波动率数据日报 永安期货期权总部 更新时间: 2026/1/5 隐波指教分位教与波动率价差分位费排名图 1、隐波分位数代表当前品种隐波在历史上的水平。分位教高代表当前稳波偏高。分位数低代表稳疲隔低。2、波动率价差书急按指数十历史皮 动率。 隐含波动率分位数排名 历史波动率分位数排名 PTA - PTA PVC 日期 1000 G 3.05 th The t 0.2 0.4 05 o.6 0.7 0.8 0.9 0.1 0.3 0 0.1 0.3 0.4 0.5 0.6 0.7 0.8 I 0 0.2 ora 1 、隐含波动率指数、历史波动率及其价差走势图 1、金融期权隐含波动率指数反映截止上一交易日的30日隐波走势,商品期权隐含波动 率指数通过主力月平值期权上下两档隐波加权所得,反映主力合约的隐波变化趋势。2 隐波指数与历史波动率的差值,差值越大反映隐波相对历史波动率越高,差值越小代 表隐波相对历史波动率越低。 70 -300股指 IV -- 300股指 HV IV-HV美 IV-HV套 - 50ETF IV - 50ETF HV 20 BO IV-HV差 -- 1000股指 IV -- 1000股指 HV ...

能源化工期权策略早报概要：能源类：原油、LPG；聚烯烃类期权：聚丙烯、聚氯乙烯、塑料、苯乙烯；聚酯类期 权：对二甲苯、PTA、短纤、瓶片；碱化工类：烧碱、纯碱；其他能源化工类：橡胶等。 策略上：构建卖方为主的期权组合策略以及现货套保或备兑策略增强收益。 表1：标的期货市场概况 | 期权品种 | 标的合约 | 最新价 | 涨跌 | 涨跌幅 | 成交量 | 量变化 | 持仓量 | 仓变化 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | （%） | (万手) | | (万手) | | | 原油 | SC2602 | 432 | -6 | -1.46 | 5.20 | -1.41 | 2.96 | -0.08 | | 液化气 | PG2602 | 4,132 | 40 | 0.98 | 8.66 | 1.37 | 5.94 | -0.32 | | 甲醇 | MA2602 | 2,207 | 21 | 0.96 | 13.53 | 3.48 | 4.46 | -0.95 | | 乙二醇 | EG2602 | 3,649 | -57 ...

Report Industry Investment Rating - Not provided in the content Core Viewpoints of the Report - The trading volume of the commodity options market increased slightly this week, with an average daily trading volume of 8.17 million lots and an average daily open interest of 7.17 million lots, showing week - on - week changes of +10.16% and +5.30% respectively. Investors are advised to focus on potential market opportunities in actively traded varieties [1][7]. - The underlying futures of commodity options showed mixed price movements. Some varieties with high weekly increases include nickel (+4.81%), glass (+2.84%), and soybeans No. 1 (+2.74%); those with high weekly decreases include lithium carbonate (-6.85%), silver (-6.74%), and tin (-4.62%) [2][14]. - Most commodity options' implied volatility increased weekly. For varieties with implied volatility at a historical high, investors should be wary of one - sided risks and consider short - volatility opportunities; for those at a historical low, buying options has a higher cost - performance ratio [2][14]. - The PCR of trading volume and open interest of different varieties reflects different market sentiment. Some varieties have a concentrated short - term bearish or bullish sentiment [2][14]. Summary by Relevant Catalogs 1. Commodity Options Market Activity - The average daily trading volume of the commodity options market this week was 8.17 million lots, and the average daily open interest was 7.17 million lots, with week - on - week changes of +10.16% and +5.30% respectively [1][7]. - The actively traded varieties in terms of daily average trading volume this week included silver (1.11 million lots), PTA (0.64 million lots), and p - xylene (0.64 million lots) [1][7]. - Five varieties had a trading volume increase of over 100%, with significant growth in p - xylene (+292%), pure benzene (+122%), and cotton (+107%) [1][7]. - Varieties with a significant decline in trading volume were pulp (-74%), rebar (-59%), and bitumen (-57%) [1][7]. - The varieties with high average daily open interest this week were glass (0.54 million lots), soda ash (0.48 million lots), and cotton (0.38 million lots). Ethylene glycol had a rapid week - on - week increase in open interest (+118%) [1][7]. 