Report Title - Metal Options Strategy Morning Report [1] Report Date - May 30, 2025 Core Viewpoints - For non - ferrous metals in consolidation and oscillation, construct short - volatility strategies; for the black series in weak consolidation, construct bearish price - spread combination strategies and seller option combination strategies; for precious metals after a sharp rebound and then a small consolidation, construct short - volatility strategies and spot hedging strategies [2] Industry Investment Rating - Not provided in the report Summary by Relevant Catalogs 1. Futures Market Overview - Different metal futures have various price changes, trading volumes, and open interest changes. For example, the copper futures contract CU2507 has a latest price of 77,850, a decline of 140, and a decline rate of - 0.18%, with a trading volume of 8.02 million lots and an open interest of 17.48 million lots [3] 2. Option Factors - Volume and Open Interest PCR - The volume and open interest PCR of different metal options show different trends. For instance, the copper option has a volume PCR of 1.34 with a change of 0.07 and an open interest PCR of 1.17 with a change of - 0.05 [4] 3. Option Factors - Pressure and Support Levels - From the perspective of option factors, different metal options have corresponding pressure and support levels. For example, the pressure level of copper is 80,000 and the support level is 70,000 [5] 4. Option Factors - Implied Volatility - The implied volatility of different metal options varies. For example, the copper option has a flat - value implied volatility of 11.92%, a weighted implied volatility of 16.53% with a change of 0.05 [6] 5. Strategy and Recommendations for Different Metals Non - ferrous Metals - **Copper**: Construct a bullish option bull - spread combination strategy, a short - volatility seller option combination strategy, and a spot long - hedging strategy [8] - **Aluminum/Alumina**: Construct a bullish option bull - spread combination strategy, a short - neutral call + put option combination strategy, and a spot collar strategy [9] - **Zinc/Lead**: Construct a short - neutral call + put option combination strategy and a spot collar strategy [9] - **Nickel**: Construct a short - bearish call + put option combination strategy and a spot long - hedging strategy [10] - **Tin**: Construct a bearish option bear - spread combination strategy, a short - volatility strategy, and a spot collar strategy [10] - **Lithium Carbonate**: Construct a bearish option bear - spread combination strategy, a short - bearish call + put option combination strategy, and a spot covered - call strategy [11] Precious Metals - **Gold/Silver**: Construct a short - neutral short - volatility option seller combination strategy and a spot hedging strategy [12] Black Series - **Rebar**: Construct a bearish option bear - spread combination strategy, a short - bearish call + put option combination strategy, and a spot covered - call strategy [13] - **Iron Ore**: Construct a short - neutral call + put option combination strategy and a spot long - collar strategy [13] - **Ferroalloys**: Construct a short - volatility strategy [14] - **Industrial Silicon/Polysilicon**: Construct a bearish option bear - spread combination strategy, a short - bearish call + put option combination strategy, and a spot covered - call strategy [14] - **Glass**: Construct a bearish option bear - spread combination strategy, a short - volatility call + put option combination strategy, and a spot long - collar strategy [15]

1. Report Industry Investment Rating There is no information provided regarding the industry investment rating in the given document. 2. Core Viewpoints of the Report - The agricultural product options market shows different trends in various sectors. Oilseeds and oils are in a range - bound consolidation, with oils and beans showing a weak trend. Agricultural by - products are in a volatile trend, soft commodities like sugar are weak and cotton is in a high - level consolidation after a rebound. Grains such as corn and starch are gradually warming up and then in a narrow - range consolidation [2]. - Strategies suggest constructing option portfolio strategies mainly based on sellers, as well as spot hedging or covered call strategies to enhance returns [2]. 