金属期权：金属期权策略早报-20251212

1. Report Industry Investment Rating - Not provided in the document 2. Core Views of the Report - For non - ferrous metals, they are trending upwards, and a seller's neutral volatility strategy is recommended; for black metals, they are experiencing significant fluctuations, suitable for a short - volatility combination strategy; for precious metals, they are rebounding and rising, and a bull spread combination strategy is advisable [2] 3. Summary by Relevant Catalogs 3.1 Futures Market Overview - Copper (CU2601): Latest price 94,080, up 1,800 (1.95%), volume 13.86 million lots (down 0.75 million), open interest 19.04 million lots (down 1.00 million) [3] - Aluminum (AL2601): Latest price 22,115, up 185 (0.84%), volume 11.33 million lots (down 4.65 million), open interest 17.23 million lots (down 1.35 million) [3] - Zinc (ZN2601): Latest price 23,660, up 660 (2.87%), volume 9.31 million lots (down 2.51 million), open interest 8.85 million lots (down 0.47 million) [3] - Other metals such as lead, nickel, tin, etc. also have detailed price, volume, and open - interest data provided [3] 3.2 Option Factors - Volume and Open Interest PCR - Copper: Volume PCR 0.39 (down 0.00), Open Interest PCR 0.81 (up 0.05) [4] - Aluminum: Volume PCR 0.39 (up 0.02), Open Interest PCR 0.59 (down 0.01) [4] - Zinc: Volume PCR 0.61 (down 0.05), Open Interest PCR 0.89 (down 0.07) [4] 3.3 Option Factors - Pressure and Support Levels - Copper: Pressure point 94,000, support point 84,000 [5] - Aluminum: Pressure point 22,000, support point 21,800 [5] - Zinc: Pressure point 23,400, support point 22,000 [5] 3.4 Option Factors - Implied Volatility - Copper: At - the - money implied volatility 16.80%, weighted implied volatility 20.57% (down 0.95%) [6] - Aluminum: At - the - money implied volatility 11.06%, weighted implied volatility 12.83% (up 0.15%) [6] - Zinc: At - the - money implied volatility 10.66%, weighted implied volatility 12.62% (down 0.25%) [6] 3.5 Strategy and Recommendations 3.5.1 Non - ferrous Metals - Copper: Directional strategy - build a bull spread combination of call options; volatility strategy - build a short - volatility seller's option combination; spot long hedging strategy - hold spot long + buy put options + sell out - of - the - money call options [8] - Aluminum: Directional strategy - build a bull spread combination of call options; volatility strategy - build a short call + put option combination; spot long hedging strategy - hold spot long + buy put options + sell out - of - the - money call options [9] - Zinc: Volatility strategy - build a short call + put option combination; spot long hedging strategy - hold spot long + buy put options + sell out - of - the - money call options [9] 3.5.2 Precious Metals - Silver: Directional strategy - build a bull spread combination of call options; volatility strategy - build a short - volatility option seller's combination; spot hedging strategy - hold spot long + buy put options + sell out - of - the - money call options [12] 3.5.3 Black Metals - Rebar: Volatility strategy - build a short call + put option combination; spot long covered strategy - hold spot long + sell call options [13] - Iron ore: Volatility strategy - build a short call + put option combination; spot long hedging strategy - build a long collar strategy [13]