金属期权：金属期权策略早报-20251124

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - For non - ferrous metals, which are showing a bullish upward trend, a seller neutral volatility strategy is recommended [2]. - For the black metals sector, which maintains a large - amplitude fluctuating market, a short - volatility combination strategy is suitable [2]. - For precious metals, which are rebounding and rising, a bull spread combination strategy is recommended [2]. 3. Summary According to Related Catalogs 3.1 Futures Market Overview - Copper (CU2601): The latest price is 86,180, up 180 with a 0.21% increase. The trading volume is 9.89 million lots, up 1.45 million lots, and the open interest is 19.02 million lots, up 0.24 million lots [3]. - Aluminum (AL2601): The latest price is 21,390, down 75 with a 0.35% decrease. The trading volume is 26.77 million lots, up 9.79 million lots, and the open interest is 30.20 million lots, down 3.66 million lots [3]. - Zinc (ZN2601): The latest price is 22,350, down 135 with a 0.60% decrease. The trading volume is 9.08 million lots, up 4.20 million lots, and the open interest is 9.19 million lots, up 0.30 million lots [3]. - And so on for other metals including lead, nickel, tin, etc. [3] 3.2 Option Factors - Volume and Open Interest PCR - Copper: The volume PCR is 0.87, up 0.22, and the open - interest PCR is 0.83, up 0.05 [4]. - Aluminum: The volume PCR is 0.70, up 0.20, and the open - interest PCR is 0.70, up 0.01 [4]. - Zinc: The volume PCR is 0.84, down 0.43, and the open - interest PCR is 1.04, up 0.04 [4]. - And so on for other metals [4] 3.3 Option Factors - Pressure and Support Levels - Copper: The pressure point is 90,000, and the support point is 82,000 [5]. - Aluminum: The pressure point is 22,000, and the support point is 21,000 [5]. - Zinc: The pressure point is 23,000, and the support point is 21,600 [5]. - And so on for other metals [5] 3.4 Option Factors - Implied Volatility - Copper: The at - the - money implied volatility is 12.63%, the weighted implied volatility is 20.12%, up 2.56% [6]. - Aluminum: The at - the - money implied volatility is 10.38%, the weighted implied volatility is 14.84%, up 1.67% [6]. - Zinc: The at - the - money implied volatility is 10.03%, the weighted implied volatility is 15.80%, up 2.99% [6]. - And so on for other metals [6] 3.5 Strategy and Recommendations 3.5.1 Non - ferrous Metals - Copper: Fundamentally, the inventories of the three major exchanges increased by 38,000 tons. The market has been in a bullish high - level oscillating pattern. Option - wise, the implied volatility is above the historical average, and the open - interest PCR is around 0.80. Strategies include a short - volatility seller option combination and a spot long - hedging strategy [7]. - Aluminum: Fundamentally, inventories showed a mixed trend. The market has a bullish high - level oscillating pattern. Option - wise, the implied volatility is at the historical average, and the open - interest PCR is around 0.70. Strategies include a bull spread combination, a short - call and short - put option combination, and a spot collar strategy [9]. - Zinc: Fundamentally, domestic social inventories decreased slightly. The market has an oscillating recovery pattern with upper pressure. Option - wise, the implied volatility decreased to the historical average, and the open - interest PCR is around 1.00. Strategies include a short - neutral call and put option combination and a spot collar strategy [9]. - Nickel: Fundamentally, global visible inventories increased slightly, and terminal consumption was weak. The market has a bearish oscillating pattern. Option - wise, the implied volatility is below the average, and the open - interest PCR is around 0.70. Strategies include a short - bearish call and put option combination and a spot covered - call strategy [10]. - Tin: Fundamentally, the resumption of tin mines in Myanmar was slow, and production in some areas was limited. The market has a short - term high - level oscillating pattern with lower support. Option - wise, the implied volatility is below the historical average, and the open - interest PCR is around 0.60. Strategies include a short - volatility strategy and a spot collar strategy [10]. - Carbonate Lithium: Fundamentally, inventory depletion narrowed. The market has a recent bullish pattern with lower support. Option - wise, the implied volatility rose rapidly and remained at a high level, and the open - interest PCR is around 0.90. Strategies include a short - bullish call and put option combination and a spot long - hedging strategy [11]. 3.5.2 Precious Metals - Silver: Fundamentally, inventories in SHFE and COMEX decreased, and domestic demand was resilient. The market has a pattern of rapid decline after a bullish trend followed by an oscillating recovery. Option - wise, the implied volatility is at a historical high, and the open - interest PCR is above 1.00. Strategies include a bull spread combination, a short - bullish volatility option seller combination, and a spot hedging strategy [12]. 3.5.3 Black Metals - Rebar: Fundamentally, social and factory inventories decreased. The market has a bearish pattern with upper pressure. Option - wise, the implied volatility is below the historical average, and the open - interest PCR is below 0.60. Strategies include a short - bearish call and put option combination and a spot covered - call strategy [13]. - Iron Ore: Fundamentally, port inventories decreased, and daily dispatch volume increased. The market has a bearish oscillating downward pattern with upper and lower support. Option - wise, the implied volatility is around the historical average, and the open - interest PCR is 1.40. Strategies include a short - bearish call and put option combination and a spot long - collar strategy [13]. - Ferroalloys (Manganese Silicon and Ferrosilicon): For manganese silicon, production decreased, and inventories were at a high level. The market has a bearish pattern with upper pressure. Option - wise, the implied volatility is at the historical average, and the open - interest PCR is around 0.80. Strategies include a short - volatility strategy. For ferrosilicon, similar analysis and corresponding strategies are provided [14]. - Industrial Silicon: Fundamentally, inventories decreased. The market has a large - amplitude oscillating bearish pattern with upper pressure. Option - wise, the implied volatility remained at a high level, and the open - interest PCR is below 0.60. Strategies include a short - volatility call and put option combination and a spot hedging strategy [14]. - Glass: Fundamentally, factory inventories increased. The market has a bearish pattern with upper pressure. Option - wise, the implied volatility remained at a high level, and the open - interest PCR is below 0.60. Strategies include a bear spread combination, a short - volatility call and put option combination, and a spot long - collar strategy [15].