（3）金融期权策略与建议：对于ETF期权来说，适合构建偏多头的买方策略，认购期权牛市价差组合策略；对于股 指期权来说，适合构建偏多头的卖方策略、认购期权牛市价差组合策略和期权合成期货多头与期货空头做套利策略 表1：金融市场重要指数概况 | 重要指数 | 指数代码 | 收盘价 | 涨跌 | 涨跌幅 | 成交额 | 额变化 | PE | | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | （%） | (亿元) | （亿元） | | | 上证指数 | 000001.SH | 3,828.58 | 8.49 | 0.22 | 9,418 | -745 | 16.38 | | 深证成指 | 399001.SZ | 13,157.97 | 87.11 | 0.67 | 11,797 | -1,278 | 30.98 | | 上证50 | 000016.SH | 2,922.18 | 12.44 | 0.43 | 1,564 | -69 | 11.57 | | 沪深300 | 000300.SH | 4,522.61 | 20.69 | 0.46 | 5, ...

农产品早报 2025-09-23 五矿期货农产品早报 五矿期货农产品团队 从业资格号：F0273729 交易咨询号：Z0002942 邮箱：wangja@wkqh.cn 从业资格号：F03116327 交易咨询号：Z0019233 邮箱:yangzeyuan@wkqh.cn 油脂油料研究员 从业资格号：F03114441 交易咨询号：Z0022498 电话：028-86133280 邮箱：sxwei@wkqh.cn 王俊 组长、生鲜品研究员 周一美豆继续下跌，阿根廷宣布暂时取消出口税，利空国际豆系价格。周一国内豆粕现货基差稳定，国 内豆粕成交一般，提货处于高位。据 MYSTEEL 统计上周国内港口大豆库存大幅下降 70 万吨，因到港量 下滑，同比增 65 万吨，豆粕库存小幅上升 9 万吨，同比下降 21 万吨，上周国内压榨大豆 243 万吨，本 周预计压榨 239 万吨。 杨泽元 白糖、棉花研究员 美豆产区未来两周降雨量正常，8 月因干旱大豆优良率下滑，但 USDA 仅下调 0.1 蒲式耳/英亩单产，且 收割面积上调 20 万英亩。巴西方面，升贴水近期企稳。总体来看，进口大豆成本受到美豆低估值、中 美贸易关系 ...

Group 1: Report Industry Investment Rating - Not provided in the report Group 2: Core Viewpoints of the Report - Concern should be given to the possibility of Milan becoming the new Fed Chair. After Milan's statement, both domestic and foreign silver prices showed strength due to expectations of loose monetary policy, and the price of the main contract of Shanghai silver reached a new historical high. It is recommended to buy on dips in the current precious metals strategy, with the reference operating range for the main contract of Shanghai gold being 843 - 870 yuan/gram and that for the main contract of Shanghai silver being 9799 - 10800 yuan/kilogram [4] Group 3: Summary by Relevant Catalogs Market Quotes - On September 23, 2025, Shanghai gold rose 1.46% to 850.98 yuan/gram, and Shanghai silver rose 1.77% to 10348.00 yuan/kilogram; COMEX gold rose 0.06% to 3777.40 dollars/ounce, and COMEX silver rose 0.13% to 44.27 dollars/ounce. The yield of the 10 - year US Treasury bond was reported at 4.15%, and the US dollar index was reported at 97.31 [2] - Atlanta Fed President Bostic is temporarily reluctant to support another rate cut in October due to inflation concerns. Cleveland Fed President Harmark, a hawkish Fed official, said that the Fed needs to be cautious about lifting restrictive monetary policies when inflation remains stubbornly above the 2% target [2] - Milan, the candidate for the new Fed Chair, is a voting member who supports a 150 - basis - point rate cut this year. He believes there is no inflation caused by tariffs, and the longer the Fed maintains a tight stance, the greater the risk to the employment market. He will strive to persuade other policymakers to cut rates more quickly [3] Strategy Views - Attention should be paid to the possibility of