波动率数据日报 历史波动率分位数排名 0. 83 300位指 0.84 中聘 0.54 PTA 0.80 PTA 0.27 五年 0.43 50ETF 0 39 PVC 0.38 24.4 6 0.19 天峻 0.38 300 版 猫 031 字母 019 棒花 0.18 45 0.05 0.16 HAR 0.04 75 87 0.26 炸花 0.04 五米 0.09 钟 0.03 45 0.07 品 析 L 0.02 白练 台新 0.01 I 0 0.2 03 0.6 0.1 0.4 05 0.7 0.8 0 a 1 0.1 0.3 0.6 0.7 0.8 0 0.2 0.4 0.5 0 a 1 永安期货期权总部 更新时间: 2025/8/25 一、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 IVHV差 - ...

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]

Core Insights - The evolution of the polyester industry in China is closely linked with the development of the futures market, transitioning from a "price taker" to a "rule maker" [2] - The recognition of futures as essential tools for polyester enterprises highlights their role in risk management and market insight [1][2] - The upcoming decade is expected to see rapid innovation in the futures market, with new products and tools emerging to address complex market challenges [2] Group 1 - The personal journey of a company executive reflects the broader growth of the polyester industry alongside the futures market [1] - Futures are not just for price discovery and hedging; they embody responsibility, wisdom, and trust within the industry [1] - The Zhengzhou Commodity Exchange is actively promoting the opening of polyester-related futures and options, enhancing the competitiveness of domestic enterprises [2] Group 2 - The future of the polyester industry is anticipated to be more stable and prosperous through collaboration with the futures market [3] - The importance of continuous learning and respect for market dynamics is emphasized for companies navigating future challenges [2]

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]

