农产品 216 年 4 月 农产品月刊 全球交易概况 - 谷物 油籽和牲畜市场 交易要点 期货 期权 历史波动率 CFTC 持仓报告
农产品月刊 农产品交易要点 216 年 4 月 216 年 4 月谷物和油籽期货的日均成交量为 1,488,576, 去年同期为 974,289 手合, 同比增长 52.79% 216 年 4 月谷物和油籽期权的日均成交量为 315,91, 去年同期为 18,446, 同比增长 74.62% 216 年 4 月油籽类期货的日均成交量为 717,927, 去年同期为 439,775, 同比增长 63.2 216 年 4 月油籽类期权的日均成交量为 161,29, 去年同期为 84,857, 同比增长 89,98% 216 年 4 月电子谷物油籽期权的日均成交量为 225,28, 去年同期为 18,795, 同比增长 17% 216 年 4 月活牛和瘦肉猪期货与期权的日均成交量为 12,857, 去年同期为 94,763, 同比增长 8.54% 216 年 4 月活牛和瘦肉猪电子期权的日均成交量为 17,271, 去年同期为 13,51, 同比增长 27.84% 1
www.cmegroup.com 日均成交量与持仓量 - 216 年 4 月 日均成交量持仓量 现货月 合约代码 名义额 名义额 现货月 月底结算价 2 天 电子交易公开竞价 合约 百万美元 合约 百万美元 月底结算价 美元 / 吨 历史波动率 玉米 期货 ZC C 548,116 $1,736 1,372,657 $26,887 391 3/4 $154.23 26.71% 小型期货 XC YC 755 $3 5,936 $23 期货合计 548,871 $1,739 1,378,593 $26,91 期权 11,688 1,268,978 小麦 期货 ZW W 171,978 $4,21 382,85 $9,332 488 1/2 $179.49 36.58% 小型期货 XW YW 394 $2 1,338 $7 期货合计 172,372 $4,22 383,423 $9,339 期权 4,978 338,599 KC 硬红冬麦期货 KE KW 47,321 $1,132 2,254 $4,791 478 1/2 $175.82 33.79% 期权 OKE H 2,5 37,816 大豆 期货 ZS S 399,46 $2,546 794,225 $4,893 129 3/4 $378.37 22.77% 小型期货 XB YK 2,249 $23 23,789 $245 期货合计 41,295 $2,569 818,14 $41,138 期权 134,723 977,84 豆油期货 ZL BO 162,252 $3,226 412,769 $8,27 33.14 $73.61 17.61% 期权 1,286 159,534 豆粕期货 ZM SM 156,63 $5,244 35,753 $11,743 334.8 $369.5 31.76% 期权 16,2 191,29 糙米期货 ZR RR 1,985 $44 1,45 $223 11.11 $244.93 22.29% 期权 81 1,757 燕麦期货 ZO O 1,249 $13 9,26 $95 25 3/4 $119.37 28.34% 期权 84 2,317 活牛期货 LE LC 48,129 $2,213 275,145 $12,649 114.93 21.6 期权 2,13 26,53 瘦肉猪期货 HE LH 28,65 $917 223,149 $7,293 81.7 17.5 期权 6,649 148,159 饲牛期货 GF FC 28,65 $1,97 44,419 $3,118 14.38 23.1% 期权 GF KF/JF 6,649 3,847 三级牛奶期货 DC DA 1,77 $29 33,685 $893 13.26 12.42% 期权 DC DA 978 65,634 2
农产品月刊 谷物 油籽期货与期权 - 日均成交量 2,, 1,8, 期权 期货 1,6, 1,4, 1, 1,, 8, 6, 4, 玉米 小麦 KC 硬红冬麦期货 - 日均成交量 9, KC 硬红冬麦小麦玉米 8, 7, 6, 5, 4, 3, 1, 3
www.cmegroup.com 大豆类期货 - 日均成交量 8, 豆油豆粕大豆 7, 6, 5, 4, 3, 1, 燕麦 糙米期货 - 日均成交量 8, 糙米 燕麦 7, 6, 5, 4, 3, 2, 1, 4
农产品月刊 小型谷物 油籽期货 - 日均成交量 6, 小型小麦小型玉米小型大豆 5, 4, 3, 2, 1, 期权 - 日均成交量 35, KC 硬红冬麦小麦大豆类玉米 3, 25, 15, 1, 5, 5
www.cmegroup.com 活牛 瘦肉猪 饲牛期货 - 日均成交量 16, 饲牛瘦肉猪活牛 14, 12, 1, 8, 6, 4, 2, 活牛 瘦肉猪 饲牛期权 - 日均成交量 45 饲牛瘦肉猪活牛 4 35 3 25 2 15 1 5 6
农产品月刊 12 玉米 小麦电子期权 - 日均成交量 电子玉米日均成交量 电子小麦日均成交量 电子玉米日均成交量 % 电子小麦日均成交量 % 1% 1 9% 8% 8 6 7% 6% 4 4% 3% 2 2% 1% % 12 大豆类电子期权 - 日均成交量 电子大豆日均成交量电子豆粕日均成交量电子豆油日均成交量 电子豆油日均成交量 % 电子大豆日均成交量 % 电子豆粕日均成交量 % 9% 1 8 8% 7% 6% 6 4 4% 3% 2 2% 1% % 7
www.cmegroup.com 25 活牛 瘦肉猪电子期权 - 日均成交量 电子活牛日均成交量 电子瘦肉猪日均成交量 电子瘦肉猪日均成交量 % 电子活牛日均成交量 % 1% 9% 2 8% 7% 15 6% 1 4% 3% 5 2% 1% % 电子谷物油籽期权价差套利百分比 (1% 以上 ) - 216 年 4 月 Butterfly Condor 1% Conversion/ Reversal 19% Vertical 42% Diagonal 3% General Spread Strangle 3% Straddle 12% Horizontal Option 4% Horizontal Straddle 2% Risk reversal 3% 8
农产品月刊 电子牲畜期权价差套利百分比 (1% 以上 ) - 216 年 4 月 Butterfly 4% Condor 1% Conversion/ Reversal Diagonal 8% General Spread 4% Horizontal Straddle 1% Strangle 6% Jelly Roll 13% Risk reversal 2% Straddle 1% 玉米 小麦 KC 硬红冬麦期货 - 现货月 2 天历史波动率 小麦玉米 KC 硬红冬麦 9% 8% 7% 6% 4% 3% 2% 1% % 9
