商品期权市场策略日报

OptionMarketStrategyReport 投资咨询业务资格：京证监许可【2012】75号 要点： 作者：金融衍生品研究中心牛秋乐执业编号：F0268914(从业)Z0002616(投资咨询)联系方式：010-68578820/niuqiule@foundersc.com 【行情复盘】 商品期权各标的普跌，市场风险偏好大幅下降。期权市场方面，商品期权成交量整体出现上升。目前锌期权、锰硅期权、黄金期权、铜期权、PX期权等认沽合约成交最为活跃,而烧碱期权、聚丙烯期权、PVC期权、合成橡胶期权、乙二醇期权等则在认购期权上交投更为积极。在持仓PCR方面,锌期权、锰硅期权、铜期权、尿素期权、纯碱期权等处于高位,碳酸锂期权、苹果期权、工业硅期权、PVC期权、原油期权等期权品种则处于相对低位。 作者：金融衍生品研究中心冯世佃执业编号：F3049858(从业)Z0015710(投资咨询)联系方式：fengshidian@foundersc.com 【交易策略】 成文时间：2024年6月3日星期一 近期大宗商品市场波动剧烈，预计未来将延续。建议前期涨幅较大的品种高位要注意盈利保护。此轮下跌过后，或迎来新的做多机会。 多头趋势品种:乙二醇。 多头趋势或反转:白银、苯乙烯、塑料、甲醇、菜油、短纤、聚丙烯、工业硅、锰硅、PVC、豆油、锌 空头趋势品种:豆一、碳酸锂、白糖。 高波动品种有：PVC、硅铁、豆油、白银、菜油、铝、工业硅、棕榈油、锰硅、LPG、苹果、聚丙烯、塑料、黄金、豆二、铜、纯碱、甲醇、苯乙烯、橡胶、烧碱、PX、豆粕、合成橡胶、短纤、PTA、铁矿石、菜粕、白糖、原油 目录 一、豆粕期权(M).............................................................................................................................................2二、白糖期权(SR).............................................................................................................................................6三、铜期权(CU)..............................................................................................................................................10四、玉米期权(C).............................................................................................................................................14五、棉花期权(CF)...........................................................................................................................................18六、橡胶期权(RU)..........................................................................................................................................22七、铁矿石期权(I)..........................................................................................................................................26八、PTA期权(TA)...........................................................................................................................................31九、甲醇期权(MA).........................................................................................................................................35十、黄金期权(AU)..........................................................................................................................................39十一、菜籽粕期权(RM).................................................................................................................................43十二、聚丙烯期权(PP)...................................................................................................................................47十三、塑料期权(L).........................................................................................................................................51十四、PVC期权(V).........................................................................................................................................55十五、铝期权(AL)...........................................................................................................................................59十六、锌期权(ZN)..........................................................................................................................................63十七、棕榈油期权(P).....................................................................................................................................67十八、原油期权(SC).......................................................................................................................................71十九、豆一期权(A)........................................................................................................................................75二十、豆二期权(B).........................................................................................................................................79二十一、豆油期权(Y).....................................................................................................................................83二十二、花生期权(PK)...................................................................................................................................87 二十三、菜油期权(OI)...................................................................................................................................91二十四、工业硅期权(SI)................................................................................................................................95二十五、白银期权(AG)..................................................................................................................................98二十六、螺纹期权(RB)................................................................................................................................102二十七、乙二醇期权(EG)............................................................................................................................106二十八、苯乙烯期权(EB).............................................................................................................................110二十九、碳酸锂期权(LC).............................................................................................................................114三十、合成橡胶期权