金属期权策略早报-20250715

1. Report Summary - The report provides a morning briefing on metal option strategies, covering various metal options including non - ferrous metals, precious metals, and black metals. It includes market overviews, option factor analyses, and strategy recommendations for each metal option [2]. 2. Core Views - For non - ferrous metals, which are in a state of shock and decline, a seller's neutral volatility strategy is recommended; black metals are in a range - bound consolidation phase, suitable for constructing a seller's option neutral combination strategy; precious metals like gold are in a high - level consolidation with a weak decline, suggesting a spot hedging strategy [2]. 3. Specific Summaries by Category 3.1 Market Overview of Underlying Futures - The report details the latest prices, price changes, price change percentages, trading volumes, volume changes, open interests, and open interest changes of various metal futures contracts such as copper, aluminum, zinc, etc. For example, the latest price of copper (CU2508) is 78,020, with a decline of 270 and a decline rate of 0.34% [3]. 3.2 Option Factor Analysis 3.2.1 Volume and Open Interest PCR - The volume and open interest PCR of each metal option are presented, which are used to describe the strength of the option underlying market and the turning point of the underlying market respectively. For instance, the open interest PCR of copper options is 0.60, with a change of - 0.01 [4]. 3.2.2 Pressure and Support Levels - The pressure and support levels of each metal option are analyzed from the perspective of the exercise prices with the largest open interest of call and put options. For example, the pressure level of copper is 82,000, and the support level is 78,000 [5]. 3.2.3 Implied Volatility - The report shows the at - the - money implied volatility, weighted implied volatility, and its changes, annual average, call and put implied volatilities, historical volatility, and the difference between implied and historical volatilities of each metal option. For example, the weighted implied volatility of copper is 17.19%, with a change of - 0.35% [6]. 3.3 Strategy Recommendations 3.3.1 Non - Ferrous Metals - Copper Options: Based on fundamental and market analysis, the strategy includes constructing a short - volatility seller's option combination strategy and a spot long - position hedging strategy [8]. - Aluminum/Alumina Options: Recommendations are a call option bull spread strategy, a short - position call + put option combination strategy, and a spot collar strategy [9]. - Zinc/Lead Options: A short - neutral call + put option combination strategy and a spot collar strategy are suggested [9]. - Nickel Options: A short - bearish call + put option combination strategy and a spot long - position hedging strategy are recommended [10]. - Tin Options: A short - volatility strategy and a spot collar strategy are proposed [10]. - Lithium Carbonate Options: A short - bullish call + put option combination strategy and a spot long - position covered call strategy are recommended [11]. 3.3.2 Precious Metals - Gold/Silver Options: A short - bullish short - volatility option seller's combination strategy and a spot hedging strategy are suggested [12]. 3.3.3 Black Metals - Rebar Options: A short - neutral call + put option combination strategy and a spot long - position covered call strategy are recommended [13]. - Iron Ore Options: A short - bullish call + put option combination strategy and a spot long - position collar strategy are suggested [13]. - Ferroalloy Options: A short - volatility strategy for manganese silicon options is proposed, and for industrial silicon/polysilicon options, a call option bull spread strategy, a short - bullish call + put option combination strategy, and a spot hedging strategy are recommended [14]. - Glass Options: A short - volatility short - call + put option combination strategy and a spot long - position collar strategy are recommended [15].