Milan becoming the new Fed Chair. After Milan's statement, the prices of domestic and foreign silver showed strength, and the price of the main contract of Shanghai silver reached a new historical high. It is recommended to buy on dips in the precious metals strategy, with the reference operating range for the main contract of Shanghai gold being 843 - 870 yuan/gram and that for the main contract of Shanghai silver being 9799 - 10800 yuan/kilogram [4] Key Data - Gold: COMEX gold's closing price, trading volume, open interest, and inventory all showed an upward trend; LBMA gold's closing price rose 1.54%; SHFE gold's closing price and open interest increased, while trading volume decreased slightly; Au(T + D)'s closing price and open interest rose, and trading volume decreased [8] - Silver: COMEX silver's closing price, trading volume, open interest, and inventory all showed an upward trend; LBMA silver's closing price rose 3.55%; SHFE silver's closing price, trading volume, and open interest increased, while inventory decreased; Ag(T + D)'s closing price, trading volume, and open interest all rose [8] Price and Volume Charts - Multiple charts show the relationships between the prices of COMEX gold, Shanghai gold, COMEX silver, and Shanghai silver and factors such as the US dollar index, real interest rates, trading volume, and open interest, as well as the near - far month structures and price differences between different markets [10][12][14] Price Difference Statistics - On September 22, 2025, the SHFE - COMEX price difference for gold was - 65.69 dollars/ounce, and the SGE - LBMA price difference was - 34.12 dollars/ounce; the SHFE - COMEX price difference for silver was 1.02 dollars/ounce, and the SGE - LBMA price difference was 0.79 dollars/ounce [55]

报告要点： 专题报告 2025-09-23 新一轮预期博弈即将开启，黑色板块逐步具备多配性价比 2022 年至今，在黑色板块，市场讲的一直是同一个故事：在"弱现实"背景下讲政策"预期"。 今年四季度我们认为依旧存在这样的剧本，10 月中下旬的"四中全会"将对"十五五"做出规 划，这将是未来预期博弈的关键节点。 综合：1）客观上价格下跌的动能不断衰竭；2）美联储正式进入降息周期，后续海外进入财政、 货币双宽的局面相对确定，利好于全球需求扩张与大宗商品价格；3）我国具备丰富的去产能 经验，与"反内卷"相配套的需求侧政策仍然值得期待；4）站在周期的角度，黑色大概五年 一个周期，当下也临近这样一个关键的周期时间拐点等方面因素，我们认为虽然短期在现实需 求的影响下，黑色板块价格仍存在阶段性回调的风险，但中长期来看，黑色板块或逐渐具备多 配的性价比。后续需要重点关注的点在于是否能够出现新的需求引擎：若有，则预计后续钢铁 行业有望开启新一轮的上升周期；若尚没有，则预计价格或再度进入盘整，需要更长一段时间 的震荡筑底直至新的引擎出现。 陈张滢 黑色研究员 从业资格号：F03098415 交易咨询号：Z0020771 0755 ...

文字早评 2025/09/23 星期二 宏观金融类 股指 【行情资讯】 1、央行行长潘功胜回应美联储降息：将根据宏观经济运行情况和形势变化，综合应用多种货币政策工 具保证流动性充裕; 2、证监会主席吴清在国新办新闻发布会上表示，更好发挥中长期资金压舱石作用，吸引更多源头活水； 塑造既"放得活"又"管得住"的资本市场秩序; 3、证监会党委：协同各方持续推动各类中长期资金入市和占比提升，加强战略性力量储备和稳市机制 建设； 4、据财新报道，中国将于 9 月底发行新的政策性金融工具，初始规模为 5000 亿元人民币，将重点 关注数字经济和人工智能等八个关键领域，其中 20% 专门用于民营企业。 期指基差比例： IF 当月/下月/当季/隔季：-0.36%/-0.65%/-0.85%/-1.41%； IC 当月/下月/当季/隔季：-1.13%/-2.03%/-2.93%/-5.33%； IM 当月/下月/当季/隔季：-1.25%/-2.36%/-3.46%/-6.28%； IH 当月/下月/当季/隔季：0.01%/-0.01%/0.03%/0.08%。 【策略观点】 经过前期持续上涨后，AI 等高位热点板块近期出现分歧 ...