2. This Week's Main Data Review of Commodity Options 2.1 Underlying Price Movements - Varieties with high weekly increases included nickel (+4.81%), glass (+2.84%), and soybeans No. 1 (+2.74%) [2][14]. - Varieties with high weekly decreases included lithium carbonate (-6.85%), silver (-6.74%), and tin (-4.62%) [2][14]. 2.2 Market Volatility - Most commodity options' implied volatility increased weekly, and 45 varieties' current implied volatility was above the 50th percentile of the past year [2][14]. - Varieties with implied volatility at a historical high included silver, nickel, aluminum, copper, pulp, cotton, and plastic. Those at a historical low included iron ore and soybean oil [2][14]. 2.3 Options Market Sentiment - The trading volume PCR of lithium carbonate, tin, and apple was at a historical high, indicating a concentrated short - term bearish sentiment. The trading volume PCR of zinc, polypropylene, live pigs, cotton, and methanol was at a one - year low, indicating a concentrated bullish sentiment [2][14]. - The open interest PCR of lithium carbonate, silver, and p - xylene was at a historical high, while that of alumina, plastic, ethylene glycol, zinc, and aluminum was at a one - year low, reflecting different levels of bullish and bearish sentiment [2][14]. 3. Key Data Overview of Main Varieties - This chapter presents key data of main varieties, including trading volume, volatility, and options market sentiment indicators. Detailed data of more varieties can be found on the Dongzheng Fanwei official website (https://www.finoview.com.cn/) [19]. 3.1 Energy - Relevant data charts such as total trading volume, volatility, open interest PCR, and trading volume PCR of crude oil are provided [21][22]. 3.2 Chemicals - **PTA**: Data charts of total trading volume, volatility, open interest PCR, and trading volume PCR are provided [27][33]. - **Caustic Soda**: Data charts of total trading volume, volatility, open interest PCR, and trading volume PCR are provided [36][38]. - **Glass**: Data charts of total trading volume, volatility, open interest PCR, and trading volume PCR are provided [43][44]. - **Soda Ash**: Data charts of total trading volume, volatility, open interest PCR, and trading volume PCR are provided [49][51]. 3.3 Precious Metals - Data charts of total trading volume, volatility, open interest PCR, and trading volume PCR of silver are provided [58][59]. 3.4 Ferrous Metals - **Iron Ore**: Data charts of total trading volume, volatility, open interest PCR, and trading volume PCR are provided [72][68]. - **Manganese Silicide**: Data charts of total trading volume, volatility, open interest PCR, and trading volume PCR are provided [74][75]. 3.5 Non - Ferrous Metals - **Copper**: Data charts of total trading volume, volatility, open interest PCR, and trading volume PCR are provided [81][87]. - **Aluminum**: Data charts of total trading volume, volatility, open interest PCR, and trading volume PCR are provided [90][93]. 3.6 Agricultural Products - **Soybean Meal**: Data charts of total trading volume, volatility, open interest PCR, and trading volume PCR are provided [97][100]. - **Palm Oil**: Data charts of total trading volume, volatility, open interest PCR, and trading volume PCR are provided [103][104]. - **Cotton**: Data charts of total trading volume, volatility, open interest PCR, and trading volume PCR are provided [109][110].

