金属期权 2025-06-25 金属期权策略早报 | 卢品先 | 投研经理 | 从业资格号：F3047321 | 交易咨询号：Z0015541 | 邮箱：lupx@wkqh.cn | | --- | --- | --- | --- | --- | | 黄柯涵 | 期权研究员 | 从业资格号：F03138607 | 电话：0755-23375252 | 邮箱：huangkh@wkqh.cn | | 李仁君 | 产业服务 | 从业资格号：F03090207 | 交易咨询号：Z0016947 | 邮箱：lirj@wkqh.cn | 金属期权策略早报概要：（1）有色金属偏多盘整，构建做空波动率策略策略；（2）黑色系区间盘整震荡，适合构 建熊市价差组合策略和卖方期权组合策略；（3）贵金属黄金高位盘整，有所下降回落现货避险策略。 表1：标的期货市场概况 | 期权品种 | 标的合约 | 最新价 | 涨跌 | 涨跌幅 | 成交量 | 量变化 | 持仓量 | 仓变化 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | （%） | (万手) | ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The metal sector is divided into non - ferrous metals, precious metals, and black metals. For each sector, specific options strategies are recommended based on the analysis of the underlying market, option factors, etc. [2][7] - Non - ferrous metals are in a mostly long - biased consolidation phase, and short - volatility strategies are recommended; black metals are in a range - bound consolidation, suitable for bear - spread combinations and seller option combinations; precious metals, with gold in high - level consolidation and silver breaking through upwards, suggest bull - spread combinations and spot hedging strategies. [2] 3. Summary by Related Catalogs 3.1. Futures Market Overview - The latest prices, price changes, trading volumes, and open interest changes of various metal futures contracts are presented, including copper, aluminum, zinc, etc. For example, the latest price of copper (CU2508) is 78,280, with a price increase of 150 and a trading volume of 4.15 million lots. [3] 3.2. Option Factors - Volume and Open Interest PCR - The volume PCR and open interest PCR of various metal options are provided, which are used to describe the strength of the option underlying market and the turning point of the underlying market respectively. For example, the open interest PCR of copper options is 0.96, with a change of - 0.00. [4] 3.3. Option Factors - Pressure and Support Levels - The pressure and support levels of various metal options are analyzed from the perspective of the strike prices with the largest open interest of call and put options. For example, the pressure level of copper options is 92,000, and the support level is 70,000. [5] 3.4. Option Factors - Implied Volatility - The implied volatility data of various metal options are presented, including at - the - money implied volatility, weighted implied volatility, etc. For example, the at - the - money implied volatility of copper options is 10.80%. [6] 3.5. Strategy and Recommendations 3.5.1. Non - ferrous Metals - **Copper Options**: The copper market shows a high - level range - bound shock. Directional strategies suggest building a bull - spread combination of call options; volatility strategies recommend a short - volatility seller option combination; and a spot long - hedging strategy is also proposed. [8] - **Aluminum/Alumina Options**: The aluminum market is in a long - biased upward trend. Directional strategies involve a bull - spread combination of call options; volatility strategies recommend selling a combination of long - biased call and put options; and a spot collar strategy is recommended. [9] - **Zinc/Lead Options**: The zinc market is in a wide - range shock. Volatility strategies suggest selling a neutral combination of call and put options; a spot collar strategy is also provided. [9] - **Nickel Options**: The nickel market is in a weak trend. Directional strategies recommend building a bear - spread combination of put options; volatility strategies suggest selling a short - biased combination of call and put options; and a spot long - hedging strategy is proposed. [10] - **Tin Options**: The tin market is in a range - bound shock after a rebound. Volatility strategies recommend a short - volatility strategy; a spot collar strategy is also recommended. [11] - **Lithium Carbonate Options**: The lithium carbonate market is in a weak trend. Directional strategies suggest building a bear - spread combination of put options; volatility strategies recommend selling a short - biased combination of call and put options; and a spot covered - call strategy is proposed. [12] 3.5.2. Precious Metals - **Gold/Silver Options**: The gold market is in a high - level consolidation. Volatility strategies recommend building a long - biased short - volatility option seller combination; a spot hedging strategy is also provided. [13] 3.5.3. Black Metals - **Rebar Options**: The rebar market is in a weak trend. Volatility strategies suggest selling a short - biased combination of call and put options; a spot covered - call strategy is proposed. [14] - **Iron Ore Options**: The iron ore market is in a range - bound shock with a rebound. Volatility strategies recommend selling a neutral combination of call and put options; a spot collar strategy is recommended. [14] - **Ferroalloy Options**: The manganese silicon market is in a weak trend with a rebound. Directional strategies recommend building a bear - spread combination of put options; volatility strategies recommend a short - volatility strategy. [15] - **Industrial Silicon/Polysilicon Options**: The industrial silicon market is in a weak trend. Volatility strategies suggest selling a short - biased combination of call and put options; a spot covered - call strategy is proposed. [15] - **Glass Options**: The glass market is in a weak trend. Directional strategies recommend building a bear - spread combination of put options; volatility strategies recommend a short - volatility strategy; and a spot collar strategy is recommended. [16]