www.cmegroup.com 大豆类期货 - 现货月 2 天历史波动率 7% 大豆豆粕豆油 6% 4% 3% 2% 1% % 糙米 燕麦期货 - 现货月 2 天历史波动率 8% 糙米 燕麦 7% 6% 4% 3% 2% 1% % 1
农产品月刊 活牛 瘦肉猪 饲牛期货 - 现货月 2 天历史波动率 活牛瘦肉猪饲牛 7% 6% 4% 3% 2% 1% % 期货平均小时成交量 - 全部交易时段 - 216 年 4 月 3, 瘦肉猪活牛豆油豆粕大豆小麦玉米 25, 15, 1, 5, 芝加哥时间 11
www.cmegroup.com 期货平均小时成交量 - 非美国日间交易时段 - 216 年 4 月 4, 瘦肉猪活牛豆油豆粕大豆小麦玉米 35, 3, 25, 2, 15, 1, 5, 芝加哥时间 9, 8, 7, 6, 5, 4, 3, 1, CFTC 持仓报告 - 玉米期货多头持仓 掉期交易商多头持仓 管理型基金多头持仓 掉期交易商多头持仓 % 管理型基金多头持仓 % 4% 3 3% 2 2% 1 1% % Source: CFTC 12
农产品月刊 35, CFTC 持仓报告 - 小麦期货多头持仓 掉期交易商多头持仓 管理型基金多头持仓 掉期交易商多头持仓 % 管理型基金多头持仓 % 6% 3, 25, 15, 1, 4% 3% 2% 5, 1% % Source: CFTC 1, 9, 8, 7, 6, 5, 4, 3, 2, 1, CFTC 持仓报告 - KC 硬红冬麦期货多头持仓 掉期交易商多头持仓 管理型基金多头持仓 掉期交易商多头持仓 % 管理型基金多头持仓 % 4% 3 3% 2 2% 1 1% % Source: CFTC 13
www.cmegroup.com 4, CFTC 持仓报告 - 大豆期货多头持仓 掉期交易商多头持仓 管理型基金多头持仓 掉期交易商多头持仓 % 管理型基金多头持仓 % 4% 35, 3 3, 3% 25, 2 2% 15, 1 1, 1% 5, % Source: CFTC 16, 14, 12, 1, 8, 6, 4, 2, CFTC 持仓报告 - 豆粕期货多头持仓 掉期交易商多头持仓 管理型基金多头持仓 掉期交易商多头持仓 % 管理型基金多头持仓 % 4 4% 3 3% 2 2% 1 1% % Source: CFTC 14
农产品月刊 25, CFTC 持仓报告 - 豆油期货多头持仓 掉期交易商多头持仓 管理型基金多头持仓 掉期交易商多头持仓 % 管理型基金多头持仓 % 4% 3 3% 15, 1, 2 2% 1 5, 1% % Source: CFTC 3, 25, 15, 1, 5, CFTC 持仓报告 - 活牛期货多头持仓 掉期交易商多头持仓 管理型基金多头持仓 掉期交易商多头持仓 % 管理型基金多头持仓 % 4 4% 3 3% 2 2% 1 1% % Source: CFTC 15
www.cmegroup.com 18, 16, 14, 12, 1, 8, 6, 4, 2, CFTC 持仓报告 - 瘦肉猪期货多头持仓 掉期交易商多头持仓 管理型基金多头持仓 掉期交易商多头持仓 % 管理型基金多头持仓 % 4 4% 3 3% 2 2% 1 1% % Source: CFTC Disclaimer Futures trading is not suitable for all investors, and involves the risk of loss. Futures are a leveraged investment, and because only a percentage of a contract s value is required to trade, it is possible to lose more than the amount of money deposited for a futures position. Therefore, traders should only use funds that they can afford to lose without affecting their lifestyles. And only a portion of those funds should be devoted to any one trade because they cannot expect to profit on every trade. All references to options refer to options on futures. CME Group is a trademark of CME Group, Inc. The Globe Logo, CME, Chicago Mercantile Exchange, and Globex are trademarks of Chicago Mercantile Exchange Inc. CBOT and the Chicago Board of Trade are trademarks of the Board of Trade of the City of Chicago. New York Mercantile Exchange and NYMEX are registered trademarks of the New York Mercantile Exchange, Inc. All other trademarks are the properties of their respective owners. The information within this brochure has been compiled by CME Group for general purposes only. CME Group assumes no responsibility for any errors or omissions. Additionally, all examples in this brochure are hypothetical situations, used for explanation purposes only, and should not be considered investment advice or the results of actual market experience. All matters pertaining to rules and specifications herein are made subject to and are superseded by official CME, CBOT, and NYMEX rules. Current rules should be consulted in all cases concerning contract specifications. Copyright 215 CME Group. All rights reserved. 16
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