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原油期货风云录：2019至2023年市场激荡五年大揭秘！
本文转载自“上海原油期货市场发展报告”by Shanghai International Energy Exchange
Timeline
Year 2019
境外客户日均交易量、日均持仓量同比分别增长106.5%和122.1%,占比分别达到15%和22%,反映境外交易者对中国原油期货的参与度不断提高。产业上中下游，生产、贸易、加工企业均有参与。
全市场一般法人日均交易量、日均持仓量同比分别增长62.3%和54.4%,占比分别达到25%和30%,反映实体企业越来越多地利用原油期货管理价格风险。
特殊法人日均交易量、日均持仓量同比分别增长29.7%和151.4%,占比分别达到10%和33%,反映金融机构更加重视原油期货在资产配置中的重要作用。
By the end of 2019,there were 56 overseas intermediaries registered,11 more than in 2018,and the channels for participation were easier to get on board.Overseas clients were from 19 countries and regions across five continents.
The average daily trading volume and daily open interest of overseas cients increased by 106.5% and 122.1% year on year respectively, accounting for 15% and 22% of the total,reflecting more active participation of overseas traders in China's crude oil futures.Upstream, middle and downstream industries, induding producers,trading companies and manufacturing enterprises were all involved.
The average daily trading volume and average daily open interest of general legal persons in the whole market increased by 62.3% and
54.4% year on year respectively, accounting for 25% and 30% of the total,proving that more physical enterprises were using crude oil futures to hedge price risks.
The average daily trading volume and daily open interest of special legal persons increased by 29.7% and 151.4%year on year respectively,accounting for 10% and 33% of the total, demonstrating that financial institutions were paying more attention to the crucial role of crude oil futures in asset allocation.
Year 2020
在2020年，上海原油期货市场见证了显著的增长和活跃度提升。一般法人和特殊法人的日均成交量同比增长了38.19%和36.29%，几乎占据了整个品种日均交易量的40%。同时，日均持仓量同比增长了惊人的484%和146.24%，合计占到了品种日均持仓的60%左右。这一数据表明，无论是国内还是国际的石油公司、贸易公司以及金融机构，都越来越倾向于利用上海原油期货进行风险管理和资产配置。
此外，独立炼油厂和航空公司也开始逐步采用上海原油期货进行套期保值，以保护自己免受价格波动的影响。市场结构的优化和流动性的提升，得益于机构客户的积极参与和做市商的共同努力。2020年，主力合约的日均成交和持仓占比分别从2019年的85.39%和63.50%显著下降至57.45%和38.84%。这表明流动性正在向远月合约转移，连续活跃的月份也从近3个月扩展到了近5个月的合约
到2020年年末，上海原油期货市场吸引了来自全球五大洲23个国家和地区的境外客户，数量同比激增85.7%。这些境外客户的日均成交量和持仓量分别占到了市场的20%和25%，与前一年相比均提高了3个百分点。同时，备案的境外中介机构总数达到了66家，新增了一家境外特殊经纪参与者。
国际媒体对上海原油期货市场的评价普遍积极。路透社、华尔街日报、俄罗斯卫星通讯社和南华早报等主流媒体纷纷称赞中国的监管制度有效避免了价格的过度波动。他们认为，以人民币计价的合约正逐渐被市场所接受，国际大型经纪机构和贸易商的参与度也在稳步提升，中国的全球影响力正在迅速扩大。
此外，2020年6月，上海国际能源交易中心被纳入了欧洲证券及市场管理局(ESMA)的第三国交易场所交易后透明度评估正面清单，这标志着上海原油期货市场的透明度和国际化程度得到了国际监管机构的认可。
In 2020, the Shanghai crude oil futures market witnessed significant growth and increased activity. The average daily volume of general and special legal entities increased by 38.19% and 36.29% year-on-year, accounting for almost 40% of the average daily trading volume of the entire variety. At the same time, the average daily position volume increased by a staggering 484% and 146.24% year-on-year, together accounting for about 60% of the average daily position of the variety. This data indicates that both domestic and international oil companies, trading companies and financial institutions are increasingly inclined to utilize Shanghai crude oil futures for risk management and asset allocation.
In addition, independent refineries and airlines have also begun to gradually adopt Shanghai crude oil futures for hedging to protect themselves from price fluctuations.
The optimization of the market structure and the improvement of liquidity are attributed to the active participation of institutional clients and the joint efforts of market makers.In 2020, the average daily turnover and position share of the main contract decreased significantly to 57.45% and 38.84% from 85.39% and 63.50% in 2019, respectively. This indicates that liquidity is shifting to far-month contracts, and the number of consecutively active months has also expanded from nearly three months to nearly five months of contracts
By the end of 2020, the Shanghai crude oil futures market had attracted foreign clients from 23 countries and regions across five continents, a year-on-year surge of 85.7%. The average daily turnover and positions of these foreign clients accounted for 20% and 25% of the market, respectively, both up 3 percentage points compared with the previous year. Meanwhile, the total number of filed offshore intermediaries reached 66, with one new offshore special brokerage participant.