1. Report Industry Investment Rating - No relevant content provided. 2. Core View of the Report - This week (2025.12.21 - 2025.12.26), the trading volume of the commodity options market increased slightly, with an average daily trading volume of 8.43 million lots and an average daily open interest of 7.03 million lots, showing a week-on-week change of +22.16% and +8.84% respectively. Investors are advised to focus on potential market opportunities in actively traded varieties [1][7]. - The underlying futures of commodity options showed mixed price movements this week. Most commodity options' implied volatility increased on a weekly basis. The market sentiment for different varieties also varied, with some showing a concentrated expectation of price decline and others showing an expectation of price increase [2][16][17]. 3. Summary by Relevant Catalogs 3.1 Commodity Options Market Activity - The average daily trading volume of actively - traded varieties this week included silver (1.52 million lots), PTA (0.69 million lots), and nickel (0.43 million lots). Five varieties had a trading - volume increase of over 100%, with significant growth in paraxylene (+461%), nickel (+196%), and rapeseed meal (+171%). Meanwhile, LPG (-79%), fuel oil (-79%), and soybeans No.1 (-71%) had obvious trading - volume declines. The varieties with high average daily open interest were glass (0.47 million lots), silver (0.45 million lots), and soda ash (0.45 million lots). Paraxylene (+282%) and PTA (+119%) had a relatively rapid week - on - week increase in open interest [1][7]. 3.2 This Week's Main Data Review of Commodity Options 3.2.1 Underlying Price Movements - The varieties with high weekly increases included silver (+14%), lithium carbonate (+5.34%), and PTA (+4.62%); the varieties with high weekly decreases included polysilicon (-2.14%) and Shanghai tin (-1.58%) [2][16]. 3.2.2 Market Volatility - Most commodity options' implied volatility increased on a weekly basis, with the current implied volatility of 42 varieties above the 50% percentile of the past year. The implied volatility of silver, nickel, lithium carbonate, paraxylene, and staple fiber increased by 22.06, 18.17, 11.59, 10.22, and 10.17 percentage points respectively. Varieties with implied volatility at a one - year high included silver, tin, nickel, aluminum, copper, and paraxylene; those with implied volatility at a one - year low included soybean oil [2][16]. 3.2.3 Options Market Sentiment - Currently, the trading - volume PCR of lithium carbonate and apples is at a historical high, indicating a short - term concentrated expectation of price decline in the market; the trading - volume PCR of live pigs, aluminum, rapeseed oil, corn, gold, and rubber is at a one - year low, indicating a concentrated expectation of price increase. The open - interest PCR of lithium carbonate, silver, paraxylene, and PTA is at a historical high, showing a high level of market sentiment for betting on price decline; the open - interest PCR of aluminum, ethylene glycol, zinc, and styrene is at a one - year low, indicating an accumulation of market sentiment for betting on price increase [2][17]. 3.3 Key Data Overview of Main Varieties - This chapter presents key data of main varieties, including trading volume, volatility, and options market sentiment indicators. More detailed data for more varieties can be found on the official website of Dongzheng Fanwei (https://www.finoview.com.cn/) [22]. 3.3.1 Energy - Relevant charts show the total trading volume, volatility, open - interest PCR, and trading - volume PCR of crude oil, but no specific data analysis in the text [23][24][27]. 3.3.2 Chemicals - **PTA**: Charts display the total trading volume, volatility, open - interest PCR, and trading - volume PCR, but no specific data analysis in the text [30][31][37]. - **Caustic Soda**: Similar to PTA, relevant data are presented in charts without specific text analysis [39][40][41]. - **Glass**: Charts show related data, and there is no specific text analysis [45][46][47]. - **Soda Ash**: Charts present relevant information, and no detailed text analysis [53][54][56]. 3.3.3 Precious Metals - Charts show the total trading volume, volatility, open - interest PCR, and trading - volume PCR of silver, with no specific text analysis [62][63][64]. 3.3.4 Ferrous Metals - **Iron Ore**: The total trading volume, volatility, open - interest PCR, and trading - volume PCR are presented in charts, and no detailed text analysis [70][71][72]. - **Silicomanganese**: Similar to iron ore, relevant data are shown in charts without specific text analysis [77][78][79]. 3.3.5 Non - ferrous Metals - **Copper**: Charts display the total trading volume, volatility, open - interest PCR, and trading - volume PCR, with no specific text analysis [85][86][90]. - **Aluminum**: Similar to copper, relevant data are presented in charts without detailed text analysis [92][93][95]. 3.3.6 Agricultural Products - **Soybean Meal**: The total trading volume, volatility, open - interest PCR, and trading - volume PCR are shown in charts, and no detailed text analysis [98][100][103]. - **Palm Oil**: Relevant data are presented in charts without specific text analysis [106][107][108]. - **Cotton**: Similar to the above, relevant data are shown in charts without detailed text analysis [114][115][117].

