金属期权策略早报-20250805

1. Report Industry Investment Rating - No relevant information provided 2. Core Viewpoints of the Report - For non - ferrous metals, construct a neutral volatility strategy for sellers when the market is oscillating; for black metals, build a short - volatility portfolio strategy after significant price fluctuations; for precious metals, construct a spot hedging strategy during high - level consolidation [2] 3. Summaries Based on Related Catalogs 3.1 Futures Market Overview - 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. are presented. For example, the latest price of copper (CU2509) is 78,370, with a price increase of 150 and a price change percentage of 0.19% [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 underlying market respectively. The volume and open interest PCR values of various metal options, as well as their changes, are provided [4] 3.3 Option Factors - Pressure and Support Levels - The pressure and support levels of option underlying assets are determined by the strike prices with the largest open interest of call and put options. The pressure and support levels of various metal options are presented, such as the pressure level of copper being 82,000 and the support level being 75,000 [5] 3.4 Option Factors - Implied Volatility - The implied volatility data of various metal options are provided, including at - the - money implied volatility, weighted implied volatility, its change, annual average, call implied volatility, put implied volatility, historical volatility, and the difference between implied and historical volatility [6] 3.5 Strategies and Recommendations 3.5.1 Non - Ferrous Metals - Copper: The inventory of the three major exchanges increased by 21,000 tons month - on - month. The market has been in a high - level consolidation pattern since June. Implied volatility fluctuates around the historical average, and the open interest PCR indicates pressure above. Strategies include constructing a short - volatility seller option portfolio and a spot long - hedging strategy [7] - Aluminum/Alumina: The domestic aluminum ingot inventory increased, and the market showed a pattern of rising and then falling. Implied volatility fluctuates around the historical average, and the open interest PCR indicates increasing pressure above. Strategies include constructing a neutral call + put option combination and a spot collar strategy [9] - Zinc/Lead: The zinc ore inventory continued to accumulate, and the zinc market showed a pattern of rising and then falling. The implied volatility of zinc options continued to rise above the historical average, and the open interest PCR indicates increasing pressure above. Strategies include constructing a neutral call + put option combination and a spot collar strategy [9] - Nickel: The nickel ore price was weak due to increased supply and weak demand. The market showed a wide - range oscillation pattern. The implied volatility of nickel options remained at a relatively high historical level, and the open interest PCR indicates increasing short - selling power. Strategies include constructing a short - biased call + put option combination and a spot long - hedging strategy [10] - Tin: The tin ingot inventory increased slightly, and the market showed a short - term weak oscillation pattern. The implied volatility of tin options remained at a relatively high historical level, and the open interest PCR indicates range - bound oscillation. Strategies include constructing a short - volatility strategy and a spot collar strategy [10] - Lithium Carbonate: The inventory decreased, and the market showed a pattern of large fluctuations. The implied volatility of lithium carbonate options rose rapidly to a relatively high level, and the open interest PCR indicates continuous weakness. Strategies include constructing a neutral call + put option combination and a spot long - hedging strategy [11] 3.5.2 Precious Metals - Gold/Silver: The US economic data was resilient, and the gold market showed a short - term weak oscillation pattern. The implied volatility of gold options fluctuated around the historical average, and the open interest PCR indicates weakening. Strategies include constructing a neutral short - volatility seller option portfolio and a spot hedging strategy [12] 3.5.3 Black Metals - Rebar: The inventory increased slightly, and the market showed an upward oscillation pattern with pressure above. The implied volatility of rebar options fluctuated at a relatively high historical level, and the open interest PCR indicates strong short - selling pressure above. Strategies include constructing a neutral call + put option combination and a spot long - covered call strategy [13] - Iron Ore: The port inventory decreased, and the market showed a bullish oscillation pattern. The implied volatility of iron ore options fluctuated above the historical average, and the open interest PCR indicates a recent upward trend. Strategies include a bullish call spread strategy, constructing a long - biased call + put option combination, and a spot long - collar strategy [13] - Ferroalloys: The manganese silicon inventory decreased but remained at a high level, and the market showed a pattern of rising and then falling sharply. The implied volatility of manganese silicon options rose rapidly to a relatively high historical level, and the open interest PCR indicates a weak market under short - selling pressure. Strategies include constructing a short - volatility strategy [14] - Industrial Silicon/Polysilicon: The industrial silicon inventory remained at a high level, and the market showed a pattern of large fluctuations. The implied volatility of industrial silicon options gradually rose to a relatively high historical level, and the open interest PCR indicates a stable market. Strategies include constructing a short - volatility call + put option combination and a spot hedging strategy [14] - Glass: The factory inventory decreased, and the market showed a pattern of rising and then falling sharply. The implied volatility of glass options remained at a relatively high historical level, and the open interest PCR indicates an upward trend. Strategies include constructing a short - volatility call + put option combination and a spot long - collar strategy [15]