金属期权策略早报：金属期权-20251027

1. Report Industry Investment Rating - No relevant information provided in the report. 2. Core Viewpoints of the Report - For non - ferrous metals, construct a neutral volatility strategy for sellers as they are in a range - bound oscillation; for black metals, build a short - volatility portfolio strategy due to their large - amplitude fluctuations; for precious metals, create a spot hedging strategy as they have dropped significantly after reaching a high level [2]. 3. Summary by Related Catalogs 3.1 Futures Market Overview - The report presents the latest prices, price changes, price change percentages, trading volumes, volume changes, open interests, and open interest changes of various metal futures contracts, including copper, aluminum, zinc, etc. For example, the latest price of copper (CU2512) is 87,660, with a price increase of 790 and a price change percentage of 0.91% [3]. 3.2 Option Factors - Volume and Open Interest PCR - The PCR values of volume and open interest for different metal options are provided. For instance, the volume PCR of copper options is 0.38 with a change of 0.03, and the open interest PCR is 0.85 with a change of 0.06 [4]. 3.3 Option Factors - Pressure and Support Levels - The pressure and support levels of different metal options are given. For example, the pressure level of copper options is 90,000 and the support level is 82,000 [5]. 3.4 Option Factors - Implied Volatility - The implied volatility data of different metal options are presented, including at - the - money implied volatility, weighted implied volatility, and its change, annual average, call implied volatility, put implied volatility, HISV20, and the difference between implied and historical volatility. For example, the at - the - money implied volatility of copper options is 21.24%, and the weighted implied volatility is 28.34% with a change of 5.41% [6]. 3.5 Strategy and Recommendations 3.5.1 Non - Ferrous Metals - Copper Options: The inventory of the three major exchanges decreased by 0.4 million tons month - on - month. The market showed a bullish high - level consolidation. Implied volatility was above the historical average, and the open interest PCR was around 0.80. It is recommended to construct a short - volatility seller option portfolio strategy and a spot long - hedging strategy [7]. - Aluminum Options: The inventory decreased. The market showed a bullish high - level oscillation. Implied volatility was at the historical average, and the open interest PCR was below 0.90. It is recommended to construct a short - neutral call + put option portfolio strategy and a spot collar strategy [9]. - Zinc Options: The market showed a weak oscillation. Implied volatility decreased to the historical average, and the open interest PCR was around 1.00. It is recommended to construct a short - neutral call + put option portfolio strategy and a spot collar strategy [9]. - Nickel Options: The global visible inventory increased. The market showed a wide - range oscillation with bearish pressure. Implied volatility was below the average, and the open interest PCR was below 0.60. It is recommended to construct a short - bearish call + put option portfolio strategy and a spot covered - call strategy [10]. - Tin Options: The supply of tin was tight. The market showed a short - term high - level oscillation and then an upward breakthrough. Implied volatility was below the historical average, and the open interest PCR was around 0.60. It is recommended to construct a short - volatility strategy and a spot collar strategy [10]. - Lithium Carbonate Options: The inventory decreased. The market showed a large - amplitude fluctuation and then an oscillation and recovery. Implied volatility was at a high level, and the open interest PCR was below 0.60. It is recommended to construct a short - bearish call + put option portfolio strategy and a spot long - hedging strategy [11]. 3.5.2 Precious Metals - Gold Options: The US CPI data was lower than expected. The market showed a rapid decline after a bullish trend. Implied volatility was at a high level, and the open interest PCR was 1.00. It is recommended to construct a short - neutral volatility option seller portfolio strategy and a spot hedging strategy [12]. 3.5.3 Black Metals - Rebar Options: The inventory decreased. The market showed a weak bearish trend. Implied volatility was below the historical average, and the open interest PCR was below 0.60. It is recommended to construct a short - bearish call + put option portfolio strategy and a spot long - covered - call strategy [13]. - Iron Ore Options: The inventory increased. The market showed a weak oscillation and decline. Implied volatility was around the historical average, and the open interest PCR was below 0.60. It is recommended to construct a short - bearish call + put option portfolio strategy and a spot long - collar strategy [13]. - Ferroalloy Options (Manganese Silicon): The production decreased slightly, and the inventory increased. The market showed a weak bearish trend. Implied volatility was at the historical average, and the open interest PCR was around 0.70. It is recommended to construct a short - volatility strategy [14]. - Industrial Silicon Options: The production increased, and the inventory decreased slightly. The market showed a large - amplitude range - bound oscillation. Implied volatility was at a high level, and the open interest PCR was below 0.60. It is recommended to construct a short - volatility call + put option portfolio strategy and a spot hedging strategy [14]. - Glass Options: The production remained flat, and the inventory increased. The market showed a weak bearish trend. Implied volatility was at a high level, and the open interest PCR was below 0.60. It is recommended to construct a short - volatility call + put option portfolio strategy and a spot long - collar strategy [15].