The international media's assessment of the Shanghai crude oil futures market was generally positive. Mainstream media such as Reuters, the Wall Street Journal, Rosatom and the South China Morning Post have praised China's regulatory system for effectively avoiding excessive price volatility. They believe that RMB-denominated contracts are gradually being accepted by the market, that the participation of large international brokers and traders is steadily increasing, and that China's global influence is rapidly expanding.
In addition, in June 2020, Shanghai International Energy Exchange (SIEX) was included in the European Securities and Markets Authority's (ESMA) Positive List for Post-trade Transparency Assessment of Third Country Trading Venues, which signifies that the transparency and internationalization of Shanghai's crude oil futures market has been recognized by international regulators.
Year 2021
随着市场关注度和参与度的显著提升，上海原油期货市场在规模和交易者结构方面实现了积极的发展。2021年，上海原油期货的交易量和持仓量保持在上市以来的高水平，市场规模在全球范围内仅次于WTI和Brent原油期货。在全球能源类商品期货期权交易量排名中，上海原油期货在期货业协会(FIA)公布的排名中上升至第13位。
上海原油期货市场的境外客户已经扩展到了六大洲的20多个国家和地区，境外特殊参与者数量达到了3家，而备案的境外中介机构总数增至75家。从交易情况来看，2021年全年累计成交量达到了4264.5万手，累计成交金额高达18.5万亿，同比分别增长了2.6%和54.6%。日均成交量为17.5万手，日均持仓量为7.5万手。
在市场参与者结构方面，一般法人和特殊法人等机构交易者的日均成交量占比超过了50%，持仓占比约为70%。与2020年相比，日均成交和持仓占比分别增长了8.1个百分点和7.6个百分点。同时，境外参与者的成交和持仓占比也分别比2020年增长了6.9个百分点和6.5个百分点。
机构交易者在交易、持仓和套期保值方面的比例在境内已上市的期货品种中位居前列，涵盖了石油公司、跨国贸易公司、投资银行、基金和资产管理公司等行业内的领军企业。
With the significant increase in market attention and participation, the Shanghai crude oil futures market has realized positive development in terms of scale and trader structure.2021, the trading volume and position volume of Shanghai crude oil futures maintained at the high level since listing, and the market scale was second only to WTI and Brent crude oil futures globally. In the global energy commodity futures and options trading volume ranking, Shanghai crude oil futures rose to 13th place in the ranking published by the Futures Industry Association (FIA).
Foreign clients in the Shanghai crude oil futures market have expanded to more than 20 countries and regions on six continents, the number of foreign special participants has reached three, while the total number of filed foreign intermediaries has increased to 75.
In terms of trading, the cumulative turnover for the year 2021 reached 42.645 million lots and the cumulative turnover amounted to $18.5 trillion, representing year-on-year increases of 2.6% and 54.6%, respectively. The average daily turnover was 175,000 lots and the average daily position was 75,000 lots.
In terms of market participant structure, institutional traders such as general and special legal entities accounted for more than 50% of the average daily turnover and about 70% of the positions. Compared with 2020, the average daily turnover and position share increased by 8.1 percentage points and 7.6 percentage points respectively. Meanwhile, the share of transactions and positions of foreign participants also increased by 6.9 percentage points and 6.5 percentage points, respectively, compared to 2020.
The proportion of institutional traders in trading, positions and hedging is among the highest among listed futures varieties in China, covering leading companies in the industry such as oil companies, multinational trading companies, investment banks, funds and asset management companies.
Year 2022
2022年9月，上海原油期货市场进一步开放，允许QFII（合格境外机构投资者）和RQFII（人民币合格境外机构投资者）直接参与交易，使得市场的对外开放路径和境外交易者类型更加多样化。目前，包括跨国石油公司、贸易商、投资银行、基金和资产管理公司在内的行业领军企业都已参与到上海原油期货的交易中。这些境外交易者来自六大洲的近30个国家和地区。此外，市场上共有3家境外特殊参与者，以及78家备案的境外中介机构。
自2021年上市以来，原油期权的交易和持仓规模迅速增长，期权定价合理，与标的市场紧密联动，产业客户的参与度积极，市场影响力正在逐步显现。2022年，原油期权的累计成交量达到660.08万手，累计成交额为635.91亿元，日均成交量为2.73万手，日均成交额为2.63亿元，日均持仓量为2.18万手。与去年同期相比，日均成交量、日均成交额和日均持仓量分别大幅增长了132.17%、232.17%和56.64%，呈现出快速上升的趋势，原油期权逐渐获得了国际市场的认可。
在全球大宗商品行业权威媒体Risk.Net组织的2022年亚洲能源风险奖(Energy Risk Asia 2022 Awards)颁奖典礼上，原油期权合约荣获“年度最佳创新奖”。在价格方面，2022年原油期权的定价合理，主力系列的隐含波动率基本维持在40%至80%的区间内，其走势总体与标的期货的历史波动率相一致，有效地反映了市场的预期波动情况。
In terms of the composition of market participants, institutional investors, such as general and special legal entities, account for about half of the average daily trading volume and more than 70% of the position holding volume. The proportion of these institutional traders in terms of trading, position taking and hedging is among the highest in all domestically listed futures varieties. Overseas traders accounted for about a quarter of the market-wide average daily trading volume and more than 30% of the average daily positions.
