topblockchaingamingcompanies| [Prosperity Research: Commodity Options Market Tracking] Industrial silicon and lithium carbonate indicators have changed, and futures price volatility may increase

Source: Societe Generale futures

1. Summary of this week

Abstract

Index

Futures

Option

Price

*

The price of 23 futures rose 39 times.

The time value of 30 options has risen.

The top three varieties were manganese silicon, industrial silicon and soda ash.

The time value of industrial silicon options rises

The top three declines were crude oil, methanol and gold.

The contract of 2006 of the last exchange is about to expire, and the value of time is declining rapidly.

Measuring bin

Increase in trading volume of 22x30 futures

Growth of futures positions in 20 + 30 futures

Increase in trading volume of 23x30 options

29x 30 options position growth

The top three increases in trading volume were silver, PVC and urea.

The top three growth rates of trading volume are

Silver, Industrial Silicon and PVC

The top three growth rates of positions were PP, crude oil and industrial silicon.

The top three increases in position are LPG, styrene and soda ash.

Volatility

16, 30 futures.TopblockchaingamingcompaniesThe historical volatility rose on the 5th.

An increase in the implied volatility of the main force equalization of 23X 30 options

The top three varieties of historical volatility are silver, copper and urea.

The first three varieties of implied volatility rising are LPG, silver and copper.

The volatility of silver and copper is on the high side.

The volatility of PTA, crude oil and lithium carbonate is low.

Emotion *

Bullish: gold, silver and plastics

Bullish: soybean meal, plastic and corn

Bearish: lithium carbonate, ethylene glycol and rubber

Bearish: none

Prompt

Futures price volatility of crude oil, lithium carbonate and industrial silicon may intensify

The contract of the Shanghai Stock Exchange 06 expires on May 27

Note 1: there are currently a total of 40 commodity options, of which 30 are more active.

Note 2: futures sentiment comes from net position, option sentiment synthesizes PCR and volatility skewness. Sentiment only reflects the short-term market long-short tendency, not as a basis for trading.

oneTopblockchaingamingcompanies.1 the situation of rising and falling is increasing.

Rise: manganese silicon and industrial silicon rose a lot, while other varieties increased by a limited amount, and there were more cases of rising and falling.

Decline: some chemicals and all agricultural products fell in turn.

The amplitude of futures index in the past week

Description: using the opening price, the highest price, the lowest price and the closing price of the last week of the Wande Index.

1.2 accelerated decline of contract time value of Shanghai Stock Exchange 06

Rising: the time value of industrial silicon options has risen sharply.

Decline: the last exchange 06 contract is about to expire, and the time value declines at an accelerated pace.

Average option amplitude for nearly a week

Description: using theoretical parity option price (Scandinavian K = closing price of Wande futures index, IV= option main contract parity hidden wave, T = main contract expiration date, r=SHIBOR 3M

1.3 varieties with abnormal main indicators

By comprehensively measuring the four representative indicators of valuation, trading volume, implied volatility and emotion, we can find that:

Gold and silver have high valuations, high turnover and high volatility.

Industrial silicon and lithium carbonate have low valuation + bullish mood + low volatility + high turnover.

The latest percentile level of main indicators (%)

Note: (1) valuation high / low = closing price quantile high / low, hidden wave high / low = IV quantile high / low, bullish / bearish = trading volume PCR low / high; (2) cycle is 2020 to present

Trading volume and position

Volume and Open interest

Change: the trading volume and position of options increased significantly as the contract options of SSE 06 were about to expire.

Absolute level: trading volume and positions in gold, silver and copper options are at their highest levels for the fourth consecutive week.

Overview of warehouse indicators

Explanation: "increase / decrease" refers to the change of the daily average of the past week compared with that of the previous week, and "high / low" refers to the percentile level of the daily average of the past week.

2.1 Variety turnover and position

With the expiration of the 2006 contract, the positions of related varieties have increased significantly. PVC and industrial silicon futures rose sharply, options trading volume increased significantly.

Changes in trading volume and position in the past week (ten thousand hands)

Description: the vertical axis represents the position, and the bubble size represents the turnover.

2.2 range of changes in average daily trading volume

Silver pulled back sharply, and the trading volume of put options increased significantly. Industrial silicon and PVC rose strongly, and the trading volume of call options increased significantly.

Change range of average daily trading volume in the past week (%)

Explanation: the daily average change in the trading volume of all contracts in options and futures in the recent week compared with the previous week.

2.3 average daily volume percentile level

The trading volume of options in PVC, gold, copper, industrial silicon and silver reached an all-time high, while the trading volume of PVC and industrial silicon futures also reached an all-time high.

Percentile of average daily trading volume in the past week (%)

Explanation: in the last week, the daily average trading volume of all contracts in options and futures was at the percentile level of the past three years.

2.4 range of changes in average daily positions

The positions of LPG, styrene and soda options increased significantly.

Change range of average daily position in the past week (%)

Explanation: the daily average change of all contract positions in options and futures in the latest week compared with the previous week.

2.5 average daily position percentile level

Positions in copper, gold and silver options are at record highs.

