金属期权策略早报-20250917

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The report offers a morning strategy for metal options, suggesting different strategies for non - ferrous metals, black metals, and precious metals. For non - ferrous metals, a seller's neutral volatility strategy is recommended; for black metals, a short - volatility combination strategy is suitable; for precious metals, a spot hedging strategy is proposed [2]. 3. Summary by Relevant Catalogs 3.1 Futures Market Overview - The report presents the latest prices, changes, trading volumes, and open interests of various metal futures contracts, including copper, aluminum, zinc, etc. For example, the latest price of copper (CU2510) is 80,900, down 190 (-0.23%) with a trading volume of 8.85 million lots and an open interest of 16.52 million lots [3]. 3.2 Option Factors - Volume and Open Interest PCR - PCR indicators, including volume PCR and open interest PCR, are used to describe the strength of the option underlying market and the turning points of the underlying market. For instance, the volume PCR of copper is 0.41 with a change of 0.03, and the open interest PCR is 0.75 with a change of 0.02 [4]. 3.3 Option Factors - Pressure and Support Levels - The pressure and support levels of option underlying assets are determined by the strike prices with the largest open interests 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 - The implied volatility data of various metal options are provided, including at - the - money implied volatility, weighted implied volatility, and their changes. For example, the at - the - money implied volatility of copper is 12.63%, and the weighted implied volatility is 17.94% with a change of - 0.12% [6]. 3.5 Strategy and Recommendations 3.5.1 Non - Ferrous Metals - Copper: Based on the analysis of fundamentals and option factors, a short - volatility seller's option combination strategy and a spot hedging strategy are recommended [7]. - Aluminum/Alumina: A bullish option bull spread strategy, a short - neutral call + put option combination strategy, and a spot collar strategy are suggested [9]. - Zinc/Lead: A short - neutral call + put option combination strategy and a spot collar strategy are recommended [9]. - Nickel: A short - bearish call + put option combination strategy and a spot covered call strategy are proposed [10]. - Tin: A short - volatility strategy and a spot collar strategy are recommended [10]. - Lithium Carbonate: A short - bearish call + put option combination strategy and a spot hedging strategy are suggested [11]. 3.5.2 Precious Metals - Gold/Silver: A bullish option bull spread strategy, a short - bullish volatility option seller's combination strategy, and a spot hedging strategy are recommended [12]. 3.5.3 Black Metals - Rebar: A short - bearish call + put option combination strategy and a spot covered call strategy are proposed [13]. - Iron Ore: A short - neutral call + put option combination strategy and a spot collar strategy are recommended [13]. - Ferroalloys: A short - volatility strategy is suggested for manganese silicon, and no spot hedging strategy is provided [14]. - Industrial Silicon/Polysilicon: A short - volatility short - call + put option combination strategy and a spot hedging strategy are recommended [14]. - Glass: A short - volatility short - call + put option combination strategy and a spot collar strategy are proposed [15].