"期权工具正从'专业小众'走向'产业大众'，这既得益于市场生态的日益完善，也离不开交易所与期货公 司的协同培育。"东吴期货财富管理总部总经理赵静在谈及全国期货实盘大赛"郑商所期权专项奖"参与 情况时表示。作为连续5年获评行业A类A级，并屡获郑商所"优秀会员"称号的机构，东吴期货在期权市 场培育与产业服务领域积累了丰富经验。 东吴期货注册于上海，是由东吴证券控股的国资背景的期货公司，注册资本达10.318亿元，已形成以经 纪业务为主体，资管与风险管理子公司为两翼的发展格局。公司在全国设有29家分支机构，并依托旗下 风险管理子公司——上海东吴玖盈投资管理有限公司（下称东吴玖盈），构建起覆盖广泛的服务网络， 致力于成为长三角地区领先的衍生品综合服务商。在郑商所的期权品种中，公司坚持农产品与非农产品 并重，近3年来公司的PTA、纯碱、锰硅、对二甲苯等期权品种交易活跃度持续领先市场。 为提升市场认知与参与水平，东吴期货坚持开展线上线下培训会，并积极融入"郑商所杯"全国大学生金 融模拟交易大赛等多样化活动，帮助交易者和产业企业深入理解期货与期权的基础知识、相关法规及交 易规则，提升其交易能力与风险管理水平。 产业服务的精 ...

日度数据跟踪 2025 年 12 月 21 日 【商品期权日报 1222】商品期权成 交量 509 万张，PTA 期权 IV 上升 2.26% 重要事项：本报告版权归银河期货有限公司所有。未获得银河期货书面 授权，任何人不得对本报告进行任何形式的发布、复制。本报告的信息 均来源于公开资料，我公司对这些信息的准确性和完整性不作任何保证， 也不保证所包含的信息和建议不会发生任何变更。我们已力求报告内容 的客观、公正，但文中的观点、结论和建议仅供参考，报告中的信息或 意见并不构成交易建议，投资者据此做出的任何投资决策与本公司和作 者无关。 有关分析师承诺，见本报告最后部分。并请阅读报告最后一页的免责声 明。 分析师 谢怡伦 从业资格号：F03135587 投资咨询号：Z0021150 Tel：021-65789205 Email： xieyilun_qh@chinastock.com.cn 期 权 研 究 1 衍生品业务总部 | 一． | 行情速览 3 | | --- | --- | | 1.1. | 成交持仓量 3 | | 1.2. | 波动率 5 | | 二． | 品种研究 6 | | 2.1. | 豆粕期权 ...

