铸造铝合金期权合约规则要点及上市首日点评

Report Industry Investment Rating No relevant information provided. Core Viewpoints of the Report - On June 10, 2025, cast aluminum alloy options were officially listed for trading. The market performance on the first trading day was stable, with a total trading volume of 8,485 lots. The trading was concentrated on the main contract AD2511, indicating a certain bullish sentiment in the market. [1][21] - The implied volatility of cast aluminum alloy options is slightly higher than the historical volatility of the spot. The price of cast aluminum alloy on the spot side has limited downward space, but there is pressure on the subsequent social inventory to accumulate. The price on the disk can be traded in the short - term range. [2][33] - Speculative strategies can consider constructing short strangles to earn Theta income. Hedging strategies include upstream enterprises buying put options to hedge the risk of falling sales prices, or constructing covered strategies by selling out - of - the - money call options, and combining them to construct collar strategies. [3][33][34] Summary by Directory 1. Cast Aluminum Alloy Option Compliance Rules - Listing and Contracts: Cast aluminum alloy options were officially listed for trading on the night session of June 10, 2025. The first batch of listed contracts were the option contracts corresponding to the AD2511 and AD2512 futures contracts. The contract details include the contract subject, type, trading unit, etc. [1][9][11] - Pricing and Limits: The listing benchmark price is calculated by the binomial tree option pricing model. The daily limit is ±7%, and it is twice that on the first day. The maximum order quantity per order is 100 lots. [9][10] - Exercise and Position Management: It is an American - style option. The option and futures contracts are separately limited in position. The cast aluminum alloy options and futures share the approved hedging trading positions. [14][16][18] - Fees: The trading fee is 10 yuan per lot, and the fee for closing positions on the same day is temporarily waived. From the listing date to December 31, 2025, the hedging trading fee is halved. [19] 2. First - Day Trading Situation - The total trading volume on the first trading day was 8,485 lots, concentrated on the main contract AD2511, accounting for 28.89% of the AD2511 futures trading volume. The trading volume PCR was 52.99%, the open interest PCR was 77.64%, and the turnover PCR/volume PCR was 94.92%, indicating a certain bullish sentiment. [1][21] - The trading and open interest of the main options were mainly concentrated in the slightly out - of - the - money and deeply out - of - the - money areas. The main strike prices of call options were concentrated at 19,500 yuan/ton and 21,400 yuan/ton, and those of put options were at 19,200 yuan/ton and 17,200 yuan/ton. [22] 3. Volatility Situation - The AD2511 option has 93 trading days until expiration. The 90 - trading - day volatility of the current spot price is 10.42%, and the historical one - year minimum, average, and maximum are 8.47%, 11.25%, and 12.48% respectively. The 90 - trading - day volatility of the Shanghai aluminum futures index is 12.06%. [2][25][26] - The implied volatility of the main at - the - money option of cast aluminum alloy is 12.60%, higher than the historical volatility of the spot and Shanghai aluminum futures. The option implied volatility shows a relatively smooth volatility smile distribution, providing a certain safety margin for the short - option strategy. [2][26] 4. Option Synthetic Futures Arbitrage Test The premium rate of the synthetic futures of cast aluminum alloy main options is between - 0.36% and 0.19%, indicating that the market prices the options reasonably and there are no obvious arbitrage opportunities. [30] 5. Option Strategy Recommendations - Market Analysis: From May to August is the traditional off - season for aluminum alloys. The spot price of cast aluminum alloy has limited downward space, but there is pressure on social inventory to accumulate. The price on the disk can be traded in the short - term range, with support at 19,000 yuan/ton and resistance at 19,800 yuan/ton. [3][33] - Speculative Strategy: Construct short strangles to earn Theta income, but pay attention to risk control. [3][33] - Hedging Strategy: Upstream enterprises can buy put options, sell out - of - the - money call options, or combine them to construct collar strategies. [3][33][34]