Report Industry Investment Rating - Not provided in the content Core Viewpoints - The implied volatility of various有色金属 options (aluminum alloy, aluminum, alumina, copper, nickel, lead, tin, zinc) maintains fluctuations above the mean level of 0.0000 [6][18][30][42][54][66][78][90] - Different options have different pressure and support levels, and the positions of the PCR of option positions are also different, which can be used as a reference for investment decisions [6][18][30][42] Summary by Relevant Catalogs 1. Aluminum Alloy (AD) - Futures Market Data: The ad2604 contract closed at 22930 yuan yesterday, up 230 yuan or 1.01% from the previous day. The trading volume was 4542 lots, a decrease of 686 lots from the previous day, and the open interest was 3563 lots, a decrease of 490 lots from the previous day [6] - Option Factor - Volume and Position PCR: The trading volume of AD (aluminum alloy call option) was 35, with a change of 264; the open interest was 542, with a change of 198. The trading volume of AD (aluminum alloy put option) was 316, with a change of -127; the open interest was 367, with a change of 38 [4] - Option Factor - Pressure and Support: The pressure level of AD (aluminum alloy option) is 26600, and the support level is 21200. The weighted implied volatility is 21.91%, with a change of -6.07%, and the annual average implied volatility is 13.76% [5] - Option Strategy Suggestion: Directional strategy: None; Volatility strategy: Construct a short call + put option combination strategy to obtain option time - value income, and dynamically adjust the positions to keep the delta of the positions neutral, such as S_AD2605P22400, S_AD2605C23800 [7] 2. Aluminum (AL) - Futures Market Data: The al2605 contract closed at 23860 yuan yesterday, up 150 yuan or 0.63% from the previous day. The trading volume was 314226 lots, a decrease of 34252 lots from the previous day, and the open interest was 266870 lots, an increase of 5712 lots from the previous day [18] - Option Factor - Volume and Position PCR: The trading volume of AL (aluminum call option) was 30171, with a change of -88928; the open interest was 50776, with a change of 3113. The trading volume of AL (aluminum put option) was 21761, with a change of 30691; the open interest was 31480, with a change of 4266 [16] - Option Factor - Pressure and Support: The pressure level of AL (aluminum option) is 26200, and the support level is 23000. The weighted implied volatility is 21.85%, with a change of -2.47%, and the annual average implied volatility is 16.74% [17] - Option Strategy Suggestion: Directional strategy: None; Volatility strategy: Construct a short call + put option combination strategy to obtain option time - value income, and dynamically adjust the positions to keep the delta of the positions neutral, such as S_AL2605P23000, S_AL2605P23400, S_AL2605C25000, S_AL2605C26000 [19] 3. Alumina (AO) - Futures Market Data: The ao2605 contract closed at 2963 yuan yesterday, down 65 yuan or 2.14% from the previous day. The trading volume was 568924 lots, an increase of 43246 lots from the previous day, and the open interest was 220782 lots, a decrease of 10697 lots from the previous day [30] - Option Factor - Volume and Position PCR: The trading volume of AO (alumina call option) was 40972, with a change of -102303; the open interest was 76789, with a change of 8762. The trading volume of AO (alumina put option) was 14459, with a change of -87559; the open interest was 26643, with a change of 3034 [28] - Option Factor - Pressure and Support: The pressure level of AO (alumina option) is 3500, and the support level is 2800. The weighted implied volatility is 36.52%, with a change of -3.08%, and the annual average implied volatility is 32.88% [29] - Option Strategy Suggestion: Directional strategy: Construct a call option bull spread combination strategy to obtain directional income; Volatility strategy: Construct a short call + put option combination strategy to obtain option time - value income, and dynamically adjust the positions to keep the delta of the positions neutral, such as S_AO2605P2800, S_AO2605C3200 [31] 4. Copper (CU) - Futures Market Data: The cu2605 contract closed at 95590 yuan yesterday, up 1080 yuan or 1.14% from the previous day. The trading volume was 134036 lots, a decrease of 63951 lots from the previous day, and the open interest was 192458 lots, a decrease of 5937 lots from the previous day [42] - Option Factor - Volume and Position PCR: The trading volume of CU (copper call option) was 37678, with a change of -59021; the open interest was 42419, with a change of 2882. The trading volume of CU (copper put option) was 36708, with a change of 28991; the open interest was 38201, with a change of 4301 [40] - Option Factor - Pressure and Support: The pressure level of CU (copper option) is 100000, and the support level is 90000. The weighted