金属期权 2025-05-16 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 | 金属期权策略早报概要：（1）有色金属盘整震荡偏上，构建做空波动率策略策略；（2）黑色系大幅反弹回暖，适 合构建卖方期权组合策略；（3）贵金属多头趋势方向上高位震荡，构建牛市价差组合策略、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) | | (万手) | | | 铜 | CU2506 | 78,490 | 100 | 0.13 | 11.02 | ...

Report Information - Report Title: Energy and Chemical Options Strategy Morning Report [1] - Report Date: May 16, 2025 - Research Analysts: Lu Pinxian, Huang Kehan Investment Rating - No investment rating for the industry is provided in the report. Core Viewpoints - The energy and chemical sector includes energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others. Strategies mainly involve constructing option portfolios with a focus on sellers, as well as spot hedging or covered strategies to enhance returns [2][8]. Summary by Relevant Catalogs 1. Market Overview of Underlying Futures - Various energy and chemical option underlying futures contracts are presented, including details such as the latest price, price change, percentage change, trading volume, volume change, open interest, and open interest change. For example, the latest price of crude oil (SC2507) is 462, with a decrease of 10 and a decline rate of 2.14% [3]. 2. Option Factors - Volume and Open Interest PCR - The volume and open interest PCR of different option varieties are provided, which are used to describe the strength of the option underlying market and the turning point of the market. For instance, the volume PCR of crude oil is 1.22, and the open interest PCR is 0.77 [4]. 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 option underlyings are analyzed. For example, the pressure level of crude oil is 560, and the support level is 400 [5]. 4. Option Factors - Implied Volatility - The implied volatility of 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 crude oil is 31.63%, and the weighted implied volatility is 34.36% [6]. 5. Strategy and Recommendations for Different Option Varieties Energy - Related Options - **Crude Oil**: The fundamental situation involves OPEC + increasing supply and the US maintaining production cuts. The market shows a pattern of short - term recovery followed by a decline. Implied volatility is at a relatively high level, and the open interest PCR indicates the release of short - selling power. Strategies include constructing a neutral call + put option combination for volatility, and a long collar strategy for spot hedging [7]. - **LPG**: The fundamental situation is that the cost of imported gas from the Middle East supports domestic prices. The market is in a weak, bearish state. Implied volatility fluctuates around the historical average, and the open interest PCR indicates a weak market. Strategies include constructing a bearish call + put option combination for volatility, and a long collar strategy for spot hedging [9]. Alcohol - Related Options - **Methanol**: The fundamental situation is that port and enterprise inventories have increased, and downstream demand has weakened. The market shows a recent upward trend. Implied volatility is declining and fluctuating around the historical average, and the open interest PCR indicates support. Strategies include constructing a bullish call spread for direction, a bullish call + put option combination for volatility, and a long collar strategy for spot hedging [9]. - **Ethylene Glycol**: The fundamental situation is that port inventories are expected to decrease. The market shows a short - term bullish trend. Implied volatility is at a relatively high level, and the open interest PCR indicates a strong, oscillating market. Strategies include constructing a bullish call spread for direction, a short - volatility strategy for volatility, and a long collar strategy for spot hedging [10]. Polyolefin - Related Options - **Polypropylene**: The fundamental situation is that the inventories of production enterprises and traders have increased. The market shows a recent upward trend. Implied volatility fluctuates above the historical average, and the open interest PCR is above 1. Strategies include constructing a bullish call spread for direction, and a long collar strategy for spot hedging [10]. Rubber - Related Options - **Rubber**: The fundamental situation is that the import volume has increased, and the capacity utilization rate of tire enterprises has decreased. The market shows a short - term bullish trend. Implied volatility fluctuates around the average, and the open interest PCR is below 0.6. Strategies include constructing a bullish call spread for direction, a bullish call + put option combination for volatility [11]. Polyester - Related Options - **PTA**: The fundamental situation is that polyester load has increased, and PTA inventory is decreasing. The market shows a bullish trend. Implied volatility is at a relatively high level, and the open interest PCR indicates a strengthening market. Strategies include constructing a bullish call spread for direction, and a bullish call + put option combination for volatility [12]. Other Options - **Caustic Soda**: The fundamental situation is that factory inventories and the start - up rate have changed. The market is in a weak, oscillating state. Implied volatility is decreasing and below the average, and the open interest PCR indicates a weak market. Strategies include constructing a bearish wide - straddle option combination for volatility, and a covered call strategy for spot hedging [13]. - **Soda Ash**: The fundamental situation is that domestic production has decreased. The market shows a recent bearish trend. Implied volatility is rising but below the historical average, and the open interest PCR indicates a weak, oscillating market. Strategies include constructing a bearish call spread for direction, a neutral call + put option combination for volatility, and a long collar strategy for spot hedging [13]. - **Urea**: The fundamental situation is that production capacity utilization has rebounded, and inventories have changed. The market shows a recent bullish trend. Implied volatility has decreased and is below the average, and the open interest PCR indicates strong bullish power. Strategies include constructing a bullish call spread for direction, a bullish call + put option combination for volatility, and a long collar strategy for spot hedging [14].