1. Macroeconomic Data Overview - GDP growth in Q2 2025 was 5.2% year-on-year, slightly lower than the previous quarter's 5.4% but higher than the same period last year's 4.7% [1] - The manufacturing PMI in July 2025 was 49.3%, down from 49.7% in the previous month and slightly lower than the same period last year [1] - The non-manufacturing PMI business activity index in July 2025 was 50.1%, slightly down from 50.5% in the previous month but similar to the same period last year [1] - Social financing scale increment in July 2025 was not provided, with the previous month at 1132 billion yuan and the same period last year at 770.7 billion yuan [1] - The year-on-year growth rates of M0, M1, and M2 in July 2025 were 11.8%, 5.6%, and 8.8% respectively. M1 and M2 growth rates increased compared to the previous month and the same period last year [1] - Financial institution RMB loans had a net decrease of 5 billion yuan in July 2025, compared to an increase of 224 billion yuan in the previous month and 26 billion yuan in the same period last year [1] - CPI in July 2025 was flat year-on-year, down from 0.1% in the previous month and 0.5% in the same period last year [1] - PPI in July 2025 was -3.6% year-on-year, the same as the previous month but lower than -0.8% in the same period last year [1] - Fixed asset investment (excluding rural households) cumulative growth rate in July 2025 was 1.6% year-on-year, down from 2.8% in the previous month and 3.6% in the same period last year [1] - The cumulative growth rate of total retail sales of consumer goods in July 2025 was 4.8% year-on-year, slightly down from 5.0% in the previous month but higher than 3.5% in the same period last year [1] - Export and import values in July 2025 increased by 7.2% and 4.1% year-on-year respectively, both higher than the previous month [1] 2. Commodity Investment Reference Comprehensive - From January to July 2025, stamp duty was 255.9 billion yuan, a 20.7% year-on-year increase. Securities trading stamp duty was 93.6 billion yuan, a 62.5% increase. In July alone, it was 15.1 billion yuan, a 125% increase from July 2024 [2] - Zhengzhou Commodity Exchange is promoting the research and development of innovative products like the BPI index futures and the opening up of polyester sector products [2] - Futures prices of many products such as cotton and urea have become important references for national macro - policy making. Many enterprises in different industries use the futures market to manage risks [2] - China's futures market has improved its internationalization level. As of July 2025, there were 24 specific open - ended futures varieties, and some futures companies have achieved 100% foreign ownership [3] - The London Metal Exchange's Hong Kong delivery warehouse was inaugurated, which is significant for Hong Kong's development as an international financial center and for promoting RMB use in commodity trading [3][4] Metals - The Chinese Foreign Ministry was unaware of reports about lifting rare - earth export controls to India [5] - Gold has had low volatility since June 2025. Global gold ETFs added 397 tons in the first half of the year. Gold prices may be supported by an over 80% probability of a September interest - rate cut [5] - The world's largest silver ETF reduced its holdings by 16.95 tons [5] - The US added 407 product categories to the steel and aluminum tariff list with a 50% tax rate [5] - UBS expects global gold demand to reach a new high since 2011 and forecasts gold prices to reach $3600 by the end of March 2026 and $3700 by the end of June and September 2026 [6] - On August 18, lead inventory reached a new high in over a month, while zinc, tin, nickel, copper, and aluminum inventories decreased [6] Coal, Coke, Steel, and Minerals - Shandong plans to raise coke prices, with different increases for different types of coke starting from August 19 [8] - Mexico proposes to restore the North American Steel Committee to improve trade relations with the US and reduce Asian steel imports [8] Energy and Chemicals - On August 19, US crude oil futures fell 1.12%. The decline was affected by the expected US - Russia - Ukraine talks, weak demand from India, and increasing supply pressure [9] - Six government departments held a photovoltaic industry symposium to regulate the industry's competition order [9] - US API crude oil inventory decreased by 24.17 million barrels in the week ending August 15 [9][10] - India's imports of Russian crude oil decreased in July, and state - owned refineries will seek alternative sources in August and September [10] Agricultural Products - The Ministry of Agriculture and Rural Affairs emphasized efforts to ensure a good autumn harvest, regulate the agricultural product market, promote farmers' income, and prevent risks [12] - The Ministry of Agriculture organized a meeting on preventing and controlling major pests and diseases in autumn crops [12] - New York Arabica coffee futures reached a two - month high due to concerns about Brazil's coffee production [12] - US exporters sold 228,606 tons of soybeans to Mexico for delivery in the 2025/2026 season [13] - Corn yields in Nebraska, US, are expected to be lower than in 2024 [14] - Indonesia opened its market to Brazilian beef and offal [14] - India will exempt cotton import tariffs from August 19 to September 30 [14] 3. Financial News Compilation Open Market - On August 19, the central bank conducted 580.3 billion yuan of 7 - day reverse repurchase operations, with a net injection of 465.7 billion yuan after 114.6 billion yuan of reverse repurchases matured [15] Key News - In July 2025, national general public budget revenue increased by 2.6% year - on - year. The cumulative revenue in the first seven months increased by 0.1% year - on - year [16] - Government - funded budget expenditures increased by 31.7% in the first seven months due to the expenditure of 2.89 trillion yuan from special bonds and special treasury bonds [16] - Some provinces' audit reports pointed out problems in the use and management of special bonds, including data inaccuracies, project delays, and misappropriation [17] - From September 1, three new conditions for withdrawing personal pensions were added [17] - The central bank increased the re - loan quota for supporting agriculture and small businesses by 100 billion yuan to support disaster - affected areas [18] - Guangdong plans to issue 2.5 billion yuan of offshore RMB local government bonds in Macau in late August [19] - The second batch of science and technology innovation bond ETFs is about to be submitted, with 14 fund companies involved [19] - There were uncertainties in the principal and interest payment of some bonds, and some companies faced major events such as being presented with a winding - up petition [19] - International credit rating agencies made ratings and outlook adjustments for some countries and companies [19] Bond Market Summary - Bond prices stabilized due to the stock market decline and the central bank's reverse repurchase operations. Most yields of major inter - bank interest - rate bonds decreased, and treasury bond futures rose [20] - In the exchange - traded bond market, some bonds rose while others fell [20] - The CSI Convertible Bond Index rose 0.16%, and the Wind Convertible Bond Equal - Weighted Index rose 0.37% [20][21] - Most money - market interest rates increased on August 19 [21] - Shibor short - term rates mostly increased [21] - The winning yields of some agricultural and national development bank financial bonds were announced, along with their subscription multiples [22] - Most inter - bank and silver - bank repurchase fixed - rate bonds increased [22] - Most European and US bond yields decreased [23] Foreign Exchange Market - The on - shore RMB against the US dollar closed at 7.1820 on August 20, down 28 points from the previous day. The central parity rate was 7.1359, down 37 points [25] - The US dollar index rose 0.12% in New York trading, and most non - US currencies fell [25] Research Report Highlights - Shenwan Fixed Income believes that from May, the bond market has been driven by asset allocation. In August - October, the bond market may face pressure from capital diversion and crowded trading structures [26] - Huatai Fixed Income suggests that the bond market should focus on defense. Insurance funds may start to accept 10 - year treasury bonds at a yield of 1.8%, while trading funds should wait for opportunities [26] - Yangtze River Fixed Income expects that the central bank's mention of preventing capital idling will not lead to a tightening of the capital market. Liquidity will remain reasonably abundant [26] - CITIC Securities reports that the bank wealth - management scale exceeded 32.67 trillion yuan in late July, and it is expected to reach over 33.5 trillion yuan this year [27] - Shenwan Fixed Income expects local bond issuance and net financing to increase significantly in the next period [27][28] - Xingzheng Fixed Income points out that bond ETFs may face redemption and selling pressure during market adjustments. Investors can choose more resilient ETFs and take advantage of price discounts [28] - Yangtze River Fixed Income believes that the central bank may restart open - market treasury bond trading in the fourth quarter when the 10 - year treasury bond yield is in a certain range [28] - CICC Research Report states that the market's pricing of the Fed's interest - rate cut has increased, but the Fed will be cautious due to the risk of "stagflation - like" conditions [29] Today's Bond Market Reminders - On August 20, 142 bonds were listed, 171 bonds were issued, 117 bonds were due for payment, and 112 bonds were due for principal and interest repayment [30][31] 4. Stock Market News - On August 20, the A - share market had a narrow - range shock, with the three major indices falling and the North Exchange 50 hitting a new high. Consumer electronics, CPO, and liquor sectors led the gains [32] - The Hong Kong Hang Seng Index fell 0.21%. Oriental甄选's stock price fluctuated greatly. South - bound funds had a large net purchase [32] - Brokers are competing for customers by offering low commission rates [32] - As of August 18, the margin trading balance exceeded 2.1 trillion yuan, reaching a 10 - year high [33] - Foreign institutions are increasing their positions in Chinese stocks. Many foreign institutions are optimistic about the Chinese stock market [34] - As of August 19, social security funds appeared in the top ten tradable shareholders of 89 stocks, with 20 new heavy - position stocks [34] - As of August 19, 666 A - share companies released their semi - annual reports, and over 60% achieved year - on - year profit growth [34]

