金属期权策略早报-20250916

Report Summary 1. Investment Rating The document does not provide an overall investment rating for the metal options industry. 2. Core Viewpoints - The metal market is divided into three sectors: non - ferrous metals, precious metals, and black metals. Different strategies are recommended for each sector based on their market conditions [2]. - For non - ferrous metals, a neutral volatility selling strategy is suitable for the weak - oscillating market; for black metals, a short - volatility combination strategy is appropriate for the high - volatility market; for precious metals, a spot hedging strategy is recommended due to the upward - breaking market [2]. 3. Summary by Category 3.1 Market Overview of Underlying Futures - The document presents the latest prices, price changes, trading volumes, and open interest changes of various metal futures contracts. For example, the price of copper (CU2510) is 81,380, up 550 (0.68%), with a trading volume of 6.89 million lots (down 2.27 million lots) and an open interest of 17.93 million lots (down 0.76 million lots) [3]. 3.2 Option Factors - Volume and Open Interest PCR - Volume PCR and open interest PCR are used to describe the strength of the option underlying market and the turning point of the market. For instance, the volume PCR of copper is 0.37 (up 0.08), and the open interest PCR is 0.73 (up 0.01) [4]. 3.3 Option Factors - Pressure and Support Levels - Pressure and support levels of each metal option are determined by the strike prices with the largest open interest of call and put options. For example, the pressure level of copper is 82,000, and the support level is 79,000 [5]. 3.4 Option Factors - Implied Volatility - Implied volatility data of various metal options are provided, including at - the - money implied volatility, weighted implied volatility, and its changes. For example, the at - the - money implied volatility of copper is 11.85%, and the weighted implied volatility is 18.06% (down 1.18%) [6]. 3.5 Strategies and Recommendations 3.5.1 Non - Ferrous Metals - Copper: Build a short - volatility seller option portfolio strategy and a spot long - hedging strategy. The underlying copper market shows a high - level consolidation with support [7]. - Aluminum/Alumina: Construct a bullish call spread strategy, a neutral short - call and short - put option combination strategy, and a spot collar strategy. The aluminum market is in a long - biased high - level oscillation [9]. - Zinc/Lead: Adopt a neutral short - call and short - put option combination strategy and a spot collar strategy. The zinc market shows an oscillating decline with pressure [9]. - Nickel: Use a short - biased short - call and short - put option combination strategy and a spot covered - call strategy. The nickel market is in a wide - range oscillation with short - side pressure [10]. - Tin: Implement a short - volatility strategy and a spot collar strategy. The tin market is in a high - level oscillation with pressure [10]. - Lithium Carbonate: Build a short - biased short - call and short - put option combination strategy and a spot long - hedging strategy. The lithium carbonate market shows a large - amplitude decline with pressure [11]. 3.5.2 Precious Metals - Gold/Silver: Construct a bullish call spread strategy, a long - biased short - volatility option seller combination strategy, and a spot hedging strategy. The gold market is in a short - term consolidation and then breaks upward [12]. 3.5.3 Black Metals - Rebar: Use a short - biased short - call and short - put option combination strategy and a spot covered - call strategy. The rebar market is in a weak consolidation with pressure [13]. - Iron Ore: Adopt a neutral short - call and short - put option combination strategy and a spot collar strategy. The iron ore market is in an oscillating rebound [13]. - Ferroalloys: Implement a short - volatility strategy. The manganese - silicon market is in a weak and bearish oscillation [14]. - Industrial Silicon/Polysilicon: Build a short - volatility short - call and short - put option combination strategy and a spot hedging strategy. The industrial silicon market is in a large - amplitude oscillation with pressure [14]. - Glass: Use a short - volatility short - call and short - put option combination strategy and a spot collar strategy. The glass market is in a weak market with pressure [15].