1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - The overall trend of agricultural product options is mixed, with oilseeds and oils showing a weak and volatile trend, while some products like apples show a warming - up trend [2] - It is recommended to construct option combination strategies mainly based on sellers, as well as spot hedging or covered call strategies to enhance returns [2] 3. Summary by Related Catalogs 3.1 Market Overview of Underlying Futures - Different agricultural product options have different price changes, trading volumes, and open - interest changes. For example, the latest price of soybean No.1 (A2511) is 3,956, with no change and a trading volume of 11.44 million lots [3] 3.2 Option Factors - Volume and Open - Interest PCR - The volume and open - interest PCR of each option variety reflect different market trends. For example, the volume PCR of soybean No.1 is 0.54, with a change of - 0.02, and the open - interest PCR is 0.42, with a change of - 0.00 [4] 3.3 Option Factors - Pressure and Support Levels - From the perspective of option factors, each option variety has corresponding pressure and support levels. For example, the pressure level of soybean No.1 is 4,100, and the support level is 3,900 [5] 3.4 Option Factors - Implied Volatility - The implied volatility of each option variety shows different characteristics. For example, the weighted implied volatility of soybean No.1 is 12.08, with a change of - 0.13 [6] 3.5 Strategies and Recommendations 3.5.1 Oilseeds and Oils Options - **Soybean No.1 and No.2**: The fundamentals of US soybeans have a neutral - to - negative impact. For soybean No.1, it is recommended to construct a selling option combination strategy to obtain time value and use a long collar strategy for spot hedging [7] - **Soybean Meal and Rapeseed Meal**: For soybean meal, a bear spread strategy of put options can be constructed, and a selling option combination strategy with a short bias can be used. A long collar strategy is also recommended for spot hedging [9] - **Palm Oil, Soybean Oil, and Rapeseed Oil**: For palm oil, a selling option combination strategy with a long bias can be constructed, and a long collar strategy is used for spot hedging [10] - **Peanuts**: A bear spread strategy of put options can be constructed, and a long collar strategy is used for spot hedging [11] 3.5.2 Agricultural By - product Options - **Pigs**: A selling option combination strategy with a short bias can be constructed, and a covered call strategy is used for spot hedging [11] - **Eggs**: A bear spread strategy of put options can be constructed, and a selling option combination strategy with a short bias can be used [12] - **Apples**: A selling option combination strategy with a long bias can be constructed [12] - **Jujubes**: A short - biased wide - straddle option combination strategy can be constructed, and a covered call strategy is used for spot hedging [13] 3.5.3 Soft Commodity Options - **Sugar**: A selling option combination strategy with a short bias can be constructed, and a long collar strategy is used for spot hedging [13] - **Cotton**: A selling option combination strategy with a long bias can be constructed, and a covered call strategy is used for spot hedging [14] 3.5.4 Grain Options - **Corn and Starch**: A selling option combination strategy with a short bias can be constructed [14]

