金属期权策略早报-20250912

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - For non - ferrous metals, a neutral volatility seller strategy is recommended for the current weak and volatile market; for the black series, a short - volatility combination strategy is suitable due to large - amplitude fluctuations; for precious metals, a spot hedging strategy is advisable as the bulls break through and rise [2]. 3. Summary by Relevant Catalogs 3.1 Futures Market Overview - The latest prices, price changes, trading volumes, and open interest changes of various metal futures such as copper, aluminum, zinc, etc. are presented. For example, the latest price of copper (CU2510) is 80,490, with a price increase of 410 and a trading volume of 6.48 million hands [3]. 3.2 Option Factor - Volume and Open Interest PCR - The volume PCR and open interest PCR of different metal options are provided, which are used to describe the strength of the option underlying market and the turning point of the underlying market respectively. For instance, the volume PCR of copper options is 0.38, with a change of - 0.20 [4]. 3.3 Option Factor - Pressure and Support Levels - The pressure and support levels of various metal options are given, which are determined by the strike prices with the largest open interest of call and put options. For example, the pressure level of copper options is 82,000, and the support level is 79,000 [5]. 3.4 Option Factor - Implied Volatility - The implied volatility data of different metal options are presented, including at - the - money implied volatility, weighted implied volatility, etc. For example, the at - the - money implied volatility of copper options is 11.62% [6]. 3.5 Strategy and Recommendations 3.5.1 Non - ferrous Metals - Copper Options: Build a short - volatility seller option portfolio strategy and a spot long - hedging strategy [7]. - Aluminum/Alumina Options: 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 Options: Build a short - neutral call + put option combination strategy and a spot collar strategy [9]. - Nickel Options: Construct a short - bearish call + put option combination strategy and a spot covered - call strategy [10]. - Tin Options: Build a short - volatility strategy and a spot collar strategy [10]. - Lithium Carbonate Options: Construct a short - bearish call + put option combination strategy and a spot long - hedging strategy [11]. 3.5.2 Precious Metals - Gold/Silver Options: Build a bull spread combination strategy for call options, a short - bullish volatility seller option portfolio strategy, and a spot hedging strategy [12]. 3.5.3 Black Series - Rebar Options: Build a short - bearish call + put option combination strategy and a spot covered - call strategy [13]. - Iron Ore Options: Construct a short - neutral call + put option combination strategy and a spot long - collar strategy [13]. - Ferroalloy Options: Build a short - volatility strategy [14]. - Industrial Silicon/Polysilicon Options: Construct a short - volatility call + put option combination strategy and a spot hedging strategy [14]. - Glass Options: Build a short - volatility call + put option combination strategy and a spot long - collar strategy [15].