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) | | (万手) | | | 铜 | CU2506 | 78,650 | 150 | 0.19 | 11.24 | 2.15 | 19.39 | 1.20 | | 铝 | AL2506 | 20,295 | 140 | 0.69 | 16.10 | 2.01 | 15.18 | -0.86 | | 锌 | ZN2506 | 22,800 | 280 | 1.24 | 21.91 | 4.85 | 10.49 | -0.71 | | 铅 | PB2506 | 17,025 | 105 | 0.62 | 3.26 | 0.57 | 3.07 | 0.02 | | 镍 | NI2506 | 125,540 | 1,140 | 0.92 | 13.66 | -2.33 | 6.31 | -0.86 | | 锡 | SN2506 | ...

金属期权 2025-05-14 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 | 金属期权策略早报概要：（1）有色金属盘整震荡，构建做空波动率策略策略；（2）黑色系波动较大，适合构建卖 方期权组合策略；（3）贵金属多头趋势方向上高位震荡，构建牛市价差组合策略、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) | | (万手) | | | 铜 | CU2506 | 78,650 | 770 | 0.99 | 9.09 | -3.42 ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The agricultural product options market shows diverse trends, with oilseeds and oils in a range - bound consolidation, some showing a weak trend, while agricultural by - products maintain a volatile pattern. Soft commodities like sugar face resistance in rising and then decline, and cotton continues a weak rebound. Grains such as corn and starch gradually recover and then consolidate in a narrow range [2]. - 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 Relevant Catalogs 3.1 Futures Market Overview - Different agricultural product futures have various price changes, trading volumes, and open interest changes. For example, the price of soybean No.1 (A2507) is 4,155, down 5 with a decline rate of 0.12%, and its trading volume is 13.38 million lots, down 4.06 million lots [3]. 3.2 Option Factors - Volume and Open Interest PCR - The PCR indicators of different agricultural product options vary. For instance, the volume PCR of soybean No.1 is 0.62 with a change of 0.10, and the open interest PCR is 0.68 with a change of 0.01 [4]. 3.3 Option Factors - Pressure and Support Levels - Each option variety has corresponding pressure and support levels. For example, the pressure level of soybean No.1 (A2507) is 4,500 and the support level is 4,000 [5]. 3.4 Option Factors - Implied Volatility - The implied volatility of different agricultural product options shows different characteristics. For example, the implied volatility of soybean No.1 is 12.69% for at - the - money, and the weighted implied volatility is 14.99%, down 0.49% [6]. 3.5 Option Strategies and Recommendations 3.5.1 Oilseeds and Oils Options - **Soybean No.1 and No.2**: The future soybean supply is relatively sufficient. The soybean No.1 shows a high - level consolidation pattern. It is recommended to construct a neutral short call + put option combination strategy and a long collar strategy for spot hedging [7]. - **Soybean Meal and Rapeseed Meal**: The basis of soybean meal has changed, and the inventory has increased week - on - week. The market shows a weak short - term trend. It is recommended to construct a short - biased call + put option combination strategy and a long collar strategy for spot hedging [9]. - **Palm Oil, Soybean Oil, and Rapeseed Oil**: The production of palm oil in Malaysia has increased. Palm oil shows a downward trend after a rebound. It is recommended to construct a neutral short call + put option combination strategy and a long collar strategy for spot hedging [10]. - **Peanut**: The peanut market shows a rebound after a long - term weak trend. It is recommended to use a long collar strategy for spot hedging [11]. 3.5.2 Agricultural By - product Options - **Pig**: The pig market shows a range - bound pattern after a rise. It is recommended to construct a neutral short call + put option combination strategy and a covered call strategy for spot [11]. - **Egg**: The egg market shows a weak rebound and then a decline. It is recommended to construct a short - biased call + put option combination strategy [12]. - **Apple**: The apple market shows a decline after a high - level breakthrough. It is recommended to construct a neutral short call + put option combination strategy [12]. - **Jujube**: The jujube market shows a continuous decline. It is recommended to construct a bear spread strategy for directional trading and a short strangle strategy for volatility trading, as well as a covered call strategy for spot hedging [13]. 3.5.3 Soft Commodity Options - **Sugar**: The sugar market shows a bullish volatile pattern. It is recommended to construct a neutral short call + put option combination strategy and a long collar strategy for spot hedging [13]. - **Cotton**: The cotton market shows a rebound after a decline. It is recommended to construct a neutral short call + put option combination strategy and a covered call strategy for spot [14]. 3.5.4 Grain Options - **Corn and Starch**: The corn market shows a pattern of rising and then falling after a range - bound movement. It is recommended to construct a neutral short call + put option combination strategy [14].

