金属期权策略早报-20250821

Report Summary 1. Investment Rating The report does not provide an overall investment rating for the metal options industry. 2. Core Viewpoints - The non - ferrous metals are in a weak and volatile state, and a seller's neutral volatility strategy is recommended. - The black metals show significant fluctuations, and a short - volatility portfolio strategy is suitable. - The precious metals are consolidating at high levels with a slight decline, and a spot hedging strategy is advised [2]. 3. Summary by Relevant Catalogs 3.1. Futures Market Overview - Copper (CU2510): The latest price is 78,700, up 150 (0.19%). The trading volume is 4.84 million lots (up 2.48 million lots), and the open interest is 13.98 million lots (up 0.18 million lots) [3]. - Aluminum (AL2510): The latest price is 20,565, up 75 (0.37%). The trading volume is 12.82 million lots (up 2.30 million lots), and the open interest is 22.80 million lots (down 0.67 million lots) [3]. - Other metals such as zinc, lead, nickel, etc., also have detailed price, trading volume, and open - interest data provided in the report [3]. 3.2. Option Factors - Volume and Open Interest PCR - Copper: The volume PCR is 0.93 (up 0.19), and the open - interest PCR is 0.88 (up 0.07) [4]. - Aluminum: The volume PCR is 1.26 (up 0.09), and the open - interest PCR is 0.91 (unchanged) [4]. 3.3. Option Factors - Pressure and Support Levels - Copper: The pressure point is 80,000, and the support point is 78,000 [5]. - Aluminum: The pressure point is 20,800, and the support point is 20,000 [5]. 3.4. Option Factors - Implied Volatility - Copper: The at - the - money implied volatility is 8.38%, and the weighted implied volatility is 13.00% (down 0.73%) [6]. - Aluminum: The at - the - money implied volatility is 9.10%, and the weighted implied volatility is 12.07% (down 0.58%) [6]. 3.5. Strategy and Recommendations - Non - ferrous Metals (e.g., Copper): - Fundamentals: The combined inventory of the three major exchanges increased by 0.7 million tons, with the SHFE inventory increasing by 0.4 million tons to 8.6 million tons [7]. - Market Analysis: Since June, it has shown a bullish trend, with a high - level consolidation pattern since August [7]. - Option Strategy: Build a short - volatility seller's option portfolio strategy and a spot long - hedging strategy [7]. - Precious Metals (e.g., Gold): - Fundamentals: The US CPI and core CPI data in July have different year - on - year and month - on - month changes [12]. - Market Analysis: Shanghai gold has been in a high - level consolidation and decline recently [12]. - Option Strategy: Construct a neutral short - volatility option seller's portfolio strategy and a spot hedging strategy [12]. - Black Metals (e.g., Rebar): - Fundamentals: The social inventory of rebar increased by 6.8% week - on - week, and the factory inventory increased by 2.4% week - on - week [13]. - Market Analysis: Since June, it has been in a low - level consolidation and then a rebound, followed by a decline recently [13]. - Option Strategy: Build a bear - spread option strategy, a short - volatility strategy, and a spot long - covered call strategy [13].