Report Industry Investment Rating No relevant content provided. Core Views The report provides a comprehensive analysis of multiple有色金属 (non-ferrous metals) option markets, including aluminum alloy, aluminum, alumina, copper, nickel, lead, tin, and zinc. It presents market data, option factors, and offers corresponding trading strategies for each option type. Summary by Category 1. Aluminum Alloy (AD) - 标的期货市场数据: The ad2604 contract closed at 23,725 yuan yesterday, up 10 yuan (0.04%) from the previous day. Trading volume was 6,246 lots, down 278 lots, and open interest was 5,298 lots, down 85 lots [4][7]. - Option Factors - Volume and Open Interest PCR: Call option volume was 459, with open interest of 979 (up 84). Put option volume was 407 (up 176), with open interest of 968. Volume PCR was 0.89 (up 0.29), and open interest PCR was 0.99 (down 0.04) [5]. - Option Factors - Pressure and Support: The pressure level was 22,000, and the support level was 23,400. The weighted implied volatility was 27.73% (down 4.80%), and the annual average implied volatility was 12.85% [6]. - Option Strategies: No directional strategy. For volatility strategy, construct a short call + put option combination to gain time - value income and keep the delta of the position neutral, e.g., S_AD2604P22800, S_AD2604C24400 [8]. 2. Aluminum (AL) - 标的期货市场数据: The al2605 contract closed at 24,990 yuan yesterday, down 100 yuan (0.39%) from the previous day. Trading volume was 285,347 lots, down 75,755 lots, and open interest was 310,902 lots, up 1,072 lots [16][19]. - Option Factors - Volume and Open Interest PCR: Call option volume was 108,154 (down 2,398), with open interest of 114,065 (up 1,398). Put option volume was 43,401 (down 12,902), with open interest of 68,052 (down 170). Volume PCR was 0.4 (down 0.11), and open interest PCR was 0.6 (down 0.01) [17]. - Option Factors - Pressure and Support: The pressure level was 26,000, and the support level was 23,000. The weighted implied volatility was 28.48% (down 1.65%), and the annual average implied volatility was 16.30% [18]. - Option Strategies: Directional strategy: Construct a bull call spread to gain directional income, e.g., B_AL2604C25000, S_AL2604C26000. Volatility strategy: Construct a short call + put option combination to gain time - value income and keep the delta of the position neutral, e.g., S_AL2604P23600, S_AL2604P24000, S_AL2604C25600, S_AL2604C26000 [20]. 3. Alumina (AO) - 标的期货市场数据: The ao2605 contract closed at 3,073 yuan yesterday, up 101 yuan (3.39%) from the previous day. Trading volume was 1,392,390 lots, up 583,864 lots, and open interest was 280,554 lots, up 13,284 lots [28][31]. - Option Factors - Volume and Open Interest PCR: Call option volume was 356,298 (up 145,978), with open interest of 107,282 (up 2,760). Put option volume was 75,628 (up 33,171), with open interest of 48,231 (up 5,766). Volume PCR was 0.21 (up 0.01), and open interest PCR was 0.45 (up 0.04) [29]. - Option Factors - Pressure and Support: The pressure level was 3,400, and the support level was 2,600. The weighted implied volatility was 32.30% (up 3.36%), and the annual average implied volatility was 23.76% [30]. - Option Strategies: Directional strategy: Construct a bull call spread to gain directional income. Volatility strategy: Construct a short call + put option combination to gain time - value income and keep the delta of the position neutral, e.g., S_AO2605P2800, S_AO2605C3200 [32]. 4. Copper (CU) - 标的期货市场数据: The cu2604 contract closed at 99,340 yuan yesterday, down 270 yuan (0.27%) from the previous day. Trading volume was 87,084 lots, down 41,562 lots, and open interest was 178,968 lots, down 14,371 lots [41][44]. - Option Factors - Volume and Open Interest PCR: Call option volume was 73,004 (down 1,728), with open interest of 82,363 (up 1,826). Put option volume was 69,170 (down 30,305), with open interest of 65,444 (up 557). Volume PCR was 0.95 (down 0.38), and open interest PCR was 0.79 (down 0.01) [42]. - Option Factors - Pressure and Support: The pressure level was 116,000, and the support level was 100,000. The weighted implied volatility was 30.49% (down 0.99%), and the annual average implied volatility was 14.69% [43]. - Option Strategies: Directional strategy: Construct a bull call spread to gain directional income, e.g., B_CU2604C98000, S_CU2604C106000. Volatility strategy: Construct a short volatility option combination to gain time - value income, e.g., S_CU2604P96000, S_CU2604P98000, S_CU2604C108000, S_CU2604C112000 [45]. 