金属期权策略早报-20250813

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. For different metal options, corresponding strategies are proposed based on fundamental analysis, market trends, and option factors [8]. - For non - ferrous metals, a seller neutral volatility strategy can be constructed; for black metals, a short - volatility combination strategy is suitable; for precious metals, a spot hedging strategy is recommended [2]. 3. Summary by Related Catalogs 3.1 Futures Market Overview - The latest prices, price changes, trading volumes, and open interest of various metal futures contracts are presented, including copper, aluminum, zinc, etc. For example, the latest price of copper CU2509 is 79,410, with a price increase of 470 and a trading volume of 4.85 million lots [3]. 3.2 Option Factors 3.2.1 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. The values and changes of these factors for different metal options are provided, such as the volume PCR of copper is 0.58 with a change of 0.01, and the open interest PCR is 0.80 with a change of - 0.00 [4]. 3.2.2 Pressure and Support Levels - Pressure and support levels of different metal options are determined from the strike prices of the maximum 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]. 3.2.3 Implied Volatility - Implied volatility data of different metal options are provided, including at - the - money implied volatility, weighted implied volatility, and its changes. For example, the at - the - money implied volatility of copper is 9.05%, and the weighted implied volatility is 13.66% with a change of - 0.76% [6]. 3.3 Strategy and Recommendations 3.3.1 Non - Ferrous Metals - Copper Option: Based on the fundamental situation of increasing inventory in three major exchanges, and the market trend of high - level consolidation, a short - volatility seller option combination strategy is constructed, and a spot long - hedging strategy is also proposed [7]. - Aluminum/Alumina Option: Considering the inventory situation and market trend of high - level consolidation, a short - neutral call + put option combination strategy is constructed, and a spot collar strategy is proposed [9]. - Zinc/Pb Option: Given the low - level inventory and market trend of small - range oscillation, a short - neutral call + put option combination strategy is constructed, and a spot collar strategy is proposed [9]. - Nickel Option: Based on the inventory changes and market trend of wide - range oscillation with short - selling pressure, a short - bearish call + put option combination strategy is constructed, and a spot long - hedging strategy is proposed [10]. - Tin Option: Considering the inventory situation and market trend of short - term weak oscillation, a short - volatility strategy is constructed, and a spot collar strategy is proposed [10]. - Lithium Carbonate Option: Based on the inventory changes and market trend of short - term bullishness, a short - bullish call + put option combination strategy is constructed, and a spot long - hedging strategy is proposed [11]. 3.3.2 Precious Metals - Gold/Silver Option: Considering the economic data and market trend of high - level consolidation, a short - neutral volatility option seller combination strategy is constructed, and a spot hedging strategy is proposed [12]. 3.3.3 Black Metals - Rebar Option: Based on the inventory increase and market trend of small - range consolidation with pressure, a short - neutral call + put option combination strategy is constructed, and a spot long - covered call strategy is proposed [13]. - Iron Ore Option: Considering the inventory increase and market trend of bullish oscillation, a short - neutral call + put option combination strategy is constructed, and a spot long - collar strategy is proposed [13]. - Ferroalloy Option: Based on the production situation and market trend of large - range decline followed by small - range oscillation, a short - volatility strategy is constructed [14]. - Industrial Silicon/Polysilicon Option: Considering the inventory increase and market trend of large - range fluctuation, a short - volatility call + put option combination strategy is constructed, and a spot hedging strategy is proposed [14]. - Glass Option: Based on the inventory increase and market trend of weakness with pressure, a short - volatility call + put option combination strategy is constructed, and a spot long - collar strategy is proposed [15].