Group 1: Report Summary - The report provides a morning strategy report for metal options on June 23, 2025, covering有色金属, precious metals, and black metals [2]. - It includes an overview of the underlying futures market, option factors analysis, and strategy recommendations for each metal option [3][4][8]. Group 2: Underlying Futures Market Overview - The latest prices, changes, trading volumes, and open interests of various metal futures contracts are presented [3]. - For example, the copper futures contract CU2508 closed at 78,170 with a 0.30% increase, and its trading volume was 4.03 million lots [3]. Group 3: Option Factors Analysis - Option factors such as volume - open interest PCR, pressure and support levels, and implied volatility are analyzed for each metal option [4][5][6]. - For instance, the copper option's volume PCR was 1.41, and its weighted implied volatility was 17.50% [4][6]. Group 4: Strategy Recommendations Non - Ferrous Metals - **Copper Option**: Construct a bull spread strategy for call options, a short - volatility strategy for option sellers, and a spot hedging strategy [8]. - **Aluminum/Alumina Option**: Use a bull spread strategy for call options, a short - option combination strategy, and a spot collar strategy [9]. - **Zinc/Lead Option**: Adopt a short - option combination strategy and a spot collar strategy [9]. - **Nickel Option**: Build a bear spread strategy for put options, a short - option combination strategy, and a spot hedging strategy [10]. - **Tin Option**: Implement a short - volatility strategy and a spot collar strategy [11]. - **Lithium Carbonate Option**: Use a bear spread strategy for put options, a short - option combination strategy, and a spot covered call strategy [12]. Precious Metals - **Gold/Silver Option**: Employ a short - volatility strategy for option sellers and a spot hedging strategy [13]. Black Metals - **Rebar Option**: Construct a bear spread strategy for put options, a short - option combination strategy, and a spot covered call strategy [14]. - **Iron Ore Option**: Adopt a short - option combination strategy and a spot collar strategy [14]. - **Ferroalloy Option**: Use a bear spread strategy for put options and a short - volatility strategy [15]. - **Industrial Silicon/Polysilicon Option**: Implement a short - option combination strategy and a spot covered call strategy [15]. - **Glass Option**: Build a bear spread strategy for put options, a short - volatility strategy, and a spot collar strategy [16].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The Shanghai Composite Index and large-cap blue-chip stocks are consolidating and fluctuating at high levels, while small and medium-cap stocks and ChiNext stocks are showing weak fluctuations [2]. - The implied volatility of financial options is fluctuating at a historically low level [2]. - For ETF options, it is suitable to construct covered strategies, neutral double-selling strategies, and vertical spread combination strategies; for index options, it is suitable to construct neutral double-selling strategies and arbitrage strategies between synthetic long or short options and long or short futures [2]. 3. Summary According to Related Catalogs 3.1 Financial Market Important Index Overview - The Shanghai Composite Index closed at 3,362.11, down 26.70 points or 0.79%, with a trading volume of 473.3 billion yuan, an increase of 32.2 billion yuan [3]. - The Shenzhen Component Index closed at 10,051.97, down 123.62 points or 1.21%, with a trading volume of 777.4 billion yuan, an increase of 27.3 billion yuan [3]. - The SSE 50 Index closed at 2,665.52, down 14.40 points or 0.54%, with a trading volume of 64 billion yuan, an increase of 1.9 billion yuan [3]. - The CSI 300 Index closed at 3,843.09, down 31.88 points or 0.82%, with a trading volume of 234.8 billion yuan, an increase of 4.3 billion yuan [3]. - The CSI 500 Index closed at 5,676.83, down 69.04 points or 1.20%, with a trading volume of 162.7 billion yuan, an increase of 8.1 billion yuan [3]. - The CSI 1000 Index closed at 6,048.22, down 87.16 points or 1.42%, with a trading volume of 270.8 billion yuan, an increase of 14.4 billion yuan [3]. 3.2 Option Underlying ETF Market Overview - The closing prices of various ETFs showed different degrees of decline, with trading volumes and turnovers also changing [4]. 