金属期权策略早报-20250911

Report Summary 1. Investment Rating The document does not provide an overall industry investment rating. 2. Core Viewpoints - The metal sector is divided into non - ferrous metals, precious metals, and black metals. Different trading strategies are recommended for each sector and specific metal varieties based on their fundamentals, market trends, and option factors [8]. - For non - ferrous metals, which are in a weak and volatile state, a seller's neutral volatility strategy is recommended; for black metals with large - amplitude fluctuations, a short - volatility combination strategy is suitable; for precious metals with upward - breaking trends, a spot hedging strategy is suggested [2]. 3. Summary by Category 3.1 Non - Ferrous Metals - Copper: The inventory in Shanghai is stable, LME inventory is stable, and COMEX inventory is rising. The market shows a high - level consolidation with support. Option implied volatility is at the historical average, and the PCR indicates some pressure above. Recommended strategies include a short - volatility seller's option combination, and a spot long - hedging strategy [7]. - Aluminum/Alumina: Aluminum inventory shows a mixed trend. The market is in a long - biased high - level shock. Option implied volatility is below the historical average, and the PCR indicates strong support below. Recommended strategies include a bull - spread call option combination, a short - neutral call + put option combination, and a spot collar strategy [9]. - Zinc/Lead: Zinc fundamentals show certain supply and demand indicators. The market is in a shock - decline with pressure above. Option implied volatility is below the historical average, and the PCR indicates increasing pressure above. Recommended strategies include a short - neutral call + put option combination and a spot collar strategy [9]. - Nickel: The spot price is slightly up, and the market is in a wide - range shock with pressure above. Option implied volatility is at a high historical level, and the PCR indicates strengthening short - side power. Recommended strategies include a short - bearish call + put option combination and a spot covered - call strategy [10]. - Tin: The inventory shows a certain trend, and the market is in a short - term high - level shock with pressure above. Option implied volatility is at a low historical level, and the PCR indicates range - bound movement. Recommended strategies include a short - volatility strategy and a spot collar strategy [10]. - Lithium Carbonate: Production and inventory show specific changes, and the market is in a large - amplitude decline with pressure above. Option implied volatility has risen rapidly to a high level, and the PCR is below 0.6. Recommended strategies include a short - bearish call + put option combination and a spot long - hedging strategy [11]. 3.2 Precious Metals - Gold/Silver: Gold's foreign exchange reserve data shows an upward trend, and the market is in a short - term consolidation with a strong upward - breaking trend. Option implied volatility is around the historical average, and the PCR indicates strong support below. Recommended strategies include a bull - spread call option combination, a short - bullish volatility option seller's combination, and a spot hedging strategy [12]. 3.3 Black Metals - Rebar: The steel - making capacity utilization rate shows a decline. The market is in a weak consolidation with pressure above. Option implied volatility is at a high historical average, and the PCR indicates strong short - side pressure above. Recommended strategies include a short - bearish call + put option combination and a spot covered - call strategy [13]. - Iron Ore: The inventory and consumption data show specific changes, and the market is in an interval shock with some rebound. Option implied volatility is above the historical average, and the PCR is around 1.0. Recommended strategies include a short - neutral call + put option combination and a spot long - collar strategy [13]. - Ferroalloys (Manganese Silicon/Silicon Iron): Manganese silicon's production data shows a decline, and the market is in a weak and bearish state. Option implied volatility has risen rapidly to a high level, and the PCR is below 0.6. Recommended strategies include a short - volatility strategy [14]. - Industrial Silicon/Polysilicon: Industrial silicon's supply and demand show specific trends, and the market is in a large - amplitude shock with some recovery. Option implied volatility has risen to a high historical average, and the PCR is below 0.6. Recommended strategies include a short - volatility call + put option combination and a spot hedging strategy [14]. - Glass: The supply and demand of glass show specific trends, and the market is in a weak state with pressure above. Option implied volatility is at a high historical level, and the PCR is above 1.0. Recommended strategies include a short - volatility call + put option combination and a spot long - collar strategy [15].