金属期权策略早报-20250806
Wu Kuang Qi Huo·2025-08-06 01:42
- Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The report focuses on metal options, covering有色金属, precious metals, and black metals. It provides strategies and suggestions for different metal options based on market conditions, including directional strategies, volatility strategies, and spot hedging strategies [2][7][9]. 3. Summary by Related Catalogs 3.1 Futures Market Overview - The report presents the latest prices, price changes, trading volumes, and open interest of various metal futures contracts, such as copper, aluminum, zinc, etc. For example, the latest price of copper (CU2509) is 78,070, down 410 (-0.52%) [3]. 3.2 Option Factors 3.2.1 Volume and Open Interest PCR - The volume and open interest PCR of different metal options are provided, which 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 options is 0.91, down 0.09, and the open interest PCR is 0.84, down 0.02 [4]. 3.2.2 Pressure and Support Levels - The pressure and support levels of different 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 options is 82,000, and the support level is 75,000 [5]. 3.2.3 Implied Volatility - The implied volatility of different metal options is presented, including the 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 options is 10.20%, and the weighted implied volatility is 15.28%, down 1.99% [6]. 3.3 Strategy and Suggestions 3.3.1 Non - ferrous Metals - Copper Options: Build a short - volatility seller option portfolio strategy and a spot hedging strategy [7]. - Aluminum/Alumina Options: Construct a neutral short - call + short - put option combination strategy and a spot collar strategy [9]. - Zinc/Lead Options: Build a neutral short - call + short - put option combination strategy and a spot collar strategy [9]. - Nickel Options: Construct a short - bearish call + short - put option combination strategy and a spot long - position hedging strategy [10]. - Tin Options: Implement a short - volatility strategy and a spot collar strategy [10]. - Lithium Carbonate Options: Build a neutral short - call + short - put option combination strategy and a spot long - position hedging strategy [11]. 3.3.2 Precious Metals - Gold/Silver Options: Construct a neutral short - volatility option seller portfolio strategy and a spot hedging strategy [12]. 3.3.3 Black Metals - Rebar Options: Build a neutral short - call + short - put option combination strategy and a spot long - position covered call strategy [13]. - Iron Ore Options: Implement a bull - spread strategy for call options, a short - bullish call + short - put option combination strategy, and a spot long - position collar strategy [13]. - Ferroalloy Options: Build a short - volatility strategy [14]. - Industrial Silicon/Polysilicon Options: Construct a short - volatility short - call + short - put option combination strategy and a spot hedging strategy [14]. - Glass Options: Build a short - volatility short - call + short - put option combination strategy and a spot long - position collar strategy [15].