5. Nickel (NI) - 标的期货市场数据: The ni2605 contract closed at 135,940 yuan yesterday, down 460 yuan (0.33%) from the previous day. Trading volume was 342,807 lots, down 8,109 lots, and open interest was 207,749 lots, down 438 lots [53][56]. - Option Factors - Volume and Open Interest PCR: Call option volume was 94,926 (up 18,183), with open interest of 22,222 (up 2,222). Put option volume was 22,843 (down 5,500), with open interest of 28,269 (down 594). Volume PCR was 0.24 (down 0.13), and open interest PCR was 0.51 (down 0.03) [54]. - Option Factors - Pressure and Support: The pressure level was 150,000, and the support level was 130,000. The weighted implied volatility was 46.67% (down 0.69%), and the annual average implied volatility was 30.65% [55]. - Option Strategies: No directional strategy. Volatility strategy: Construct a short call + put option combination to gain time - value income and keep the delta of the position neutral, e.g., S_NI2604P126000, S_NI2604P130000, S_NI2604C146000, S_NI2604C150000 [57]. 6. Lead (PB) - 标的期货市场数据: The pb2604 contract closed at 16,600 yuan yesterday, up 235 yuan (1.43%) from the previous day. Trading volume was 67,847 lots, down 6,165 lots, and open interest was 51,162 lots, down 14,887 lots [65][68]. - Option Factors - Volume and Open Interest PCR: Call option volume was 17,820 (up 4,725), with open interest of 12,353 (up 998). Put option volume was 8,215 (down 2,656), with open interest of 7,469 (up 216). Volume PCR was 0.46 (down 0.37), and open interest PCR was 0.6 (down 0.03) [66]. - Option Factors - Pressure and Support: The pressure level was 17,000, and the support level was 16,000. The weighted implied volatility was 24.53% (down 1.35%), and the annual average implied volatility was 18.10% [67]. - Option Strategies: No directional strategy. Volatility strategy: Construct a short call + put option combination to gain time - value income and keep the delta of the position neutral, e.g., S_PB2604P15800, S_PB2604C16200, S_PB2604C17200, S_PB2604C17600 [69]. 7. Tin (SN) - 标的期货市场数据: The sn2604 contract closed at 375,110 yuan yesterday, up 2,340 yuan (0.62%) from the previous day. Trading volume was 222,329 lots, down 16,816 lots, and open interest was 31,700 lots, down 1,355 lots [77][80]. - Option Factors - Volume and Open Interest PCR: Call option volume was 63,796 (up 15,503), with open interest of 24,823 (up 1,428). Put option volume was 27,011 (down 22,613), with open interest of 15,720 (up 862). Volume PCR was 0.42 (down 0.6), and open interest PCR was 0.63 [78]. - Option Factors - Pressure and Support: The pressure level was 525,000, and the support level was 350,000. The weighted implied volatility was 67.98% (down 0.29%), and the annual average implied volatility was 37.28% [79]. - Option Strategies: No directional strategy. Volatility strategy: Construct a short call + put option combination to gain time - value income and keep the delta of the position neutral, e.g., S_SN2604P375000, S_SN2604C410000 [81]. 8. Zinc (ZN) - 标的期货市场数据: The zn2604 contract closed at 23,700 yuan yesterday, down 315 yuan (1.31%) from the previous day. Trading volume was 81,736 lots, down 27,250 lots, and open interest was 73,741 lots, down 3,576 lots [89][92]. - Option Factors - Volume and Open Interest PCR: Call option volume was 20,841 (down 5,389), with open interest of 25,405 (up 1,206). Put option volume was 24,220 (down 4,320), with open interest of 21,721 (up 2,365). Volume PCR was 1.16 (up 0.07), and open interest PCR was 0.85 (up 0.06) [90]. - Option Factors - Pressure and Support: The pressure level was 25,000, and the support level was 23,000. The weighted implied volatility was 24.69% (up 0.01%), and the annual average implied volatility was 17.62% [91]. - Option Strategies: No directional strategy. Volatility strategy: Construct a short call + put option combination to gain time - value income and keep the delta of the position neutral, e.g., S_ZN2604P23400, S_ZN2604P23800, S_ZN2604C24800, S_ZN2604C25000 [93].
有色期权早报-20260318
Wu Kuang Qi Huo·2026-03-18 02:32