在"走出去"方面，自2006年首批6家期货公司在中国香港设立子公司以来，截至今年上半年，期货公司共设立境外一级子 公司22家，二级子公司39家，三级子公司6家。此外，中国期货市场的开放举措还包括结算价授权合作、跨境商品ETF、交易 所境外注册等多个方面，上述举措持续推动了我国期货市场与国际接轨。 郑州商品交易所（以下简称"郑商所"）相关负责人表示，近些年，郑商所推进以境内期货特定品种为主的期货市场对外开 放，扩大合格境外投资者参与品种范围，探索境内期货产品结算价授权等多元化开放路径，重点开展以下几方面探索： 一是持续扩大特定品种范围，加大期货期权国际化品种供给。截至目前，近800名境外客户在郑商所开户，来自中国香 港、新加坡、英国、阿联酋等33个国家和地区。 二是稳步对合格境外投资者开放部分商品期货期权，引导合格境外投资者有序参与市场。现阶段，郑商所共有26个期货期 权品种对合格境外投资者开放，开放品种数量位居国内第二。截至目前，近170名QFI客户在郑商所开户，来自中国香港、新加 坡、英国等12个国家和地区。 本报记者 王宁 8月19日，在2025中国（郑州）国际期货论坛对外开放分论坛上，多位业内人士表示， ...

Core Viewpoint - The current stage of China's futures market is witnessing gradual internationalization, which is significant for enhancing the country's global pricing influence on major commodities. A series of opening measures are forming a "combination punch" for high-level institutional opening of the Chinese futures market, continuously promoting alignment with international markets [1] Group 1: Internationalization and Opening Measures - The high-level opening of the futures market is crucial for enhancing domestic and international market linkage and implementing major national policy decisions. The China Futures Association has indicated that further opening will help optimize the participant structure and improve market rules, thereby enhancing competitiveness and influence [2] - The futures market has actively explored internationalization in recent years, achieving significant results, with the internationalization level gradually increasing. Relevant institutional rules have been improved to create favorable conditions for foreign traders to participate in the Chinese futures market [2] - As of mid-2023, futures companies have established 22 overseas primary subsidiaries, 39 secondary subsidiaries, and 6 tertiary subsidiaries since the first batch of companies set up in Hong Kong in 2006 [3] Group 2: Specific Initiatives and Developments - Zhengzhou Commodity Exchange has been promoting the opening of the futures market with a focus on specific domestic futures varieties, expanding the range of qualified foreign investors. Currently, nearly 800 foreign clients from 33 countries and regions have opened accounts at Zhengzhou Commodity Exchange [3] - Zhengzhou Commodity Exchange has opened 26 futures options varieties to qualified foreign investors, ranking second in the country in terms of the number of open varieties. Approximately 170 QFI clients from 12 countries and regions have opened accounts [3] - The exchange has signed cooperation memorandums with 12 overseas exchanges, including the Singapore Exchange and Deutsche Börse, to explore practical service pathways for both parties' futures markets [4] Group 3: Future Recommendations and Strategies - The latest data indicates that as of mid-2023, the total number of tradable varieties for qualified foreign investors has reached 91, including 83 commodity varieties and 7 financial varieties [5] - Industry insiders recommend continuing to expand the range of specific varieties and solidifying the institutional foundation for the futures market's opening [5] - The China Futures Association suggests a steady expansion of the specific varieties pool, prioritizing mature and controllable risk futures options for inclusion in the opening list, allowing foreign investors to participate in trading, delivery, and hedging under existing rules [6]

