金属期权策略早报-20250509

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints - For non - ferrous metals in a consolidation and oscillation state, construct a short - volatility strategy; for the black series with large fluctuations, construct a seller's option combination strategy; for precious metals in a high - level oscillation in the bullish trend direction, construct a bull spread combination strategy, a short - volatility strategy, and a spot hedging strategy [2]. 3. Summary by Related Catalogs 3.1. Futures Market Overview - Copper (CU2506): The latest price is 78,140, up 560 or 0.72%, with a trading volume of 11.67 million lots (down 1.61 million lots) and an open interest of 17.97 million lots (up 0.06 million lots) [3]. - Aluminum (AL2506): The latest price is 19,570, up 90 or 0.46%, with a trading volume of 26.76 million lots (up 0.08 million lots) and an open interest of 19.27 million lots (down 0.21 million lots) [3]. - Other metals such as zinc, lead, nickel, etc., also have their respective price, trading volume, and open - interest changes [3]. 3.2. Option Factor - Volume and Open Interest PCR - PCR indicators are used to describe the strength of the option underlying market and the turning point of the underlying market. For example, the copper option has a trading volume PCR of 2.20 (up 1.19) and an open - interest PCR of 1.23 (up 0.09) [4]. 3.3. Option Factor - Pressure and Support Levels - From the perspective of the maximum open - interest of call and put options, the pressure and support levels of each metal option are obtained. For example, the pressure level of copper (CU2506) is 80,000 and the support level is 70,000 [5]. 3.4. Option Factor - Implied Volatility - The implied volatility of each metal option is calculated. For example, the at - the - money implied volatility of copper is 15.91%, and the weighted implied volatility is 21.95% (up 0.95%) [6]. 3.5. Strategy and Recommendations - Non - ferrous Metals - Copper Options: Construct a short - volatility seller's option combination strategy and a spot long - hedging strategy [7]. - Aluminum/Alumina Options: Construct a short - neutral call + put option combination strategy and a spot collar strategy [9]. - Other Non - ferrous Metals: Each has corresponding directional, volatility, and spot - related strategies [9][10][11]. - Precious Metals - Gold/Silver Options: Construct a short - neutral volatility option seller's combination strategy and a spot - hedging strategy [12]. - Black Series - Steel, Iron Ore, etc.: Each has corresponding directional, volatility, and spot - related strategies. For example, construct a bearish put spread combination strategy for steel [13][14][15].