金属期权策略早报：金属期权-20250926

1. Report Industry Investment Rating - Not provided in the given content 2. Core Viewpoints of the Report - For non - ferrous metals, construct a neutral volatility strategy for sellers when the market is range - bound; for the black series, build a short - volatility portfolio strategy due to large fluctuations; for precious metals, create a spot hedging strategy as they break through and rise [2]. 3. Summary by Relevant Catalogs 3.1 Futures Market Overview - Copper (CU2511): The latest price is 82,380, up 220 (0.27%), with a trading volume of 33.49 million hands (an increase of 28.32 million hands) and an open interest of 23.85 million hands (an increase of 6.61 million hands) [3]. - Aluminum (AL2511): The latest price is 20,800, up 20 (0.10%), with a trading volume of 14.61 million hands (an increase of 3.82 million hands) and an open interest of 22.06 million hands (a decrease of 0.07 million hands) [3]. - Other metals also have detailed price, trading volume, and open - interest data provided in the table [3]. 3.2 Option Factors - Volume and Open Interest PCR - PCR indicators are used to describe the strength of the option underlying market and the turning point of the market. For example, the copper option's volume PCR is 0.28 (a decrease of 0.29), and the open - interest PCR is 0.70 (a decrease of 0.14) [4]. 3.3 Option Factors - Pressure and Support Levels - From the perspective of the strike prices with the largest open interest of call and put options, the pressure and support levels of various metals are determined. For example, the pressure level of copper is 84,000, and the support level is 7,800 [5]. 3.4 Option Factors - Implied Volatility - The implied volatility of various metals' options is presented, including at - the - money implied volatility, weighted implied volatility, and their changes. For example, the at - the - money implied volatility of copper is 22.06%, and the weighted implied volatility is 25.75% (an increase of 7.56%) [6]. 3.5 Strategy and Recommendations 3.5.1 Non - Ferrous Metals - Copper Options: Build a bull - spread strategy for call options and a short - volatility strategy for sellers, and a spot long - hedging strategy [8]. - Aluminum/Alumina Options: Construct a short - neutral call + put option combination strategy and a spot collar strategy [9]. - Zinc/Lead Options: Create a short - neutral call + put option combination strategy and a spot collar strategy [9]. - Nickel Options: Build a short - bearish call + put option combination strategy and a spot covered - call strategy [10]. - Tin Options: Implement a short - volatility strategy and a spot long - hedging 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 Options: Build a bull - spread strategy for call options, a short - volatility strategy for long - biased sellers, and a spot hedging strategy [12]. 3.5.3 Black Series - Rebar Options: Construct a short - bearish call + put option combination strategy and a spot long - covered - call strategy [13]. - Iron Ore Options: Build a short - neutral call + put option combination strategy and a spot long - collar strategy [13]. - Ferroalloy Options: Implement a short - volatility strategy for manganese - silicon options; for industrial silicon/polysilicon options, construct a short - volatility call + put option combination strategy and a spot hedging strategy; for glass options, build a short - volatility strategy and a spot long - collar strategy [13][14][15].