3.3 Option Factor - Volume and Position PCR - The volume and position PCR of different option varieties showed different trends, reflecting the market sentiment and potential turning points of the underlying assets [5]. 3.4 Option Factor - Pressure and Support Points - The pressure and support points of different option varieties were analyzed from the perspective of the strike prices with the largest open interest of call and put options [7]. 3.5 Option Factor - Implied Volatility - The implied volatility of different option varieties was at different levels, and the weighted implied volatility also showed different changes [9]. 3.6 Strategy and Suggestions - The financial options sector is divided into large-cap blue-chip stocks, small and medium-cap stocks, and ChiNext stocks. Different options strategies are proposed for each sector [11]. - For each option variety, the underlying market analysis, option factor research, and option strategy suggestions are provided [11].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - For non - ferrous metals, a short - volatility strategy is recommended as they are in a bullish consolidation phase [2]. - For the black series, which are in a range - bound consolidation and oscillation, a bear spread combination strategy and a seller option combination strategy are suitable [2]. - For precious metals, with gold in high - level consolidation and silver breaking through and rising, a bull spread combination strategy and a spot hedging strategy are suggested [2]. 3. Summary by Related Catalogs 3.1 Futures Market Overview - Various metal futures showed different price changes, trading volumes, and open interest changes. For example, copper (CU2508) had a price of 78,100 with a decline of 0.27%, and trading volume of 3.29 million lots [3]. 3.2 Option Factor - Volume and Open Interest PCR - Different metal options had different volume and open interest PCR values, which are used to describe the strength of the option underlying market and the turning point of the underlying market respectively. For instance, the volume PCR of copper was 0.70 with a change of 0.09, and the open interest PCR was 0.91 with a change of 0.03 [4]. 3.3 Option Factor - Pressure and Support Levels - Each metal option had identified pressure and support levels. For example, the pressure level of copper was 80,000 and the support level was 77,000 [5]. 3.4 Option Factor - Implied Volatility - Different metal options had different implied volatility values, including at - the - money implied volatility, weighted implied volatility, etc. For example, the at - the - money implied volatility of copper was 10.55% [6]. 3.5 Strategy and Recommendations 3.5.1 Non - Ferrous Metals - **Copper Options**: - Fundamental analysis showed changes in inventory. The price was in a high - level range - bound oscillation. - Based on option factors, implied volatility was high, and the open interest PCR indicated pressure. - Recommended strategies included a bull spread combination strategy and a short - volatility seller option combination strategy, as well as a spot hedging strategy [8]. - **Aluminum/Alumina Options**: - Aluminum had inventory changes and price trends. - Option factors showed certain characteristics of implied volatility and open interest PCR. - Recommended strategies included a bull spread combination strategy, a short - option combination strategy for a bullish market, and a spot collar strategy [9]. - **Zinc/Lead Options**: - Zinc had changes in inventory and price trends. - Option factors showed high implied volatility and a certain open interest PCR level. - Recommended strategies included a short - option combination strategy for a bearish market and a spot collar strategy [9]. - **Nickel Options**: - Nickel had inventory changes and a weak price trend. - Option factors showed high implied volatility and a decreasing bullish force. - Recommended strategies included a bear spread combination strategy, a short - option combination strategy for a bearish market, and a spot hedging strategy [10]. - **Tin Options**: - Tin had inventory changes and a price trend of rebound after a decline. - Option factors showed high implied volatility and an open interest PCR around 1.00. - Recommended strategies included a short - volatility strategy and a spot collar strategy [10]. - **Lithium Carbonate Options**: - Lithium carbonate had production and inventory issues, and a weak price trend. - Option factors showed high implied volatility and a low open interest PCR. - Recommended strategies included a bear spread combination strategy, a short - option combination strategy for a bearish market, and a spot covered strategy [11]. 3.5.2 Precious Metals - **Gold/Silver Options**: - Gold was affected by geopolitical conflicts. The price was in a high - level consolidation with a decline. - Option factors showed rising implied volatility and a certain open interest PCR level. - Recommended strategies included a short - volatility option seller combination strategy for a bullish market and a spot hedging strategy [12]. 