Source: Zijin Tianfeng Futures Research Institute
[20240426] Commodity options: non-ferrous heat does not fade, black wind and clouds rise again
Market review
This report makes a comprehensive analysis of commodity options. Because there are many kinds of commodity options, and the market scale of some of them is small, so they only match the bid.Tiger'sRichesRumbleThe average daily trading volume of futures contracts is more than 20000 lots for analysis. The option contract only analyzes the varieties whose daily turnover is greater than or equal to 1000 lots.
The parity option price index is an index based on the weighted position of the closing price of the subscription and put parity options. The main purpose of this index is to reflect the price changes of equal value options in the market, and to consider the position distribution in the market by weighted average.
Arbitrage opportunities this week:
As of April 26th, 2024, it closed at 15:00, according to the data monitoring:
The difference between historical volatility (HV) and implied volatility (IV) of manganese silicon options is 0.Tiger'sRichesRumble.12, historical volatility (HV) is significantly higher than implied volatility (IV). According to the IV-HV difference regression model, we can pay attention to the difference and choose the appropriate IV or HV value to carry out arbitrage trade.
Nearly a week (2024Tiger'sRichesRumble4.22-2024.4.26) Commodity futures and options markets as a whole are affected by domestic and foreign economic policies and supply and demand factors show different upward and downward trends. Futures price index: agricultural products & soft merchant category, non-ferrous category, energy category, black commodity shows an upward trend.Tiger'sRichesRumbleIn terms of equal value option price index: except for black, agricultural products-soft merchants, non-ferrous and chemical commodities have different declines.
Summary of energetic commodity options:
Underlying price-par option price index: the price of chemical futures varies. Soda ash has a big increase compared with last week, by 9.09% and PVC by 1.58%. LPG fell by 0.04% and urea by 0.05%. In terms of the average option price index, soda ash has a larger increase than last week, up 90.83%, PVC has a larger increase than last week, 28.98% polyethylene has a larger decline than last week, a decline of 5.57%, urea has a larger decline than last week, a decline of 7.72%
Market sentiment: in the PCR index of average position on Sunday, the rise and fall of energy commodity option index is different, and the differentiation of market long and short sentiment is obvious. The PCR value of urea option position this week is 0.35, and the short-term bearish sentiment of the market is strong. The PCR value of short-fiber option position this week is 1.41, and the short-term bullish sentiment of the market is strong.
Review of implied volatility: this week, the implied volatility of the main contracts of various kinds of energy commodity options is mostly in a low historical range.
Summary of options for non-ferrous commodities:
Underlying price-par option price index: the price of non-ferrous futures fluctuates differently, with Shanghai copper up 2.18% and industrial silicon up 2.13%. Shanghai gold fell by 2.41%, while Shanghai silver fell by 3.30%. In terms of par options price index, Shanghai Copper rose 39.34% compared with last week, while Shanghai Aluminum increased by 18.98% compared with last week, with a decline of 45.20%. Shanghai Silver has a larger decline than last week, a decline of 45.31%.
Market sentiment: in the PCR index of average position on Sunday, the rise and fall of non-ferrous commodity options index is different, and the differentiation of market long and short sentiment is obvious. The PCR value of Shanghai aluminum options this week is 0.43, and the short-term bearish sentiment of the market is strong. The PCR value of Shanghai gold options this week is 1.23, and the short-term bullish sentiment in the market is strong.
Review of implied volatility: this week, the implied volatility of the main contracts of non-ferrous commodity options is mostly in a high historical range.
Summary of black commodity options:
Underlying price-par option price index: the prices of all kinds of black futures have risen differently this week, with iron ore up 1.55% and ferrosilicon up 0.36%. In terms of the parity option price index, ferrosilicon rose by 38.03% over last week, while iron ore rose by 14.55%. Rebar fell by 1.82%.
Market sentiment: in the PCR index of average position on Sunday, the black commodity option index has risen to varying degrees. The PCR value of ferrosilicon options this week is 0.41, and the short-term bearish sentiment of the market is strong. The PCR value of rebar options this week is 1.23, and the market is more bullish in the short term.
Review of implied volatility: this week, the implied volatility of the main contracts of black commodity options is mostly in a high historical range.
