金属期权：金属期权策略早报-20251215
Wu Kuang Qi Huo·2025-12-15 01:22
  1. Report Overview - Report Date: December 15, 2025 [1] - Report Type: Metal Options Strategy Morning Report 2. Industry Investment Rating - No industry investment rating is provided in the report. 3. Core Views - For non - ferrous metals, build a seller neutral volatility strategy as they tend to move upwards [2]. - For the black series, construct a short - volatility portfolio strategy due to their large - amplitude fluctuations [2]. - For precious metals, build a bull spread portfolio strategy as they rebound and rise [2]. 4. Summary by Related Catalogs 4.1 Futures Market Overview - Copper (CU2601): Latest price is 91,550, down 1,990 (-2.13%), with trading volume of 15.76 million lots (up 1.90 million lots) and open interest of 18.86 million lots (down 0.17 million lots) [3]. - Aluminum (AL2601): Latest price is 21,725, down 370 (-1.67%), with trading volume of 10.08 million lots (down 1.25 million lots) and open interest of 16.21 million lots (down 1.02 million lots) [3]. - Zinc (ZN2601): Latest price is 23,305, down 210 (-0.89%), with trading volume of 18.90 million lots (up 9.60 million lots) and open interest of 9.14 million lots (up 0.29 million lots) [3]. - Gold (AU2602): Latest price is 972.76, up 8.14 (0.84%), with trading volume of 29.17 million lots (up 4.90 million lots) and open interest of 20.39 million lots (up 1.17 million lots) [3]. - Silver (AG2602): Latest price is 14,437, down 337 (-2.28%), with trading volume of 172.66 million lots (up 9.31 million lots) and open interest of 41.48 million lots (down 0.84 million lots) [3]. 4.2 Option Factor - Volume and Open Interest PCR - Copper: Volume PCR is 0.38 (down 0.01), and open interest PCR is 0.89 (up 0.08) [4]. - Aluminum: Volume PCR is 0.19 (down 0.20), and open interest PCR is 0.58 (down 0.01) [4]. - Zinc: Volume PCR is 0.34 (down 0.27), and open interest PCR is 0.87 (down 0.01) [4]. - Gold: Volume PCR is 0.32 (down 0.25), and open interest PCR is 0.55 (down 0.01) [4]. - Silver: Volume PCR is 0.70 (down 0.11), and open interest PCR is 1.62 (up 0.14) [4]. 4.3 Option Factor - Pressure and Support Levels - Copper: Pressure point is 98,000 (offset 4,000), support point is 90,000 (offset 6,000) [5]. - Aluminum: Pressure point is 22,000 (offset 0), support point is 21,800 (offset 0) [5]. - Zinc: Pressure point is 24,000 (offset 600), support point is 23,000 (offset 1,000) [5]. - Gold: Pressure point is 1,000 (offset 0), support point is 904 (offset 0) [5]. - Silver: Pressure point is 15,900 (offset 0), support point is 12,000 (offset 0) [5]. 4.4 Option Factor - Implied Volatility - Copper: At - the - money implied volatility is 18.61%, weighted implied volatility is 21.55% (up 0.98%), historical average is 18.23% [6]. - Aluminum: At - the - money implied volatility is 14.10%, weighted implied volatility is 15.61% (up 2.78%), historical average is 12.51% [6]. - Zinc: At - the - money implied volatility is 15.25%, weighted implied volatility is 17.22% (up 4.60%), historical average is 14.14% [6]. - Gold: At - the - money implied volatility is 22.29%, weighted implied volatility is 25.03% (up 4.06%), historical average is 22.12% [6]. - Silver: At - the - money implied volatility is 42.55%, weighted implied volatility is 44.27% (up 3.52%), historical average is 30.60% [6]. 4.5 Option Strategies and Recommendations 4.5.1 Non - Ferrous Metals - Copper: - Directional strategy: Build a call option bull spread strategy [7]. - Volatility strategy: Build a short - volatility strategy [7]. - Spot long hedging strategy: Hold spot long + buy put option + sell out - of - the - money call option [7]. - Aluminum: - Directional strategy: None [9]. - Volatility strategy: Build a short call + put option portfolio strategy with a positive delta [9]. - Spot long hedging strategy: Build a spot collar strategy [9]. 4.5.2 Precious Metals - Silver: - Directional strategy: Build a call option bull spread strategy [12]. - Volatility strategy: Build a short - volatility option seller portfolio strategy with a positive delta [12]. - Spot hedging strategy: Hold spot long + buy put option + sell out - of - the - money call option [12]. 4.5.3 Black Series - Rebar: - Directional strategy: None [13]. - Volatility strategy: Build a short call + put option portfolio strategy with a negative delta [13]. - Spot long covered call strategy: Hold spot long + sell call option [13]. - Iron Ore: - Directional strategy: None [13]. - Volatility strategy: Build a short call + put option portfolio strategy with a neutral delta [13]. - Spot long hedging strategy: Build a long collar strategy [13].