1. Report Industry Investment Rating - Not available in the provided content 2. Core Viewpoints - Energy chemical options cover various categories including energy, polyolefins, polyesters, alkali chemicals, and others [3]. - The strategy suggests constructing option - combination strategies mainly as sellers, along with spot hedging or covered strategies to enhance returns [3]. 3. Summary by Related Catalogs 3.1. Futures Market Overview - Different energy - chemical option underlying futures have different price, trading volume, and open - interest changes. For example, crude oil (SC2511) closed at 484, down 8 (-1.55%), with a trading volume of 10.89 million lots and an open interest of 3.38 million lots [4]. 3.2. Option Factors - Volume and Open - Interest PCR - PCR indicators for different options vary. For instance, the volume PCR of crude oil options is 0.94, down 0.07, and the open - interest PCR is 1.03, down 0.13 [5]. 3.3. Option Factors - Pressure and Support Levels - Each option has its pressure and support levels. For example, the pressure level of crude oil options is 570, and the support level is 480 [6]. 3.4. Option Factors - Implied Volatility - Implied volatility of different options shows different trends. For example, the flat - strike implied volatility of crude oil options is 30.21%, and the weighted implied volatility is 32.98%, up 0.27% [7]. 3.5. Strategy and Recommendations 3.5.1. Energy - Class Options (Crude Oil) - Fundamental analysis: OPEC may discuss early release of 1.6 million barrels per day of production cuts, and Russia has its own production - cut plan [8]. - Market analysis: Crude oil has been in a weak and range - bound pattern since July, with short - term weakness in August and September [8]. - Option factor research: Implied volatility fluctuates around the mean, open - interest PCR is above 1.00, indicating a range - bound market, and the pressure and support levels are 570 and 480 respectively [8]. - Strategy recommendations: Directional strategy: None; Volatility strategy: Construct a short - biased call + put option combination strategy; Spot long - hedging strategy: Construct a long collar strategy [8]. 3.5.2. Energy - Class Options (LPG) - Fundamental analysis: PDH device maintenance is stable, but profit decline may lead to a decrease in capacity utilization [10]. - Market analysis: LPG has shown an oversold rebound pattern with pressure above [10]. - Option factor research: Implied volatility has dropped significantly to around the mean, open - interest PCR is around 0.80, indicating a range - bound market, and the pressure and support levels are 4800 and 4700 respectively [10]. - Strategy recommendations: Directional strategy: None; Volatility strategy: Construct a neutral - biased call + put option combination strategy; Spot long - hedging strategy: Construct a long collar strategy [10]. 3.5.3. Alcohol - Class Options (Methanol) - Fundamental analysis: Port inventory has reached a new high, and enterprise inventory and orders have changed [10]. - Market analysis: Methanol has shown a weak pattern with pressure above [10]. - Option factor research: Implied volatility has declined and fluctuates below the mean, open - interest PCR is around 0.80, indicating a weak - range - bound market, and the pressure and support levels are 2400 and 2250 respectively [10]. - Strategy recommendations: Directional strategy: Construct a bear - spread strategy with put options; Volatility strategy: Construct a short - biased call + put option combination strategy; Spot long - hedging strategy: Construct a long collar strategy [10]. 3.5.4. Alcohol - Class Options (Ethylene Glycol) - Fundamental analysis: Port inventory is expected to be in a low - level shock and then enter a stock - building cycle [11]. - Market analysis: Ethylene glycol has shown a weak pattern with pressure above [11]. - Option factor research: Implied volatility fluctuates below the mean, open - interest PCR is around 0.60, indicating strong short - side power, and the pressure and support levels are 4500 and 4250 respectively [11]. - Strategy recommendations: Directional strategy: Construct a bear - spread strategy with put options; Volatility strategy: Construct a short - volatility strategy; Spot long - hedging strategy: Hold spot long + buy put options + sell out - of - the - money call options [11]. 