金属期权策略早报-20250708

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints - The overall metal market shows different trends, with non - ferrous metals fluctuating and falling, black metals consolidating in a range, and precious metals such as gold consolidating at a high level and then weakly falling. Corresponding option strategies are proposed for different metal sectors [2]. - For non - ferrous metals, options strategies such as constructing bull spreads, selling volatility, and spot hedging are recommended according to the market conditions of each metal [8][9][10][11]. - For precious metals, strategies like constructing short - volatility option seller portfolios and spot hedging are suggested [12]. - For black metals, strategies such as selling option combinations and spot hedging or covering are put forward based on different metal products [13][14][15]. 3. Summary by Directory 3.1. Futures Market Overview - The report presents the latest prices, price changes, trading volumes, and open interest of various metal futures contracts. For example, the price of copper futures (CU2508) is 79,390, down 120 (-0.15%); the price of aluminum futures (AL2508) is 20,490, down 10 (-0.05%) [3]. 3.2. Option Factors - Volume and Open Interest PCR: It is used to describe the strength of the option underlying market and the turning point of the market. For example, the volume PCR of copper options is 0.75, and the open interest PCR is 0.68 [4]. - Pressure and Support Levels: The pressure and support levels of each metal option underlying are analyzed. For example, the pressure level of copper is 92,000, and the support level is 78,000 [5]. - Implied Volatility: The implied volatility of each metal option is presented, including at - the - money implied volatility, weighted implied volatility, and its changes. For example, the at - the - money implied volatility of copper options is 11.05%, and the weighted implied volatility is 16.41%, down 0.87 [6]. 3.3. Strategy and Recommendations - Non - ferrous Metals - Copper: Directional strategy: construct a bull spread of call options; volatility strategy: construct a short - volatility option seller portfolio; spot long - hedging strategy: hold spot long + buy put options + sell out - of - the - money call options [8]. - Aluminum/Alumina: Directional strategy: use a bull spread of call options; volatility strategy: construct a short - call + put option portfolio; spot long - hedging strategy: construct a spot collar strategy [9]. - Zinc/Lead: Directional strategy: none; volatility strategy: construct a short - neutral call + put option portfolio; spot long - hedging strategy: construct a spot collar strategy [9]. - Nickel: 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: Directional strategy: none; volatility strategy: construct a short - volatility strategy; spot long - hedging strategy: construct a spot collar strategy [10]. - Lithium Carbonate: Directional strategy: none; volatility strategy: construct a short - neutral call + put option portfolio; spot long - covering strategy: hold spot long + sell call options [11]. - Precious Metals - Gold/Silver: Directional strategy: none; volatility strategy: construct a short - bullish short - volatility option seller portfolio; spot hedging strategy: hold spot long + buy put options + sell out - of - the - money call options [12]. - Black Metals - Rebar: Directional strategy: none; volatility strategy: construct a short - neutral call + put option portfolio; spot long - covering strategy: hold spot long + sell call options [13]. - Iron Ore: Directional strategy: none; volatility strategy: construct a short - bullish call + put option portfolio; spot long - hedging strategy: construct a long collar strategy [13]. - Ferroalloys: Directional strategy: none; volatility strategy: construct a short - volatility strategy; spot hedging strategy: none for manganese silicon [14]. - Industrial Silicon/Polysilicon: Directional strategy: none; volatility strategy: construct a short - neutral call + put option portfolio; spot covering strategy: hold spot long + sell call options [14]. - Glass: Directional strategy: none; volatility strategy: construct a short - volatility call + put option portfolio; spot long - hedging strategy: construct a long collar strategy [15].