金属期权策略早报：金属期权-20251028

1. Report Investment Rating No investment rating information is provided in the report. 2. Core View - Construct a neutral volatility strategy for non - ferrous metals in a range - bound market; build a short - volatility portfolio strategy for the black series with large - amplitude fluctuations; and create a spot hedging strategy for precious metals experiencing a significant decline after reaching a high level [2]. 3. Summary According to Related Catalogs 3.1 Futures Market Overview - Non - ferrous Metals: Copper (CU2512) was priced at 88,130 with a 0.22% increase, aluminum (AL2512) at 21,255 with a 0.02% decrease, zinc (ZN2512) at 22,410 with a 0.47% increase, etc [3]. - Precious Metals: Gold (AU2512) was at 919.70 with a 2.25% decrease, and silver (AG2512) at 11,150 with a 2.44% decrease [3]. - Black Series:螺纹Steel (RB2601) was at 3,111 with a 1.14% increase, iron ore (I2601) at 790.50 with a 1.67% increase [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 volume PCR and open interest PCR of copper were 0.34 and 0.73 respectively [4]. 3.3 Option Factors - Pressure and Support Levels - Pressure and support levels of different metal options are analyzed. For instance, the pressure level of copper is 90,000 and the support level is 82,000 [5]. 3.4 Option Factors - Implied Volatility - Implied volatility of each metal option is presented. For example, the at - the - money implied volatility of copper is 23.57%, and the weighted implied volatility changed by - 3.13% [6]. 3.5 Strategy and Recommendations - Non - ferrous Metals: For copper, construct a short - volatility seller option portfolio strategy and a spot long - hedging strategy; for aluminum, build a neutral short - call and short - put option combination strategy and a spot collar strategy, etc [7][9]. - Precious Metals: For gold, construct a neutral short - volatility option seller portfolio strategy and a spot hedging strategy [12]. - Black Series: For螺纹steel, construct a short - call and short - put option combination strategy with a short bias and a spot long - covered call strategy; for iron ore, build a short - call and short - put option combination strategy with a short bias and a spot long - collar strategy, etc [13].