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints - The trading volume and open interest of the commodity options market recovered this week. Investors are advised to focus on potential market opportunities in actively traded varieties [1][7]. - Most commodity option underlying assets declined this week. Many varieties' implied volatility dropped, presenting short - volatility opportunities. Different varieties show varying market sentiment based on volume PCR and open interest PCR [2][14]. 3. Section Summaries 3.1 Commodity Option Market Activity - From May 5th to May 9th, 2025, the daily average trading volume was 5.5151 million lots, up 21.28% week - on - week, and the daily average open interest was 7.8 million lots, up 18.18% week - on - week [1][7]. - Actively traded varieties in terms of daily average trading volume include PTA, soda ash, and glass. Notable volume - increasing varieties are polysilicon, caustic soda, and lithium carbonate, while p - xylene had a significant volume decline [1][7]. - Varieties with high daily average open interest are soybean meal, glass, and soda ash. Those with rapid open - interest growth are urea, polysilicon, and Shanghai lead [1][7]. 3.2 This Week's Commodity Option Main Data Review - Underlying asset price changes: 32 varieties closed down. High - gain varieties are p - xylene, alumina, and PTA; high - loss varieties are lithium carbonate, glass, and polysilicon [2][14]. - Market volatility: Most commodity implied volatility declined. 47 varieties' implied volatility decreased week - on - week, and 31 varieties' current implied volatility is below the historical 50% quantile. High - implied - volatility varieties include polysilicon, gold, and soybean No.1 [2][14]. - Option market sentiment: Varieties like silver, rebar, and PVC have high volume PCR, indicating strong short - term bearish sentiment. Synthetic rubber, styrene, and alumina have low volume PCR, showing concentrated short - term bullish sentiment. PTA, polypropylene, cotton, and rapeseed meal have high open - interest PCR, suggesting accumulated bearish sentiment, while natural rubber has low open - interest PCR, indicating accumulated bullish sentiment [2][14]. 3.3 Key Data Overview of Major Varieties - This chapter presents key data of major varieties such as trading, volatility, and option market sentiment indicators. More detailed data can be found on the Dongzheng Fanyi official website [19]. - It further divides into sub - sections for energy, chemicals, precious metals, ferrous metals, non - ferrous metals, and agricultural products, each with corresponding data charts for trading volume, volatility, open - interest PCR, and volume PCR of specific varieties [20][25][55][63][80][97].

