商品期权：铜价经历前期逼仓事件后持续回落，目前铜期权隐含波动率已回归至较为正常水平

南华期货 南华期货 南华期货 南华期货 南华期货 南华期货 南华期货 南华期货 南华期货 603093 6/12/2024 HV IVIV20HV20110IV/90IV110IV/90IV PCR PCR PCR PCR 南华期货 18.37% -0.1 1% 12.08% 0.00 % 85.00% 4.59% 6.29% 0.00% 8.98% -0.24% 5.74% -0.01% 67.68% -10.69% 3.24% 0 .01% 16.81% -1.60% 14.86% 0.00 % 96.57% 5.96% 1.95% -0.02% 15.48% -0.1 4% 20.46% 0.00 % 87.52% -4.33% -4.98% 0 .00% 18.78% -0.0 1% 19.69% 0.00 % 107.34% 18.18% -0.91% 0 .00% 8.61% 0.3 9% 9.55% 0.02% 77.67% -0 15% -0.94% -0.02% 12.39% -0.29% 11.49% -0.02% 76.33% 0. 83% 0.90% 0.02% 20.78% -0.62% 16.82% 0.00 % 94.02% -11.92% 3.96% - 0.01% 18.89% 0.0 9% 24.46% 0.01 % 83.79% 15.45% -5.57% - 0.01% 14.89% -0.0 3% 15.10% 0.00 % 69.98% 5.00% -0.21% 0 .00% 14.95% 1.35% 9.19% -0.04% 108.81% 9.10% 5.76% 0.05% . 155134 41829 852589 21263 0.55 0.05 0.55 0.00 9627 -26 32 21765 2850 0.30 -0.05 0.25 0.03 11906 494 2 19987 2403 0.75 -0.14 0.55 -0.07 20578 -60 78 100186 3536 0.69 0.07 0.84 0.00 136933 56701 54352 -81663 0.79 -0.03 1.06 0.33 51585 107 6 256637 10875 0.82 0.25 0.83 0.01 116821 -60267 277224 -148758 0.75 0.06 0.40 -0.02 155911 46146 200860 -142279 0.76 0.11 0.46 0.03 69154 -11690 128348 5747 0.47 -0.08 0.56 -0.03 180367 -92 45 383602 -209570 0.60 -0.15 0.65 0.07 67761 49513 58593 5614 0.61 -0.72 0.54 -0.06 - 南华期货 3485 8 -0.11% 0.83% 1087413 336917 1988134 -1588 4647 2 0.00% 0.13% 62289 20587 70893 -7237 4024 14 -0.20% 0.91% 92987 9162 82361 1436 7942 84 0.03% 1.73% 416447 -4216 691438 189 8625 69 0.63% 1.75% 528210 126421 311719 7817 2492 7 0.12% 0.04% 305155 23561 673052 29121 6187 -7 -0.31% 1.39% 296880 96707 358621 -4014 2747 5 -0.29% 1.01% 831338 258526 899020 15233 7728 132 0.63% 3.32% 656034 19008 530285 -4999 14995 0 0.17% 1.16% 268045 39442 572408 7206 9082 -38 -0.20% -0.57% 286874 219101 104070 -831 - - IV IV 20HV20 110IV/90IV 110IV/90IV HV - 16.20% 1.27% 20.52% 0.00% 66.50% -1. 91% -4.32% 0.01% 34.30% 1.38% 51.77% 0.00% 95.16% -0. 05% -17.47% 0.01% 18.27% 0.64% 29.12% 0.00% 72.16% 4% -10.85% 0.01% 15.78% 0.1 6% 18.57% 0.00% 70.52% -5.00% -2.79% 0.0 0% 17.78% -0.78% 25.12% 0.00% 71.80% 0.4 5% -7.34% -0.01% 28.64% -1.23% 22.82% 0.00% 95.70% 6% 5.82% -0.02% 23.22% 0.58% 34.63% 0.02% 95.25% 5% -11.41% -0.01% PCR PCR PCR 南华期货 PCR 48508 -10 061 93021 1391 0.75 -0.20 0.91 -0.02 209838 -44714 297424 14331 0.96 0.14 0.89 -0.06 109429 32746 120401 3726 1.23 0.15 1.06 -0.08 88254 24045 108783 2987 0.77 -0.20 0.95 -0.04 62173 18228 55792 1187 1.33 0.16 1.15 -0.14 64685 17155 85953 14572 0.45 0.04 0.31 -0.03 54637 -13303 111158 8529 0.38 -0.10 0.39 -0.03 IV IV 20HV20HV 110IV/90IV 110IV/90IV LPG PTA 7.11% 3.19%18.51% PVC 21.67% 0.94% -1.03% 33.61% -8.66% -0.05% % % %0.03% % % % % % % % % % 0.00 2.18% 85.10% 0.00% 11.59% 4% -0.5 13.77% -0.01 -2.37% 129.74% 0.00% 27.38% 25.01% 0.01 0.45% 20.18% 76.78% 0.00% 10.30% % 0.57 10.75% 0.01 -1.41% 9% -2.8 72.62% 0.00% 19.07% 17.66% 0.00 1.90% 89% -11. 81.49% -0.01% 10.95% 3% -0.2 12.85% 0.00 -0.44% 2% -1.9 90.55% 0.00% 12.28% 1% -0.1 11.84% 0.00 0.29% 105.52% 0.00% 11.63% % 0.53 11.92% -0.01 -6.26% 22% -12. 99.46% 0.00% 22.87% 9% -0.6 16.61% 0.00 1.58% 6% -1.1 92.31% 0.00% 15.34% 3% -0.4 16.92% -1.88% 106.42% 0.00% 25.74% 23.86% 0.00 2.06% 7% -3.1 60.90% 0.00% 10.84% % 0.27 12.90% 0.01 0.44% 105.10% 0.00% 23.98% % 0.47 24.42% 0.01 -7.22% -38.13% 90.59% -0.02% 43.32% -1.55% 36.10% -6.38% 7% 0.1 88.54% 0.00% 23.59% -4.70% 17.21% PCR PCR PCR PCR 南华期货 南华期货 南华期货 南华期货 南华期货 南华期货 南华期货 南华期货 南华期货 南华期货 南华期货 南华期货 548.04 3.26 0.43% 3.57% 114508 499 167965 -3953 7762 82 0.32% 6.40% 981070 169144 388378 5122 79880 10 -0.26% 2.04% 99752 8425 176586 3208 20800 -105 -0.57% 1.28% 138313 -10661 140419 -9965 23555 -140 -0.74% 1.31% 117046 2212 62292 -4661 98450 1450 0.20% 3.93% 143742 39497 140001 -12299 12180 60 0.12% 2.30% 272707 7527 203114 5551 76043 38988 17415 -30460 1.04 0.21 0.52 0.09 311027 18713 277509 -231031 0.91 -0.0 4 1.46 0.50 LPG 13087 3548 17994 1903 0.22 -0.0 3 0.41 -0.10 PTA 228866 6786 336257 -133541 0.47 -0.07 0.87 0.09 112791 28055 98817 4820 0.28 -0.1 4 0.61 -0.01 157287 7864 195217 -125644 0.84 0.04 1.06 0.28 PVC 78258 10577 227713 7912 0.29 0.03 0.41 -0.02 13293 4564 51035 371 0.36 -0.01 0.69 0.03 12056 5125 43157 989 0.47 0.13 0.51 0.04 29532 3385 91983 -477 0.61 0.17 0.54 0.03 55370 36087 27571 12549 0.60 -0.61 1.05 -0.18 29781 2165 39491 -17780 0.66 0.14 0.94 0.12 12258 -6123 35958 -9244 0.68 -0.11 1.22 0.13 15837 800 35775 719 0.89 0.18 0.69 0.01 605.3 7.7 1.32% -1.36% 78555 46869 24428 -367 2175 5 -0.64% 3.00% 1023173 78620 685392 14055 LPG 4571 61 1.62% 0. 50% 164541 38752 91135 -2915 PTA 5962 16 0.61% -0.55% 506021 26663 809388 25725 15805 270 0.29% 2.18% 558809 602 8 237136 6448 2560 10 0.12% 0. 66% 502647 100 1 767017 6664 PVC 6242 12 -0.38% 0. 65% 1101814 38158 835249 -8734 8613 71 0.54% 0. 79% 291630 31140 452868 16387 7735 53 0.49% 0. 64% 269844 38046 402114 626 4567 15 0.04% 0. 11% 260040 543 0 324539 -7568 9610 95 1.23% 0. 40% 295453 66162 242557 14315 7464 28 0.40% -0.44% 83504 -17267 168625 -