【期权策略周报】原油买入看跌期权收益显著，铁矿石期权卖出跨式获利

【期权策略周报0822】原油买入看跌期权收益显著，铁矿石期权卖出跨 式获利 原油买入看跌期权收益显著：近一周原油跌幅较大，且波动率上涨显著，故买入看跌期权最近一周收益率近3%，此外尿素、对二苯甲、PTA、等品种买入看跌期权也获得显著收益率；棕榈油期权、苹果期权和沪银期权最新一期买入看涨期权收益显著。。 铁矿石期权卖出跨式获利：铁矿石期权最新一新在买入跨式期权上收益为到-1.11%，即卖出跨式收益率为1.11%，宽跨式收益率0.89%，此外橡胶、合成橡胶、硅铁等期权均在卖出跨式期权上取得显著正收益；与之对应的是，原油、对二苯甲、沪铝和沪锌等期权在买入跨式期权上获得正收益。 **收益率计算方式：考虑到不同期权策略涉及到不同比例的资金使用效率，本报告中的收益率计算方式均为一手该策略的损益除以期初标的价格，以此方式使得各策略收益情况横向可比；针对时序的策略净值走势，按照同样的方式计算日度级别收益率，再转化为净值曲线。 风险提示：本报告内容仅作数据浏览使用，不构成任何投资建议。 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：F03091687投资咨询号：Z0021150Tel：021-65789205 Email： xieyilun_qh@chinastock.com.cn 期权研究 目录 一．策略表现速览3 二．策略分析5 2.1.看涨期权5 2.2.看跌期权6 2.3.跨式期权7 2.4.宽跨期权8 2.5.牛市价差9 2.6.熊市价差10 2.7.认购比例11 2.8.认沽比例12 2.9.备兑策略13 2.10.保险策略14 2.11.领口策略15 2.12.合成期货16 一．策略表现速览 图表1：商品期权策略周度收益率（1） 品种 合约 标的涨跌 IV涨跌 看涨期权 看跌期权 跨式期权 宽跨期权 牛市价差 熊市价差 豆粕 M2411 0.14% -8.82% -0.39% -0.44% -0.82% -0.83% 0.05% -0.05% 玉米 C2411 2.06% 6.93% 1.23% -0.66% 0.35% 0.57% 0.15% 0.18% 棕榈油 P2410 3.45% -5.20% 2.10% -1.03% 0.69% 1.07% 0.76% 0.37% 豆一 A2411 -0.76% -14.00% -0.37% 0.20% -0.32% -0.17% -0.13% -0.13% 豆二 B2410 0.55% -10.35% -0.20% -0.61% -0.96% -0.81% 0.07% 0.12% 豆油 Y2411 1.25% -5.67% 0.39% -0.79% -0.31% -0.39% 0.10% 0.08% 白糖 SR2501 -1.63% 0.93% -0.88% 0.50% -0.39% -0.37% -0.18% -0.27% 棉花 CF2501 1.42% -3.90% 0.66% -0.60% -0.13% 0.06% 0.11% 0.18% 菜籽粕 RM2411 -0.19% -2.88% -0.44% -0.28% -0.75% -0.73% 0.02% -0.14% 菜籽油 OI2501 0.96% -8.75% -0.04% -1.08% -0.96% -1.13% 0.18% -0.06% 花生 PK2410 0.46% -13.74% -0.13% -0.62% -0.66% -0.75% 0.11% 0.14% 苹果 AP2410 4.32% -5.68% 2.57% -1.19% 0.75% 1.38% 0.68% 0.62% 工业硅 SI2410 3.24% -19.90% 1.02% -2.00% -0.48% -0.98% 0.51% 0.29% LPG PG2410 0.78% -0.44% 0.12% -0.67% -0.65% -0.54% 0.13% 0.09% 聚丙烯 PP2410 0.48% 14.21% 0.24% -0.28% 0.09% -0.04% 0.15% 0.05% 聚乙烯 L2410 -0.39% 3.84% -0.27% -0.10% -0.46% -0.37% -0.08% 0.28% PVC V2410 2.34% 3.94% 0.99% -0.75% -0.33% 0.24% 0.40% 0.55% PTA TA2410 -3.80% 18.60% -0.73% 2.31% 0.86% 1.57% -0.70% -0.59% 甲醇 MA2410 1.60% -3.78% 0.68% -0.94% -0.33% -0.27% 0.16% 0.02% 橡胶 RU2409 1.13% -10.21% -0.08% -0.70% -1.38% -0.78% 0.57% 0.59% 原油 SC2410 -4.86% 21.98% -1.57% 2.80% 1.63% 1.24% -0.55% -0.57% 苯乙烯 EB2410 -0.92% 4.58% -0.54% 0.15% -0.57% -0.39% -0.17% -0.17% 乙二醇 EG2410 1.77% -10.15% 0.68% -0.67% -0.36% 0.01% 0.28% 0.35% 合成橡胶 BR2409 1.43% -25.89% 0.11% -0.86% -1.25% -0.75% 0.59% 0.49% 烧碱 SH2410 -0.90% 10.42% -0.57% 0.23% -0.39% -0.35% 0.12% 0.06% 