金属期权策略早报-20250714

Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - For non - ferrous metals, which are in a state of shock and decline, it is recommended to construct a seller's neutral volatility strategy [2] - For the black series, which are in a state of range consolidation and shock, it is suitable to construct a seller's option neutral combination strategy [2] - For precious metals, specifically gold, which is in a state of high - level consolidation and weak decline, it is recommended to construct a spot hedging strategy [2] 3. Summary by Related Catalogs 3.1 Futures Market Overview - Copper (CU2508): The latest price is 78,320, down 210 (-0.27%), with a trading volume of 8.17 million lots (down 1.76 million lots) and an open interest of 17.87 million lots (down 0.24 million lots) [3] - Aluminum (AL2508): The latest price is 20,645, down 70 (-0.34%), with a trading volume of 12.02 million lots (down 1.87 million lots) and an open interest of 25.51 million lots (down 0.05 million lots) [3] - Zinc (ZN2508): The latest price is 22,215, down 185 (-0.83%), with a trading volume of 12.94 million lots (down 1.71 million lots) and an open interest of 10.76 million lots (down 0.50 million lots) [3] - Other metals follow a similar pattern of price, trading volume, and open - interest changes [3] 3.2 Option Factors - Volume and Open Interest PCR - For copper options, the volume PCR is 0.42 (down 0.11), and the open - interest PCR is 0.60 (up 0.01) [4] - For aluminum options, the volume PCR is 0.71 (down 0.11), and the open - interest PCR is 0.92 (up 0.03) [4] - Different metals show various trends in volume and open - interest PCR [4] 3.3 Option Factors - Pressure and Support Levels - Copper: The pressure level is 82,000, and the support level is 78,000 [5] - Aluminum: The pressure level is 20,600, and the support level is 20,000 [5] - Other metals also have corresponding pressure and support levels [5] 3.4 Option Factors - Implied Volatility - Copper: The at - the - money implied volatility is 11.81%, the weighted implied volatility is 17.54% (down 0.23%), and the implied - historical volatility difference is - 3.44% [6] - Aluminum: The at - the - money implied volatility is 9.15%, the weighted implied volatility is 12.14% (up 0.27%), and the implied - historical volatility difference is - 1.54% [6] - Each metal has its own implied volatility characteristics [6] 3.5 Strategy and Recommendations for Different Metals 3.5.1 Non - ferrous Metals - Copper: Directional strategy: None; Volatility strategy: Construct a short - volatility seller's option portfolio; Spot long - hedging strategy: Hold spot long + buy put options + sell out - of - the - money call options [8] - Aluminum/Alumina: Directional strategy: Bull spread strategy for 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: 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 - hedging strategy: Hold spot long + sell call options [11] 3.5.2 Precious Metals - Gold/Silver: Directional strategy: None; Volatility strategy: Construct a long - biased short - volatility option seller's portfolio; Spot hedging strategy: Hold spot long + buy put options + sell out - of - the - money call options [12] 3.5.3 Black Series - Rebar: Directional strategy: None; Volatility strategy: Construct a short neutral call + put option portfolio; Spot long - hedging 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: 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 long - hedging 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]