金属期权策略早报-20250812

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. Different trading strategies are recommended for each sub - sector based on their market conditions [2][8]. - For non - ferrous metals, a neutral volatility selling strategy is suitable when the market is in a bullish upward trend; for black metals, a short - volatility combination strategy is recommended after significant fluctuations; for precious metals, a spot hedging strategy is advised during high - level consolidation [2]. 3. Summary by Related Catalogs 3.1 Futures Market Overview - Multiple metal futures are listed, including copper, aluminum, zinc, etc. Information such as the latest price, price change, change rate, trading volume, and open interest is provided [3]. - For example, the latest price of copper (CU2509) is 78,810, with a decrease of 110 and a decline rate of 0.14%; the trading volume is 7.00 million lots, and the open interest is 16.09 million lots [3]. 3.2 Option Factors - Volume and Open Interest PCR - PCR indicators (volume PCR and open interest PCR) are used to describe the strength of the option underlying market and the turning point of the market [4]. - For copper, the volume PCR is 0.57 with a change of - 0.13, and the open interest PCR is 0.81 with a change of - 0.04 [4]. 3.3 Option Factors - Pressure and Support Levels - Pressure and support levels of the option underlying are determined from the strike prices with the largest open interest of call and put options [5]. - The pressure point of copper is 82,000, and the support point is 75,000 [5]. 3.4 Option Factors - Implied Volatility - Implied volatility data of options, including at - the - money implied volatility, weighted implied volatility, and its change, are presented [6]. - For copper, the at - the - money implied volatility is 9.25%, the weighted implied volatility is 14.42% with a change of 0.01%, and the annual average is 17.95% [6]. 3.5 Strategies and Recommendations 3.5.1 Non - Ferrous Metals - Copper: The fundamentals show changes in inventories across three major exchanges. The market has been in a high - level consolidation since June. Implied volatility is at the historical average level, and the open interest PCR indicates some pressure above. A short - volatility option combination strategy and a spot long - hedging strategy are recommended [7]. - Aluminum/Alumina: The inventory of aluminum has changed in the SHFE and LME markets. The market has shown a bullish high - level oscillation. A neutral short - call and short - put option combination strategy and a spot collar strategy are recommended [9]. - Zinc/Lead: Zinc inventory is at a low level. The zinc market has experienced fluctuations. A neutral short - call and short - put option combination strategy and a spot collar strategy are recommended [9]. - Nickel: The inventory of nickel has changed slightly. The market is in a wide - range oscillation with short - selling pressure. A short - call and short - put option combination strategy with a short - delta position and a spot long - hedging strategy are recommended [10]. - Tin: The inventory situation is complex. The market is in a short - term weak oscillation. A short - volatility strategy and a spot collar strategy are recommended [10]. - Lithium Carbonate: The inventory has decreased, and the market is in a short - term bullish trend. A bullish call spread strategy, a short - call and short - put option combination strategy with a long - delta position, and a spot long - hedging strategy are recommended [11]. 3.5.2 Precious Metals - Gold/Silver: The gold market is affected by economic data such as non - farm payrolls and inflation expectations. A neutral short - volatility option combination strategy and a spot hedging strategy are recommended [12]. 3.5.3 Black Metals - Rebar: The social inventory of rebar has increased, and the market is in a small - range oscillation with pressure above. A neutral short - call and short - put option combination strategy and a spot long - covered call strategy are recommended [13]. - Iron Ore: The inventory of iron ore has increased. The market is in a bullish oscillation. A neutral short - call and short - put option combination strategy and a spot long - collar strategy are recommended [13]. - Ferroalloys: The manganese - silicon market has experienced significant fluctuations. A short - volatility strategy is recommended [14]. - Industrial Silicon/Polysilicon: The inventory of industrial silicon and polysilicon has increased. The market has shown large fluctuations. A short - volatility option combination strategy and a spot long - hedging strategy are recommended [14]. - Glass: The inventory of glass has increased, and the market is in a weak downward trend. A short - volatility option combination strategy and a spot long - collar strategy are recommended [15].