金属期权：金属期权策略早报-20251225

Report Summary 1. Investment Rating No investment rating for the industry is provided in the report. 2. Core Viewpoints - For non - ferrous metals, a seller's neutral volatility strategy can be constructed as they tend to move upwards. For the black series, a short - volatility combination strategy is suitable due to large - scale fluctuations. For precious metals, a bull spread combination strategy can be built as they are rebounding [2]. 3. Summary by Relevant Catalogs 3.1 Futures Market Overview - The report presents the latest prices, price changes, price change percentages, trading volumes, volume changes, open interests, and open interest changes of various metal futures contracts such as copper, aluminum, zinc, etc. For example, the latest price of copper (CU2602) is 95,020, with a decrease of 240 and a decline rate of 0.25% [3]. 3.2 Option Factors - Volume and Open Interest PCR - It shows the trading volume, volume change, open interest, open interest change, trading volume PCR, volume PCR change, open interest PCR, and open interest PCR change of different option varieties. The volume PCR is used to describe whether the underlying asset's market has a turning point, and the open interest PCR is used to describe the strength of the underlying asset's market [4]. 3.3 Option Factors - Pressure and Support Levels - From the perspective of the strike prices with the largest open interest in call and put options, the report determines the pressure and support levels of option underlying assets. For example, the pressure level of copper is 96,000 and the support level is 84,000 [5]. 3.4 Option Factors - Implied Volatility - It provides information on the at - the - money implied volatility, weighted implied volatility, weighted implied volatility change, annual average implied volatility, call implied volatility, put implied volatility, 20 - day historical volatility, and the difference between implied and historical volatility of each option variety [6]. 3.5 Strategy and Recommendations Non - ferrous Metals - Copper: Based on the supply surplus in the refined copper market and the upward - trending market, strategies include constructing a call option bull spread combination for directional gains, a short - volatility seller's option combination for time - value gains, and a spot long - hedging strategy [7]. - Aluminum: Due to factors like production capacity constraints and strong demand, strategies include a short - volatility option combination strategy and a spot collar strategy [9]. - Zinc: Considering the strong resistance in the spot market and the opening of the import window, strategies include a short - volatility option combination strategy and a spot collar strategy [9]. - Nickel: Given factors such as supply disturbances and market trends, strategies include a call option bull spread combination strategy, a short - volatility option combination strategy, and a spot covered - call strategy [10]. - Tin: Due to slow复产 in mines and low production levels, strategies include a call option bull spread combination strategy, a short - volatility strategy, and a spot collar strategy [10]. - Lithium Carbonate: Based on inventory and market trends, strategies include a call option bull spread combination strategy, a short - volatility option combination strategy, and a spot long - hedging strategy [11]. Precious Metals - Silver: With factors like increased ETF holdings and a rising market, strategies include a call option bull spread combination strategy, a short - volatility option seller's combination strategy, and a spot hedging strategy [12]. Black Series - Rebar: Considering the production capacity utilization rate and market trends, strategies include a short - volatility option combination strategy and a spot long - covered - call strategy [13]. - Iron Ore: Based on inventory and market trends, strategies include a short - volatility option combination strategy and a spot long - collar strategy [13]. - Ferroalloys: For manganese silicon, strategies include a short - volatility strategy. For industrial silicon, strategies include a put option bear spread combination strategy, a short - volatility option combination strategy, and a spot hedging strategy. For glass, strategies include a put option bear spread combination strategy, a short - volatility option combination strategy, and a spot long - collar strategy [14][15].