3. Summary by Relevant Catalogs 3.1. Futures Market Overview - Different agricultural product options have different price movements, trading volumes, and open interest changes. For example, the price of soybeans (A2507) increased by 0.29% to 4,123, with a trading volume of 10.04 million lots and an open interest of 14.44 million lots [3]. 3.2. Option Factors - Volume and Open Interest PCR - Volume PCR and open interest PCR are used to describe the strength of the option underlying market and the turning point of the market. For instance, the volume PCR of soybeans (A2507) is 1.00 with a change of 0.32, and the open interest PCR is 0.48 with a change of 0.02 [4]. 3.3. Option Factors - Pressure and Support Levels - Pressure and support levels of option underlyings are determined by the strike prices of the maximum open interest of call and put options. For example, the pressure level of soybeans (A2507) is 4,300 and the support level is 4,000 [5]. 3.4. Option Factors - Implied Volatility - Implied volatility includes 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 soybeans (A2507) is 10.005%, and the weighted implied volatility is 13.50% with a change of - 0.47 [6]. 3.5. Option Strategies and Recommendations 3.5.1. Oilseeds and Oils Options - **Soybeans (A2507, B2509)**: In terms of fundamentals, soybean inventory decreased week - on - week but increased year - on - year. The market is in a high - level consolidation. Option strategies include constructing a neutral short call + put option portfolio and a long collar strategy for spot hedging [7]. - **Soybean Meal (M2507), Rapeseed Meal (RM2507)**: The trading volume of soybean meal decreased. The market is in a rebound and consolidation. Option strategies include constructing a neutral short call + put option portfolio and a long collar strategy for spot hedging [9]. - **Palm Oil (P2507), Soybean Oil (Y2507), Rapeseed Oil (OI2507)**: The inventory of the three major oils decreased week - on - week but increased year - on - year. The market is in a volatile trend. Option strategies include constructing a neutral short call + put option portfolio and a long collar strategy for spot hedging [10]. - **Peanuts (PK2510)**: The price of peanuts has rebounded after a long - term decline. Option strategies include constructing a bull call spread for directional trading and a long + put + short call strategy for spot hedging [11]. 3.5.2. Agricultural By - products Options - **Pigs (LH2507)**: The spot price of pigs is weak in the short term. The market is in a wide - range consolidation. Option strategies include constructing a neutral short call + put option portfolio and a covered call strategy for spot hedging [11]. - **Eggs (JD2507)**: The inventory of laying hens is increasing, and the market is in a downward trend. Option strategies include constructing a bear put spread for directional trading and a short call + put option portfolio with a short delta for volatility trading [12]. - **Apples (AP2510)**: The cold - storage inventory of apples decreased. The market is in a weak downward trend. Option strategies include constructing a bear put spread for directional trading and a short call + put option portfolio with a short delta for volatility trading [12]. - **Jujubes (CJ2509)**: The market trading of jujubes is light. The market is in a weak downward trend. Option strategies include constructing a bear put spread for directional trading, a short strangle for volatility trading, and a covered call strategy for spot hedging [13]. 3.5.3. Soft Commodities Options - **Sugar (SR2507)**: The export volume of Brazilian sugar to China decreased. The market is in a weak and volatile trend. Option strategies include constructing a short call + put option portfolio with a short delta and a long collar strategy for spot hedging [13]. - **Cotton (CF2507)**: The开机 rate of spinning mills decreased slightly, and the market is in a volatile trend after a rebound. Option strategies include constructing a neutral short call + put option portfolio and a covered call strategy for spot hedging [14]. 3.5.4. Grains Options - **Corn (C2507), Starch (CS2507)**: The price of corn in the northeast decreased slightly, and the market is in a rectangular - range consolidation. Option strategies include constructing a neutral short call + put option portfolio [14].

金融期权 2025/05/30 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：金融期权震荡上涨，中小盘股和创业板股表现震荡偏强。 （2）金融期权波动性分析：金融期权隐含波动率历史较低水平水平波动。 （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) ...