Core Insights - The rapid development of the domestic options market has led to significant achievements for Zhonghui Futures, particularly in the 2025 live trading competition, showcasing the company's deep engagement in the options sector [1] Group 1: Market Participation and Growth - The number of industrial enterprises participating in Zhengzhou Commodity Exchange options trading increased by 59% year-on-year, indicating a shift in market participant awareness [1] - Zhonghui Futures reported a 79% year-on-year increase in trading volume from industrial clients in Zhengzhou Commodity Exchange options, with notable activity in glass, soda ash, and PTA products [1] Group 2: Policy Support and Service Innovation - The "Stabilizing Enterprises and Protecting Agriculture" project by Zhengzhou Commodity Exchange has acted as a catalyst, enhancing participation enthusiasm among small and medium-sized enterprises [2] - Zhonghui Futures has established a specialized workspace in Lujiazui, integrating real-time market data with industry research, and has created a "Learn-Practice-Evaluate" closed-loop system to help enterprises transition from reluctance to effective usage of options [2] Group 3: Strategic Empowerment and Professional Development - Zhonghui Futures has developed a series of option investment strategy framework courses, breaking down trading models into actionable guidelines, and provides daily quantitative reports that highlight key risk indicators for client decision-making [3] - The company has attracted numerous listed companies to its online services, positioning its options studio as a "second office" for industrial clients, and is guiding qualified enterprises to replicate off-market option revenue structures [3] Group 4: Future Outlook and Industry Ecosystem - The development of the Zhengzhou Commodity Exchange options market is fostering a new industry ecosystem, with on-market options providing pricing benchmarks for off-market derivatives, creating an integrated structure of basic, innovative, and application layers [3] - Zhonghui Futures aims to promote the "Insurance + Futures" model to channel financial resources into agriculture, exploring the integration of options into supply chain finance to help small farmers secure planting profits [3] Group 5: Market Cultivation and Competitive Edge - True market cultivation involves fostering independent thinking rather than merely transmitting knowledge, which has allowed Zhonghui Futures to stand out in a competitive market [4] - The company is leveraging its professional capabilities to enhance risk management for the real economy, contributing to a new chapter in financial services for the实体经济 [4]

波动率数据日报 永安期货期权总部 更新时间: 2025/12/3 一、隐含波动率指数、历史波动率及其价差走势图 0.80 ईम्न 65 0.59 PTA 0.71 45 0.40 15 0.68 50ETF 0.30 五年 0.57 PTA 0.26 白街 0.24 PVC | 0.15 天峻 0.16 r 天殿 0.12 300粒指 0.11 下米 0.10 雪 好 0.08 铁,4,6 0.05 50ETF 0.08 台新 0.05 线,46 0.04 L 雄花 PVC 0.01 0.00 棒花 互能 0.00 0 0.2 03 0.1 0.4 05 0.6 0.7 0.8 0 a 0.1 0 0.3 0.6 0.7 0.8 1 0.2 0.4 0.5 0 a 1 免费声明:本文所有内得均不符成改造仪、对文中信息的准确推料免费性不作任何保证;仅供学习交流。技资录像此作出的任何投资决策与产企司无关、授权仪为我 公司所有、未来市面许可。任何比高科个人不得以年同形式相談。提到发布。如引用、行发、规定明出处为水安和货公司、且不得进行有浮聚富的引用、量节科健改。 0.81 1、金融期权隐含波动率指数反映截止上一交 ...

Group 1: Report Overview - The report is an energy and chemical options strategy morning report, covering energy (crude oil, LPG), polyolefins (PP, PVC, plastic, styrene), polyesters (PX, PTA, short - fiber, bottle - chip), alkali chemicals (caustic soda, soda ash), and other energy - chemical products like rubber [2][3] - The recommended strategy is to construct an option portfolio strategy mainly based on sellers and spot hedging or covered strategies to enhance returns [3] Group 2: Underlying Futures Market Overview - The latest prices, price changes, price change rates, trading volumes, volume changes, open interests, and open interest changes of various underlying futures contracts are presented. For example, the latest price of crude oil SC2601 is 450, with a price change of - 3 and a change rate of - 0.75% [4] Group 3: Option Factor - Volume and Open Interest PCR - The volume PCR and open interest PCR of different option varieties are provided, along with their changes. For instance, the volume PCR of crude oil is 0.47 with a change of - 0.09, and the open interest PCR is 0.69 with a change of - 0.05 [5] Group 4: Option Factor - Pressure and Support Levels - The pressure points, support points, and their offsets, as well as the maximum open interests of call and put options, are given for each option variety. For example, the pressure point of crude oil is 540 and the support point is 430 [6] Group 5: Option Factor - Implied Volatility - The implied volatility data of different option varieties are presented, including at - the - money implied volatility, weighted implied volatility and its change, annual average implied volatility, call and put implied volatility, historical volatility, and the difference between implied and historical volatility. For example, the at - the - money implied volatility of crude oil is 26.915, and the weighted implied volatility is 29.07 with a change of 1.12 [7] Group 6: Strategy and Recommendations for Different