Group 1: Explanation of Volatility Index - Financial option implied volatility index reflects the 30 - day implied volatility trend as of the previous trading day, and commodity option implied volatility index is obtained by weighting the implied volatilities of the two - strike options above and below the at - the - money option of the main contract month, reflecting the implied volatility change trend of the main contract [3] - The difference between the implied volatility index and historical volatility, where a larger difference indicates that the implied volatility is relatively higher than historical volatility, and a smaller difference means the opposite [3] Group 2: Volatility Data Chart - The chart shows the implied volatility (IV), historical volatility (HV), and the difference between them (IV - HV) for various products including 300 - stock index, 50ETF, 1000 - stock index, 500ETF, silver, soybean meal, corn, sugar, cotton, methanol, rubber, iron ore, PTA, copper, crude oil, aluminum, PVC, rebar, urea, palm oil, etc [4] Group 3: Explanation of Quantile Ranking - Implied volatility quantile represents the current implied volatility level of a variety in history. A high quantile means the current implied volatility is high, and a low quantile means it is low [5] - Volatility spread is the difference between the implied volatility index and historical volatility [5] - The document provides the implied volatility quantile ranking and historical volatility quantile ranking for different products such as 300 - stock index, corn, PTA, 50ETF, methanol, etc [6]

Report Industry The report focuses on the metal options market, covering non - ferrous metals, precious metals, and black metals [8]. Core Viewpoints - For non - ferrous metals, which are in a range - bound oscillation, a seller's neutral volatility strategy is recommended. - Black metals maintain a large - amplitude fluctuating market, suitable for constructing a short - volatility portfolio strategy. - Precious metals have fallen sharply from high levels, and a spot hedging strategy is proposed [2]. Summary by Category 1. Futures Market Overview - The report provides the latest prices, price changes, trading volumes, and open interest changes of various metal futures contracts, including copper, aluminum, zinc, etc. For example, the latest price of copper (CU2512) is 87,910, with a price increase of 220 and a trading volume of 23.52 million lots [3]. 2. Option Factors 2.1 Volume and Open Interest PCR - It shows the volume and open - interest PCR of different metal options, which are used to describe the strength of the option underlying market and the turning point of the underlying market. For example, the volume PCR of copper options is 0.47, and the open - interest PCR is 0.76 [4]. 2.2 Pressure and Support Levels - The pressure and support levels of various metal options are analyzed. For instance, the pressure level of copper options is 90,000, and the support level is 82,000 [5]. 2.3 Implied Volatility - The implied volatility of different metal options is presented, including at - the - money implied volatility, weighted implied volatility, and the difference between implied and historical volatility. For example, the at - the - money implied volatility of copper options is 18.93% [6]. 3. Strategy and Recommendations 3.1 Non - Ferrous Metals - **Copper**: Based on the analysis of fundamentals, market trends, and option factors, a short - volatility seller's option portfolio strategy is recommended, along with a spot long - hedging strategy [7]. - **Aluminum, Zinc, Nickel, Tin, and Lithium Carbonate**: Similar analysis methods are used, and corresponding volatility and spot hedging strategies are proposed according to their respective characteristics [8][9][10][11]. 3.2 Precious Metals - **Gold**: Considering the fundamentals, market trends, and option factors, a neutral short - volatility option seller's portfolio strategy and a spot hedging strategy are recommended [12]. 3.3 Black Metals - **Rebar, Iron Ore, Ferroalloy, Industrial Silicon, and Glass**: After analyzing the fundamentals, market trends, and option factors, corresponding volatility and spot hedging strategies are put forward [13][14][15].

