金属期权策略早报-20250903

Report Summary 1. Investment Rating The report does not mention the industry investment rating. 2. Core Viewpoints - For non - ferrous metals, construct seller neutral volatility strategies for the ones with weak and volatile trends, and short - volatility combination strategies for those with large - amplitude fluctuations. For precious metals with upward breakthroughs, construct spot hedging strategies [2]. 3. Summary by Categories 3.1 Futures Market Overview - Various metal futures have different price changes, trading volumes, and open interest changes. For example, copper (CU2510) has a latest price of 80,410, a rise of 630, and a trading volume of 6.17 million hands. The trading volume of most metals shows a decreasing trend, while the trading volume of some like lithium carbonate (LC2511) increases [3]. 3.2 Option Factors - Volume - to - Open - Interest PCR: Different metals have different PCR values and their changes, which can be used to describe the strength of the option underlying market and the turning point of the market. For example, the volume PCR of copper is 0.29 with a change of - 0.06 [4]. - Pressure and Support Levels: From the perspective of the strike prices of the maximum open interest of call and put options, the pressure and support levels of different metals are obtained. For example, the pressure level of copper is 82,000 and the support level is 80,000 [5]. - Implied Volatility: The implied volatility of different metals shows different levels and changes. For example, the implied volatility of copper is 11.46% at the at - the - money level, and the weighted implied volatility is 15.99% with a change of - 0.25% [6]. 3.3 Strategy and Recommendations - Non - ferrous Metals - Copper: Construct a short - volatility seller option combination strategy and a spot hedging strategy [7]. - Aluminum/Alumina: Construct a bull spread combination strategy for call options, a short - neutral call + put option combination strategy, and a spot collar strategy [9]. - Zinc/Lead: Construct a short - neutral call + put option combination strategy and a spot collar strategy [9]. - Nickel: Construct a short - bearish call + put option combination strategy and a spot covered - call strategy [10]. - Tin: Construct a short - volatility strategy and a spot collar strategy [10]. - Lithium Carbonate: Construct a short - bearish call + put option combination strategy and a spot long + buy put + sell call strategy [11]. - Precious Metals (Gold/Silver) - Gold: Construct a bull spread combination strategy for call options, a short - neutral short - volatility option seller combination strategy, and a spot hedging strategy [12]. - Black Metals - Rebar: Construct a short - bearish call + put option combination strategy and a spot long + sell call strategy [13]. - Iron Ore: Construct a short - neutral call + put option combination strategy and a spot long collar strategy [13]. - Ferroalloys: Construct a short - volatility strategy for manganese - silicon [14]. - Industrial Silicon/Polysilicon: Construct a short - volatility short - call + put option combination strategy and a spot long + buy put + sell call strategy [14]. - Glass: Construct a short - volatility short - call + put option combination strategy and a spot long collar strategy [15].