对二苯甲 PX2501 -3.84% 13.55% -1.04% 2.11% 1.58% 1.07% -0.46% -0.52% 纯碱 SA2501 -1.26% 0.86% -0.85% 0.35% -0.73% -0.50% -0.16% -0.09% 短纤 PF2410 -0.83% 12.95% -0.20% 0.30% -0.17% 0.10% -0.26% -0.15% 锰硅 SM2501 -2.17% 0.11% -0.98% 0.59% -0.61% -0.39% -0.20% -0.16% 硅铁 SF2410 0.22% -18.43% -0.71% -0.87% -1.57% -1.58% 0.03% -0.06% 尿素 UR2501 -1.51% -5.05% -1.12% 0.39% -0.81% -0.73% -0.05% -0.03% 碳酸锂 LC2411 4.21% -10.16% 1.57% -2.15% -0.28% -0.58% 0.30% -0.11% 铜 CU2409 1.44% -16.53% 0.36% -0.69% -0.73% -0.33% 0.43% 0.41% 金 AU2410 1.32% 2.72% 0.49% -0.66% -0.54% -0.18% 0.23% 0.18% 铝 AL2409 3.25% -8.20% 1.87% -0.99% 1.21% 0.89% 0.33% 0.23% 锌 ZN2409 3.52% -21.93% 1.95% -1.21% 1.11% 0.74% 0.38% 0.34% 铁矿石 I2410 3.13% -10.54% 0.85% -1.74% -1.11% -0.89% 0.65% 0.08% 银 AG2409 4.42% -11.67% 2.28% -1.59% 0.09% 0.69% 0.67% 0.59% 螺纹 RB2410 1.76% 83.24% 0.87% -0.61% 0.35% 0.26% 0.13% 0.11% 资料来源：衍生品业务总部 图表2：商品期权策略周度收益率（2） 品种 合约 标的涨跌 IV涨跌 认购比例 认沽比例 备兑策略 保险策略 领口策略 合成期货 豆粕 M2411 0.14% -8.82% 0.44% 0.34% 0.53% -0.31% 0.08% 0.14% 玉米 C2411 2.06% 6.93% -1.08% 1.01% 0.83% 1.41% 0.18% 0.00% 棕榈油 P2410 3.45% -5.20% -1.34% 1.76% 1.35% 2.42% 0.32% -0.05% 豆一 A2411 -0.76% -14.00% 0.24% -0.45% -0.39% -0.56% -0.20% -0.07% 豆二 B2410 0.55% -10.35% 0.28% 0.84% 0.76% -0.06% 0.15% 0.03% 豆油 Y2411 1.25% -5.67% -0.29% 0.95% 0.86% 0.46% 0.07% -0.03% 白糖 SR2501 -1.63% 0.93% 0.70% -1.04% -0.75% -1.12% -0.25% -0.25% 棉花 CF2501 1.42% -3.90% -0.55% 0.96% 0.76% 0.82% 0.16% -0.01% 菜籽粕 RM2411 -0.19% -2.88% 0.47% 0.00% 0.26% -0.47% -0.02% -0.05% 菜籽油 OI2501 0.96% -8.75% 0.22% 0.97% 1.00% -0.12% -0.08% -0.26% 花生 PK2410 0.46% -13.74% 0.24% 0.91% 0.60% -0.16% -0.02% -0.13% 苹果 AP2410 4.32% -5.68% -1.90% 2.43% 1.74% 3.13% 0.55% -0.07% 工业硅 SI2410 3.24% -19.90% -0.51% 2.57% 2.22% 1.24% 0.22% -0.29% LPG PG2410 0.78% -0.44% 0.01% 0.85% 0.66% 0.11% -0.01% -0.10% 聚丙烯 PP2410 0.48% 14.21% -0.09% 0.39% 0.24% 0.20% -0.04% -0.19% 聚乙烯 L2410 -0.39% 3.84% 0.18% 0.67% -0.13% -0.50% -0.23% -0.15% PVC V2410 2.34% 3.94% -0.59% 1.85% 1.35% 1.59% 0.59% 0.05% PTA TA2410 -3.80% 18.60% 0.04% -3.48% -3.07% -1.49% -0.76% -0.06% 甲醇 MA2410 1.60% -3.78% -0.51% 0.98% 0.92% 0.66% -0.02% -0.04% 橡胶 RU2409 1.13% -10.21% 0.65% 1.88% 1.21% 0.42% 0.50% -0.08% 原油 SC2410 -4.86% 21.98% 1.02% -3.94% -3.30% -2.06% -0.50% 0.07% 苯乙烯 EB2410 -0.92% 4.58% 0.37% -0.48% -0.38% -0.77% -0.23% -0.07% 乙二醇 EG2410 1.77% -10.15% -0.41% 1.38% 1.08% 1.09% 0.41% 0.06% 合成橡胶 BR2409 1.43% -25.89% 0