Summary of Agricultural products & soft Commodity options:
Underlying price-par option price index: agricultural products-soft commodity futures prices fluctuate differently, with rapeseed oil up 4.05% and bean 2 up 3.13%. Cotton fell by 0.60% and sugar by 0.73%. In terms of average option price index, rapeseed oil rose 162.22% compared with last week, Dou2 increased by 50.24%, rapeseed meal decreased by 4.19%, and cotton decreased by 16.32%.
Market sentiment: in the PCR index of average position on Sunday, the agricultural product-soft commodity option index rises and falls differently, and the market long and short sentiment is divided obviously. The PCR value of rubber options this week is 0.57, and the short-term bearish sentiment of the market is strong. The PCR value of soybean oil options this week is 5.00, and the market is strongly bullish in the short term.
Review of implied volatility: this week, the implied volatility of the main contracts of agricultural products-soft commodity options is mostly in a low historical range.
Market liquidity Index and emotion Analysis
Put-Call Ratio (PCR) is an index that measures the volume or position ratio of put and call options, which is used to reveal the long-short tendency of the market. Through the historical analysis, we can find that there is sometimes a short-term positive correlation between the position PCR and the underlying asset trend.
Market liquidity index
Total trading volume in the commodity options market: the volume of the main commodity options contracts this week was about 4278012, down 30.19% from last week's 6127881.
Total positions in the commodity options market: the main commodity options contracts held about 7032673 positions this week, down 3.65% from 7298884 last week.
* the screening conditions for the main contract are: the option contract corresponding to the main futures contract in the current month.
Market sentiment analysis
The mood in the commodity options market has been complex and volatile this week, leading to volatility in the data. From the change of position PCR, we can find the following key points:
Energy commodities: in the PCR index of average positions this Sunday, the options index of energy commodities varies, and the market is divided into long and short sentiment. The PCR value of urea option this week is 0.35, the PCR value of caustic soda option this week is 0.42, the PCR value of soda option this week is 0.48, the PCR value of this week is 0.62, the PCR value of this week is 0.65, the short-term bearish sentiment in the market is strong. The PCR values of crude oil options, polypropylene options, methanol options, polyethylene options and ethylene glycol options are 0.71,0.72, 0.74,0.85, 0.85, 0.87, 0.94 and 1.16 respectively. The PCR values of polyethylene options, ethylene glycol and styrene options are 0.85, 0.85, 0.87, 0.94 and 1.16 respectively. Futures prices may fluctuate in the short term. PTA options this week position PCR value of 1.40, the market short-term bullish sentiment is strong; short-fiber options position PCR value of 1.41, the market short-term bullish sentiment is strong.
Non-ferrous commodities: in the PCR index of average position on Sunday, the options index of non-ferrous commodities varies, and the differentiation of long and short sentiment in the market is obvious. The PCR value of this week's position of Shanghai Aluminium option is 0.43, the PCR value of this week's position of Shanghai Copper option is 0.49, and the PCR value of this week's position of Industrial Silicon option is 0.62.The short-term bearish sentiment of the market is strong; the PCR value of this week's position of Lithium Carbonate option is 0.70. the PCR value of this week's position of Shanghai Zinc option is 0.81. the PCR value of this week's position of Shanghai Bank option is 1.19. The futures price may have a short-term volatility. Shanghai gold options this week's position PCR value of 1.23, the market short-term bullish sentiment is strong.
Black commodity options: in the PCR index of average position on Sunday, the black commodity option index has risen to varying degrees. Ferrosilicon options this week position PCR value of 0.41, iron ore options this week position PCR value of 0.58, the market short-term bearish sentiment is strong; manganese silicon options this week position PCR value of 0.98, futures prices may have a short-term volatility; rebar options this week position PCR value of 1.23, the market short-term bullish sentiment is strong.
Agricultural products-soft commodity options: among the PCR indicators of average positions this Sunday, agricultural products-soft commodity options indicators rise and fall differently, and the market sentiment of long and short is obviously divided. The PCR value of rubber option this week is 0.57. the PCR value of palm oil option is 0.57. the PCR value of vegetable oil option this week is 0.63. the market is bearish in the short term. The PCR value of this week's position of bean 1 option, rapeseed meal option, peanut option, bean 2 option, soybean meal option, cotton option and white sugar option are 0.74,0.74,0.76, 0.99,1.00,1.07,1.15 respectively. The PCR value of this week's position of peanut option is 0.76, the PCR value of bean 2 option is 0.99, the PCR value of this week's position of soybean meal option is 1.00, the PCR value of this week's position of cotton option is 1.07, and that of white sugar option is 1.15. The PCR value of corn option position this week is 1.15, and futures prices may fluctuate in the short term. Apple options position PCR value of 1.32 this week, the market short-term bullish sentiment is strong; soybean oil options position PCR value of 5.00 this week, the market short-term bullish sentiment is strong.
