商品期权：从期权标的走势来看，本交易日黑色价格有所下降，能化价格有所上升，农产品、金属价格涨跌互现。从期权隐含波动率的角度来看，农产品、金属期权隐含波动率有所下降；能化、黑色期权隐含波动率涨跌互现。另外，铜、锌、原油、纯碱、硅铁、锰硅期权隐含波动率与历史波动率相差大于6%。从期权成交量和持仓量方面来看，本交易日是大商所及广期所部分商品期权最后一个交易日，对应期权持仓量有所下降。其余期权持仓量基本维持不变。本交易日，玉米、橡胶、聚丙烯期权成交量分别上升193.29%，112.14%，102.01%。白糖期权成交量则下降43.7%。白银期权隐含波动率自周二以来逐日攀升，目前再次逼近历史最高点，建议下周逢高构建做空白银期权隐含波动率策略。

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 603093 6/7/2024 IV IV 20HV -6.03% 20HV . -0.03% -0.01% -0.01% 110IV/90IV 110IV/90IV -0.04% -19.17%14.50% -8.94% 0.03% . -14.50% -8.26% 0.01% -0.03%0.01% 0.02% % -0.02% % %0.01% % % 0.00 1.02% % 0.28 99.24% 00% 0. 13.15% % -0.09 14.17% 0.00 -0.23% 56.70% 00% 0. 14.81% 0.07% 14.58% -3.89% 71.50% 01% -0 22.66% 0.02% 18.77% -0.01 5.05% % 2.87 105.58% 00% 0. 17.11% % -0.95 22.16% 0.00 -0.82% % 3.93 82.98% 00% 0. 12.70% % -0.05 11.88% -0.64% % 4.20 79.39% 9.58% 1.77% 8.94% 0.00 -3.33% % 2.62 74.00% 00% 0. 21.86% % -0.24 18.53% -3.92% 82.01% 20.06% 0.79% 16.14% 2.57% 113.17% 15.21% 0.40% 17.78% -4.36% 81.72% 6.48% 2.12% 5.43% 99.96% 01% -0 12.74% -0.05% 18.17% 291857 2702 2 816783 -265972 0.45 -0.04 0.55 0.00 28431 -96 80 12479 -71816 0.40 -0.83 0.09 -0.34 10060 305 4 18513 -5228 0.48 0.00 0.63 -0.02 73114 919 5 91239 -50129 0.79 -0.02 0.90 0.11 81752 1336 9 128207 -1490 0.55 -0.17 0.75 0.00 180428 118909 234670 -239381 0.77 -0.24 0.83 0.13 176045 -136646 426221 -5973 0.44 0.02 0.43 -0.01 167566 34395 338004 5421 0.51 -0.22 0.45 -0.02 266354 123352 114323 -81301 0.59 -0.06 0.60 0.06 173078 544 3 585860 -7261 0.45 -0.03 0.58 0.01 8915 -25 73 53626 -96 0.77 -0.08 0.64 0.00 3494 -8 0.23% -0.40% 1243415 93225 1989566 -21520 4653 9 0.35% 0.88% 75158 - 33902 79730 -10316 4044 6 0.97% -0.33% 113841 263 86826 -3841 8008 72 1.83% 0.61% 509695 56830 704999 -9584 8612 -2 0.47% -0 .09% 515246 - 12452 309832 -661 2489 50 1.97% 1.76% 570109 407884 630740 315446 6301 -1 0.32% -0.97% 401335 -169625 392086 -4589 2756 -22 -0.54% -0 .58% 898234 62493 892807 31915 7800 66 2.04% 0.49% 754281 105273 564100 19759 15135 -10 0.00% -0.46% 256950 - 20460 551371 4412 9064 -6 0.07% -0.40% 55834 - 2687 103923 -2298 17.07% -0.07% 17.15% -0.02% 84.05% 7.78% -0.08% 0.02% 40.17% 4.27% 45.09% -0.01% 112.01% 12.12% -4.92% 0.05% 19.64% 0.30% 28.70% 0. 00% 75.19% -2.09% -9.06% 0.01% 17.68% -1.30% 17.79% 0. 