3.5.3 Black Series - **Rebar Options**: - Rebar had production and inventory changes, and a weak price trend. - Option factors showed low - level implied volatility and a high - level open interest PCR indicating bearish pressure. - Recommended strategies included a bear spread combination strategy, a short - option combination strategy for a bearish market, and a spot covered strategy [13]. - **Iron Ore Options**: - Iron ore had inventory changes and a price trend of oscillation. - Option factors showed low - level implied volatility and an open interest PCR around 1.00. - Recommended strategies included a short - option combination strategy for a neutral market and a spot collar strategy [13]. - **Ferroalloy Options**: - Manganese silicon had production and inventory changes, and a weak price trend with a rebound. - Option factors showed low - level implied volatility and a low open interest PCR. - Recommended strategies included a bear spread combination strategy and a short - volatility strategy [14]. - **Industrial Silicon/Polysilicon Options**: - Industrial silicon had production and inventory changes, and a weak price trend. - Option factors showed rising implied volatility and a low open interest PCR. - Recommended strategies included a short - option combination strategy for a bearish market and a spot covered strategy [14]. - **Glass Options**: - Glass had supply and demand issues, and a weak price trend with a large - amplitude oscillation. - Option factors showed high - level implied volatility and a low open interest PCR. - Recommended strategies included a bear spread combination strategy, a short - volatility option combination strategy, and a spot collar strategy [15].

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints - The energy - chemical sector is divided into energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others. Strategies mainly involve constructing option combination strategies focused on sellers and spot hedging or covered strategies to enhance returns [3][9]. 3. Summary by Related Catalogs 3.1 Futures Market Overview - Various energy - chemical futures showed different price movements. For example, crude oil (SC2508) rose 3.52% to 564, and liquefied petroleum gas (PG2508) rose 1.15% to 4,469. Trading volumes and open interests also changed accordingly [4]. 3.2 Option Factors - Volume and Open Interest PCR - Option volume and open interest PCR values varied among different varieties. For instance, the open interest PCR of crude oil was 1.65 with a 0.18 change, indicating the strength of the market sentiment [5]. 3.3 Option Factors - Pressure and Support Levels - Pressure and support levels were identified for each option variety. For example, the pressure level of crude oil was 610 and the support level was 450 [6]. 3.4 Option Factors - Implied Volatility - Implied volatility levels differed across different options. Crude oil's implied volatility was relatively high, with a weighted implied volatility of 51.85% and an increase of 8.52% [7]. 3.5 Option Strategies and Recommendations - **Energy - related Options (Crude Oil and LPG)**: - Fundamental analysis considered factors such as US economic data and geopolitical conflicts. - Option strategies included constructing bull spread combinations for directional gains, selling call + put option combinations for time - value and directional returns, and using long - collar strategies for spot hedging [8][10]. - **Alcohol - related Options (Methanol and Ethylene Glycol)**: - Fundamental analysis focused on inventory and production. - Similar option strategies were proposed as in energy - related options [10][11]. - **Polyolefin - related Options (Polypropylene, PVC, Plastic, and Styrene)**: - Fundamental analysis involved downstream开工 rates and inventory levels. - Directional strategies mainly included bull spread combinations, and some had no volatility strategies [11]. - **Rubber - related Options**: - Fundamental analysis considered overseas production, policies, and tire industry conditions. - Volatility strategies involved selling neutral call + put option combinations [12]. - **Polyester - related Options**: - Fundamental analysis was based on inventory and downstream demand. - Volatility strategies included selling neutral call + put option combinations [13]. - **Alkali - related Options (Caustic Soda and Soda Ash)**: - Fundamental analysis focused on production, capacity utilization, and inventory. - Directional strategies included bear spread combinations for caustic soda and soda ash, and volatility strategies involved selling bearish option combinations [14]. - **Urea Options**: - Fundamental analysis considered inventory and price trends. - Volatility strategies included selling neutral call + put option combinations [15].

