has increased from approximately 14,500 contracts in the first year to 196,400 contracts last year, positioning it among the top in global agricultural product options [1] - Rapeseed oil options also showed impressive performance, with trading volume doubling year-on-year in 2023 and a 77.26% increase in trading value in the first quarter of 2025 compared to the previous year [1] Group 2: Risk Management Strategies - The unique value of options has been tested in a volatile market, providing a "insurance" against significant losses, thus ensuring business stability [1] - The cost of buying options is typically only 10% to 30% of the futures margin, significantly reducing financial pressure on enterprises [2] - Options allow for more flexible risk management strategies compared to traditional linear hedging through futures, enabling enterprises to create non-linear, structured strategies [2] Group 3: Market Adaptation - Trade enterprises commonly use a "spot + buy put option" strategy for basic protection, allowing for flexible adjustments based on market conditions [3] - Over 60% of rapeseed oil trade and over 80% of rapeseed meal trade in China utilize a basis pricing model based on futures prices, with options enhancing the fairness and stability of this pricing model [3] Group 4: Global Engagement - The introduction of rapeseed options has attracted foreign traders from over ten countries, providing a convenient risk management channel and enhancing domestic enterprises' risk management capabilities [4] - The development of rapeseed options is facilitating China's transition from a "global oilseed buyer" to a "risk management solution provider," thereby reshaping the global oilseed trade order [4]

Group 1: Implied Volatility Index and Volatility Spread - The financial option implied volatility index reflects the 30 - day implied volatility (IV) trend as of the previous trading day, and the commodity option implied volatility index is obtained by weighting the IV of the two - strike options above and below the at - the - money option of the main contract, reflecting the IV change trend of the main contract [2] - The difference between the IV index and historical volatility (HV) indicates the relative level of IV to HV. A larger difference means IV is relatively higher than HV, and a smaller difference means IV is relatively lower [2] Group 2: Implied Volatility and Historical Volatility Charts - There are charts showing the IV, HV, and IV - HV differences for various financial and commodity options, including stock - index options (300 index, 1000 index, 50ETF, 500ETF), precious metals (silver, gold), agricultural products (soybean meal, corn, sugar, cotton), energy and chemicals (PTA, methanol, rubber), base metals (copper, aluminum, zinc, PVC), and others (urea, rapeseed meal, palm oil) [3][5] Group 3: Quantile Ranking of Volatility Index and Volatility Spread - The implied volatility quantile represents the current level of a variety's implied volatility in history. A high quantile means the current IV is high, and a low quantile means the current IV is low [6] - The volatility spread is the difference between the implied volatility index and historical volatility [6] - There are rankings of historical volatility quantiles and implied volatility quantiles for different varieties such as 300 index, 50ETF, PTA, etc. [7]