Option Varieties Energy - related Options (Crude Oil) - Fundamental analysis: US refinery demand has stabilized and recovered. Shale oil production has slightly declined. OPEC's short - term supply is flat, and Russian exports are not blocked. Kuwait's refinery has resumed earlier than expected, weakening the support for low - sulfur fuel oil [8] - Market analysis: Crude oil prices showed a short - term weak and volatile trend in August, continued to be weak and bearish in September before gradually rebounding, fell sharply in October before rebounding, and showed a complex trend of shock, rebound, and then sharp decline in November [8] - Option factor research: The implied volatility of crude oil options fluctuates above the average level. The open interest PCR is below 0.80, indicating a weak market. The pressure point is 540 and the support point is 430 [8] - Strategy recommendations: Directional strategy - construct a bear spread portfolio of put options; Volatility strategy - construct a short - biased call + put option combination strategy; Spot long - hedging strategy - construct a long collar strategy [8] Energy - related Options (LPG) - Fundamental analysis: US propane inventory is starting to decline but remains at a high level. Crude oil prices are affected by supply surplus and geopolitical issues [10] - Market analysis: LPG prices showed a trend of rising and then falling in September, rebounding in October, and continued to rise in November, showing a pattern of rebound and consolidation after an oversold situation [10] - Option factor research: The implied volatility of LPG options has dropped significantly to near the lower - than - average level. The open interest PCR is around 0.80, indicating a weak market. The pressure point is 4500 and the support point is 4150 [10] - Strategy recommendations: Directional strategy - none; Volatility strategy - construct a long - biased call + put option combination strategy; Spot long - hedging strategy - construct a long collar strategy [10] Alcohol - related Options (Methanol) - Fundamental analysis: Port inventory has decreased, and enterprise inventory is at a relatively low level compared to the same period last year [10] - Market analysis: Methanol prices have been weak since August, showed a rebound after a low - level consolidation in September, and continued to be weak in October and November [10] - Option factor research: The implied volatility of methanol options fluctuates around the historical average level. The open interest PCR is below 0.60, indicating a weak and volatile market. The pressure point is 2300 and the support point is 2000 [10] - Strategy recommendations: Directional strategy - construct a bear spread portfolio of put options; Volatility strategy - construct a short - biased call + put option combination strategy; Spot long - hedging strategy - construct a long collar strategy [10] Other Options (Ethylene Glycol, Polypropylene, Rubber, PTA, Caustic Soda, Soda Ash, Urea) - Similar analysis frameworks are used for these options, including fundamental analysis, market trend analysis, option factor research, and corresponding strategy recommendations [11][12][13][14] Group 7: Charts - There are various charts for different option varieties, such as price trend charts, volume and open interest charts, open interest - PCR charts, implied volatility charts, historical volatility cone charts, and pressure and support point charts [15][16][17]

Core Insights - Wang Xiaolu won the "Zhengshang Futures Options Player Award" in her first participation in the national futures (options) trading competition, showcasing her skills in options trading [1] - Her successful strategy involved selling put options on PTA, capitalizing on market conditions and volatility [1][2] - Wang emphasizes the importance of risk management and has developed a method to keep risk levels below 70% to mitigate potential market shocks [1][2] Group 1 - Wang Xiaolu's notable trades included PTA, caustic soda, peanuts, and ferrosilicon, with a standout performance in PTA options [1] - The successful PTA trade involved selling put options during a market uptrend, allowing her to profit from volatility, direction, and time [1] - Wang's position management was effective, as she adjusted her positions upwards during the price increase, maximizing her gains [1] Group 2 - The biggest challenge faced during the competition was unexpected market volatility, which required using futures to hedge risks [2] - Wang Xiaolu's award has enhanced her sense of achievement and engagement as a professional investor [3] - For newcomers to options trading, she advises finding a good mentor and emphasizes the importance of practicing with simulated trading to improve skills [3] Group 3 - Wang highlights that successful trading does not require complex strategies but rather a clear understanding of market direction and effective psychological management [3] - Her transition from the stock market to the options market took two years, built on a deep understanding of the market and strict risk control [3] - The focus should be on effectively utilizing familiar strategies rather than chasing after complex ones [3]