1. Report Industry Investment Rating - No relevant content provided 2. Core Views of the Report - The Shanghai Composite Index and large-cap blue-chip stocks are consolidating and fluctuating at high levels, while small and medium-cap stocks and ChiNext stocks are showing signs of oscillating recovery [2]. - The implied volatility of financial options is fluctuating at a relatively low historical level [2]. - For ETF options, it is suitable to construct covered call strategies, neutral double-selling strategies, and vertical spread combination strategies; for index options, it is suitable to construct neutral double-selling strategies and arbitrage strategies between synthetic long or short options and long or short futures [2]. 3. Summary Based on Related Catalogs 3.1 Financial Market Important Index Overview - The Shanghai Composite Index closed at 3,388.81, up 1.40 points or 0.04%, with a trading volume of 441 billion yuan, a decrease of 17 billion yuan [3]. - The Shenzhen Component Index closed at 10,175.59, up 24.16 points or 0.24%, with a trading volume of 750.1 billion yuan, an increase of 9 billion yuan [3]. - The SSE 50 Index closed at 2,679.92, down 4.03 points or -0.15%, with a trading volume of 62.1 billion yuan, a decrease of 14 billion yuan [3]. - The CSI 300 Index closed at 3,874.97, up 4.59 points or 0.12%, with a trading volume of 230.6 billion yuan, an increase of 10.2 billion yuan [3]. - The CSI 500 Index closed at 5,745.87, down 5.04 points or -0.09%, with a trading volume of 154.5 billion yuan, a decrease of 56 billion yuan [3]. - The CSI 1000 Index closed at 6,135.39, down 6.08 points or -0.10%, with a trading volume of 256.5 billion yuan, a decrease of 44 billion yuan [3]. 3.2 Option Underlying ETF Market Overview - The SSE 50 ETF closed at 2.750, down 0.003 or -0.11%, with a trading volume of 4.2768 million lots, an increase of 4.2196 million lots, and a trading volume of 1.176 billion yuan, a decrease of 395 million yuan [4]. - The SSE 300 ETF closed at 3.904, up 0.003 or 0.08%, with a trading volume of 4.808 million lots, an increase of 4.7597 million lots, and a trading volume of 1.874 billion yuan, a decrease of 51 million yuan [4]. - The SSE 500 ETF closed at 5.776, down 0.009 or -0.16%, with a trading volume of 1.5013 million lots, an increase of 1.479 million lots, and a trading volume of 866 million yuan, a decrease of 427 million yuan [4]. - The Huaxia Science and Technology Innovation 50 ETF closed at 1.018, up 0.006 or 0.59%, with a trading volume of 21.4129 million lots, an increase of 21.1578 million lots, and a trading volume of 2.175 billion yuan, a decrease of 411 million yuan [4]. - The E Fund Science and Technology Innovation 50 ETF closed at 0.992, up 0.004 or 0.40%, with a trading volume of 425,150 lots, an increase of 419,150 lots, and a trading volume of 421 million yuan, a decrease of 173 million yuan [4]. - The Shenzhen 300 ETF closed at 4.030, up 0.006 or 0.15%, with a trading volume of 598,600 lots, an increase of 593,900 lots, and a trading volume of 241 million yuan, an increase of 53 million yuan [4]. - The Shenzhen 500 ETF closed at 2.311, down 0.001 or -0.04%, with a trading volume of 471,400 lots, an increase of 457,000 lots, and a trading volume of 109 million yuan, a decrease of 223 million yuan [4]. - The Shenzhen 100 ETF closed at 2.674, up 0.010 or 0.38%, with a trading volume of 222,100 lots, an increase of 219,600 lots, and a trading volume of 59 million yuan, a decrease of 6 million yuan [4]. - The ChiNext ETF closed at 2.034, up 0.006 or 0.30%, with a trading volume of 4.9311 million lots, an increase of 4.8886 million lots, and a trading volume of 1 billion yuan, an increase of 136 million yuan [4]. 