Report Summary 1. Report Industry Investment Rating No investment rating information is provided in the report. 2. Core Viewpoints - The agricultural product options market shows diversified trends, with oilseeds and oils, agricultural by - products, soft commodities, and grains each having their own market characteristics. - It is recommended to construct option combination strategies mainly based on sellers, as well as spot hedging or covered strategies to enhance returns [2]. 3. Summary by Related Catalogs 3.1 Futures Market Overview - Different agricultural product futures have different price changes, trading volumes, and open interest changes. For example, the latest price of soybean No.1 (A2601) is 4,129, up 37 with a 0.90% increase, and its trading volume is 12.84 million lots, a decrease of 3.11 million lots compared to the previous period [3]. 3.2 Option Factors - Volume and Open Interest PCR - The volume and open - interest PCR of various agricultural product options reflect the market sentiment and potential turning points. For instance, the volume PCR of soybean No.1 is 0.78, a decrease of 0.18, and the open - interest PCR is 1.05, an increase of 0.07 [4]. 3.3 Option Factors - Pressure and Support Levels - From the perspective of the maximum open - interest of call and put options, the pressure and support levels of each agricultural product option are determined. For example, the pressure level of soybean No.1 is 4200, and the support level is 3900 [5]. 3.4 Option Factors - Implied Volatility - The implied volatility of each agricultural product option is at different levels and shows different trends. For example, the at - the - money implied volatility of soybean No.1 is 13.095%, and the weighted implied volatility is 13.55%, an increase of 0.94% [6]. 3.5 Option Strategies and Recommendations - **Oilseeds and Oils Options**: - **Soybean No.1**: Construct a short neutral call + put option combination strategy and a long collar strategy for spot hedging [7]. - **Soybean Meal**: Build a bearish spread combination strategy of put options and a short bearish call + put option combination strategy, as well as a long collar strategy for spot hedging [9]. - **Palm Oil**: Construct a short bearish call + put option combination strategy and a long collar strategy for spot hedging [9]. - **Peanut**: Adopt a long collar strategy for spot hedging [10]. - **Agricultural By - product Options**: - **Pig**: Build a bearish spread combination strategy of put options, a short bearish call + put option combination strategy, and a long covered strategy [10]. - **Egg**: Build a bearish spread combination strategy of put options and a short bearish call + put option combination strategy [11]. - **Apple**: Construct a short bullish call + put option combination strategy and a long collar strategy for spot hedging [11]. - **Jujube**: Build a short bullish strangle option combination strategy and a long covered hedging strategy [12]. - **Soft Commodity Options**: - **Sugar**: Construct a short bearish call + put option combination strategy and a long collar strategy for spot hedging [12]. - **Cotton**: Build a short bearish call + put option combination strategy and a long covered strategy [13]. - **Grain Options**: - **Corn**: Construct a short bearish call + put option combination strategy [13].

Report Summary 1. Report Industry Investment Rating - No information provided in the content. 2. Core View of the Report - No information provided in the content. 3. Summary by Related Catalog Historical Volatility - This section presents the historical volatility data of various commodity options, including the main contract price, price change, daily volatility, and historical volatility for different time - periods (HV20, HV40, HV60, HV120) of multiple commodities such as metals (e.g.,沪铝,沪铜,沪锌), energy (e.g.,原油), agricultural products (e.g.,白糖,玉米), and chemical products (e.g., PVC,甲醇). For example,沪铝's main contract price is 21360 with a 0.61% increase, and its daily volatility is 19.32%, HV20 is 9%, HV40 is 8%, HV60 is 7%, and HV120 is 9% [5]. Implied Volatility - It shows the implied volatility of the main contract at - the - money options (主力平值IV) for different commodities like多晶硅,丙烯,尿素, etc. For instance, the主力平值IV of多晶硅 is 33% and 61% [8]. - There are also historical trend charts for some commodities such as工业硅,铁矿,豆油,菜油,原油, and橡胶, which display the relationship between the main contract closing price, main contract at - the - money implied volatility, and HV60 over time [10][11]. Main Contract At - the - Money IV Quantile - Information about the main contract at - the - money IV quantile value is presented, but the specific data is incomplete as only "120%" is given without clear context [12].