中国期货业协会党委书记、会长杨光在致辞中表示，我国作为全球最重要的大宗商品消费国之一，在原 油、铁矿石、大豆等大宗商品上的对外依存度较高。开放的期货市场有助于形成真正反映亚太市场供需 的"中国价格"，提升我国在重要大宗商品的全球价格影响力，为我国初级产品国际贸易提供更为公平合 理的价格基准。同时，这也有利于降低企业跨境交易成本，推动产业链、供应链在全球范围内的高效配 置与深度融合，为构建开放有序、普惠包容的开放型世界经济贡献力量。 "近年来，我国期货市场在对外开放方面积极探索，取得了一系列重要成果，市场国际化程度逐步提 升。同时，相关制度规则不断完善，为境外交易者参与中国期货市场创造了更加便利的条件。"杨光建 议，持续扩容特定品种，稳步扩大开放"品种池"。在风险可控的前提下，可以以"成熟一个、纳入一 个"的节奏，继续扩大特定品种范围，优先将运行成熟、风险可控的期货期权品种纳入对外开放清单， 使境外投资者能够沿用现有较为完备、便利的制度规则，直接参与交易、交割和套保；同时配套优化跨 境资金结算、保税交割网络等，进一步降低交易者制度性成本。 郑州商品交易所（以下简称郑商所）相关负责人在致辞时表示，对外开放是提升大 ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - In the past week, the trading volume of commodity options increased slightly, mainly due to the increment brought by the rising volatility of the agricultural products sector. Meanwhile, the trading volume of the non - ferrous and new energy sectors decreased along with the decline of implied volatility. The implied volatility of non - ferrous sector options is at a relatively low level recently, and buying options for price reversal trading can be considered [5]. - The options of contracts such as soybean meal, corn, starch, iron ore, liquefied gas, polypropylene, PVC, plastic, palm oil, soybean No.1, soybean No.2, soybean oil, styrene, ethylene glycol, eggs, live pigs, and log 509 are about to expire. Attention should be paid to the end - of - month risks when changing contracts [5]. 3. Summary According to the Table of Contents 3.1 Market Overview - The trading volume of commodity options increased slightly last week, mainly due to the increment from the agricultural products sector. The trading volume of non - ferrous and new energy sectors decreased, and their implied volatility also declined. The implied volatility of non - ferrous sector options is at a recent low [5]. - The options of certain contracts are about to expire, and attention should be paid to the end - of - month risks [5]. 3.2 Market Data 3.2.1 Market Overview - The trading volume of the overall market this week was 8,808,344.8, with a week - on - week increase of 0.17%. The open interest was 8,996,228, with a week - on - week decrease of 0.27%. Among them, the trading volume of the agricultural products sector increased by 2.45%, that of the energy and chemical sector increased by 0.17%, that of the black sector increased by 0.4%, and that of the precious metals sector increased by 1.26%. The trading volume of the non - ferrous and new energy sectors decreased by 1.82%. The open interest of the agricultural products sector decreased by 0.1%, that of the energy and chemical sector decreased by 0.55%, that of the black sector decreased by 0.19%, and that of the non - ferrous and new energy sectors increased by 0.41% [6]. 3.2.2 - 3.2.55 Various Option Market Data - For each type of option (such as corn, soybean meal, etc.), detailed data on trading volume, open interest, volume PCR, open interest PCR, at - the - money volatility, HV - 10 days, HV - 20 days, and Skew are provided, including data for this week, last week, and their changes [12 - 44]. 3.3 Chart Analysis No relevant content provided.

le] and and the see and the seems of the seems of the seems of the seems of the seems of the seems of the seems of the seems of the seems of the seen and the seen and the seen 2025 年 8 月 12 日 投资咨询从业资格号： Z0018397 张银 zhangyin2@gtht.com 1. 期权策略 1.1 豆油看涨期权成交量上升,持仓量有所下降,但偏度重心有所回落,可考虑买入虚值看涨期权同 时卖出虚值看跌期权,适当进行对冲,构建做多策略。 2 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 | c2509 | . 2260 | -2 | 232359 | -35998 | 605565 | -32610 | | 豆粕 | m2601 | 30 ...