Report Industry Investment Rating - Not provided in the content Core Viewpoints - The report analyzes the market data, option factors, and provides trading strategies for various non - ferrous metal options including aluminum alloy, aluminum, alumina, copper, nickel, lead, tin, and zinc options [6][18][30][41][53][65][77][89] Summary by Related Catalogs 1. Aluminum Alloy (AD) - Market Data: The ad2605 contract closed at 23,695 yuan yesterday, up 180 yuan (0.76%) from the previous day. The trading volume was 7,501 lots, down 2,900 lots, and the open interest was 6,958 lots, down 2,029 lots [3][6] - Option Factors: The implied volatility of AD options fluctuates above the annual average of 0.1406. The open - interest PCR is 1.0561, at the 27.75% level in the past year. The pressure level is 22,600 and the support level is 23,000 [5][6] - Strategy: 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_AD2605P22400, S_AD2605C23800 [7] 2. Aluminum (AL) - Market Data: The al2605 contract closed at 24,875 yuan yesterday, up 350 yuan (1.42%) from the previous day. The trading volume was 357,773 lots, down 81,200 lots, and the open interest was 258,839 lots, down 5,089 lots [15][18] - Option Factors: The implied volatility of AL options fluctuates above the annual average of 0.1692. The open - interest PCR is 0.5403, at the 6.94% level in the past year. The pressure level is 26,200 and the support level is 23,000 [17][18] - Strategy: 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_AL2605P23000, S_AL2605P23400, S_AL2605C25000, S_AL2605C26000 [19] 3. Alumina (AO) - Market Data: The ao2605 contract closed at 2,827 yuan yesterday, down 102 yuan (3.48%) from the previous day. The trading volume was 399,634 lots, up 46,510 lots, and the open interest was 199,275 lots, down 3,436 lots [27][30] - Option Factors: The implied volatility of AO options fluctuates above the annual average of 0.3304. The open - interest PCR is 0.2839, at the 24.90% level in the past year. The pressure level is 3,500 and the support level is 2,800 [29][30] - Strategy: 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_AO2605P2800, S_AO2605C3200 [31] 4. Copper (CU) - Market Data: The cu2605 contract closed at 95,340 yuan yesterday, down 60 yuan (0.06%) from the previous day. The trading volume was 96,875 lots, down 3,275 lots, and the open interest was 185,749 lots, up 479 lots [38][41] - Option Factors: The implied volatility of CU options fluctuates above the annual average of 0.2332. The open - interest PCR is 0.9248, at the 78.78% level in the past year. The pressure level is 100,000 and the support level is 94,000 [40][41] - Strategy: For directional strategy, construct a bear - spread put option strategy to gain directional income, e.g., B_CU2605P104000, S_CU2605P90000. No volatility strategy [42] 5. Nickel (NI) - Market Data: The ni2605 contract closed at 134,780 yuan yesterday, down 1,130 yuan (0.83%) from the previous day. The trading volume was 290,411 lots, down 45,931 lots, and the open interest was 164,700 lots, down 11,544 lots [50][53] - Option Factors: The implied volatility of NI options fluctuates above the annual average of 0.3139. The open - interest PCR is 0.6073, at the 63.27% level in the past year. The pressure level is 140,000 and the support level is 130,000 [52][53] - Strategy: No directional strategy. For volatility strategy, construct a short call + put option combination with a short - bias to gain time - value income and keep the delta of the position short, e.g., S_NI2605P126000, S_NI2605P13000, S_NI2605C146000, S_NI2605C150000 [54] 6. Lead (PB) - Market Data: The pb2605 contract closed at 16,500 yuan yesterday, up 30 yuan (0.18%) from the previous day. The trading volume was 40,498 lots, down 10,116 lots, and the open interest was 60,663 lots, down 1,497 lots [62][65] - Option Factors: The implied volatility of PB options fluctuates above the annual average of 0.1840. The open - interest PCR is 0.971, at the 86.94% level in the past year. The pressure level is 17,000 and the support level is 16,200 [64][65] - Strategy: 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_PB2605P15800, S_PB2605P16200, S_PB2605C17200, S_PB2605C17600 [66] 7. Tin (SN) - Market Data: The sn2605 contract closed at 368,000 yuan yesterday, up 3,430 yuan (0.94%) from the previous day. The trading volume was 250,458 lots, down 16,055 lots, and the open interest was 39,048 lots, down 697 lots [74][77] - Option Factors: The implied volatility of SN options fluctuates above the annual average of 0.3845. The open - interest PCR is 0.6577, at the 38.37% level in the past year. The pressure level is 450,000 and the support level is 300,000 [76][77] - Strategy: 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_SN2605P350000, S_SN2605C400000 [78] 8. Zinc (ZN) - Market Data: The zn2605 contract closed at 23,480 yuan yesterday, up 60 yuan (0.25%) from the previous day. The trading volume was 97,313 lots, down 7,332 lots, and the open interest was 91,543 lots, down 5,812 lots [86][89] - Option Factors: The implied volatility of ZN options fluctuates above the annual average of 0.1787. The open - interest PCR is 0.5719, at the 5.31% level in the past year. The pressure level is 24,000 and the support level is 23,000 [88][89] - Strategy: For directional strategy, construct a bull - spread call option strategy to gain directional income, e.g., B_ZN2605C23000, S_ZN2605C24000. No volatility strategy [90]
有色期权早报-20260401
Wu Kuang Qi Huo·2026-04-01 07:20