农产品期权 2025-05-28 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 | 农产品期权策略早报概要：油料油脂类农产品区间盘整，油脂类，豆类偏弱行情，农副产品维持震荡行情，软商品 白糖上升受阻回落，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 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | （%） | (万手) | | (万手) | | | 豆一 | A2507 | 4,129 | -4 ...

1. Report Industry Investment Rating No relevant information provided. 2. Core View of the Report - The energy - chemical industry includes energy, polyolefins, polyesters, alkali chemicals, etc. 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 Market Overview of Underlying Futures - The latest prices, price changes, trading volumes, and open interest changes of various energy - chemical futures are presented, such as the latest price of crude oil SC2507 is 456, down 1 (-0.11%), with a trading volume of 15.70 million lots and an open interest of 3.13 million lots [3]. 3.2 Option Factors - Volume and Open Interest PCR - The volume and open interest PCR of various energy - chemical 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 volume PCR of crude oil options is 0.97, down 0.09, and the open interest PCR is 0.86, up 0.07 [4]. 3.3 Option Factors - Pressure and Support Levels - The pressure and support levels of various energy - chemical 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 crude oil is 570 and the support level is 400 [5]. 3.4 Option Factors - Implied Volatility - The implied volatility of various energy - chemical options is presented, including at - the - money implied volatility and weighted implied volatility. For example, the at - the - money implied volatility of crude oil is 33.145%, and the weighted implied volatility is 36.56%, up 0.10% [6]. 3.5 Strategy and Recommendations 3.5.1 Energy - related Options - **Crude Oil**: Fundamentally, OPEC+ plans to increase supply, but the actual increase is limited, and US supply rebounds with oil prices. The market shows a short - term upward and then downward trend. Option factors indicate high implied volatility and weakening short - term power. Strategies include constructing a neutral call + put option combination for volatility, and a long collar strategy for spot hedging [7]. - **LPG**: Fundamentally, the high inventory may ease. The market is in a weak short - term trend. Option factors show that the implied volatility fluctuates around the historical average, and the short - term power is still weak. Strategies include constructing a short - biased call + put option combination for volatility, and a long collar strategy for spot hedging [9]. 3.5.2 Alcohol - related Options - **Methanol**: Fundamentally, port and enterprise inventories increase, and orders decrease. The market is in a weak downward trend. Option factors show that the implied volatility fluctuates around the historical average, and there is certain support below. Strategies include constructing a bear spread of put options for direction, a neutral call + put option combination for volatility, and a long collar strategy for spot hedging [9]. - **Ethylene Glycol**: Fundamentally, port inventory is decreasing. The market shows a short - term upward and then downward trend. Option factors indicate high implied volatility and a strong short - term shock. Strategies include constructing a short - volatility strategy for volatility, and a long collar strategy for spot hedging [10]. 3.5.3 Polyolefin - related Options - **Polypropylene**: Fundamentally, the inventory of production enterprises and traders shows different trends. The market shows a short - term upward and then downward trend. Option factors show that the implied volatility fluctuates above the historical average, and the short - term power is weakening. Strategies include a long collar strategy for spot hedging [10]. 3.5.4 Rubber - related Options - **Rubber**: Fundamentally, the social inventory decreases. The market shows a short - term upward and then downward trend. Option factors show that the implied volatility fluctuates around the average, and the short - term power is weak. Strategies include constructing a bear spread of put options for direction, and a short - biased call + put option combination for volatility [11]. 3.5.5 Polyester - related Options - **PTA**: Fundamentally, the polyester load decreases, and the inventory and profit of different products vary. The market is in a long - term upward and high - level shock trend. Option factors show that the implied volatility is high, and the short - term power is strengthening. Strategies include constructing a long - biased call + put option combination for volatility [12]. 3.5.6 Alkali - related Options - **Caustic Soda**: Fundamentally, downstream replenishment supports the market, but the sustainability is uncertain. The market shows a short - term shock trend. Option factors show that the implied volatility is decreasing, and the short - term power is weak. Strategies include constructing a short - biased wide - straddle option combination for volatility, and a covered call strategy for spot hedging [13]. - **Soda Ash**: Fundamentally, production decreases and inventory increases. The market is in a weak downward trend. Option factors show that the implied volatility is rising, and the short - term power is weak. Strategies include constructing a bear spread of put options for direction, a neutral call + put option combination for volatility, and a long collar strategy for spot hedging [13]. 3.5.7 Urea - related Options - Fundamentally, the inventory increases, and the market sentiment cools down. The market shows a short - term upward and then downward trend. Option factors show that the implied volatility is decreasing, and the short - term long - term power is strong. Strategies include constructing a neutral call + put option combination for volatility, and a long collar strategy for spot hedging [14].

