金属期权策略早报-20250905

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - For non - ferrous metals, a seller neutral volatility strategy is recommended as they are in a weak and volatile state; for black metals, a short - volatility combination strategy is suitable due to their large - amplitude fluctuations; for precious metals, a spot hedging strategy is proposed as they are breaking upward [2]. 3. Summary by Related Catalogs 3.1 Futures Market Overview - The latest prices, price changes, trading volumes, and open interest changes of various metal futures contracts are presented, such as copper (CU2510) at 79,650 with a - 0.41% change, and aluminum (AL2510) at 20,625 with a - 0.05% change [3]. 3.2 Option Factor - Volume and Open Interest PCR - The volume and open interest PCR data of different metal options are given, which are used to describe the strength of the option underlying market and the turning points of the underlying market respectively [4]. 3.3 Option Factor - Pressure and Support Levels - The pressure and support levels of various 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 point of copper is 82,000 and the support point is 80,000 [5]. 3.4 Option Factor - Implied Volatility - The implied volatility data of different metal options, including at - the - money implied volatility, weighted implied volatility, and the difference between implied and historical volatility, are provided [6]. 3.5 Strategy and Recommendations 3.5.1 Non - Ferrous Metals - Copper: Construct a short - volatility seller option portfolio strategy and a spot hedging strategy [7]. - Aluminum/Alumina: Build a bull spread combination strategy for call options, a short - volatility option combination strategy, and a spot collar strategy [8]. - Zinc/Lead: Adopt a short - volatility option combination strategy and a spot collar strategy [8]. - Nickel: Use a short - volatility option combination strategy with a short bias and a spot covered call strategy [10]. - Tin: Implement a short - volatility strategy and a spot collar strategy [10]. - Lithium Carbonate: Construct a short - volatility option combination strategy with a short bias and a spot hedging strategy [11]. 3.5.2 Precious Metals - Gold/Silver: Build a bull spread combination strategy for call options, a short - volatility option seller combination strategy, and a spot hedging strategy [12]. 3.5.3 Black Metals - Rebar: Adopt a short - volatility option combination strategy with a short bias and a spot covered call strategy [13]. - Iron Ore: Use a short - volatility option combination strategy and a spot collar strategy [13]. - Ferroalloys: Implement a short - volatility strategy [14]. - Industrial Silicon/Polysilicon: Build a short - volatility option combination strategy and a spot hedging strategy [14]. - Glass: Adopt a short - volatility option combination strategy and a spot collar strategy [15].