金属期权策略早报-20250626

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The metal sector is divided into non - ferrous metals, precious metals, and black metals. Different option strategies are recommended for selected varieties in each sector based on the analysis of the underlying market, option factor research, and risk - return characteristics [2][7]. 3. Summary by Related Catalogs 3.1 Futures Market Overview - Non - ferrous Metals: Copper (CU2508) closed at 78,720 with a 0.36% increase, aluminum (AL2508) at 20,345 with a 0.25% increase, zinc (ZN2508) at 22,095 with a 0.59% increase, etc. [3]. - Precious Metals: Gold (AU2508) closed at 774.02 with a 0.52% increase, silver (AG2508) at 8,761 with a 1.29% increase [3]. - Black Metals: Rebar (RB2510) closed at 2,966 with a 0.13% decrease, iron ore (I2509) at 701.50 with a 0.07% increase [3]. 3.2 Option Factor - Volume and Open Interest PCR - Different metals show various trends in volume and open interest PCR. For example, copper's volume PCR is 0.65 with a - 0.22 change, and open interest PCR is 0.82 with a - 0.00 change [4]. 3.3 Option Factor - Pressure and Support Levels - For copper, the pressure level is 92,000 and the support level is 77,000; for aluminum, the pressure level is 20,600 and the support level is 20,000, etc. [5]. 3.4 Option Factor - Implied Volatility - Implied volatility varies among metals. For instance, copper's weighted implied volatility is 13.79% with a - 0.43 change, and aluminum's is 10.88% with a - 0.53 change [6]. 3.5 Strategy and Recommendations 3.5.1 Non - ferrous Metals - Copper: Directional strategy - construct a bull spread with call options; volatility strategy - construct a short - volatility seller option portfolio; spot long - hedging strategy - hold spot long + buy put option + sell out - of - the - money call option [8]. - Aluminum: Directional strategy - use a bull spread with call options; volatility strategy - sell a combination of call and put options; spot long - hedging strategy - use a collar strategy [9]. - Nickel: Directional strategy - construct a bear spread with put options; volatility strategy - sell a combination of call and put options; spot long - hedging strategy - hold spot long + buy put option [10]. 3.5.2 Precious Metals - Gold: Volatility strategy - construct a short - volatility option seller portfolio; spot long - hedging strategy - hold spot long + buy put option + sell out - of - the - money call option [13]. 3.5.3 Black Metals - Rebar: Volatility strategy - sell a combination of call and put options; spot long - hedging strategy - hold spot long + sell call option [14]. - Iron Ore: Volatility strategy - sell a combination of call and put options; spot long - hedging strategy - use a collar strategy [14].