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - The energy and chemical sector is mainly divided into energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others. Strategies focus on constructing option portfolios mainly as sellers and spot hedging or covered strategies to enhance returns [3][9] 3. Summary by Relevant Catalogs 3.1 Futures Market Overview - Various energy and chemical futures contracts show different price movements, trading volumes, and open interest changes. For example, the latest price of crude oil (SC2512) is 465, down 4 with a decline of 0.75%, and its trading volume is 10.93 million lots with a decrease of 5.34 million lots [4] 3.2 Option Factors - Volume and Open Interest PCR - The PCR indicators of different option varieties reflect the strength of the option underlying market and the turning point of the underlying market. For instance, the open interest PCR of crude oil options is 0.82, an increase of 0.08 [5] 3.3 Option Factors - Pressure and Support Levels - From the perspective of the strike prices with the largest open interest of call and put options, the pressure and support levels of different option underlying are identified. For example, the pressure level of crude oil is 500 and the support level is 450 [6] 3.4 Option Factors - Implied Volatility - The implied volatility of different option varieties shows different levels and changes. For example, the weighted implied volatility of crude oil options is 32.00%, an increase of 0.33% [7] 3.5 Option Strategies and Recommendations 3.5.1 Energy Options - Crude Oil - Fundamental analysis shows that US refinery demand has stabilized and rebounded, and OPEC exports have increased. The option implied volatility has declined to near the average, and the open interest PCR indicates a weak market. Strategies include constructing a short - neutral call + put option combination strategy and a long collar strategy for spot hedging [8] 3.5.2 Energy Options - Liquefied Petroleum Gas (LPG) - The US market faces pressure from high production and inventory, and the Middle East exports are relatively stable. The option implied volatility has dropped significantly to below the average, and the open interest PCR indicates a weak market. Similar strategies to crude oil are recommended [10] 3.5.3 Alcohol Options - Methanol - Port and enterprise inventories show certain trends. The option implied volatility fluctuates around the historical average, and the open interest PCR indicates a weak and oscillating market. Strategies involve constructing a short - bearish call + put option combination strategy and a long collar strategy for spot hedging [10] 3.5.4 Alcohol Options - Ethylene Glycol - The load and inventory of ethylene glycol show specific changes. The option implied volatility fluctuates below the average, and the open interest PCR indicates strong bearish power. Strategies include constructing a bearish spread combination strategy of put options and a short - volatility strategy [11] 3.5.5 Polyolefin Options - Polypropylene - The inventory of polypropylene and polyethylene shows different trends. The option implied volatility has declined to near the average, and the open interest PCR indicates a weak market. A long collar strategy for spot hedging is recommended [11] 3.5.6 Rubber Options - The rubber market has a certain trading atmosphere, and the option implied volatility has decreased to below the average after a sharp increase. The open interest PCR is below 0.60. A short - bearish call + put option combination strategy is recommended [12] 3.5.7 Polyester Options - PTA - The PTA load and maintenance situation show specific characteristics. The option implied volatility fluctuates at a relatively high level, and the open interest PCR indicates an oscillating market. A short - bearish call + put option combination strategy is recommended [12] 3.5.8 Alkali Options - Caustic Soda - The caustic soda market has certain supply and demand characteristics. The option implied volatility is at a high level, and the open interest PCR indicates a weak and oscillating market. A bearish spread combination strategy and a long collar strategy for spot hedging are recommended [13] 3.5.9 Alkali Options - Soda Ash - The inventory of soda ash shows specific changes. The option implied volatility is at a relatively high historical level, and the open interest PCR indicates strong bearish pressure. A short - volatility combination strategy and a long collar strategy for spot hedging are recommended [13] 3.5.10 Urea Options - The enterprise and port inventories of urea show specific trends. The option implied volatility fluctuates around the historical average, and the open interest PCR indicates strong bearish pressure. A short - neutral call + put option combination strategy and a spot hedging strategy are recommended [14]

