金属期权策略早报-20250604

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints - The metal sector is divided into non - ferrous metals, precious metals, and black metals. Different option strategies are recommended for each sector and selected varieties based on their respective market conditions and option factors [2][7]. 3. Summary by Related Catalogs 3.1 Market Overview of Underlying Futures - The latest prices, price changes, trading volumes, and open interest changes of various metal options' underlying futures contracts are presented. For example, the latest price of copper (CU2507) is 78,180, with a price increase of 390 and a trading volume of 8.19 million lots [3]. 3.2 Option Factor - Volume and Open Interest PCR - The volume PCR and open interest PCR of different metal options are calculated. These indicators are used to describe the strength of the option underlying market and the turning point of the market. For instance, the volume PCR of copper is 2.09, and the open interest PCR is 1.25 [4]. 3.3 Option Factor - Pressure and Support Levels - The pressure and support levels of various metal options are determined from the perspective of the strike prices with the largest open interest of call and put options. For example, the pressure level of copper is 80,000, and the support level is 70,000 [5]. 3.4 Option Factor - Implied Volatility - The implied volatility of different metal options is analyzed, including at - the - money implied volatility, weighted implied volatility, and the difference between implied and historical volatility. For example, the at - the - money implied volatility of copper is 11.42% [6]. 3.5 Strategy and Recommendations - Non - ferrous Metals - Copper Options: Directional strategy - construct a bull spread of call options; volatility strategy - construct a short - volatility seller option portfolio; spot long - hedging strategy - hold spot long + buy put options + sell out - of - the - money call options [8]. - Aluminum/Alumina Options: Directional strategy - construct a bull spread of call options; volatility strategy - construct a neutral short call + put option portfolio; spot long - hedging strategy - construct a spot collar strategy [9]. - Zinc/Pb Options: Directional strategy - none; volatility strategy - construct a neutral short call + put option portfolio; spot long - hedging strategy - construct a spot collar strategy [9]. - Nickel Options: Directional strategy - none; volatility strategy - construct a short - bearish call + put option portfolio; spot long - hedging strategy - hold spot long + buy put options [10]. - Tin Options: Directional strategy - none; volatility strategy - construct a short - volatility strategy; spot long - hedging strategy - construct a spot collar strategy [10]. - Lithium Carbonate Options: Directional strategy - construct a bear spread of put options; volatility strategy - construct a short - bearish call + put option portfolio; spot long - hedging strategy - hold spot long + sell call options [11]. - Precious Metals - Gold/Silver Options: Directional strategy - none; volatility strategy - construct a long - biased short - volatility option seller portfolio; spot long - hedging strategy - hold spot long + buy put options + sell out - of - the - money call options [12]. - Black Metals - Rebar Options: Directional strategy - construct a bear spread of put options; volatility strategy - construct a short - bearish call + put option portfolio; spot long - hedging strategy - hold spot long + sell at - the - money call options [13]. - Iron Ore Options: Directional strategy - none; volatility strategy - construct a neutral short call + put option portfolio; spot long - hedging strategy - construct a long collar strategy [13]. - Ferroalloy Options: Directional strategy - construct a bear spread of put options; volatility strategy - construct a short - volatility strategy; spot long - hedging strategy - none [14]. - Industrial Silicon/Polysilicon Options: Directional strategy - construct a bear spread of put options; volatility strategy - construct a short - bearish call + put option portfolio; spot long - hedging strategy - hold spot long + sell call options [14]. - Glass Options: Directional strategy - construct a bear spread of put options; volatility strategy - construct a short - volatility call + put option portfolio; spot long - hedging strategy - construct a long collar strategy [15]. 3.6 Charts - Charts of various metal options, including price trends, trading volume, open interest, and implied volatility, are provided to visually present the market conditions of different metal options [17][37][57] etc.