金属期权策略早报：金属期权-20251112

Report Summary 1. Industry Investment Rating No industry investment rating is provided in the document. 2. Core Viewpoints - For non - ferrous metals, the market shows a range - bound oscillation, and a neutral volatility selling strategy is recommended [2]. - The black metal sector maintains a large - amplitude volatile trend, suitable for constructing a short - volatility portfolio strategy [2]. - Precious metals have fallen sharply from high levels, and a spot hedging strategy is suggested [2]. 3. Summary by Related Catalogs 3.1 Futures Market Overview - The latest prices, price changes, trading volumes, and open interest of various metal futures such as copper, aluminum, zinc, etc. are presented. For example, the latest price of copper (CU2512) is 86,770, with a price increase of 70 and a trading volume of 7.46 million lots [3]. 3.2 Option Factors - Volume - to - Open - Interest PCR: It is used to describe the strength of the option underlying market and the timing of market turning points. For instance, the volume PCR of copper is 0.45, with a change of - 0.20 [4]. - Pressure and Support Levels: Determined from the strike prices with the largest open interest of call and put options. For example, the pressure level of copper is 90,000 and the support level is 84,000 [5]. - Implied Volatility: The implied volatility of different metals shows different trends. For example, the implied volatility of copper options remains above the historical average [6]. 3.3 Strategy and Recommendations - Non - ferrous Metals: - Copper: A short - volatility selling option portfolio strategy and a spot long - hedging strategy are recommended [7]. - Aluminum: A bull - spread call option strategy and a short - call + short - put option combination strategy are suggested, as well as a spot collar strategy [9]. - Zinc: A neutral short - call + short - put option combination strategy and a spot collar strategy are proposed [9]. - Nickel: A short - bearish call + short - put option combination strategy and a spot covered - call strategy are recommended [10]. - Tin: A short - volatility strategy and a spot collar strategy are suggested [10]. - Lithium Carbonate: A neutral short - call + short - put option combination strategy and a spot long - hedging strategy are proposed [11]. - Precious Metals: - Gold: A neutral short - volatility option seller combination strategy and a spot hedging strategy are recommended [12]. - Black Metals: - Rebar: A short - bearish call + short - put option combination strategy and a spot covered - call strategy are suggested [13]. - Iron Ore: A short - bearish call + short - put option combination strategy and a spot long - collar strategy are proposed [13]. - Ferroalloys: - Silicomanganese: A short - volatility strategy is recommended [14]. - Silicon Ferrosilicon: A short - volatility strategy and a spot hedging strategy are suggested [14]. - Industrial Silicon: A short - volatility short - call + short - put option combination strategy and a spot hedging strategy are proposed [14]. - Glass: A short - volatility short - call + short - put option combination strategy and a spot long - collar strategy are recommended [15].