In September 2022, the Shanghai crude oil futures market was further opened up to allow QFII (Qualified Foreign Institutional Investors) and RQFII (Renminbi Qualified Foreign Institutional Investors) to participate directly in trading, making the market's path to opening up to the outside world and the types of overseas traders more diverse. At present, industry leaders including multinational oil companies, traders, investment banks, funds and asset management companies have participated in the trading of Shanghai crude oil futures. These foreign traders come from nearly 30 countries and regions on six continents. In addition, there are three offshore special participants in the market, as well as 78 filed offshore intermediaries.
Since its listing in 2021, the trading and position size of crude oil options has grown rapidly, option pricing is reasonable and closely linked to the underlying market, the participation of industrial clients is active, and the market influence is gradually emerging.2022, the cumulative turnover of crude oil options reached 6.608 million lots with a cumulative turnover of 63.591 billion yuan, the average daily turnover was 27,300 lots with an average daily turnover of 263 million dollars, and the average daily position was 21,800 lots. Compared with the same period of last year, the average daily turnover, average daily turnover and average daily positions increased significantly by 132.17%, 232.17% and 56.64% respectively, showing a fast rising trend, and crude oil options gradually gained the recognition of the international market.
At the Energy Risk Asia 2022 Awards ceremony organized by Risk.Net, an authoritative media in the global commodities industry, crude oil options contract won the “Best Innovation of the Year Award”. In terms of pricing, the 2022 crude oil options are reasonably priced, with the implied volatility of the main series basically maintained in the range of 40% to 80%, and its trend is generally in line with the historical volatility of the underlying futures, effectively reflecting the expected volatility of the market.
Year 2023
自2022年10月引入合格境外机构投资者（QFII）参与上海原油期货交易以来，境外投资者的参与方式变得更加多样化，其在成交量中的占比也有了显著提升。到了2023年，境外投资者在日均成交量和日均持仓量中的占比均超过了三成。参与上海原油期货交易的包括跨国石油公司、贸易商、投资银行、基金和资产管理公司等行业内的领军企业。截至2023年底，境外投资者已经覆盖了六大洲近31个国家和地区。此外，市场上还有2家境外特殊参与者，以及80家备案的境外中介机构。
原油期权与标的期货之间的联动性非常紧密。当标的原油期货市场价格出现大幅波动，或者期货成交量发生显著变化时，期权成交量也会相应地发生变化，显示出期权和期货共同管理价格风险的明显特征。2023年，上海原油期权的日均成交量达到了5.90万手，同比上涨了116.26%；日均持仓量为3.39万手，同比上涨了55.25%；日均成交额为3.71亿元。期权相对于标的期货的成交占比达到了28.84%，比2022年上升了超过16个百分点，反映出投资者越来越多地利用期权来管理风险。
在各类投资者中，一般法人客户的成交占比比2022年上升了超过6个百分点，显示出单位客户的参与度在不断提升。同时，2023年境外客户的成交占比比2022年上升了约17个百分点，表明市场的国际化程度有了明显的提升。
In terms of the composition of market participants, corporate clients in crude oil futures accounted for more than half of the average daily turnover and more than 70% of the average daily positions. The proportion of these institutional investors in trading, position taking and hedging is leading among domestically listed futures varieties.
Since the introduction of Qualified Foreign Institutional Investors (QFIIs) to participate in Shanghai crude oil futures trading in October 2022, the participation of foreign investors has become more diversified, and their share in turnover has increased significantly. By 2023, foreign investors accounted for more than 30% of both average daily turnover and average daily positions. Participants in Shanghai crude oil futures trading include multinational oil companies, traders, investment banks, funds and asset management companies, and other industry leaders. By the end of 2023, foreign investors had covered nearly 31 countries and regions on six continents. In addition, there are two offshore special participants in the market, as well as 80 filed offshore intermediaries.
The linkage between crude oil options and underlying futures is very close. When the market price of the underlying crude oil futures fluctuates significantly, or when there is a significant change in the futures turnover, the options turnover will also change accordingly, showing the obvious feature of options and futures to jointly manage the price risk.2023, the average daily turnover of crude oil options in Shanghai reached 59,900 lots, up 116.26% year-on-year; the average daily position was 33,900 lots, up 55.25%; the average daily turnover was RMB 371 million. The turnover of options relative to underlying futures reached 28.84%, up more than 16 percentage points from 2022, reflecting that investors are increasingly utilizing options to manage risks.
Among all types of investors, the turnover share of general corporate clients rose by more than 6 percentage points from 2022, indicating the increasing participation of unit clients. Meanwhile, the share of transactions by overseas clients in 2023 rose by about 17 percentage points from 2022, indicating a significant increase in the internationalization of the market.
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