金属期权策略早报-20250611

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - For non - ferrous metals in a range - bound consolidation, construct short - volatility strategies; for black metals in a weak oscillation, construct bear - spread portfolios and short - option portfolios; for precious metals, with gold at a high - level consolidation and silver breaking through and rising, construct short - volatility strategies and spot hedging strategies [2] - Each metal variety is analyzed from aspects of fundamentals, market trends, option factors, and corresponding option strategies and suggestions are given [7][9][10] 3. Summary by Related Catalogs 3.1 Futures Market Overview - Copper: The latest price of CU2507 is 79,030, down 100 with a decline of 0.13%. Trading volume is 8.61 million lots, up 1.08 million lots, and open interest is 20.87 million lots, up 0.64 million lots [3] - Aluminum: The latest price of AL2507 is 20,050, up 50 with an increase of 0.25%. Trading volume is 14.92 million lots, up 1.60 million lots, and open interest is 18.43 million lots, up 0.26 million lots [3] - Other metals such as zinc, lead, nickel, etc. also have detailed price, trading volume, and open - interest data provided [3] 3.2 Option Factors - Volume and Open Interest PCR - Copper: Volume PCR is 0.46, down 0.16; Open interest PCR is 1.00, down 0.07 [4] - Aluminum: Volume PCR is 1.02, down 0.21; Open interest PCR is 1.41, up 0.05 [4] - Each metal option has corresponding volume and open - interest PCR data and their changes [4] 3.3 Option Factors - Pressure and Support Levels - Copper: Pressure point is 80,000, support point is 70,000 [5] - Aluminum: Pressure point is 20,200, support point is 19,000 [5] - Each metal option has corresponding pressure and support levels [5] 3.4 Option Factors - Implied Volatility - Copper: At - the - money implied volatility is 12.17%, weighted implied volatility is 17.27%, down 0.12 [6] - Aluminum: At - the - money implied volatility is 9.34%, weighted implied volatility is 11.25%, down 1.06 [6] - Each metal option has corresponding implied - volatility data [6] 3.5 Strategies and Suggestions 3.5.1 Non - Ferrous Metals - Copper: Construct bull - spread call option strategies and short - volatility short - option portfolios, and also construct spot hedging strategies [7] - Aluminum: Construct short - neutral call + put option portfolios and spot collar strategies [9] - Other non - ferrous metals such as zinc, nickel, etc. also have corresponding strategies and suggestions [9][10] 3.5.2 Precious Metals - Gold: Construct short - volatility short - option portfolios and spot hedging strategies [12] - Silver: Similar to gold, construct relevant strategies [12] 3.5.3 Black Metals - Rebar: Construct bear - spread put option strategies, short - bearish call + put option portfolios, and spot covered - call strategies [13] - Iron Ore: Construct short - neutral call + put option portfolios and spot collar strategies [13] - Other black metals such as ferroalloys, industrial silicon, etc. also have corresponding strategies and suggestions [14][15]