1. Report Industry Investment Rating - No relevant information provided in the report. 2. Core Viewpoints of the Report - For non - ferrous metals, construct a neutral volatility strategy for sellers as they are in a range - bound oscillation; for black metals, build a short - volatility portfolio strategy due to their large - amplitude fluctuations; for precious metals, create a spot hedging strategy as they have dropped significantly after reaching a high level [2]. 3. Summary by Related Catalogs 3.1 Futures Market Overview - The report presents the latest prices, price changes, price change percentages, trading volumes, volume changes, open interests, and open interest changes of various metal futures contracts, including copper, aluminum, zinc, etc. For example, the latest price of copper (CU2512) is 87,660, with a price increase of 790 and a price change percentage of 0.91% [3]. 3.2 Option Factors - Volume and Open Interest PCR - The PCR values of volume and open interest for different metal options are provided. For instance, the volume PCR of copper options is 0.38 with a change of 0.03, and the open interest PCR is 0.85 with a change of 0.06 [4]. 3.3 Option Factors - Pressure and Support Levels - The pressure and support levels of different metal options are given. For example, the pressure level of copper options is 90,000 and the support level is 82,000 [5]. 3.4 Option Factors - Implied Volatility - The implied volatility data of different metal options are presented, including at - the - money implied volatility, weighted implied volatility, and its change, annual average, call implied volatility, put implied volatility, HISV20, and the difference between implied and historical volatility. For example, the at - the - money implied volatility of copper options is 21.24%, and the weighted implied volatility is 28.34% with a change of 5.41% [6]. 3.5 Strategy and Recommendations 3.5.1 Non - Ferrous Metals - **Copper Options**: The inventory of the three major exchanges decreased by 0.4 million tons month - on - month. The market showed a bullish high - level consolidation. Implied volatility was above the historical average, and the open interest PCR was around 0.80. It is recommended to construct a short - volatility seller option portfolio strategy and a spot long - hedging strategy [7]. - **Aluminum Options**: The inventory decreased. The market showed a bullish high - level oscillation. Implied volatility was at the historical average, and the open interest PCR was below 0.90. It is recommended to construct a short - neutral call + put option portfolio strategy and a spot collar strategy [9]. - **Zinc Options**: The market showed a weak oscillation. Implied volatility decreased to the historical average, and the open interest PCR was around 1.00. It is recommended to construct a short - neutral call + put option portfolio strategy and a spot collar strategy [9]. - **Nickel Options**: The global visible inventory increased. The market showed a wide - range oscillation with bearish pressure. Implied volatility was below the average, and the open interest PCR was below 0.60. It is recommended to construct a short - bearish call + put option portfolio strategy and a spot covered - call strategy [10]. - **Tin Options**: The supply of tin was tight. The market showed a short - term high - level oscillation and then an upward breakthrough. Implied volatility was below the historical average, and the open interest PCR was around 0.60. It is recommended to construct a short - volatility strategy and a spot collar strategy [10]. - **Lithium Carbonate Options**: The inventory decreased. The market showed a large - amplitude fluctuation and then an oscillation and recovery. Implied volatility was at a high level, and the open interest PCR was below 0.60. It is recommended to construct a short - bearish call + put option portfolio strategy and a spot long - hedging strategy [11]. 3.5.2 Precious Metals - **Gold Options**: The US CPI data was lower than expected. The market showed a rapid decline after a bullish trend. Implied volatility was at a high level, and the open interest PCR was 1.00. It is recommended to construct a short - neutral volatility option seller portfolio strategy and a spot hedging strategy [12]. 3.5.3 Black Metals - **Rebar Options**: The inventory decreased. The market showed a weak bearish trend. Implied volatility was below the historical average, and the open interest PCR was below 0.60. It is recommended to construct a short - bearish call + put option portfolio strategy and a spot long - covered - call strategy [13]. - **Iron Ore Options**: The inventory increased. The market showed a weak oscillation and decline. Implied volatility was around the historical average, and the open interest PCR was below 0.60. It is recommended to construct a short - bearish call + put option portfolio strategy and a spot long - collar strategy [13]. - **Ferroalloy Options (Manganese Silicon)**: The production decreased slightly, and the inventory increased. The market showed a weak bearish trend. Implied volatility was at the historical average, and the open interest PCR was around 0.70. It is recommended to construct a short - volatility strategy [14]. - **Industrial Silicon Options**: The production increased, and the inventory decreased slightly. The market showed a large - amplitude range - bound oscillation. Implied volatility was at a high level, and the open interest PCR was below 0.60. It is recommended to construct a short - volatility call + put option portfolio strategy and a spot hedging strategy [14]. - **Glass Options**: The production remained flat, and the inventory increased. The market showed a weak bearish trend. Implied volatility was at a high level, and the open interest PCR was below 0.60. It is recommended to construct a short - volatility call + put option portfolio strategy and a spot long - collar strategy [15].