Percentile of average daily position in the past week (%)

Explanation: in the last week, the daily average of all contract positions in options and futures was at the percentile level of the past three years.

2.6 active variety transaction bubble chart: copper

Distribution: 06 and 07 contract transactions focus on shallow virtual value to see the rise in the right price.

Description: the mood is bullish. Futures resistance level is 84000, support level is 80000.

Bubble chart of copper option transaction

Description: the vertical axis represents the position, the horizontal axis represents the exercise price, and the bubble size represents the turnover.

2.7Bubble chart of active variety transaction: PVC

Distribution: 07 and 09 contract transactions focus on the depth of imaginary value to see the rise in the right price.

Description: the mood is bullish. Futures resistance level is 6500, support level is 6000.

Bubble chart of PVC option transaction

Description: the vertical axis represents the position, the horizontal axis represents the exercise price, and the bubble size represents the turnover.

2.7 Bubble chart of active variety transaction: silver

Distribution: 06 contract transactions focus on the shallow virtual value to look down on the right price, 08 contract transactions focus on the shallow empty value to see the rising right price.

Caption: the mood is bearish in recent months and bullish in the distant months. 06 contract futures resistance level is 8500, support level is 7800.

Bubble chart of silver option transaction

Description: the vertical axis represents the position, the horizontal axis represents the exercise price, and the bubble size represents the turnover.

Third, volatility

Volatility

Changes: historical volatility of silver, copper and urea has risen by more than 105, and implied volatility of most options has generally risen.

Absolute level: the differentiation between the high and low ends is serious, the volatility of silver and copper is high, and the volatility of PTA, crude oil and lithium carbonate is low.

Overview of volatility indicators

Explanation: "increase / decrease" refers to the change of the daily average of the past week compared with that of the previous week, and "high / low" refers to the percentile level of the daily average of the past week.

3.1 Daily mean and variation of historical volatility

Volatility rose: silver, copper and urea.

Volatility fell: soybean oil, vegetable oil and iron ore.

Daily mean and change of historical fluctuation rate in the past week (%)

Explanation: the daily average change of the 5-day historical volatility of the futures index in the most recent week compared with the previous week.

3.2 Daily mean and variation of flat implied volatility

Volatility rose: LPG, silver and copper.

Volatility fell: lithium carbonate, corn and cotton.

Daily mean and variation of implied volatility of main force in the past week (%)

Explanation: compared with the previous week, the daily mean change of the implied volatility of the parity exercise price of the main option contract

3.3 volatility percentile level

High: the historical volatility and implied volatility of silver and copper are high at the same time.

Low: historical volatility and implied volatility of PTA, crude oil and lithium carbonate are low at the same time.

Percentile level of volatility (%)

Explanation: in the last week, the futures index 5-day historical volatility and options main force

The daily average of flat implied volatility is at the percentile level of the past three years.

3.4 volatility difference

On the high side: the short-term historical volatility of silver is on the high side, indicating increased futures price volatility.

Low: the short-term historical volatility of crude oil is low, indicating that futures price volatility has narrowed.

Volatility difference (%)

Description: on the most recent trading day, the difference between 5-day historical volatility and 20-day historical volatility, and between 5-day historical volatility and implied volatility

3.5 volatility trends of active varieties: gold and silver

Gold: the historical volatility of gold rose sharply, but the implied volatility of options continued to decline, the difference between the two reached a new high, and the implied volatility of options is expected to rise.

The historical volatility of PVC:PVC rises and falls, and the implied volatility of options rises steadily. at present, the two kinds of volatility are not high, and there is a possibility of further rise in the future, corresponding to the accelerated rise or sharp fall of futures.

Gold volatility (%)

PVC volatility (%)

IV. Emotion

Sentiment

Bullish mood: gold and silver remain bullish on futures. Soybean meal and corn are strongly bullish on options.

Bearish sentiment: bearish sentiment on rubber and ethylene glycol intensified in futures, bearish sentiment on silver and gold on options.

Overview of emotional indicators

Note: sentiment only reflects the short-term market long-short tendency, not as a basis for trading.

4.1 percentage of net futures positions

Net more in the top: net long positions in gold and silver increased again, bullish sentiment remained unchanged.

Before net occupancy: rubber and ethylene glycol net empty positions increased.

Percentage of net positions in the top 20 futures (%)

Description: futures main contract, (multi-order position of the first 20 seats members-short order position) / position

4.2 options PCR

Bullish mood: soybean meal, plastic and corn.

Bearish mood: there is no extreme bearish variety.

Percentile level of PCR (%)

Description: trading volume PCR= options variety put trading volume / bullish trading volume, high value reflects bearish sentiment. Position PCR is similar.

4.3 implied volatility skewness

Bullish mood: corn, PVC and gold, consistent with the previous week.

Bearish sentiment: iron ore, cotton and crude oil.

Daily mean and variation of implied volatility skewness in the past week (%)

Description: the implied volatility difference between 105% and 95% exercise price / flat hidden wave, high value represents bullish mood

Source: Wande

Last updated: 2024-5-24

Contact: Yang Fan