铸造铝合金期权上市一周回顾

Report Summary 1. Investment Rating - No investment rating for the industry is provided in the report. 2. Core Viewpoints - The cast aluminum alloy options were listed on June 10, 2025. In the first week after listing, the implied volatility of the options was relatively high compared to Shanghai aluminum options, and the volatility curve was slightly negatively skewed. The trading volume shifted from a state where the call - option volume was nearly twice that of the put - option volume on the first day to a state where the put - option volume and open interest were larger. The open - interest market value of aluminum alloy options was close to one - tenth of that of Shanghai aluminum options. Considering the long time to expiration, a small - scale option covered strategy can be used for spot - futures hedging [1]. 3. Summary by Directory 3.1 Cast Aluminum Alloy Options Listing Overview - On June 10, 2025, the cast aluminum alloy futures were listed on the Shanghai Futures Exchange, and the option contracts corresponding to AD2511 and AD2512 futures contracts started trading at night. The initial number of option contracts was 144, with an equal number for the two - month contracts. As the underlying futures price rose, the option contracts added multiple strike prices. By the end of Friday, there were a total of 150 option contracts, including 74 near - month contracts [1][4][6]. - The trading enthusiasm was high on the first day of option listing, with a total trading volume of 8,576 contracts, and nearly 95% of the volume was achieved in the 2511 option contracts. The total open interest was 2,765 contracts, and the 2511 option contracts also accounted for over 94%. As the market stabilized and the time to expiration was far away, the trading enthusiasm decreased [6]. 3.2 Cast Aluminum Alloy Options Trading Structure - On the first day of futures listing (June 10), the actual volatility of the main contract was about 19%, and then it gradually declined. The implied volatility of the corresponding options dropped to around 13% by the close of June 11, slightly lower than the actual futures volatility on that day. Subsequently, the actual volatility further decreased, while the implied volatility of the options remained relatively high, reflecting the forward - looking effect of volatility in option pricing [8]. - The implied volatility of put options was relatively higher. During the market stabilization process, the implied volatility of call options declined faster, and the volatility curve changed from an almost symmetric structure to a negatively skewed one. On the first day of option listing, the trading enthusiasm for call options was high, with a single - day trading volume of 5,590 contracts, but the open interest after settlement was only 1,564 contracts, and the trading - to - open - interest ratio was nearly 3.6 times. The trading volume of put options was only 2,986 contracts on the first day, with an open interest of 1,201 contracts. However, the implied volatility of put options was relatively high, indicating that the selling force in the option market was relatively stronger, and the continuous decline in implied volatility also suggested more participation in selling options [10]. 3.3 Option Strategies - Since the current option contracts are far from expiration and the volatility level is expected to decline further, a covered option combination can be considered to enhance the income of spot trading when the spot trading period matches. The option covered strategy involves selling call options when holding spot inventory or long futures positions, and for downstream enterprises, it can be selling put options while having purchase needs or short futures positions. If the sold option contracts are not exercised at expiration, the entire option premium is earned; if they are exercised, a position opposite to the spot or futures position is obtained for effective hedging [16]. - For example, the current price of the AD2511 futures contract is about 19,700 yuan/ton, and the price of an out - of - the - money call option with a strike price of 21,000 yuan/ton is about 150 yuan/ton. If an upstream enterprise sells this contract until the option contract expires on October 27: if the futures price is lower than 21,000 yuan/ton, a profit of 150 yuan/ton is earned, and the option contract automatically expires. If the futures price is higher than 21,000 yuan/ton, a short futures position with a cost price of 21,000 yuan/ton is obtained, and an additional profit of 150 yuan/ton in option premium is earned, effectively locking in the selling price at 21,150 yuan/ton [17].