3.3 Option Factor - Volume and Position PCR - For the SSE 50 ETF option, the trading volume was 890,100 contracts, an increase of 105,400 contracts; the open interest was 1.4762 million contracts, a decrease of 1,600 contracts; the trading volume PCR was 0.91, a decrease of 0.21; the open interest PCR was 0.90, a decrease of 0.01 [5]. - For the SSE 300 ETF option, the trading volume was 1.0424 million contracts, an increase of 368,800 contracts; the open interest was 1.214 million contracts, a decrease of 6,000 contracts; the trading volume PCR was 0.95, an increase of 0.08; the open interest PCR was 0.86, an increase of 0.01 [5]. - For the SSE 500 ETF option, the trading volume was 1.7361 million contracts, an increase of 469,900 contracts; the open interest was 1.3216 million contracts, an increase of 15,200 contracts; the trading volume PCR was 0.87, a decrease of 0.06; the open interest PCR was 1.05, a decrease of 0.06 [5]. - For the Huaxia Science and Technology Innovation 50 ETF option, the trading volume was 562,300 contracts, an increase of 108,500 contracts; the open interest was 1.6534 million contracts, a decrease of 2,200 contracts; the trading volume PCR was 1.03, an increase of 0.35; the open interest PCR was 0.67, an increase of 0.01 [5]. - For the E Fund Science and Technology Innovation 50 ETF option, the trading volume was 129,500 contracts, a decrease of 49,000 contracts; the open interest was 497,200 contracts, a decrease of 6,500 contracts; the trading volume PCR was 0.83, a decrease of 0.14; the open interest PCR was 0.70, an increase of 0.01 [5]. - For the Shenzhen 300 ETF option, the trading volume was 91,800 contracts, an increase of 4,700 contracts; the open interest was 244,100 contracts, an increase of 9,400 contracts; the trading volume PCR was 1.09, a decrease of 0.82; the open interest PCR was 1.02, an increase of 0.03 [5]. - For the Shenzhen 500 ETF option, the trading volume was 120,700 contracts, an increase of 38,500 contracts; the open interest was 327,500 contracts, an increase of 4,300 contracts; the trading volume PCR was 1.20, a decrease of 0.03; the open interest PCR was 1.06, unchanged [5]. - For the Shenzhen 100 ETF option, the trading volume was 56,000 contracts, an increase of 12,800 contracts; the open interest was 123,200 contracts, an increase of 1,700 contracts; the trading volume PCR was 1.14, a decrease of 0.02; the open interest PCR was 0.99, an increase of 0.03 [5]. - For the ChiNext ETF option, the trading volume was 818,800 contracts, an increase of 60,800 contracts; the open interest was 1.416 million contracts, a decrease of 2,200 contracts; the trading volume PCR was 1.01, a decrease of 0.01; the open interest PCR was 0.92, an increase of 0.03 [5]. - For the SSE 50 index option, the trading volume was 30,200 contracts, an increase of 7,300 contracts; the open interest was 74,500 contracts, an increase of 200 contracts; the trading volume PCR was 0.53, a decrease of 0.02; the open interest PCR was 0.60, an increase of 0.01 [5]. - For the CSI 300 index option, the trading volume was 76,800 contracts, an increase of 14,600 contracts; the open interest was 196,800 contracts, a decrease of 100 contracts; the trading volume PCR was 0.65, a decrease of 0.01; the open interest PCR was 0.69, an increase of 0.03 [5]. - For the CSI 1000 index option, the trading volume was 212,700 contracts, an increase of 23,000 contracts; the open interest was 289,700 contracts, an increase of 2,000 contracts; the trading volume PCR was 1.00, an increase of 0.07; the open interest PCR was 0.95, a decrease of 0.01 [5]. 3.4 Option Factor - Pressure and Support Levels - For the SSE 50 ETF option, the underlying closing price was 2.750, the at-the-money strike price was 2.75, the pressure level was 2.80, the support level was 2.75, the maximum call open interest was 115,632 contracts, and the maximum put open interest was 84,480 contracts [7]. - For the SSE 300 ETF option, the underlying closing price was 3.904, the at-the-money strike price was 3.90, the pressure level was 3.91, the support level was 3.81, the maximum call open interest was 94,197 contracts, and the maximum put open interest was 71,517 contracts [7]. - For the SSE 500 ETF option, the underlying closing price was 5.776, the at-the-money strike price was 5.75, the pressure level was 5.75, the support level