有色期权早报-20260316
Wu Kuang Qi Huo·2026-03-16 05:31
  1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints - The report provides a comprehensive analysis of various non - ferrous metal options, including market data, option factors, and corresponding trading strategies [3][4][6]. 3. Summary by Related Catalogs 3.1 AD (Aluminum Alloy Options) - Market Data: The ad2604 contract closed at 23,655 yuan yesterday, down 410 yuan (1.70%) from the previous day. The trading volume was 5,842 lots, a decrease of 1,020 lots, and the open interest was 5,679 lots, a decrease of 195 lots [3][6]. - Option Factors - Volume and Open Interest PCR: The trading volume PCR of AD (aluminum alloy call options) was 0.69, down 0.08, and the open interest PCR was 1.06, up 0.04 [4]. - Option Factors - Pressure and Support: The strike price at - the - money was 23,600, the resistance level was 22,000, and the support level was 23,400. The weighted implied volatility was 32.20%, up 0.29%, and the annual average implied volatility was 12.61% [5]. - Strategy Suggestions: No directional strategy; for volatility strategy, construct a short call + put option combination to gain option time - value, and adjust positions dynamically to keep delta neutral, e.g., S_AD2604P22800, S_AD2604C24400 [7]. 3.2 AL (Aluminum Options) - Market Data: The al2604 contract closed at 24,960 yuan yesterday, down 355 yuan (1.40%) from the previous day. The trading volume was 256,005 lots, a decrease of 63,153 lots, and the open interest was 192,719 lots, a decrease of 13,251 lots [15][18]. - Option Factors - Volume and Open Interest PCR: The trading volume PCR of AL (aluminum call options) was 0.43, up 0.15, and the open interest PCR was 0.61 [16]. - Option Factors - Pressure and Support: The strike price at - the - money was 25,000, the resistance level was 26,000, and the support level was 23,000. The weighted implied volatility was 29.94%, and the annual average implied volatility was 16.16% [17]. - Strategy Suggestions: For directional strategy, construct a bull spread of call options to gain directional returns, e.g., B_AL2604C25000, S_AL2604C26000; for volatility strategy, construct a short call + put option combination to gain option time - value, and adjust positions dynamically to keep delta neutral, e.g., S_AL2604P23600, etc. [19]. 3.3 AO (Alumina Options) - Market Data: The ao2605 contract closed at 2,956 yuan yesterday, up 70 yuan (2.42%) from the previous day. The trading volume was 726,388 lots, an increase of 140,413 lots, and the open interest was 279,760 lots, a decrease of 15,703 lots [27][30]. - Option Factors - Volume and Open Interest PCR: The trading volume PCR of AO (alumina call options) was 0.2, and the open interest PCR was 0.37, up 0.03 [28]. - Option Factors - Pressure and Support: The strike price at - the - money was 2,950, the resistance level was 3,500, and the support level was 2,700. The weighted implied volatility was 48.17%, down 2.04%, and the annual average implied volatility was 32.09% [29]. - Strategy Suggestions: No directional strategy; for volatility strategy, construct a short call + put option combination to gain option time - value, and adjust positions dynamically to keep delta neutral, e.g., S_AO2605P2700, S_AO2605C3000 [31]. 3.4 CU (Copper Options) - Market Data: The cu2604 contract closed at 100,310 yuan yesterday, down 550 yuan (0.54%) from the previous day. The trading volume was 85,149 lots, a decrease of 2,811 lots, and the open interest was 190,911 lots, a decrease of 1,479 lots [39][42]. - Option Factors - Volume and Open Interest PCR: The trading volume PCR of CU (copper call options) was 1.02, up 0.29, and the open interest PCR was 0.77, up 0.04 [40]. - Option Factors - Pressure and Support: The strike price at - the - money was 100,000, the resistance level was 116,000, and the support level was 100,000. The weighted implied volatility was 31.12%, up 0.98%, and the annual average implied volatility was 22.61% [41]. - Strategy Suggestions: For directional strategy, construct a bull spread of call options to gain directional returns, e.g., B_CU2604C100000, S_CU2604C106000; for volatility strategy, construct a short option combination to gain time - value, e.g., S_CU2604P98000, etc. [43]. 