金属期权策略早报-20250730

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The metal sector is divided into non - ferrous metals, precious metals, and black metals. Strategies are provided for selected metal options in each sector, including directional, volatility, and spot hedging strategies [8]. - For non - ferrous metals, copper shows a high - level consolidation trend, and a short - volatility seller option portfolio strategy is recommended; aluminum shows a long - biased high - level shock, and a bull - spread call option strategy and a short - option combination strategy are recommended; zinc shows a short - term long - biased shock, and similar strategies to aluminum are recommended; nickel shows a wide - range shock with short - side pressure, and a short - option combination strategy with a short delta is recommended; tin shows a short - term weak shock, and a short - volatility strategy is recommended; lithium carbonate shows a large - amplitude fluctuation, and a short - option combination strategy with a neutral delta is recommended [7][9][10][11]. - For precious metals, gold shows a short - term weak shock, and a short - volatility option seller combination strategy with a neutral delta is recommended; silver shows a long - biased shock, and a short - option combination strategy with a long delta is recommended [12]. - For black metals, rebar shows an upward shock with pressure, and a short - option combination strategy with a neutral delta and a covered call strategy are recommended; iron ore shows a long - biased shock, and a bull - spread call option strategy and a short - option combination strategy with a long delta are recommended; ferroalloys (manganese silicon and silicon iron) show a long - biased trend, and bull - spread call option strategies and short - volatility strategies are recommended; industrial silicon and polysilicon show a rebound and upward trend with large fluctuations, and short - volatility strategies are recommended; glass shows a rebound after a large decline, and a short - volatility strategy and a long - collar strategy are recommended [13][14][15]. 3. Summary by Related Catalogs 3.1 Futures Market Overview - The report provides the latest prices, price changes, trading volumes, and open interest changes of various metal futures contracts, including copper, aluminum, zinc, etc. For example, the latest price of copper (CU2509) is 79,090, with a price increase of 110 and a trading volume of 6.54 million lots [3]. 3.2 Option Factors - Volume and Open Interest PCR - Volume PCR and open interest PCR are used to describe the strength of the option underlying market and the turning point of the market. For example, the volume PCR of copper is 0.63, and the open interest PCR is 0.72 [4]. 3.3 Option Factors - Pressure and Support Levels - Pressure and support levels of various metal options are analyzed from the perspective of the strike 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 75,000 [5]. 3.4 Option Factors - Implied Volatility - Implied volatility data of various metal options are provided, including at - the - money implied volatility, weighted implied volatility, and the difference between implied and historical volatility. For example, the at - the - money implied volatility of copper is 10.76% [6]. 3.5 Strategy and Recommendations - Non - ferrous Metals: - Copper: Build a short - volatility seller option portfolio strategy and a spot long - hedging strategy [7]. - Aluminum/Alumina: Use a bull - spread call option strategy, a short - option combination strategy, and a spot collar strategy [9]. - Zinc/Lead: Adopt a bull - spread call option strategy, a short - option combination strategy, and a spot collar strategy [9]. - Nickel: Implement a short - option combination strategy with a short delta and a spot long - hedging strategy [10]. - Tin: Apply a short - volatility strategy and a spot collar strategy [10]. - Lithium Carbonate: Use a short - option combination strategy with a neutral delta and a spot long - hedging strategy [11]. - Precious Metals: - Gold: Build a short - volatility option seller combination strategy with a neutral delta and a spot hedging strategy [12]. - Silver: Use a short - option combination strategy with a long delta and a spot collar strategy [12]. - Black Metals: - Rebar: Implement a short - option combination strategy with a neutral delta and a covered call strategy [13]. - Iron Ore: Adopt a bull - spread call option strategy, a short - option combination strategy with a long delta, and a spot collar strategy [13]. - Ferroalloys: Use bull - spread call option strategies and short - volatility strategies [14]. - Industrial Silicon/Polysilicon: Apply short - volatility strategies and spot hedging strategies [14]. - Glass: Implement a short - volatility strategy and a long - collar strategy [15].