3.5.5. Polyolefin - Class Options - Fundamental analysis: Polyolefin inventory has different changes in production enterprises, traders, and ports, with PP having higher inventory pressure than PE [12]. - Market analysis: Polypropylene has shown a weak pattern with pressure above [12]. - Option factor research: Implied volatility has declined to below the mean, open - interest PCR is around 0.80, indicating a weak trend, and the pressure and support levels are 7400 and 6700 respectively [12]. - Strategy recommendations: Directional strategy: None; Volatility strategy: None; Spot long - hedging strategy: Hold spot long + buy at - the - money put options + sell out - of - the - money call options [12]. 3.5.6. Rubber Options - Fundamental analysis: Affected by the rubber - tapping season in Southeast Asia and increased overseas supply expectations, the global rubber futures market has declined [13]. - Market analysis: Rubber has shown a weak - range - bound pattern with support below and pressure above [13]. - Option factor research: Implied volatility has risen sharply and then dropped to around the mean, open - interest PCR is below 0.60, and the pressure and support levels are 17000 and 15750 respectively [13]. - Strategy recommendations: Directional strategy: None; Volatility strategy: Construct a neutral - biased call + put option combination strategy; Spot hedging strategy: None [13]. 3.5.7. Polyester - Class Options - Fundamental analysis: PTA inventory has increased slightly, but it is expected to maintain a de - stocking pattern due to high downstream load and more maintenance in September [14]. - Market analysis: PTA has shown a weak - bearish pattern with pressure above [14]. - Option factor research: Implied volatility fluctuates at a relatively high level, open - interest PCR is around 0.70, indicating a range - bound market, and the pressure and support levels are 5000 and 4400 respectively [14]. - Strategy recommendations: Directional strategy: None; Volatility strategy: Construct a short - biased call + put option combination strategy; Spot hedging strategy: None [14]. 3.5.8. Alkali - Class Options (Caustic Soda) - Fundamental analysis: Caustic soda factory inventory has increased [15]. - Market analysis: Caustic soda has shown a downward - trending pattern with pressure above [15]. - Option factor research: Implied volatility fluctuates at a high level, open - interest PCR is below 0.90, indicating a weak - range - bound market, and the pressure and support levels are 3000 and 2440 respectively [15]. - Strategy recommendations: Directional strategy: None; Volatility strategy: None; Spot collar hedging strategy: Hold spot long + buy put options + sell out - of - the - money call options [15]. 3.5.9. Alkali - Class Options (Soda Ash) - Fundamental analysis: Soda ash factory inventory has decreased [15]. - Market analysis: Soda ash has shown a low - level range - bound pattern with support below [15]. - Option factor research: Implied volatility fluctuates at a relatively high historical level, open - interest PCR is below 0.60, indicating strong short - side pressure, and the pressure and support levels are 1300 and 1200 respectively [15]. - Strategy recommendations: Directional strategy: Not specified; Volatility strategy: Construct a short - volatility combination strategy; Spot long - hedging strategy: Construct a long collar strategy [15]. 3.5.10. Urea Options - Fundamental analysis: Urea enterprise inventory has increased, and domestic demand is still weak [16]. - Market analysis: Urea has shown a low - level weak - range - bound pattern [16]. - Option factor research: Implied volatility fluctuates around the historical mean, open - interest PCR is below 0.60, indicating strong short - side pressure, and the pressure and support levels are 1800 and 1620 respectively [16]. - Strategy recommendations: Directional strategy: None; Volatility strategy: Construct a short - biased call + put option combination strategy; Spot hedging strategy: Hold spot long + buy at - the - money put options + sell out - of - the - money call options [16].