implied volatility is 28.33%, with a change of -1.24%, and the annual average implied volatility is 23.24% [41] - Option Strategy Suggestion: Directional strategy: Construct a put option bear spread combination strategy to obtain directional income, such as B_CU2605P104000, S_CU2605P90000; Volatility strategy: None [43] 5. Nickel (NI) - Futures Market Data: The ni2605 contract closed at 136130 yuan yesterday, up 1450 yuan or 1.07% from the previous day. The trading volume was 460381 lots, an increase of 18036 lots from the previous day, and the open interest was 188824 lots, an increase of 7678 lots from the previous day [54] - Option Factor - Volume and Position PCR: The trading volume of NI (nickel call option) was 62178, with a change of -85869; the open interest was 28302, with a change of 4892. The trading volume of NI (nickel put option) was 21035, with a change of -35729; the open interest was 15942, with a change of 3790 [52] - Option Factor - Pressure and Support: The pressure level of NI (nickel option) is 140000, and the support level is 120000. The weighted implied volatility is 43.65%, with a change of -4.05%, and the annual average implied volatility is 31.22% [53] - Option Strategy Suggestion: Directional strategy: None; Volatility strategy: Construct a short call + put option combination strategy with a short - bias to obtain option time - value, and dynamically adjust the positions to keep the delta of the positions short, such as S_NI2605P126000, S_NI2605P130000, S_NI2605C146000, S_NI2605C150000 [55] 6. Lead (PB) - Futures Market Data: The pb2605 contract closed at 16495 yuan yesterday, up 50 yuan or 0.30% from the previous day. The trading volume was 57581 lots, an increase of 8292 lots from the previous day, and the open interest was 79125 lots, a decrease of 5853 lots from the previous day [66] - Option Factor - Volume and Position PCR: The trading volume of PB (lead call option) was 2284, with a change of -4866; the open interest was 3690, with a change of 614. The trading volume of PB (lead put option) was 2250, with a change of -2610; the open interest was 4632, with a change of 738 [64] - Option Factor - Pressure and Support: The pressure level of PB (lead option) is 19600, and the support level is 16200. The weighted implied volatility is 20.07%, with a change of 0.19%, and the annual average implied volatility is 18.37% [65] - Option Strategy Suggestion: Directional strategy: None; Volatility strategy: Construct a short call + put option combination strategy to obtain option time - value income, and dynamically adjust the positions to keep the delta of the positions neutral, such as S_PB2605P15800, S_PB2605P16200, S_PB2605C17200, S_PB2605C17600 [67] 7. Tin (SN) - Futures Market Data: The sn2604 contract closed at 352430 yuan yesterday, up 6610 yuan or 1.91% from the previous day. The trading volume was 215643 lots, a decrease of 33699 lots from the previous day, and the open interest was 18892 lots, a decrease of 2195 lots from the previous day [78] - Option Factor - Volume and Position PCR: The trading volume of SN (tin call option) was 15028, with a change of 140897; the open interest was 9114, with a change of 1574. The trading volume of SN (tin put option) was 8660, with a change of -77629; the open interest was 6212, with a change of 1747 [76] - Option Factor - Pressure and Support: The pressure level of SN (tin option) is 450000, and the support level is 300000. The weighted implied volatility is 55.55%, with a change of -2.99%, and the annual average implied volatility is 38.16% [77] - Option Strategy Suggestion: Directional strategy: Construct a put option bear spread combination strategy to obtain directional income, such as B_SN2605P360000, S_SN2605P330000; Volatility strategy: None [79] 8. Zinc (ZN) - Futures Market Data: The zn2605 contract closed at 22935 yuan yesterday, down 65 yuan or 0.28% from the previous day. The trading volume was 96768 lots, a decrease of 37112 lots from the previous day, and the open interest was 101745 lots, an increase of 153 lots from the previous day [90] - Option Factor - Volume and Position PCR: The trading volume of ZN (zinc call option) was 14174, with a change of -12033; the open interest was 18056, with a change of 2928. The trading volume of ZN (zinc put option) was 12047, with a change of -9160; the open interest was 9908, with a change of 1320 [88] - Option Factor - Pressure and Support: The pressure level of ZN (zinc option) is 24000, and the support level is 22400. The weighted implied volatility is 17.12%, with a change of -2.07%, and the annual average implied volatility is 17.86% [89] - Option Strategy Suggestion: Directional strategy: Construct a put option bear spread combination strategy to obtain directional income, such as B_ZN2605P24200, S_ZN2605P22000; Volatility strategy: None [91]
有色期权早报-20260327
Wu Kuang Qi Huo·2026-03-27 05:56