金融期权 2025/05/09 金融期权策略早报 | 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 | 金融期权策略早报概要： （1）股市短评：上证综指数、深成指数、中小创指均小幅波动。 （2）金融期权波动性分析：金融期权隐含波动率在历史均值偏下水平波动。 （3）金融期权策略与建议：对于ETF期权来说，适合构建备兑策略和偏中性的双卖策略，垂直价差组合策略；对于 股指期权来说，适合构建偏中性的双卖策略和期权合成期货多头或空头与期货空头或多头做套利策略。 表1：金融市场重要指数概况 | 重要指数 | 指数代码 | 收盘价 | 涨跌 | 涨跌幅 | 成交额 | 额变化 | PE | | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | （%） | (亿元) | （ ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The agricultural products sector includes beans, oils, agricultural by - products, soft commodities, grains, and others. Each sector has options strategies and suggestions for selected varieties. The overall market shows different trends: oils and fats are in a range - bound or weakening trend, soft commodities like sugar and cotton have their own fluctuations, and grains like corn and starch are gradually warming up and then moving in a narrow range. It is recommended to construct option combination strategies mainly based on sellers, as well as spot hedging or covered strategies to enhance returns [2][8]. 3. Summary by Related Catalogs 3.1 Futures Market Overview - Various agricultural product futures have different price changes, trading volumes, and open interest changes. For example, the price of soybean A2507 is 4,171 with a 0.05% increase, and its trading volume is 22.73 million lots; the price of palm oil P2506 is 8,128 with a 0.99% increase, and its trading volume is 1.12 million lots [3]. 3.2 Option Factor - Volume and Open Interest PCR - The volume and open interest PCR of different agricultural product options 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 A is 0.67 with a 0.31 change, and the open interest PCR is 0.66 with a 0.04 change [4]. 3.3 Option Factor - Pressure and Support Levels - From the perspective of the maximum open interest of call and put options, the pressure and support levels of option underlyings are analyzed. For example, the pressure level of soybean A2507 is 4,500 and the support level is 4,000 [5]. 3.4 Option Factor - Implied Volatility - The implied volatility of different agricultural product 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 soybean A is 15.05%, and the weighted implied volatility is 17.37% with a - 0.33 change [6]. 3.5 Option Strategies and Suggestions 3.5.1 Oils and Fats Options - **Beans (Soybean A, Soybean B)**: In May, the supply of domestic soybeans is expected to improve. The soybean A market has been in a high - level consolidation recently. It is recommended to construct a neutral call + put option combination strategy to obtain time value and a long collar strategy for spot hedging [7]. - **Bean Meal and Rapeseed Meal**: The domestic bean meal spot price has fallen during the holiday. The short - term US soybeans are under pressure due to the trade war. It is recommended to construct a bearish call + put option combination strategy and a long collar strategy for spot hedging [9]. - **Palm Oil, Soybean Oil, Rapeseed Oil**: The domestic oil supply is relatively sufficient. The palm oil market has been falling recently. It is recommended to construct a bear spread strategy, a neutral call + put option combination strategy, and a long collar strategy for spot hedging [10]. - **Peanuts**: The domestic peanut price has been weak. It is recommended to use a long collar strategy for spot hedging [11]. 3.5.2 Agricultural By - product Options - **Pigs**: The pig price has been fluctuating in April. It is recommended to construct a neutral call + put option combination strategy and a covered call strategy for spot [11]. - **Eggs**: The egg supply is expected to be in surplus in the future. The market has been in a weak downward trend recently. It is recommended to construct a bearish call + put option combination strategy [12]. - **Apples**: The apple market has been highly volatile recently. It is recommended to construct a neutral call + put option combination strategy [12]. - **Jujubes**: The jujube market has been in a downward trend recently. It is recommended to construct a put bear spread strategy, a wide - straddle option combination strategy, and a covered call strategy for spot [13]. 3.5.3 Soft Commodity Options - **Sugar**: The sugar production in Brazil has increased. The sugar market has been in a bullish consolidation recently. It is recommended to construct a neutral call + put option combination strategy and a long collar strategy for spot hedging [13]. - **Cotton**: The spinning and weaving factory operating rates are lower than last year. The cotton market has been in a low - level consolidation recently. It is recommended to construct a neutral call + put option combination strategy and a covered call strategy for spot [14]. 3.5.4 Grain Options - **Corn and Starch**: The long - position and short - position holdings of CBOT corn futures have decreased. The corn market has been rising recently. It is recommended to construct a bullish call + put option combination strategy [14].

Group 1: Report Summary - The report is a metal options strategy morning report dated May 7, 2025, covering有色金属, precious metals, and black metals [1][2] - The report provides an overview of the underlying futures market, option factors, and offers strategy suggestions for each metal option [3][4][8] Group 2: Underlying Futures Market Overview - Copper (CU2506) latest price is 78,320, up 650 (0.84%), with a trading volume of 8.35 million lots and an open interest of 17.26 million lots [3] - Aluminum (AL2506) latest price is 19,760, down 110 (-0.55%), with a trading volume of 13.87 million lots and an open interest of 18.38 million lots [3] - Other metals such as zinc, lead, nickel, etc., also have detailed price, trading volume, and open interest data provided [3] Group 3: Option Factors Option Factor - Volume and Open Interest PCR - Copper option volume PCR is 1.50, open interest PCR is 1.26, indicating certain market sentiment [4] - Aluminum option volume PCR is 1.72, open interest PCR is 1.56, reflecting the market's view on the underlying [4] Option Factor - Pressure and Support Levels - Copper option pressure point is 80,000, support point is 70,000 [5] - Aluminum option pressure point is 20,000, support point is 19,000 [5] Option Factor - Implied Volatility - Copper option at - the - money implied volatility is 15.60%, weighted implied volatility is 22.92% [6] - Aluminum option at - the - money implied volatility is 10.56%, weighted implied volatility is 13.12% [6] Group 4: Strategy Suggestions Non - ferrous Metals - Copper options: Build a short - volatility strategy and a spot hedging strategy [9] - Aluminum options: Build a neutral short - call and short - put option combination strategy and a spot collar strategy [10] Precious Metals - Gold options: Build a bull spread strategy, a short - volatility strategy, and a spot hedging strategy [13] - Silver options: Similar strategies considering the market conditions [13] Black Metals - Rebar options: Build a short - call and short - put option combination strategy and a spot covered call strategy [14] - Iron ore options: Build a short - call and short - put option combination strategy and a spot collar strategy [14]

金属期权 2025-05-06 金属期权策略早报 | 卢品先 | 期权研究员 | 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 | 金属期权策略早报概要：（1）有色金属盘整震荡偏上，构建做空波动率策略策略；（2）黑色系波动较大，适合构 建卖方期权组合策略；（3）贵金属延续偏强走势创历史新高大幅回落后止跌回升，构建牛市价差组合策略、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) | | (万手) | | | 铜 | CU2506 | 77,220 | -370 | -0.48 ...