* risk hint: in the use of PCR, investors should pay attention to: first, from the experience of mature markets, the correlation between PCR value and the long-term performance of underlying asset prices is weak, and the effect of option PCR is better as a short-term forecast indicator; second, PCR indicators are easily affected by market liquidity, such as the underlying variety, listing time, and so on.
Volatility review
Volatility plays a key role in option pricing and trading, especially implied volatility (IV) and historical volatility (HV). Implied volatility is the market expectation of future volatility, while historical volatility is a measure of past volatility. When IV is much higher than HV, it may mean that options are overpriced. Conversely, if IV is much lower than HV, it may mean that options are relatively cheap. According to the IV-HV difference regression model, we can choose to carry out the arbitrage trade at the appropriate IV or HV value. At the same time, the increase of the difference between the two reflects the increase of uncertainty about the future market.
Volatility curve, options with the same maturity date and underlying assets but with different prices. In order to facilitate viewing, this paper simplifies the volatility curve into an imaginary put option (the image on the left side of the par contract) and a virtual call option (the image on the right side of the par contract). The farther the exercise price deviates from the spot price of the underlying asset, the greater the implied volatility. From the relative level of implied volatility, we can see investors' expectations of volatility in the future, so as to choose the appropriate volatility to enter and exit.
The implied volatility cone is used to show the changes of the implied volatility of an asset or derivative with different maturity dates. Some seasonal or periodic fluctuation patterns can be described, such as sudden increases or decreases in volatility in some specific periods of time. In addition, by comparing the curves of different time periods, investors can also observe the long-term trend of market sentiment and expected volatility.
Volatility indicators: this week, the implied volatility levels of most varieties are at a historically low level in concussion. The level of implied volatility of most varieties this week is below the historical 50th quantile. From the point of view of mean regression of implied volatility, we can focus on the varieties in the historical low quantile and the varieties in the historical high quantile.
Energy commodity options: this week, the implied volatility of the main contracts of energy commodity options is mostly in a low historical range. Implied volatility of PTA options is an all-time low LPG option implied volatility historical quantile is 3%, polypropylene option implied volatility historical quantile is 3%, polyethylene option implied volatility historical quantile is 4%, styrene option implied volatility historical quantile is 4% methanol option implied volatility historical quantile is 5%, ethylene glycol option implied volatility historical quantile is 6%, crude oil option implied volatility historical quantile is 9% The historical quantile of implied volatility of PVC option is 10%, that of p-xylene option is 14%, and that of staple option is 17%, which is in a low historical range. According to the mean return angle of volatility, we can pay attention to the subsequent return of implied volatility to the historical mean.
Non-ferrous commodity options: this week, the implied volatility of the main contracts of non-ferrous commodity options is mostly in a high historical range. The historical quantile of implied volatility of lithium carbonate option is 19%, which is in a relatively low historical range. The historical quantile of implied volatility of Shanghai Copper option is 94%, that of Shanghai Bank option is 96%, and that of Shanghai Gold option is 96%, which is in a high historical range. According to the mean return angle of volatility, we can pay attention to the subsequent return of implied volatility to the historical mean.
Black commodity options: this week, the implied volatility of the main contracts of black commodity options is mostly in a high historical range. The historical quantile of implied volatility of ferrosilicon options is 97%, while the historical quantile of implied volatility of manganese options is 98%, which is in a high historical range. According to the mean return angle of volatility, we can pay attention to the subsequent return of implied volatility to the historical mean.
Commodity options for agricultural products and soft commodities: This week, the implied volatility of the main contracts of each variety of agricultural products and soft commodities commodity options is mostly in a low historical range. The historical quantile of implied volatility of cotton options is 1%, the historical quantile of implied volatility of peanut options is 9%, the historical quantile of implied volatility of corn options is 12%, and the historical quantile of implied volatility of bean 2 options is 21%, the historical quantile of implied volatility of soybean oil options is 21%, the historical quantile of implied volatility of palm oil options is 27%, and the historical quantile of implied volatility of bean 1 options is 28%, which is in a low historical range. Judging from the perspective of mean volatility regression, we can focus on the subsequent regression of implied volatility to the historical mean.