1. Report Industry Investment Rating - Not provided in the document 2. Core Viewpoints of the Report - Oilseeds and oils - related agricultural products are in a weak and volatile state, while oils, agricultural by - products maintain a volatile market. Soft commodity sugar shows a slight fluctuation, cotton is in a weak consolidation, and grains such as corn and starch are in a weak and narrow - range consolidation. It is recommended to construct option portfolio strategies mainly based on sellers, as well as spot hedging or covered strategies to enhance returns [2] 3. Summary by Related Catalogs 3.1 Futures Market Overview - Different agricultural product futures have different price changes, trading volumes, and open - interest changes. For example, the latest price of soybean No.1 (A2601) is 4,098, down 12 (- 0.29%), with a trading volume of 143,100 lots (down 19,600 lots) and an open - interest of 257,700 lots (up 13,400 lots) [3] 3.2 Option Factors - Volume and Open - Interest PCR - PCR indicators are used to describe the strength of the option underlying market and the turning point of the underlying market. For example, the volume PCR of soybean No.1 is 0.60 (down 0.15), and the open - interest PCR is 0.86 (up 0.10) [4] 3.3 Option Factors - Pressure and Support Levels - From the perspective of the strike prices with the largest open - interest of call and put options, the pressure and support levels of different option underlyings are determined. For example, the pressure level of soybean No.1 is 4,200 and the support level is 3,900 [5] 3.4 Option Factors - Implied Volatility - Implied volatility indicators of different option underlyings are provided, including at - the - money implied volatility, weighted implied volatility, and the difference between implied and historical volatility. For example, the at - the - money implied volatility of soybean No.1 is 12.125%, and the weighted implied volatility is 13.12% (down 1.33%) [6] 3.5 Strategy and Recommendations 3.5.1 Oilseeds and Oils Options - **Soybean No.1**: The fundamental situation of soybeans shows that the planting progress of new - crop Brazilian soybeans is fast, and the market has a weak and volatile trend. Option strategies include constructing a neutral call + put option selling combination strategy and a long collar strategy for spot hedging [7] - **Soybean Meal**: The daily average trading volume of soybean meal has decreased, and the market is in a weak trend. Option strategies include a bear spread strategy for call options, a short - biased call + put option selling combination strategy, and a long collar strategy for spot hedging [9] - **Palm Oil**: The production of palm oil has increased, and the market is in a high - level volatile state. Option strategies include a short - biased call + put option selling combination strategy and a long collar strategy for spot hedging [9] - **Peanut**: The trading volume of peanuts has increased, but the downstream consumption is still weak. Option strategies include a long collar strategy for spot hedging [10] 3.5.2 Agricultural By - product Options - **Pig**: The average price of pig slaughter has increased, but the market is still in a weak state. Option strategies include a bear spread strategy for call options, a short - biased call + put option selling combination strategy, and a covered call strategy for spot [10] - **Egg**: The number of newly - opened laying hens is expected to decrease, and the market is in a weak and bearish state. Option strategies include a bear spread strategy for call options and a short - biased call + put option selling combination strategy [11] - **Apple**: Affected by climate factors, the yield and high - quality fruit rate of apples have decreased, and the market is in a bullish state. Option strategies include a long - biased call + put option selling combination strategy and a long collar strategy for spot hedging [11] - **Jujube**: The ordering process in the main jujube - producing areas is fast, and the market is in a bullish state. Option strategies include a long - biased wide - straddle option selling combination strategy and a covered call strategy for spot hedging [12] 3.5.3 Soft Commodity Options - **Sugar**: The domestic sugar price is volatile, and the market is in a weak and bearish state. Option strategies include a short - biased call + put option selling combination strategy and a long collar strategy for spot hedging [12] - **Cotton**: The price of cotton has a slight change, and the market is in a short - term weak state. Option strategies include a short - biased call + put option selling combination strategy and a covered call strategy for spot [13] 3.5.4 Grain Options - **Corn**: The upstream and downstream of corn are in a game stage, and the market is in a weak and bearish state. Option strategies include a short - biased call + put option selling combination strategy [13]