was 5.50, the maximum call open interest was 111,552 contracts, and the maximum put open interest was 95,770 contracts [7]. - For the Huaxia Science and Technology Innovation 50 ETF option, the underlying closing price was 1.018, the at-the-money strike price was 1.00, the pressure level was 1.05, the support level was 1.00, the maximum call open interest was 165,118 contracts, and the maximum put open interest was 99,204 contracts [7]. - For the E Fund Science and Technology Innovation 50 ETF option, the underlying closing price was 0.992, the at-the-money strike price was 1.00, the pressure level was 1.05, the support level was 0.95, the maximum call open interest was 52,455 contracts, and the maximum put open interest was 27,069 contracts [7]. - For the Shenzhen 300 ETF option, the underlying closing price was 4.030, the at-the-money strike price was 4.00, the pressure level was 4.10, the support level was 4.00, the maximum call open interest was 15,998 contracts, and the maximum put open interest was 17,450 contracts [7]. - For the Shenzhen 500 ETF option, the underlying closing price was 2.311, the at-the-money strike price was 2.30, the pressure level was 2.30, the support level was 2.25, the maximum call open interest was 13,303 contracts, and the maximum put open interest was 19,503 contracts [7]. - For the Shenzhen 100 ETF option, the underlying closing price was 2.674, the at-the-money strike price was 2.65, the pressure level was 2.70, the support level was 2.65, the maximum call open interest was 10,793 contracts, and the maximum put open interest was 7,531 contracts [7]. - For the ChiNext ETF option, the underlying closing price was 2.034, the at-the-money strike price was 2.05, the pressure level was 2.05, the support level was 2.00, the maximum call open interest was 88,352 contracts, and the maximum put open interest was 108,969 contracts [7]. - For the SSE 50 index option, the underlying closing price was 2,679.92, the at-the-money strike price was 2,700, the pressure level was 2,700, the support level was 2,500, the maximum call open interest was 2,263 contracts, and the maximum put open interest was 985 contracts [7]. - For the CSI 300 index option, the underlying closing price was 3,874.97, the at-the-money strike price was 3,850, the pressure level was 3,900, the support level was 3,850, the maximum call open interest was 4,261 contracts, and the maximum put open interest was 2,796 contracts [7]. - For the CSI 1000 index option, the underlying closing price was 6,135.39, the at-the-money strike price was 6,100, the pressure level was 6,100, the support level was 5,800, the maximum call open interest was 4,426 contracts, and the maximum put open interest was 3,624 contracts [7]. 3.5 Option Factor - Implied Volatility - For the SSE 50 ETF option, the at-the-money implied volatility was 12.36%, the weighted implied volatility was 13.07%, an increase of 0.53%; the annual average was 9.09%; the call implied volatility was 13.12%, the put implied volatility was 13.01%; the 20-day historical volatility was 12.65%, and the difference between implied and historical volatility was 0.42% [9]. - For the SSE 300 ETF option, the at-the-money implied volatility was 12.69%, the weighted implied volatility was 14.10%, an increase of 0.66%; the annual average was 9.52%; the call implied volatility was 13.98%, the put implied volatility was 14.24%; the 20-day historical volatility was 13.20%, and the difference between implied and historical volatility was 0.90% [9]. - For the SSE 500 ETF option, the at-the-money implied volatility was 15.05%, the weighted implied volatility was 17.00%, an increase of 1.72%; the annual average was 12.02%; the call implied volatility was 17.01%, the put implied volatility was 16.98%; the 20-day historical volatility was 16.13%, and the difference between implied and historical volatility was 0.86% [9]. - For the Huaxia Science and Technology Innovation 50 ETF option, the at-the-money implied volatility was 19.75%, the weighted implied volatility was 24.12%, an increase of 0.18%; the annual

