金属期权策略早报：金属期权-20250919

1. Report Industry Investment Rating - Not provided in the document 2. Core Views of the Report - For non - ferrous metals, construct a neutral volatility strategy for sellers when the market is range - bound, and a short - volatility strategy for black metals with large fluctuations. For precious metals, build a spot hedging strategy as they break upward [2]. 3. Summary by Related Catalogs 3.1 Futures Market Overview - Various metal futures have different price movements, trading volumes, and open interest changes. For example, copper (CU2511) closed at 79,660, down 0.15% with a trading volume of 8.93 million lots and an open interest of 17.26 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 respectively. For instance, the volume PCR of copper is 0.64 with a change of 0.08, and the open interest PCR is 0.71 with a change of - 0.01 [4]. 3.3 Option Factors - Pressure and Support Levels - From the perspective of the maximum open interest of call and put options, the pressure and support levels of each metal option are determined. For example, the pressure point of copper is 82,000 and the support point is 79,000 [5]. 3.4 Option Factors - Implied Volatility - Implied volatility data such as at - the - money implied volatility, weighted implied volatility, and their changes, historical average, call and put implied volatility, and historical volatility are provided for each metal option. For example, the at - the - money implied volatility of copper is 13.02% [6]. 3.5 Option Strategies and Recommendations 3.5.1 Non - ferrous Metals - Copper: Build a short - volatility seller option portfolio strategy and a spot long - hedging strategy [7]. - Aluminum/Alumina: Construct a short - neutral call + put option combination strategy and a spot collar strategy [9]. - Zinc/Lead: Build a short - neutral call + put option combination strategy and a spot collar strategy [9]. - Nickel: Construct a short - bearish call + put option combination strategy and a spot covered call strategy [10]. - Tin: Build a short - volatility strategy and a spot collar strategy [10]. - Lithium Carbonate: Construct a short - bearish call + put option combination strategy and a spot long - hedging strategy [11]. 3.5.2 Precious Metals - Gold/Silver: Build a long - biased short - volatility option seller portfolio strategy and a spot hedging strategy [12]. 3.5.3 Black Metals - Rebar: Construct a short - bearish call + put option combination strategy and a spot long - covered call strategy [14]. - Iron Ore: Build a short - neutral call + put option combination strategy and a spot long - collar strategy [14]. - Ferroalloys: Build a short - volatility strategy [15]. - Industrial Silicon/Polysilicon: Construct a short - volatility call + put option combination strategy and a spot hedging strategy [15]. - Glass: Build a short - volatility call + put option combination strategy and a spot long - collar strategy [16].