Report Overview - Report Date: May 23, 2025 [1] - Report Type: Agricultural Product Options Strategy Morning Report - Analysts: Lu Pinxian, Huang Kehan [2] Industry Investment Rating - Not provided in the report Core Viewpoints - Oilseeds and oils agricultural products are in a range-bound consolidation, with oils and beans showing a weak trend, while agricultural by-products maintain a volatile market. Soft commodities such as sugar face resistance in rising and then decline, and cotton consolidates at a high level after a rebound. Grains like corn and starch gradually recover and then consolidate in a narrow range [2]. - Strategies suggest constructing option portfolio strategies mainly based on sellers, as well as spot hedging or covered strategies to enhance returns [2]. Summary by Directory 1. Futures Market Overview - Various agricultural product futures show different price movements, trading volumes, and open interest changes. For example, soybean No.1 (A2507) is at 4,204 with no change, soybean No.2 (B2509) rises to 3,572 with a 0.45% increase, etc. [3] 2. Option Factors - Volume and Open Interest PCR - Different option varieties have varying volume and open interest PCR values and their changes, which are used to describe the strength of the option underlying market and the turning point of the underlying market [4]. 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 different option underlying are provided, such as the pressure level of soybean No.1 is 4,500 and the support level is 4,000 [5]. 4. Option Factors - Implied Volatility - Each option variety has different implied volatility indicators, including at-the-money implied volatility, weighted implied volatility, and their changes, as well as the difference between implied and historical volatility [6]. 5. Strategy and Recommendations 5.1 Oilseeds and Oils Options - **Soybean No.1 and No.2**: The oil mill operating rate is about 50.62%. The soybean market has shown a high-level consolidation and decline recently. The implied volatility of soybean No.1 options remains at a relatively high level compared to historical averages. Recommendations include constructing a neutral short call + put option combination strategy and a long collar strategy for spot hedging [7]. - **Soybean Meal and Rapeseed Meal**: The average daily trading volume of soybean meal in mainstream oil mills has decreased. The market has shown a weakening trend. Recommendations include constructing a bear spread strategy for put options, a short-biased call + put option combination strategy, and a long collar strategy for spot hedging [9]. - **Palm Oil, Soybean Oil, and Rapeseed Oil**: Malaysian palm oil has significantly increased its inventory. The palm oil market has shown a decline after a high-level rebound. Recommendations include constructing a neutral short call + put option combination strategy and a long collar strategy for spot hedging [10]. - **Peanut**: The spot price of peanuts in some regions has changed, and the market has shown a rebound after a long - term weak trend. Recommendations include a long collar strategy for spot hedging [11]. 5.2 Agricultural By - product Options - **Pig**: The average price of pigs in some regions has decreased, and the market is in a wide - range consolidation. Recommendations include constructing a neutral short call + put option combination strategy and a covered call strategy for spot [11]. - **Egg**: The cost of eggs is relatively low, and the inventory of laying hens has increased. The egg market has shown a weakening trend. Recommendations include constructing a bear spread strategy for put options, a short - biased call + put option combination strategy [12]. - **Apple**: The cold storage inventory of apples has decreased, and the market has shown a significant decline recently. Recommendations include constructing a bear spread strategy for put options and a short - biased call + put option combination strategy [12]. - **Jujube**: The supply of jujube in the market is sufficient, and the market has shown a weakening trend. Recommendations include constructing a bear spread strategy for put options, a short - biased wide - straddle option combination strategy, and a covered call strategy for spot hedging [13]. 5.3 Soft Commodity Options - **Sugar**: The export and arrival volume of Brazilian sugar to China has changed, and the sugar market is in a range - bound consolidation. Recommendations include constructing a neutral short call + put option combination strategy and a long collar strategy for spot hedging [13]. - **Cotton**: The USDA's May supply - demand report shows a slight increase in the estimated US cotton production. The cotton market has shown a rebound after a decline. Recommendations include constructing a neutral short call + put option combination strategy and a covered call strategy for spot [14]. 5.4 Grain Options - **Corn and Starch**: The new - season US corn production is expected to increase, and the domestic corn market has shown a volatile upward trend. Recommendations include constructing a neutral short call + put option combination strategy [14].

