黄金屡破历史新高，期权如何表达观点？-20251021

Report Industry Investment Rating The provided content does not mention the report industry investment rating. Core View of the Report Since 2024, the gold market has entered a strong upward cycle, with prices repeatedly hitting record highs. The main drivers include the shift in market trading logic towards macro - variables, high geopolitical risk premiums, and the global central banks' systematic increase in gold reserves. Options offer investors effective ways to participate in the gold market and manage price - fluctuation risks. Different strategies, such as hedging and unilateral strategies, can be used according to investors' positions and market expectations. The key factors of gold option strategies, including strike price selection, position - building quantity, month selection, and volatility environment, also need to be carefully considered [1][10][11]. Summary by Relevant Catalogs 1. Gold Repeatedly Hits Record Highs: How to Express Views with Options? - Market Situation and Drivers: Since 2024, the gold price has repeatedly broken historical records. The main drivers are the shift in market trading logic to macro - variable pricing, high geopolitical risk premiums, and the global central banks' systematic increase in gold reserves. In 2025, changes in the global trade environment further pushed up the gold price [10]. - Investors' Dilemma and Options' Role: Existing gold - position holders face the choice between holding and profiting, while non - position investors are unsure about entering the market. Options provide a way to participate in the gold market and manage risks due to their non - linear return structure and risk - controllability [11]. 1.1 Hedge Strategies - Protective Put Option Strategy: For investors with gold positions, they can buy put options to build a "protective put option" strategy. For example, for the AU2512 contract, a put option with a strike price of 976 yuan/gram and a premium of about 40 yuan/gram can hedge the value loss of the spot position when the price falls below the strike price, and the maximum loss is locked at 40 yuan/gram [15]. - Comparison with Futures Hedge: Compared with futures hedging, option hedging retains the upside potential while providing downside protection. Option strategies also have advantages in capital efficiency, with lower capital occupation and no margin - call risk. However, the net income of option hedging may be lower than that of futures hedging when the price drops [17][19]. - Bear Spread Strategy: Investors can build a bear spread strategy by buying and selling put options to reduce the net premium cost. For example, buying a put option with a strike price of 976 yuan/gram and selling one with a strike price of 904 yuan/gram can reduce the net premium to 28.6 yuan/gram. This strategy can also be constructed with call options, and call - option - based strategies usually have an advantage in liquidity [22][31][32]. 1.2 Unilateral Strategies - Buying Call Options: For investors who are bullish on gold but have not built positions, buying call options can control risks. For example, for the AU2512 contract, a call option with a strike price of 976 yuan/gram and a premium of 38 yuan/gram has a maximum loss of 38 yuan/gram, and the break - even point is 1014 yuan/gram [36]. - Bull Spread Strategy: It can be constructed in two ways, but due to the lack of a portfolio - margin system in the Shanghai Futures Exchange, buying call options unilaterally is a better choice for capital - efficiency - oriented investors [42]. - Selling Out - of - the - Money Put Options: If investors believe that the gold price has limited upside but strong support, they can sell out - of - the - money put options to earn premiums. For example, selling a put option with a strike price of 904 yuan/gram can earn a premium of 11.4 yuan/gram. If the price drops below 904 yuan/gram, the investor can establish a long position at an effective cost of 892.6 yuan/gram [44]. 2. Key Factors of Gold Option Strategies 2.1 Strike Price Selection - Analysis of Different Strike Prices: Higher strike prices lead to a higher break - even point and a narrower potential return, but lower premiums. In a case from October 13 - 17, 2025, options with higher strike prices achieved better capital returns [48][49]. - Dynamic Rolling Strategy: To deal with the uncertainty of the end - price, investors can use a "dynamic rolling" strategy, which can balance profit - taking and risk - avoidance [53]. - Liquidity Consideration: When choosing strike prices, investors should consider liquidity. Trading volume and open interest are usually concentrated around at - the - money and some out - of - the - money integer strike prices [55]. 2.2 Position - Building Quantity - Unilateral Strategy: In unilateral strategies, the key is to control the notional principal exposure of option positions. A risk - budget method based on the notional principal is recommended [60]. - Hedge Strategy: For hedge strategies held to maturity, the equal - market - value hedge strategy is recommended. If the position is to be closed before maturity, the Delta - hedge strategy should be used. However, the dynamic Delta - hedge strategy is more suitable for market - makers and volatility traders [61][63][69]. - Insurance Budget Model: Some investors use an "insurance budget" model. They need to compare the overall risk exposure of different strike - price options. Higher - Delta and higher - Gamma hedge portfolios have different advantages [70]. 2.3 Month Selection - Liquidity Consideration: When choosing the expiration month, liquidity should be the primary consideration. The liquidity difference between odd - month and even - month options is smaller than that of futures. Near - month options can reduce capital costs, and investors should consider liquidity, holding period, and volatility characteristics [74]. - Greek Letter Parameters: Different expiration months have different impacts on Greek letter parameters. For example, the Gamma of at - the - money options near expiration increases significantly, and the Theta of at - the - money options shows an "acceleration effect" [78]. 2.4 Volatility Environment - Selling Options in High - Volatility Environment: The implied volatility of gold options has reached a historically high level, providing a good opportunity to sell options and short volatility. Selling options can capture the double benefits of time - value decay and volatility decline [84]. - Volatility Smile and Term Structure: The implied volatility of out - of - the - money put options is significantly higher than that of call options, reflecting higher demand for downside - risk protection. The near - month option volatility has risen faster, leading to a term - structure inversion, providing an opportunity for volatility - term arbitrage [85][88].