1. Report Industry Investment Rating No relevant content provided. 2. Core Views of the Report - The metal sector is divided into non - ferrous metals, precious metals, and black metals. Different strategies are recommended for each sector and its selected varieties based on their market conditions and option factors [8]. - For non - ferrous metals, which are in a weak and volatile state, a seller's neutral volatility strategy is recommended. Black metals maintain a large - amplitude volatile market, suitable for building a short - volatility portfolio strategy. Precious metals show a bullish upward trend, and a spot hedging strategy is suggested [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 are provided, including copper, aluminum, zinc, etc. For example, the latest price of copper (CU2510) is 80,810, with a price increase of 150 and a trading volume of 9.16 million lots [3]. 3.2 Option Factors - PCR - The PCR indicators (volume PCR and open interest PCR) of various metal options are presented. These indicators are used to describe the strength of option underlying market trends and potential turning points. For instance, the volume PCR of copper options is 0.30, with a change of - 0.08, and the open interest PCR is 0.72, with a change of 0.01 [4]. 3.3 Option Factors - Pressure and Support Levels - The pressure and support levels of various metal options are analyzed. For example, the pressure point of copper options is 82,000, and the support point is 78,000. These levels are determined by the strike prices with the maximum open interest of call and put options [5]. 3.4 Option Factors - Implied Volatility - The implied volatility data of various metal options 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 copper options is 17.51%, and the weighted implied volatility is 19.24% [6]. 3.5 Strategy and Recommendations 3.5.1 Non - Ferrous Metals - **Copper Options**: Fundamentally, the inventory of the three major exchanges has increased by 12,000 tons. The market shows a high - level consolidation with support below. Option strategies include building a short - volatility seller's option portfolio and a spot hedging strategy [7]. - **Aluminum/Alumina Options**: Aluminum inventory has decreased, and the market shows a bullish upward trend. Strategies include a bullish call spread strategy, a short - neutral call + put option combination strategy, and a spot collar strategy [9]. - **Zinc/Pb Options**: Zinc inventory has increased, and the market shows a volatile decline. Strategies include a short - neutral call + put option combination strategy and a spot collar strategy [9]. - **Nickel Options**: Nickel inventory has increased, and the market shows a wide - range volatile pattern with upward pressure. Strategies include a short - bearish call + put option combination strategy and a spot covered call strategy [10]. - **Tin Options**: Tin supply is tight, and the market shows a short - term high - level volatile pattern with upward pressure. Strategies include a short - volatility strategy and a spot collar strategy [10]. - **Lithium Carbonate Options**: Lithium carbonate inventory has decreased, and the market shows a large - amplitude volatile and continuous decline. Strategies include a short - bearish call + put option combination strategy and a spot hedging strategy [11]. 3.5.2 Precious Metals - **Gold/Silver Options**: For gold, inflation data in the US is lower than expected, and the market shows a short - term consolidation and a strong upward breakthrough. Strategies include a bullish call spread strategy, a short - bullish volatility option seller's combination strategy, and a spot hedging strategy [12]. 3.5.3 Black Metals - **Rebar Options**: Rebar inventory has increased, and the market shows a weak consolidation with upward pressure. Strategies include a short - bearish call + put option combination strategy and a spot covered call strategy [13]. - **Iron Ore Options**: Iron ore inventory has increased, and the market shows a volatile rebound. Strategies include a short - neutral call + put option combination strategy and a spot collar strategy [13]. - **Ferroalloy Options**: Manganese silicon shows a weak and bearish market. Strategies include a short - volatility strategy [14]. - **Industrial Silicon/Polysilicon Options**: Industrial silicon production has increased, and the market shows a large - amplitude volatile pattern with upward pressure. Strategies include a short - volatility call + put option combination strategy and a spot hedging strategy [14]. - **Glass Options**: Glass inventory has decreased, and the market shows a weak market with upward pressure. Strategies include a short - volatility call + put option combination strategy and a spot collar strategy [15].

Group 1 - The article emphasizes the importance of understanding volatility in options trading, highlighting that a precise grasp of volatility is key to improving trading success rates [1][2] - It distinguishes between price fluctuations and volatility itself, explaining that price fluctuations are actual market movements, while volatility measures the intensity of these movements [1][2] - The concept of volatility has evolved from traditional commodity trading, where price changes were the main focus, to a critical variable in options pricing models [2][3] Group 2 - Historical volatility is defined as the standard deviation of price changes over a specific period, often annualized for practical use, and serves as a reference for predicting future volatility [3][5] - Implied volatility, in contrast, reflects market participants' expectations of future price fluctuations and is derived from observed market prices, acting as a gauge of market sentiment [4][5] - The relationship between historical and implied volatility is significant, as changes in one can influence the other, indicating potential future price movements [5]

