金属期权策略早报-20250722

1. Report Industry Investment Rating - Not provided in the given content 2. Core Views of the Report - For non - ferrous metals, which are experiencing a fluctuating decline, it is recommended to construct a seller neutral volatility strategy [2]. - For the black - series, which are gradually consolidating in a range, a seller option neutral portfolio strategy is suitable [2]. - For precious metals, specifically gold, which is consolidating at a high level and showing a weak decline, a spot hedging strategy is proposed [2]. 3. Summary by Related Catalogs 3.1 Futures Market Overview - Copper (CU2509) is priced at 79,770, up 510 (0.64%) with a trading volume of 8.75 million lots (up 3.27 million) and an open interest of 15.69 million lots (up 1.52 million) [3]. - Aluminum (AL2509) is at 20,860, up 115 (0.55%), volume 22.07 million lots (up 9.16 million), open interest 31.69 million lots (up 3.43 million) [3]. - Zinc (ZN2509) is at 22,875, up 90 (0.39%), volume 25.14 million lots (up 10.03 million), open interest 13.33 million lots (up 1.73 million) [3]. - And so on for other metals including lead, nickel, tin, etc. 3.2 Option Factors - Volume and Open Interest PCR - For copper, the volume PCR is 0.30 (down 0.24), and the open interest PCR is 0.65 (up 0.05) [4]. - For aluminum, the volume PCR is 0.49 (down 0.21), and the open interest PCR is 0.89 (down 0.04) [4]. - Similar data is provided for other metals such as zinc, lead, etc. 3.3 Option Factors - Pressure and Support Levels - For copper, the pressure level is 82,000 and the support level is 78,000 [5]. - For aluminum, the pressure level is 20,600 and the support level is 20,000 [5]. - For other metals like zinc, lead, etc., their respective pressure and support levels are also given. 3.4 Option Factors - Implied Volatility - For copper, the at - the - money implied volatility is 13.25%, the weighted implied volatility is 17.34% (up 2.66%), and the difference between implied and historical volatility is - 1.57% [6]. - For aluminum, the at - the - money implied volatility is 11.32%, the weighted implied volatility is 14.28% (up 2.05%), and the difference between implied and historical volatility is 0.57% [6]. - Similar implied volatility data is presented for other metals. 3.5 Strategy and Recommendations for Different Metals 3.5.1 Non - ferrous Metals - Copper Option: Directional strategy: None; 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/Alumina Option: Directional strategy: Bull spread call option strategy; Volatility strategy: Sell a combination of call and put options with a long - biased position; Spot long - hedging strategy: Construct a spot collar strategy [9]. - Zinc/Lead Option: Directional strategy: Bull spread call option strategy; Volatility strategy: Sell a combination of call and put options with a long - biased position; Spot long - hedging strategy: Construct a spot collar strategy [9]. - Nickel Option: Directional strategy: None; Volatility strategy: Sell a combination of call and put options with a short - biased position; Spot long - hedging strategy: Hold spot long + buy put option [10]. - Tin Option: Directional strategy: None; Volatility strategy: Short - volatility strategy; Spot long - hedging strategy: Construct a spot collar strategy [10]. - Carbonate Lithium Option: Directional strategy: None; Volatility strategy: Sell a combination of call and put options with a long - biased position; Spot long - hedging strategy: Hold spot long + buy put option + sell call option [12]. 3.5.2 Precious Metals - Gold/Silver Option: Directional strategy: None; Volatility strategy: Construct a neutral 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 - series - Rebar Option: Directional strategy: Construct a bull spread call option strategy; Volatility strategy: Sell a combination of call and put options with a long - biased position; Spot long - hedging strategy: Hold spot long + sell call option [14]. - Iron Ore Option: Directional strategy: Bull spread call option strategy; Volatility strategy: Sell a combination of call and put options with a long - biased position; Spot long - hedging strategy: Construct a long collar strategy [14]. - Ferroalloy Option: Directional strategy: None; Volatility strategy: Short - volatility strategy; Spot long - hedging strategy: None [15]. - Industrial Silicon/Polysilicon Option: Directional strategy: Construct a bull spread call option strategy; Volatility strategy: Sell a combination of call and put options with a long - biased position; Spot long - hedging strategy: Hold spot long + buy put option + sell call option [15]. - Glass Option: Directional strategy: Bull spread call option strategy; Volatility strategy: Short - volatility strategy; Spot long - hedging strategy: Construct a long collar strategy [16].