金属期权策略早报-20250711

Group 1: Report Summary - The report provides a strategy morning report for metal options on July 11, 2025, covering有色金属, precious metals, and black metals [1][2]. - It includes an overview of the underlying futures market, analysis of option factors, and specific option strategies and recommendations for each metal variety [3][4][7]. Group 2: Underlying Futures Market Overview - The report presents the latest prices, price changes, trading volumes, and open interest of various metal futures contracts, such as copper, aluminum, zinc, etc. [3] Group 3: Option Factor Analysis - Option factor analysis includes volume - open interest PCR, pressure and support levels, and implied volatility for different metal options [4][5][6]. - Volume PCR and open - interest PCR are used to describe the strength and potential turning points of the underlying asset's market [4]. - Pressure and support levels are determined from the strike prices with the largest open interest of call and put options [5]. - Implied volatility is calculated as the arithmetic average of call and put at - the - money options and volume - weighted average [6]. Group 4: Option Strategies and Recommendations Non - Ferrous Metals - Copper Options: Directional strategy is to construct a bull call spread; volatility strategy is to construct a short - volatility option seller portfolio; spot hedging strategy is to hold spot long + buy put + sell out - of - the - money call [8]. - Aluminum/Alumina Options: Directional strategy is a bull call spread; volatility strategy is to sell a bullish call + put option combination; spot hedging strategy is a collar strategy [9]. - Zinc/Pb Options: Volatility strategy is to sell a neutral call + put option combination; spot hedging strategy is a collar strategy [9]. - Nickel Options: Volatility strategy is to sell a bearish call + put option combination; spot risk - hedging strategy is to hold spot long + buy put [10]. - Tin Options: Volatility strategy is a short - volatility strategy; spot hedging strategy is a collar strategy [10]. - Lithium Carbonate Options: Volatility strategy is to sell a neutral call + put option combination; spot covered strategy is to hold spot long + sell call [11]. Precious Metals - Gold/Silver Options: Volatility strategy is to construct a bullish short - volatility option seller portfolio; spot hedging strategy is to hold spot long + buy put + sell out - of - the - money call [12]. Black Metals - Rebar Options: Directional strategy is a bull call spread; volatility strategy is to sell a neutral call + put option combination; spot covered strategy is to hold spot long + sell call [13]. - Iron Ore Options: Directional strategy is a bull call spread; volatility strategy is to sell a bullish call + put option combination; spot hedging strategy is a collar strategy [13]. - Ferroalloy Options: Volatility strategy is a short - volatility strategy [14]. - Industrial Silicon/Polysilicon Options: Directional strategy is a bull call spread; volatility strategy is to sell a bullish call + put option combination; spot covered strategy is to hold spot long + sell call [14]. - Glass Options: Volatility strategy is to sell a call + put option combination to short volatility; spot hedging strategy is a collar strategy [15].