有色期权早报-20260313
Wu Kuang Qi Huo·2026-03-13 04:00
  1. Report Industry Investment Rating - No information provided in the report 2. Core Viewpoints - The report provides a comprehensive analysis of the futures and options markets for various non - ferrous metals, including aluminum alloy (AD), aluminum (AL), alumina (AO), copper (CU), nickel (NI), lead (PB), tin (SN), and zinc (ZN). It includes data on contract prices, trading volumes, open interest, option factors such as volume - to - open - interest PCR, pressure and support levels, and provides corresponding option strategy suggestions [6][18][30][42][54][66][79][91] 3. Summary by Related Catalogs 3.1 Aluminum Alloy (AD) - Futures Market Data: The ad2604 contract closed at 23,990 yuan yesterday, up 75 yuan (0.31%) from the previous day. The trading volume was 6,862 lots, a decrease of 1,296 lots, and the open interest was 5,874 lots, a decrease of 26 lots [3][6] - Option Factors - Volume and Open Interest PCR: The trading volume of AD (aluminum alloy call options) was 457 lots, with a change of 287 lots; the open interest was 829 lots, with a change of 81 lots. The trading volume of AD (aluminum alloy put options) was 354 lots, with a change of 92 lots; the open interest was 848 lots, a decrease of 16 lots. The volume PCR was 0.77, a decrease of 0.77, and the open - interest PCR was 1.02, a decrease of 0.13 [4] - Option Factors - Pressure and Support: The strike price at - the - money was 24,000, the resistance level was 22,000, the support level was 23,400, the weighted implied volatility was 31.90%, a decrease of 0.24%, the annual average implied volatility was 12.47%, and HISV20 was 20.62% [5] - Option Strategy Suggestions: Directional strategy: None; Volatility strategy: Construct a short call + put option combination strategy to obtain option time - value income, and dynamically adjust positions to keep the delta of positions neutral, such as S_AD2604P22800, S_AD2604C24400 [7] 3.2 Aluminum (AL) - Futures Market Data: The al2604 contract closed at 25,240 yuan yesterday, up 95 yuan (0.37%) from the previous day. The trading volume was 319,158 lots, an increase of 1,760 lots, and the open interest was 205,970 lots, a decrease of 6,156 lots [15][18] - Option Factors - Volume and Open Interest PCR: The trading volume of AL (aluminum call options) was 151,459 lots, a decrease of 18,012 lots; the open interest was 109,227 lots, a decrease of 411 lots. The trading volume of AL (aluminum put options) was 41,684 lots, a decrease of 8,640 lots; the open interest was 67,559 lots, an increase of 3,067 lots. The volume PCR was 0.28, a decrease of 0.02, and the open - interest PCR was 0.62, an increase of 0.03 [16] - Option Factors - Pressure and Support: The strike price at - the - money was 26,000, the resistance level was 26,000, the support level was 23,000, the weighted implied volatility was 32.45%, an increase of 1.44%, the annual average implied volatility was 16.08%, and HISV20 was 22.50% [17] - Option Strategy Suggestions: Directional strategy: Construct a bull call spread strategy to obtain directional income, such as B_AL2604C25000, S_AL2604C26000; Volatility strategy: Construct a short call + put option combination strategy to obtain option time - value income, and dynamically adjust positions to keep the delta of positions neutral, such as S_AL2604P23600, S_AL2604P24000, S_AL2604C25600, S_AL2604C26000 [19] 3.3 Alumina (AO) - Futures Market Data: The ao2605 contract closed at 2,865 yuan yesterday, up 16 yuan (0.56%) from the previous day. The trading volume was 585,975 lots, an increase of 231,469 lots, and the open interest was 295,463 lots, an increase of 7,211 lots [27][30] - Option Factors - Volume and Open Interest PCR: The trading volume of AO (alumina call options) was 161,546 lots, an increase of 81,725 lots; the open interest was 98,373 lots, an increase of 6,125 lots. The trading volume of AO (alumina put options) was 31,840 lots, an increase of 15,126 lots; the open interest was 33,409 lots, an increase of 4,082 lots. The volume PCR was 0.2, a decrease of 0.01, and the open - interest PCR was 0.34, an increase of 0.02 [28] - Option Factors - Pressure and Support: The strike price at - the - money was 2,850, the resistance level was 3,500, the support level was 2,700, the weighted implied volatility was 50.21%, an increase of 1.09%, the annual average implied volatility was 32.00%, and HISV20 was 22.24% [29] - Option Strategy Suggestions: Directional strategy: None; Volatility strategy: Construct a short call + put option combination strategy to obtain option time - value income, and dynamically adjust positions to keep the delta of positions neutral, such as S_AO2605P2700, S_AO2605C2950 [31] 3.4 Copper (CU) - Futures Market Data: The cu2604 contract closed at 101,010 yuan yesterday, down 520 yuan (0.51%) from the previous day. The trading volume was 87,960 lots, an increase of 12,085 lots, and the open interest was 192,390 lots, a decrease of 271 lots [39][42] - Option Factors - Volume and Open Interest PCR: The trading volume of CU (copper call options) was 53,304 lots, a decrease of 3,595 lots; the open interest was 80,096 lots, an increase of 689 lots. The trading volume of CU (copper put options) was 38,625 lots, an increase of 13,351 lots; the open interest was 58,473 lots, an increase of 1,951 lots. The volume PCR was 0.72, an increase of 0.28, and