金属期权 2025-05-22 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后逐 渐回落，适合构建卖方期权组合策略；（3）贵金属高位回落转弱止跌反弹大幅上扬，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) | | (万手) | | | 铜 | CU2507 | 77,550 | -240 | -0.31 | 4.88 | ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The agricultural product options market shows a diversified trend. Oilseeds and oils are in a range - bound consolidation, with oils and beans showing a weak trend. Agricultural by - products maintain a volatile trend. Soft commodities like sugar face resistance in rising and then decline, while 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 According to 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 (A2507) is 4,219, up 13 (0.31%), with a trading volume of 173,000 lots and an open interest of 159,500 lots [3]. 3.2. Option Factor - Volume and Open Interest PCR - The volume and open interest PCR of different agricultural product options reflect the market sentiment and potential turning points of the underlying assets. For instance, the volume PCR of soybean No.1 is 0.33, down 0.08, and the open interest PCR is 0.55, down 0.05 [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 different agricultural product options are identified. For example, the pressure level of soybean No.1 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 shows different trends compared to historical averages. For example, the weighted implied volatility of soybean No.1 is 15.29%, up 0.46% compared to the previous period, and the difference between implied and historical volatility is - 2.22% [6]. 3.5. Option Strategies and Recommendations 3.5.1. Oilseeds and Oils Options - **Soybean No.1 and No.2**: With an oil mill operating rate of about 50.62%, soybean No.1 shows a high - level consolidation and decline recently. It is recommended to construct a neutral call + put option selling strategy and a long collar strategy for spot hedging [7]. - **Soybean Meal and Rapeseed Meal**: The daily average trading volume of soybean meal has decreased, and the inventory has increased. It is recommended to construct a bear spread strategy for put options and a short - biased call + put option selling strategy, as well as a long collar strategy for spot hedging [9]. - **Palm Oil, Soybean Oil, and Rapeseed Oil**: Palm oil may continue to accumulate inventory. It is recommended to construct a neutral call + put option selling strategy and a long collar strategy for spot hedging [10]. - **Peanuts**: The spot price of peanuts shows different trends, and the oil mill operating rate has decreased. It is recommended to hold a long spot position + buy put options + sell out - of - the - money call options for spot hedging [11]. 3.5.2. Agricultural By - products Options - **Pigs**: The average price of pigs has decreased, and the consumption environment is weak. It is recommended to construct a neutral call + put option selling strategy and a covered call strategy for spot hedging [11]. - **Eggs**: The cost of eggs is low, and the inventory of laying hens has increased. It is recommended to construct a bear spread strategy for put options and a short - biased call + put option selling strategy [12]. - **Apples**: The cold - storage inventory of apples has decreased. It is recommended to construct a neutral call + put option selling strategy [12]. - **Jujubes**: The supply of jujubes is sufficient. It is recommended to construct a bear spread strategy for put options, a short - biased strangle option selling strategy, and a covered call strategy for spot hedging [13]. 3.5.3. Soft Commodities Options - **Sugar**: The export volume of Brazilian sugar to China has changed. It is recommended to construct a neutral call + put option selling strategy and a long collar strategy for spot hedging [13]. - **Cotton**: The US cotton production is expected to increase slightly. It is recommended to construct a neutral call + put option selling strategy and a covered call strategy for spot hedging [14]. 