00% 77.24% -2.71% -0.11% -0.01 % 17.72% -1.12% 24.27% -0.01% 73.31% -1.98% -6.55% 0.00 % 7.20% -19.31% 20.49% -0.02% 100.58% 8.34% -13.29% -0.17% 23.83% 1.28% 35.08% 0.03% 88.22% -13.82% -11.25% -0.02 % IV IV 20HV20 110IV/90IV 110IV/90IV HV PCR PCR PCR 南华期货 PCR 60861 -22930 88050 -1084 0.50 -0.13 1.04 0.01 327241 55469 265207 11691 0.75 -0.09 1.06 0.02 109225 -10169 113566 1035 0.95 -0.13 1.21 -0.02 83054 -6933 106453 -144 0.67 -0.56 0.99 -0.01 62049 -9421 53883 -579 0.99 -0.62 1.41 -0.03 126027 3426 53641 -249670 0.54 -0.08 0.31 0.07 237478 88997 80725 -150059 0.58 0.17 0.42 0.09 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 562.3 0.16 0.54% -1.26% 187056 -11764 183009 14 49 8221 185 3.76% 0.72% 2104715 373037 402366 16621 81530 280 0.75% -0.10 % 115954 -19431 176830 - 394 21220 -60 -0.02% -0.19% 157654 -16885 160267 -10922 24165 80 0.71% 0.96% 141977 -59521 72569 -6083 100050 -1100 -0.40% -1.20% 92938 -2067 154804 -4 471 12305 -160 -1.56% -1.84% 353542 163685 196889 19 2 IV IV 20HV20 110IV/90IV 110IV/90IV . HV 南华期货 29.41% -0 .98% 21.71% 0.00% 87.53% -1 .60% 7.70% -0 .01% 38.31% -0 .08% 45.32% 0.00% 117.34% 26.58% -7.01% 0. 00% LPG 24.05% 24.05% 23.09% -0.01% 41.95% 0 .28% 0.96% 0.25% PTA 12.79% -0.07% 10.82% 0 00% 90.87% 14.16% 1.97% 0. 00% 24.53% 2. 79% 22.66% 0.01% 126.28% 35.02% 1.87% 0. 02% 17.15% -0 .09% 17.11% 0 00% 95.42% 3 .03% 0.04% 0.00% PVC 17.99% 0. 48% 22.72% 0 00% 101.38% 18.19% -4.73% 0. 01% 11.62% 0. 74% 11.52% 0 00% 90.74% -0 .51% 0.10% 0. 01% 12.59% 0. 56% 12.29% 0 00% 99.06% -1 .25% 0.30% 0. 01% 13.37% -0 .12% 11.58% 0 00% 86.59% -5 .67% 1.79% 0.00% 2.94% -14.06% 19.21% 0.00% 82.40% 6 .88% -16.27% -0.14% 9.47% 0. 35% 10.35% 0.00% 60.76% 3 .30% -0.88% 0. 00% 25.46% -0 .67% 27.46% 0 00% 82.77% -13.39% -2.00% 0. 00% 14.00% 0. 80% 11.55% 0.00% 89.66% 3 .67% 2.45% 0. 01% . . . . PCR PCR PCR PCR . . 66757 4200 46947 -1658 0.70 -0.12 0.39 0.04 472604 183330 488840 1095 0.66 -0.10 1.03 -0.04 LPG 44918 -1344 13038 -42761 0.44 0.00 0.59 0.11 PTA 205077 27282 460319 5578 0.65 -0.06 0.80 0.00 138143 73023 89788 4916 0.36 -0.03 0.62 0.05 144296 -1569 310589 1032 0.77 -0.05 0.78 -0.03 PVC 193515 -50686 213065 -183862 0.36 -0.23 0.44 0.12 18174 5823 50349 645 0.30 -0.12 0.66 -0.04 11765 5941 41806 990 0.29 0.04 0.49 -0.03 19468 2446 87565 302 0.34 -0.26 0.53 0.00 136096 9617 6840 -107887 0.74 -0.22 1.19 0.28 32290 2880 56207 414 0.75 -0.04 0.82 -0.04 15400 2075 44757 1166 0.97 0.07 1.15 -0.01 14189 -2600 35383 557 0.76 -0.50 0.70 0.03 . -0.59% . . 571977 3 -59188 LPG PTA PVC -0.47%1.20% . . .0.95% . .0.69% 66295 -343835 -28396 30989 -37149 -37958 9 -16839 0 8 6338 10652 1917 97722 42 92 58955 0.62% 60 8500 224134 87 38 273043 44% 0 -1.30% -25 2126 159192 568 26 104553 49% 0 0.79% 60 7404 -780 222844 431 36 273674 0.39% 41 9424 -911 328438 287 47 225164 11% 0 0.20% 3 4557 410165 294 14 292374 05% 0 0.26% 9 7682 -767 429905 836 31 318981 03% 0 0.45% 16 8544 810992 1307836 0.69% 21 6287 754058 648498 -0.55% -10 2554 246