the open - interest PCR was 0.73, an increase of 0.02 [40] - Option Factors - Pressure and Support: The strike price at - the - money was 102,000, the resistance level was 116,000, the support level was 100,000, the weighted implied volatility was 30.14%, an increase of 0.719, the annual average implied volatility was 22.55%, and HISV20 was 20.37% [41] - Option Strategy Suggestions: Directional strategy: Construct a bull call spread strategy to obtain directional income, such as B_CU2604C100000, S_CU2604C106000; Volatility strategy: Construct a short - volatility option seller combination strategy to obtain time - value income, such as S_CU2604P98000, S_CU2604P100000, S_CU2604C108000, S_CU2604C112000 [43] 3.5 Nickel (NI) - Futures Market Data: The ni2605 contract closed at 138,100 yuan yesterday, up 810 yuan (0.58%) from the previous day. The trading volume was 491,504 lots, an increase of 182,325 lots, and the open interest was 212,958 lots, an increase of 2,115 lots [51][54] - Option Factors - Volume and Open Interest PCR: The trading volume of NI (nickel call options) was 115,131 lots, an increase of 59,962 lots; the open interest was 49,155 lots, an increase of 1,727 lots. The trading volume of NI (nickel put options) was 25,653 lots, an increase of 8,746 lots; the open interest was 26,557 lots, an increase of 793 lots. The volume PCR was 0.22, a decrease of 0.08, and the open - interest PCR was 0.54 [52] - Option Factors - Pressure and Support: The strike price at - the - money was 138,000, the resistance level was 150,000, the support level was 130,000, the weighted implied volatility was 50.98%, an increase of 2.99%, the annual average implied volatility was 30.39%, and HISV20 was 30.81% [53] - Option Strategy Suggestions: Directional strategy: None; Volatility strategy: Construct a short call + put option combination strategy to obtain option time - value income, and dynamically adjust positions to keep the delta of positions neutral, such as S_NI2604P126000, S_NI2604P130000, S_NI2604C146000, S_NI2604C150000 [55] 3.6 Lead (PB) - Futures Market Data: The pb2604 contract closed at 16,615 yuan yesterday, down 35 yuan (0.21%) from the previous day. The trading volume was 30,328 lots, a decrease of 10,640 lots, and the open interest was 62,266 lots, an increase of 1,183 lots [63][66] - Option Factors - Volume and Open Interest PCR: The trading volume of PB (lead call options) was 4,600 lots, a decrease of 98 lots; the open interest was 9,586 lots, an increase of 220 lots. The trading volume of PB (lead put options) was 1,415 lots, a decrease of 760 lots; the open interest was 5,252 lots, an increase of 457 lots. The volume PCR was 0.31, a decrease of 0.16, and the open - interest PCR was 0.55, an increase of 0.02 [64] - Option Factors - Pressure and Support: The strike price at - the - money was 16,600, the resistance level was 19,600, the support level was 16,400, the weighted implied volatility was 24.58%, an increase of 0.27, the annual average implied volatility was 17.96%, and HISV20 was 4.98% [65] - Option Strategy Suggestions: Directional strategy: None; Volatility strategy: Construct a short call + put option combination strategy to obtain option time - value income, and dynamically adjust positions to keep the delta of positions neutral, such as S_PB2604P15800, S_PB2604C16200, S_PB2604C17200, S_PB2604C17600 [67] 3.7 Tin (SN) - Futures Market Data: The sn2604 contract closed at 393,500 yuan yesterday, down 3,550 yuan (0.89%) from the previous day. The trading volume was 215,161 lots, a decrease of 24,104 lots, and the open interest was 33,098 lots, a decrease of 884 lots [76][79] - Option Factors - Volume and Open Interest PCR: The trading volume of SN (tin call options) was 38,385 lots, a decrease of 17,732 lots; the open interest was 21,791 lots, an increase of 1,213 lots. The trading volume of SN (tin put options) was 25,293 lots, an increase of 59 lots; the open interest was 15,278 lots, an increase of 736 lots. The volume PCR was 0.66, an increase of 0.21, and the open - interest PCR was 0.7, a decrease of 0.01 [77] - Option Factors - Pressure and Support: The strike price at - the - money was 395,000, the resistance level was 525,000, the support level was 350,000, the weighted implied volatility was 66.75%, a decrease of 4.38%, the annual average implied volatility was 36.73%, and HISV20 was 78.71% [78] - Option Strategy Suggestions: Directional strategy: None; Volatility strategy: Construct a short call + put option combination strategy to obtain option time - value income, and dynamically adjust positions to keep the delta of positions neutral, such as S_SN2604P375000, S_SN2604C410000 [80] 3.8 Zinc (ZN) - Futures Market Data: The zn2604 contract closed at 24,300 yuan yesterday, down 120 yuan (0.49%) from the previous day. The trading volume was 109,003 lots, an increase of 34,199 lots, and the open interest was 72,726 lots, a decrease of 1,494 lots [88][91] - Option Factors - Volume and Open Interest PCR: The trading volume of ZN (zinc call options) was 23,676 lots, an increase of 3,290 lots; the open interest was 25,087 lots, an increase of 1,190 lots. The trading volume of ZN (zinc put options) was 13,257 lots, an increase of 4,991 lots; the open interest was 17,032 lots, an increase of 646 lots. The volume PCR was 0.56, an increase of 0.15, and the open - interest PCR was
有色期权早报-20260313 - Reportify