金属期权策略早报-20250731

Report Summary 1. Investment Rating The report does not mention the industry investment rating. 2. Core Viewpoints - The metal sector is divided into non - ferrous metals, precious metals, and black metals. For each segment, specific metal options are analyzed, and corresponding strategies and suggestions are provided based on fundamental and market trend analysis, option factor research [8]. - For non - ferrous metals, different strategies are proposed according to the market conditions of each metal, such as constructing short - volatility seller option portfolios for copper and tin, and short - neutral or short - bullish/bearish call + put option combinations for other metals [7][10]. - For precious metals, a short - neutral volatility option seller portfolio is recommended for gold, and for black metals, different strategies like bullish option bull - spread combinations for iron ore and short - volatility strategies for other metals are suggested [12][13]. 3. Summary by Category 3.1 Market Overview of Underlying Futures - The report presents the latest prices, price changes, trading volumes, and open interests of various metal futures contracts, including copper, aluminum, zinc, etc. For example, the latest price of copper (CU2509) is 78,700, with a decrease of 370 (- 0.47%), trading volume of 5.59 million lots, and open interest of 17.17 million lots [3]. 3.2 Option Factors - Volume and Open Interest PCR: This factor is 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 0.51, with a change of - 0.12, and the open interest PCR is 0.72, with a change of - 0.01 [4]. - Pressure and Support Levels: Determined from the strike prices with the largest open interest of call and put options. For instance, the pressure point of copper is 82,000, and the support point is 75,000 [5]. - Implied Volatility: The report shows the at - the - money implied volatility, weighted implied volatility, and their changes for each metal option. For example, the at - the - money implied volatility of copper is 10.66%, and the weighted implied volatility is 15.99%, with a change of 0.43% [6]. 3.3 Strategies and Suggestions - Non - ferrous Metals - Copper: Based on the analysis of fundamentals and market trends, a short - volatility seller option portfolio is recommended, along with a spot long - hedging strategy [7]. - Aluminum/Alumina: A short - bullish call + put option combination is proposed, and a spot collar strategy is recommended for hedging [9]. - Zinc/Lead: A short - neutral call + put option combination is suggested, and a spot collar strategy is provided for hedging [9]. - Nickel: A short - bearish call + put option combination is recommended, and a spot long - hedging strategy is proposed [10]. - Tin: A short - volatility strategy is recommended, and a spot collar strategy is provided for hedging [10]. - Lithium Carbonate: A short - neutral call + put option combination is suggested, and a spot long - hedging strategy is proposed [11]. - Precious Metals - Gold/Silver: A short - neutral volatility option seller portfolio is recommended for gold, and corresponding strategies are also provided for silver based on market analysis [12]. - Black Metals - Rebar: A short - neutral call + put option combination is recommended, and a spot long - covered call strategy is proposed [13]. - Iron Ore: A bullish option bull - spread combination is recommended, along with a short - bullish call + put option combination and a spot long - collar strategy [13]. - Ferroalloys: A bullish option bull - spread combination and a short - volatility strategy are recommended for manganese silicon, and corresponding strategies are provided for industrial silicon and polysilicon [14]. - Glass: A short - volatility strategy is recommended, and a spot long - collar strategy is proposed [15].