3.5 NI (Nickel Options) - Market Data: The ni2605 contract closed at 136,930 yuan yesterday, down 1,240 yuan (0.89%) from the previous day. The trading volume was 402,936 lots, a decrease of 88,568 lots, and the open interest was 211,607 lots, a decrease of 1,351 lots [51][54]. - Option Factors - Volume and Open Interest PCR: The trading volume PCR of NI (nickel call options) was 0.18, down 0.04, and the open interest PCR was 0.54 [52]. - Option Factors - Pressure and Support: The resistance level was 150,000, and the support level was 130,000. The weighted implied volatility was related data (not clearly presented), and the annual average implied volatility was 30.48% [53]. - Strategy Suggestions: No directional strategy; for volatility strategy, construct a short call + put option combination to gain option time - value, and adjust positions dynamically to keep delta neutral, e.g., S_NI2604P126000, etc. [55]. 3.6 PB (Lead Options) - Market Data: The pb2604 contract closed at 16,555 yuan yesterday, down 75 yuan (0.45%) from the previous day. The trading volume was 45,931 lots, an increase of 15,603 lots, and the open interest was 63,681 lots, an increase of 1,415 lots [63][66]. - Option Factors - Volume and Open Interest PCR: The trading volume PCR of PB (lead call options) was 0.4, up 0.09, and the open interest PCR was 0.55 [64]. - Option Factors - Pressure and Support: The strike price at - the - money was 16,600, the resistance level was 19,600, and the support level was 16,400. The weighted implied volatility was 23.60%, down 0.98%, and the annual average implied volatility was 18.00% [65]. - Strategy Suggestions: No directional strategy; for volatility strategy, construct a short call + put option combination to gain option time - value, and adjust positions dynamically to keep delta neutral, e.g., S_PB2604P15800, etc. [67]. 3.7 SN (Tin Options) - Market Data: The sn2604 contract closed at 374,110 yuan yesterday, down 16,140 yuan (4.13%) from the previous day. The trading volume was 227,740 lots, an increase of 12,579 lots, and the open interest was 35,386 lots, an increase of 2,288 lots [75][78]. - Option Factors - Volume and Open Interest PCR: The trading volume PCR of SN (tin call options) was 0.77, up 0.11, and the open interest PCR was 0.66, down 0.04 [76]. - Option Factors - Pressure and Support: The strike price at - the - money was 375,000, the resistance level was 525,000, and the support level was 350,000. The weighted implied volatility was 67.69%, up 0.94%, and the annual average implied volatility was 36.91% [77]. - Strategy Suggestions: No directional strategy; for volatility strategy, construct a short call + put option combination to gain option time - value, and adjust positions dynamically to keep delta neutral, e.g., S_SN2604P375000, S_SN2604C410000 [79]. 3.8 ZN (Zinc Options) - Market Data: The zn2604 contract closed at 24,140 yuan yesterday, down 145 yuan (0.59%) from the previous day. The trading volume was 85,941 lots, a decrease of 23,062 lots, and the open interest was 75,191 lots, an increase of 2,465 lots [87][90]. - Option Factors - Volume and Open Interest PCR: The trading volume PCR of ZN (zinc call options) was 0.78, up 0.22, and the open interest PCR was 0.74, up 0.06 [88]. - Option Factors - Pressure and Support: The strike price at - the - money was 24,200, the resistance level was 25,000, and the support level was 23,000. The weighted implied volatility was 24.77%, down 1.71%, and the annual average implied volatility was 17.54% [89]. - Strategy Suggestions: No directional strategy; for volatility strategy, construct a short call + put option combination to gain option time - value, and adjust positions dynamically to keep delta neutral, e.g., S_ZN2604P23400, etc. [91].
有色期权早报-20260316 - Reportify