3.5.4. Grains Options - **Corn and Starch**: The new - season corn production in the US may increase, and the price of domestic corn has increased. It is recommended to construct a neutral call + put option selling strategy [14].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The energy - chemical sector is divided into energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others. Strategies mainly focus on building option combinations based on different varieties' fundamentals and market trends to enhance returns and hedge risks [2][8]. 3. Summary by Related Catalogs 3.1 Futures Market Overview - The latest prices, price changes, trading volumes, and open interest changes of various energy - chemical futures are presented, such as the latest price of crude oil futures SC2507 being 463, down 5 with a decline of 1.09%, trading volume of 155,000 lots, and open interest of 29,100 lots [3]. 3.2 Option Factor Analysis 3.2.1 Volume - Open Interest PCR - The volume and open - interest PCR of various energy - chemical options are provided, along with their changes. For example, the volume PCR of crude oil options is 0.80, an increase of 0.05; the open - interest PCR is 0.81, an increase of 0.06 [4]. 3.2.2 Pressure and Support Levels - The pressure and support levels of various energy - chemical options are analyzed from the perspective of the maximum open interest of call and put options. For instance, the pressure level of crude oil is 570, and the support level is 400 [5]. 3.2.3 Implied Volatility - The implied volatility data of various energy - chemical options are presented, including at - the - money implied volatility, volume - weighted implied volatility, and its changes. For example, the at - the - money implied volatility of crude oil is 28.845%, and the volume - weighted implied volatility is 31.90%, an increase of 0.18% [6]. 3.3 Strategy and Recommendations 3.3.1 Energy - Related Options - **Fundamentals and Market Analysis**: OPEC+ plans to increase supply, but actual exports have not significantly increased. US shale oil production has rebounded. Crude oil prices have shown a pattern of short - term recovery followed by a decline [7]. - **Option Factor Research**: Implied volatility is at a relatively high level, and the open - interest PCR is below 0.80, indicating a release of short - term bearish forces. The pressure level is 570, and the support level is 400 [7]. - **Option Strategies**: Construct a neutral short - call + short - put option combination strategy for volatility, and a long - collar strategy for spot long - position hedging [7]. 3.3.2 Liquefied Petroleum Gas (LPG) Options - **Fundamentals and Market Analysis**: Saudi CP expectations for propane and butane in June and July are rising. LPG prices have been in a wide - range rectangular shock and are gradually weakening [9]. - **Option Factor Research**: Implied volatility fluctuates around the historical average, and the open - interest PCR is around 0.80, indicating a weak market. The pressure level is 4600, and the support level is 3900 [9]. - **Option Strategies**: Build a short - biased put + call option combination strategy for volatility, and a long - collar strategy for spot long - position hedging [9]. 3.3.3 Methanol Options - **Fundamentals and Market Analysis**: Port inventories are decreasing, and enterprise inventories are increasing. Methanol prices have shown a pattern of recent increase followed by a decline [9]. - **Option Factor Research**: Implied volatility fluctuates around the historical average, and the open - interest PCR is above 1.00, indicating support below. The pressure level is 2950, and the support level is 2050 [9]. - **Option Strategies**: Construct a bull - spread strategy for call options, a neutral short - call + short - put option combination strategy for volatility, and a long - collar strategy for spot long - position hedging [9]. 