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2018期权年中报告：八方风雨“权”力护航.pdf

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2018期权年中报告：八方风雨“权”力护航.pdf

2018 期权年中报告请务必阅读正文之后的免责条款部分 1 八方风雨 “权”力护航南华期货研究 NFR 南华期货研究所宋哲君 songzhejunnawaa 投资咨询证 : Z0013506 魏新照 weixinzhaonawaa 周小舒 zhouxiaoshunawaa 2 2018 年期权年中报告第 1章交易运行全回顾 . 3 . 3 . 3 . 9 . 16 1.2. 50ETF 交易情况 . 17 1.3. 隐含波动率 . 21 . 21 . 23 . 25 第章 . 28 . 28 . 28 . 29 . 31 . 32 . 32 . 32 . 36 . 37 第 3章铜期权 . 38 3.1. 国内外铜期权对比 . 38 3.2. 铜期权运用 . 41 3.2.1. : 41 3.2.2. 42 3.2.3. . 42 第 4章展望 . 43 4.1. 基本面展望 . 43 4.2. 期权策略展望 . 43 . 44 . 46 3 2018 年期权年中报告第 1章 00.511.522.533.505000010000015000020000025000030000020170331 20170419 20170505 20170522 20170608 20170623 20170710 20170725 20170809 20170824 20170908 20170925 20171017 20171101 20171116 20171201 20171218 20180103 20180118 20180202 20180226 20180313 20180328 20180416 20180503 20180518 20180604成交量成交 CPR（右轴） 4 2018 年期权年中报告 00.20.40.60.811.21.41.61.8010000020000030000040000050000060000020170331 20170419 20170505 20170522 20170608 20170623 20170710 20170725 20170809 20170824 20170908 20170925 20171017 20171101 20171116 20171201 20171218 20180103 20180118 20180202 20180226 20180313 20180328 20180416 20180503 20180518 20180604持仓量持仓 CPR（右轴） 00.511.522.533.502000040000600008000010000012000014000016000018000020170331 20170419 20170505 20170522 20170608 20170623 20170710 20170725 20170809 20170824 20170908 20170925 20171017 20171101 20171116 20171201 20171218 20180103 20180118 20180202 20180226 20180313 20180328 20180416 20180503 20180518 20180604成交 CPR（右轴）看涨成交看跌成交 5 2018 年期权年中报告 00.20.40.60.811.21.41.61.805000010000015000020000025000030000035000020170331 20170419 20170505 20170522 20170608 20170623 20170710 20170725 20170809 20170824 20170908 20170925 20171017 20171101 20171116 20171201 20171218 20180103 20180118 20180202 20180226 20180313 20180328 20180416 20180503 20180518 20180604持仓 CPR（右轴）看涨持仓看跌持仓 00.511.522.533.5405000010000015000020000025000020170331 20170419 20170505 20170522 20170608 20170623 20170710 20170725 20170809 20170824 20170908 20170925 20171017 20171101 20171116 20171201 20171218 20180103 20180118 20180202 20180226 20180313 20180328 20180416 20180503 20180518 20180604主力成交量主力成交 CPR（右轴） 6 2018 年期权年中报告 00.511.522.5010000020000030000040000050000060000020170331 20170419 20170505 20170522 20170608 20170623 20170710 20170725 20170809 20170824 20170908 20170925 20171017 20171101 20171116 20171201 20171218 20180103 20180118 20180202 20180226 20180313 20180328 20180416 20180503 20180518 20180604主力持仓量主力持仓 CPR（右轴） 00.511.522.533.5402000040000600008000010000012000020170331 20170419 20170505 20170522 20170608 20170623 20170710 20170725 20170809 20170824 20170908 20170925 20171017 20171101 20171116 20171201 20171218 20180103 20180118 20180202 20180226 20180313 20180328 20180416 20180503 20180518 20180604主力成交 CPR（右轴）主力看涨成交主力看跌成交 7 2018 年期权年中报告 00.511.522.505000010000015000020000025000030000035000020170331 20170419 20170505 20170522 20170608 20170623 20170710 20170725 20170809 20170824 20170908 20170925 20171017 20171101 20171116 20171201 20171218 20180103 20180118 20180202 20180226 20180313 20180328 20180416 20180503 20180518 20180604主力持仓 CPR（右轴）主力看涨持仓主力看跌持仓 050010001500200025003000350000.511.522.533.5420170331 20170418 20170503 20170517 20170602 20170616 20170630 20170714 20170728 20170811 20170825 20170908 20170922 20171013 20171027 20171110 20171124 20171208 20171222 20180108 20180122 20180205 20180226 20180312 20180326 20180411 20180425 20180511 20180525 20180608主力月期货价格（右轴）主力成交 CPR 主力持仓 CPR 8 2018 年期权年中报告 0500000100000015000002000000250000030000003500000400000005000010000015000020000025000020170331 20170419 20170505 20170522 20170608 20170623 20170710 20170725 20170809 20170824 20170908 20170925 20171017 20171101 20171116 20171201 20171218 20180103 20180118 20180202 20180226 20180313 20180328 20180416 20180503 20180518 20180604主力期权成交量主力期货成交量（右轴） 00.050.10.150.20.2520170331 20170418 20170503 20170517 20170602 20170616 20170630 20170714 20170728 20170811 20170825 20170908 20170922 20171013 20171027 20171110 20171124 20171208 20171222 20180108 20180122 20180205 20180226 20180312 20180326 20180411 20180425 20180511 20180525 20180608期权、期货成交比 9 2018 年期权年中报告 0500000100000015000002000000250000030000003500000010000020000030000040000050000060000020170331 20170419 20170505 20170522 20170608 20170623 20170710 20170725 20170809 20170824 20170908 20170925 20171017 20171101 20171116 20171201 20171218 20180103 20180118 20180202 20180226 20180313 20180328 20180416 20180503 20180518 20180604主力期权持仓量主力期货持仓量（右轴） 00.10.20.30.40.50.60.720170331 20170418 20170503 20170517 20170602 20170616 20170630 20170714 20170728 20170811 20170825 20170908 20170922 20171013 20171027 20171110 20171124 20171208 20171222 20180108 20180122 20180205 20180226 20180312 20180326 20180411 20180425 20180511 20180525 20180608期权、期货持仓比 10 2018 年期权年中报告 01234567010000200003000040000500006000070000800009000010000020170419 20170504 20170518 20170605 20170619 20170703 20170717 20170731 20170814 20170828 20170911 20170925 20171016 20171030 20171113 20171127 20171211 20171225 20180109 20180123 20180206 20180227 20180313 20180327 20180412 20180426 20180514 20180528成交量成交 CPR（右轴） 00.511.522.533.505000010000015000020000025000030000020170419 20170504 20170518 20170605 20170619 20170703 20170717 20170731 20170814 20170828 20170911 20170925 20171016 20171030 20171113 20171127 20171211 20171225 20180109 20180123 20180206 20180227 20180313 20180327 20180412 20180426 20180514 20180528持仓量持仓 CPR（右轴）

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