专题报告 2025-09-22 报告要点： 当前锂电材料旺季，碳酸锂供给增速低于消费端，基本面出现修复。短期现货偏紧，锂价底 部支撑强，市场等待新驱动，建议博弈聚焦资源供给持续性及需求预期差。 吴坤金 有色研究员 从业资格号：F3036210 交易咨询号：Z0015924 0755-23375135 wukj1@wkqh.cn 曾宇轲（联系人） 有色研究员 从业资格号：F03121027 0755-23375139 zengyuke@wkqh.cn 有色金属研究 | 碳酸锂 碳酸锂：旺季底部支撑较强 1、近期行情回顾 碳酸锂：旺季底部支撑较强 7 月中旬至 9 月上旬，碳酸锂市场呈现剧烈波动。7 月初，焦煤、多晶硅、工业硅、碳酸锂等 超跌品种在"反内卷"呼声下摆脱下跌趋势。随后碳酸锂市场博弈点转向资源端，宜春储量 核实、藏格锂业停产、宜春银锂检修等消息引发矿端供给收紧猜想，而宁德时代宜春锂云母 矿停产将市场情绪推向高潮，碳酸锂期货价格一度冲高至 9 万元附近。后续市场情绪逐渐降 温，交易回归基本面。国内碳酸锂产量小幅回调后持续增长，实际供需缺口低于市场预期。 同时，产业资金珍惜盘面套保机会，多头资金逐渐谨慎， ...

1. Report Industry Investment Rating No relevant information provided. 2. Core View of the Report - For non - ferrous metals, construct a seller's neutral volatility strategy as they are in a range - bound oscillation; for black metals, build a short - volatility portfolio strategy due to their large - amplitude fluctuations; for precious metals, create a spot hedging strategy as they are rising and breaking through [2]. 3. Summary by Related Catalogs 3.1 Futures Market Overview - The latest prices, price changes, trading volumes, and open interest changes of various metal futures contracts are presented, including copper, aluminum, zinc, etc. For example, the latest price of copper (CU2511) is 80,080, up 260 with a 0.33% increase, and its trading volume is 5.41 million lots with a decrease of 3.52 million lots [3]. 3.2 Option Factors - Volume and Open Interest PCR - The volume and open interest PCR of different metal options are given. For instance, the volume PCR of copper options is 0.65 with a change of 0.01, and the open interest PCR is 0.75 with a change of 0.04 [4]. 3.3 Option Factors - Pressure and Support Levels - The pressure and support levels of various metal options are analyzed. For example, the pressure level of copper options is 82,000 and the support level is 78,000 [5]. 3.4 Option Factors - Implied Volatility - The implied volatility of different metal options is provided, including at - the - money implied volatility, weighted implied volatility, etc. For example, the at - the - money implied volatility of copper options is 12.26%, and the weighted implied volatility is 15.27% with a change of - 1.54% [6]. 3.5 Strategy and Recommendations 3.5.1 Non - ferrous Metals - **Copper**: Build a short - volatility seller option portfolio strategy and a spot long - hedging strategy. The three - exchange copper inventory increased by 11,000 tons. The implied volatility of copper options fluctuates around the historical average, and the open interest PCR indicates some pressure above [7]. - **Aluminum**: Construct a short - neutral call + put option portfolio strategy and a spot collar strategy. The domestic aluminum ingot social inventory increased, and the LME inventory is at a low level. The market shows a long - biased upward and high - level oscillating trend [9]. - **Zinc/Lead**: Build a short - neutral call + put option portfolio strategy and a spot collar strategy. The zinc market shows an oscillating and falling trend after rising, and the implied volatility of zinc options continues to decline [9]. - **Nickel**: Construct a short - bearish call + put option portfolio strategy and a spot