3.3.4 Ethylene Glycol Options - **Fundamentals and Market Analysis**: Port inventories are decreasing, and the market is in a de - stocking pattern. Ethylene glycol prices have shown a short - term bullish trend [10]. - **Option Factor Research**: Implied volatility is at a relatively high level, and the open - interest PCR is around 1.00, indicating a strong shock. The pressure level is 4700, and the support level is 4400 [10]. - **Option Strategies**: Construct a bull - spread strategy for call options, a short - volatility strategy, and a long - collar strategy for spot long - position hedging [10]. 3.3.5 Polypropylene (PP) Options - **Fundamentals and Market Analysis**: PP production enterprise inventories are decreasing, and trade inventories are increasing. PP prices have shown a pattern of recent increase followed by a decline [10]. - **Option Factor Research**: Implied volatility fluctuates above the historical average, and the open - interest PCR is below 1.00. The pressure level is 7500, and the support level is 6800 [10]. - **Option Strategies**: Construct a bull - spread strategy for call options and a long - collar strategy for spot long - position hedging [10]. 3.3.6 Rubber Options - **Fundamentals and Market Analysis**: Natural rubber inventories are slightly increasing. Rubber prices have shown a pattern of recent increase followed by a decline [11]. - **Option Factor Research**: Implied volatility fluctuates around the average, and the open - interest PCR is below 0.60. The pressure level is 21000, and the support level is 13500 [11]. - **Option Strategies**: Construct a bull - spread strategy for call options and a neutral short - call + short - put option combination strategy for volatility [11]. 3.3.7 PTA Options - **Fundamentals and Market Analysis**: PTA and polyester loads are increasing. PTA prices have shown a bullish trend and high - level shock [12]. - **Option Factor Research**: Implied volatility is at a relatively high level, and the open - interest PCR is above 1.00, indicating a strengthening market. The pressure level is 5000, and the support level is 3800 [12]. - **Option Strategies**: Construct a bull - spread strategy for call options and a long - biased short - call + short - put option combination strategy for volatility [12]. 3.3.8 Caustic Soda Options - **Fundamentals and Market Analysis**: Downstream alumina production cuts are expanding, and caustic soda inventories are increasing. Caustic soda prices have shown a short - term shock [13]. - **Option Factor Research**: Implied volatility is decreasing, and the open - interest PCR is below 0.60, indicating a weak market. The pressure level is 2600, and the support level is 2400 [13]. - **Option Strategies**: Construct a short - strangle option combination strategy for volatility and a covered - call strategy for spot long - position hedging [13]. 3.3.9 Soda Ash Options - **Fundamentals and Market Analysis**: Soda ash production and inventories are increasing, and glass production is low. Soda ash prices have shown a weak bearish trend [13]. - **Option Factor Research**: Implied volatility is at a relatively high level, and the open - interest PCR is below 0.50, indicating a weak shock. The pressure level is 1400, and the support level is 1220 [13]. - **Option Strategies**: Construct a bear - spread strategy for put options, a neutral short - call + short - put option combination strategy for volatility, and a long - collar strategy for spot long - position hedging [13]. 3.3.10 Urea Options - **Fundamentals and Market Analysis**: Urea enterprise inventories are decreasing, and pre - orders are increasing. Urea prices have shown a pattern of increase followed by a shock [14]. - **Option Factor Research**: Implied volatility is at a relatively low level, and the open - interest PCR is above 1.00, indicating a strong bullish force. The pressure level is 1960, and the support level is 1700 [14]. - **Option Strategies**: Construct a bull - spread strategy for call options, a neutral short - call + short - put option combination strategy for volatility, and a long - collar strategy for spot long - position hedging [14].

金属期权 2025-05-21 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后逐 渐回落，适合构建卖方期权组合策略；（3）贵金属高位回落转弱止跌反弹大幅上扬，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) | | (万手) | | | 铜 | CU2506 | 78,140 | 280 | 0.36 | 6.67 | -1 ...