金属期权：金属期权策略早报-20251210

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - For non - ferrous metals, a seller's neutral volatility strategy can be constructed as they are trending upwards; for the black series, a short - volatility combination strategy suits their large - amplitude fluctuating market; for precious metals, a bull spread combination strategy is recommended due to their rebound [2]. 3. Summary by Relevant Catalogs 3.1 Futures Market Overview - The latest prices, price changes, price change rates, trading volumes, volume changes, open interests, and open interest changes of various metal futures such as copper, aluminum, zinc, etc., are presented. For example, the latest price of copper futures (CU2601) is 91,020, down 1,040 with a decline rate of 1.13%, trading volume of 19.04 million lots (down 0.45 million lots), and open interest of 21.06 million lots (down 1.95 million lots) [3]. 3.2 Option Factors - Volume and Open Interest PCR - The volume and open interest PCR data of various metal options are provided. Volume PCR is used to describe whether the underlying asset's market has a turning point, and open interest PCR is used to describe the strength of the underlying asset's market. For example, the volume PCR of copper options is 0.40 (down 0.02), and the open interest PCR is 0.81 (down 0.01) [4]. 3.3 Option Factors - Pressure and Support Levels - The pressure and support levels of various metal options are analyzed. For example, the pressure level of copper options is 98,000, and the support level is 84,000 [5]. 3.4 Option Factors - Implied Volatility - The implied volatility data of various metal options are given, including at - the - money implied volatility, weighted implied volatility, and its change, annual average implied volatility, call and put implied volatility, 20 - day historical volatility, and the difference between implied and historical volatility. For example, the at - the - money implied volatility of copper options is 17.04%, and the weighted implied volatility is 20.50% (down 2.24%) [6]. 3.5 Strategy and Suggestions 3.5.1 Non - ferrous Metals - Copper: Construct a bull spread combination strategy for call options, a short - volatility seller's option combination strategy, and a spot long - hedging strategy [8]. - Aluminum: Construct a bull spread combination strategy for call options, a short - call + put option combination strategy with a bullish bias, and a spot collar strategy [9]. - Zinc: Construct a short - call + put option combination strategy with a neutral bias and a spot collar strategy [9]. - Nickel: Construct a short - call + put option combination strategy with a bearish bias and a spot covered - call strategy [10]. - Tin: Construct a bull spread combination strategy for call options, a short - volatility strategy, and a spot collar strategy [10]. - Lithium Carbonate: Construct a short - call + put option combination strategy with a neutral bias and a spot long - hedging strategy [11]. 3.5.2 Precious Metals - Silver: Construct a bull spread combination strategy for call options, a short - volatility option seller's combination strategy with a bullish bias, and a spot hedging strategy [12]. 3.5.3 Black Series - Rebar: Construct a short - call + put option combination strategy with a bearish bias and a spot long - covered - call strategy [13]. - Iron Ore: Construct a short - call + put option combination strategy with a bearish bias and a spot long - collar strategy [13]. - Ferroalloys (Manganese Silicon and Silicon Ferrosilicon): For manganese silicon, construct a short - volatility strategy; for industrial silicon, construct a bear spread combination strategy for put options, a short - call + put option combination strategy, and a spot hedging strategy; for glass, construct a bear spread combination strategy for put options, a short - call + put option combination strategy, and a spot long - collar strategy [14][15].