covered strategy. The domestic nickel ore port inventory increased, and the market shows a wide - range oscillating trend with bearish pressure above [10]. - **Tin**: Build a short - volatility strategy and a spot collar strategy. The tin production in Yunnan and Jiangxi is affected, and the market shows a short - term high - level oscillating trend with pressure above [10]. - **Lithium Carbonate**: Construct a short - bearish call + put option portfolio strategy and a spot long - hedging strategy. The lithium carbonate production increased, and the market shows a large - amplitude fluctuating and continuously falling trend [11]. 3.5.2 Precious Metals - **Gold/Silver**: Build a bullish option bull - spread combination strategy, a long - biased short - volatility option seller portfolio strategy, and a spot hedging strategy. The relationship between gold and silver prices is related to the overseas manufacturing PMI. The gold market shows a short - term oscillating and strongly breaking - through trend [12]. 3.5.3 Black Metals - **Rebar**: Construct a short - bearish call + put option portfolio strategy and a spot long - covered strategy. The rebar inventory decreased slightly, and the market shows a weak oscillating trend with pressure above [13]. - **Iron Ore**: Build a short - neutral call + put option portfolio strategy and a spot long - collar strategy. The iron ore inventory decreased, and the market shows a range - bound oscillating and rebounding trend [13]. - **Ferroalloys**: Build a short - volatility strategy for manganese silicon. The manganese silicon production decreased, and the market shows a weak and bearish trend [14]. - **Industrial Silicon/Polysilicon**: Construct a short - volatility call + put option portfolio strategy and a spot hedging strategy. The industrial silicon inventory remains high, and the market shows a large - amplitude range - bound oscillating trend [14]. - **Glass**: Build a short - volatility call + put option portfolio strategy and a spot long - collar strategy. The glass inventory decreased in some areas, and the market shows a weak trend with pressure above [15].

有色金属日报 2025-9-22 五矿期货早报 | 有色金属 铜 有色金属小组 【行情资讯】 吴坤金 从业资格号：F3036210 交易咨询号：Z0015924 0755-23375135 wukj1@wkqh.cn 曾宇轲 从业资格号：F03121027 0755-23375139 zengyuke@wkqh.cn 张世骄 从业资格号：F03120988 0755-23375122 zhangsj3@wkqh.cn 王梓铧 从业资格号：F03130785 0755-23375132 wangzh7@wkqh.cn 刘显杰 从业资格号：F03130746 0755-23375125 liuxianjie@wkqh.cn 陈逸 从业资格号：F03137504 0755-23375125 cheny40@wkqh.cn 周五伦铜收涨 0.51%至 9996 美元/吨，沪铜主力合约收 80080 元/吨，美联储降息预期犹存，铜价有 所修复。周五 LME 铜库存减少 1225 至 147650 吨，注销仓单比例反弹，Cash/3M 贴水 64.9 美元/吨。 国内上期所铜仓单减少 0.1 万吨，上海地区现货升水期货 ...

农产品早报 2025-09-22 五矿期货农产品早报 五矿期货农产品团队 从业资格号：F0273729 交易咨询号：Z0002942 邮箱：wangja@wkqh.cn 白糖、棉花研究员 从业资格号：F03116327 交易咨询号：Z0019233 邮箱:yangzeyuan@wkqh.cn 斯小伟 油脂油料研究员 从业资格号：F03114441 交易咨询号：Z0022498 电话：028-86133280 邮箱：sxwei@wkqh.cn 王俊 组长、生鲜品研究员 【行情资讯】 周五美豆高点回落逾 2%，因中美元首通话公告未明确涉及大豆，引发需求担忧。周末国内豆粕现货涨 跌互现，幅度 10-20 元/吨。上周国内豆粕成交一般，提货处于高位，下游库存天数上升 0.21 天至 9.42 天，据 MYSTEEL 统计上周国内压榨大豆 243 万吨，本周预计压榨 239 万吨。 杨泽元 美豆产区未来两周降雨量正常，8 月因干旱大豆优良率下滑，但 USDA 仅下调 0.1 蒲式耳/英亩单产，且 收割面积上调 20 万英亩。巴西方面，升贴水近期开始回落。总体来看，进口大豆成本受到美豆低估值、 中美贸易关系及巴西种植季节 ...