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The Shanghai Composite Index and large-cap blue-chip stocks are consolidating and fluctuating at high levels, while small and medium-cap stocks and ChiNext stocks are showing signs of a fluctuating recovery [2]. - The implied volatility of financial options is fluctuating at a historically low level [2]. - For ETF options, it is suitable to construct covered strategies, neutral double-selling strategies, and vertical spread combination strategies; for index options, it is suitable to construct neutral double-selling strategies and arbitrage strategies between synthetic long or short options and long or short futures [2]. 3. Summary by Relevant Catalogs 3.1 Financial Market Important Index Overview - The Shanghai Composite Index closed at 3,387.40, down 1.32 points or 0.04%, with a trading volume of 458 billion yuan, a decrease of 23.6 billion yuan [3]. - The Shenzhen Component Index closed at 10,151.43, down 12.12 points or 0.12%, with a trading volume of 749.2 billion yuan, an increase of 15.7 billion yuan [3]. - The Shanghai 50 Index closed at 2,683.95, down 1.06 points or 0.04%, with a trading volume of 63.5 billion yuan, a decrease of 5.3 billion yuan [3]. - The CSI 300 Index closed at 3,870.38, down 3.42 points or 0.09%, with a trading volume of 220.4 billion yuan, a decrease of 26.5 billion yuan [3]. - The CSI 500 Index closed at 5,750.91, down 16.90 points or 0.29%, with a trading volume of 160.1 billion yuan, a decrease of 10.9 billion yuan [3]. - The CSI 1000 Index closed at 6,141.47, down 5.99 points or 0.10%, with a trading volume of 260.9 billion yuan, an increase of 7.8 billion yuan [3]. 3.2 Option Underlying ETF Market Overview - The closing prices, price changes, trading volumes, and trading volume changes of various ETFs such as the Shanghai 50 ETF, Shanghai 300 ETF, and others are presented [4]. 3.3 Option Factor - Volume and Open Interest PCR - The volume and open interest PCR values and their changes for different option varieties are provided, which can be used to analyze the strength of the underlying option market and potential turning points [5]. 3.4 Option Factor - Pressure and Support Points - The pressure and support points for different option varieties are determined based on the strike prices with the largest open interest in call and put options [7][8]. 3.5 Option Factor - Implied Volatility - The implied volatility data for different option varieties, including at-the-money implied volatility, weighted implied volatility, and their changes, are presented [9]. 3.6 Strategies and Recommendations - The financial options sector is divided into large-cap blue-chip stocks, small and medium-cap stocks, and ChiNext stocks, with specific option strategies recommended for each sector [11]. - For each sector, specific option strategies are provided based on the analysis of the underlying asset market, option factor research, and option strategy suggestions [12][13][14].

金属期权 2025-06-16 金属期权策略早报 | 卢品先 | 投研经理 | 从业资格号：F3047321 | 交易咨询号：Z0015541 | 邮箱：lupx@wkqh.cn | | --- | --- | --- | --- | --- | | 黄柯涵 | 期权研究员 | 从业资格号：F03138607 | 电话：0755-23375252 | 邮箱：huangkh@wkqh.cn | | 李仁君 | 产业服务 | 从业资格号：F03090207 | 交易咨询号：Z0016947 | | 金属期权策略早报概要：（1）有色金属区间盘整震荡，构建做空波动率策略策略；（2）黑色系弱势震荡，适合构 建熊市价差组合策略和卖方期权组合策略；（3）贵金属黄金高位盘整，白银多头突破上行，构建做空波动率策略 和现货避险策略。 表1：标的期货市场概况 | 期权品种 | 标的合约 | 最新价 | 涨跌 | 涨跌幅 | 成交量 | 量变化 | 持仓量 | 仓变化 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | （%） | (万手) | | ...

农产品期权 2025-06-16 农产品期权策略早报 | 卢品先 | 投研经理 | 从业资格号：F3047321 | 交易咨询号：Z0015541 | 邮箱：lupx@wkqh.cn | | --- | --- | --- | --- | --- | | 黄柯涵 | 期权研究员 | 从业资格号：F03138607 | 电话：0755-23375252 | 邮箱：huangkh@wkqh.cn | | 李仁君 | 产业服务 | 从业资格号：F03090207 | 交易咨询号：Z0016947 | 邮箱：lirj@wkqh.cn | 农产品期权策略早报概要：油料油脂类农产品偏多上行，油脂类，豆类偏弱行情，农副产品维持震荡行情，软商品 白糖延续偏弱，棉花反弹后高位盘整形态，谷物类玉米和淀粉逐渐回暖上升后窄幅盘整。 策略上：构建卖方为主的期权组合策略以及现货套保或备兑策略增强收益。 表1：标的期货市场概况 | 期权品种 | 标的合约 | 最新价 | 涨跌 | 涨跌幅 | 成交量 | 量变化 | 持仓量 | 仓变化 | | --- | --- | --- | --- | --- | --- | --- | --- | ...