Core Insights - The report emphasizes the importance of understanding the Black-Scholes (BS) model as a foundational option pricing model, despite its limitations in practical applications [6][7][8] - It highlights the advantages of using Monte Carlo simulation for pricing convertible bonds, particularly in accounting for complex features such as redemption and down-round clauses [34][41] - The report discusses the relationship between implied volatility and actual bond pricing, suggesting that discrepancies can indicate market conditions [20][25][26] Group 1: BS Model and Its Applications - The BS model is a fundamental option pricing model that assumes stock prices follow a geometric Brownian motion, which is crucial for understanding option pricing [6][9] - The report outlines the application of the BS model in calculating implied volatility, theoretical pricing, and Greek letters, which are essential for assessing convertible bonds [20][31] - It notes that the BS model's limitations include its inability to account for certain bond features, leading to potential overvaluation or undervaluation of convertible bonds [26][18] Group 2: Monte Carlo Simulation - Monte Carlo simulation is presented as a method that can effectively incorporate the impact of bond features on pricing, contrasting with the BS model's separation of bond value and option value [34][41] - The report details the steps involved in Monte Carlo simulation, including generating random stock price paths and evaluating cash flows based on bond features [34][37] - It concludes that while Monte Carlo simulation may require more computational resources, it often yields more accurate pricing results compared to the BS model, especially in bear markets [41][46] Group 3: Investment Strategies - The report suggests constructing investment strategies based on the pricing discrepancies identified through BS and Monte Carlo simulations, focusing on undervalued convertible bonds [34][41] - It emphasizes the importance of Greek letters in developing investment strategies, as they provide insights into the sensitivity of bond prices to various factors [31][32] - The report indicates that strategies based on BS pricing deviations and Monte Carlo simulations have historically outperformed traditional low-price strategies [41][49]

Group 1: Volatility Index Explanation - The implied volatility index of financial options reflects the 30 - day implied volatility trend as of the previous trading day. The implied volatility index of commodity options is obtained by weighting the implied volatilities of the two - strike options above and below the at - the - money option of the main contract month, reflecting the implied volatility change trend of the main contract [3] - The difference between the implied volatility index and historical volatility indicates the relative level of implied volatility to historical volatility. A larger difference means the implied volatility is relatively higher, while a smaller difference means it is relatively lower [3] Group 2: Volatility Data Visualization - The document presents the implied volatility (IV), historical volatility (HV), and their differences (IV - HV) for various financial and commodity options, including 300 - stock index, 50ETF, 1000 - stock index, 500ETF, silver, gold, soybean meal, corn, sugar, cotton, methanol, rubber, iron ore, PTA, copper, crude oil, aluminum, PVC, rebar, zinc, urea, palm oil, etc [4] Group 3: Implied Volatility and Volatility Spread Quantile Ranking - Implied volatility quantiles represent the current implied volatility level of a variety in history. A high quantile means the current implied volatility is high, and a low quantile means it is low. Volatility spread is related to the implied volatility index and historical volatility [5] - The document shows the implied volatility quantile rankings and historical volatility quantile rankings for different options such as 300 - stock index, 50ETF, PTA, methanol, etc [6]

Group 1: Report Overview - The report is a metal options strategy morning report dated October 24, 2025 [1] - It provides an analysis of various metal options, including their market conditions, option factors, and strategy recommendations [2] Group 2: Market Conditions Futures Market - The report presents the latest prices, price changes, trading volumes, and open interests of various metal futures contracts [3] - For example, the price of copper futures (CU2512) is 86,730, up 1,150 (1.34%) compared to the previous trading day [3] Option Factors - The report analyzes option factors such as volume and open interest PCR, pressure and support levels, and implied volatility for various metal options [4][5][6] - For instance, the volume PCR of copper options is 0.35, and the open interest PCR is 0.79 [4] Group 3: Strategy Recommendations Overall Strategies - For non - ferrous metals, which are in a range - bound oscillation, a seller's neutral volatility strategy is recommended [2] - For black metals, which maintain high - amplitude fluctuations, a short - volatility combination strategy is suitable [2] - For precious metals, which have fallen sharply from high levels, a spot hedging strategy is proposed [2] Specific Metal Strategies - **Copper Options**: A short - volatility seller option combination strategy is recommended to gain time - value income, and a spot hedging strategy is also provided [7] - **Aluminum Options**: A strategy of selling a neutral combination of call and put options is suggested, along with a spot collar strategy [9] - **Other Metals**: Similar option strategies and spot hedging or备兑 strategies are recommended for zinc, nickel, tin, gold, silver, carbonate lithium, and various black metals [10][11][12][13][14][15] Group 4: Charts - The report includes price trend charts, option volume and open interest charts, PCR charts, implied volatility charts, historical volatility cone charts, and pressure and support level charts for various metals [18][20][27][29][34]