Group 1 - The core concept of options volatility strategy emphasizes the importance of analyzing volatility over the option price itself, as volatility is a critical indicator for investors when trading options [1] - Volatility can be categorized into implied volatility and historical volatility, with implied volatility reflecting market expectations of future price fluctuations [6][7] - The article outlines various volatility strategies, including long volatility strategies such as buying straddles and strangles, which are used when significant price movements are anticipated without a clear direction [3][4][6] Group 2 - A long straddle strategy involves purchasing both a call and a put option with the same strike price and expiration date, allowing for profit if the underlying asset's price moves significantly in either direction [3] - A long strangle strategy entails buying a call option with a higher strike price and a put option with a lower strike price, which is generally less expensive than a straddle and can yield high returns during significant price movements [4] - Directly purchasing volatility index futures, such as VIX futures, is another strategy employed when investors expect an increase in market volatility, allowing them to profit from rising volatility [4] Group 3 - The article also discusses short volatility strategies, where investors can profit from a decrease in volatility by selling options when volatility is expected to revert to its mean [7] - Historical volatility is calculated using past data, while implied volatility is derived from option pricing models, indicating market sentiment regarding future volatility [7] - The strategies discussed can be particularly effective during events that cause significant market fluctuations, such as geopolitical tensions or economic announcements [6][7]

Group 1: Volatility Index Introduction - 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 volatility 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: a larger difference indicates that the implied volatility is relatively higher than historical volatility, and a smaller difference means the opposite [3] Group 2: Implied Volatility Quantile Ranking - The historical volatility quantile ranking of 50ETF is 0.81 [7] - The historical volatility quantile ranking of 300 Index is 0.79 [5] Group 3: Implied Volatility and Historical Volatility Difference Graph Explanation - The implied volatility quantile represents the current level of the implied volatility of a variety in history. A high quantile means the current implied volatility is high, and a low quantile means it is low [8] - The volatility spread refers to the implied volatility index minus the historical volatility [8]

1. Report Industry Investment Rating - Not provided in the given content 2. Core Viewpoints of the Report - The agricultural product sector shows different trends: oilseeds and oils are weakly volatile, oils and agricultural by - products are in a volatile market, soft commodity sugar has a slight fluctuation, cotton is weakly consolidating, and grains such as corn and starch are in a weakly narrow - range consolidation. It is recommended to construct option portfolio strategies mainly as sellers, as well as spot hedging or covered strategies to enhance returns [2] 3. Summary by Relevant Catalogs 3.1 Futures Market Overview - Multiple agricultural product futures are presented with details on latest price, change, change rate, trading volume, volume change, open interest, and open interest change. For example, the latest price of soybean (A2511) is 3,957 with a 0.79% increase, and its trading volume is 10.36 million lots with a decrease of 4.26 million lots [3] 3.2 Option Factor - Volume and Open Interest PCR - Volume PCR and open interest PCR are calculated for various option varieties. For instance, the volume PCR of soybean (A2511) is 0.56 with a - 0.21 change, and the open interest PCR is 0.42 with a - 0.01 change. These factors are used to describe the strength of the option underlying market and the turning point of the underlying market [4] 3.3 Option Factor - Pressure and Support Levels - Pressure and support levels are determined for each option variety based on the strike prices with the largest open interest of call and put options. For example, the pressure level of soybean (A2511) is 4,100 and the support level is 3,900 [5] 3.4 Option Factor - Implied Volatility - Implied volatility data including at - the - money implied volatility, weighted implied volatility, and its change, annual average, call and put implied volatility, historical volatility, and the difference between implied and historical volatility are provided for different option varieties. For example, the at - the - money implied volatility of soybean (A2511) is 10.25%, and the weighted implied volatility is 12.21% with a - 0.42 change [6] 3.5 Strategy and Recommendations 3.5.1 Oilseeds and Oils Options - **Soybean (A2511)**: Fundamental analysis shows that the US soybean good - rate is increasing, and Brazilian soybean import - related indicators have changed. The market has a short - term consolidation pattern. Option factors indicate high - level historical volatility, a weak - volatile market, and specific pressure and support levels. Strategies include a neutral call + put option selling combination for time - value gain, and a long - collar strategy for spot hedging [7] - **Soybean Meal (M2511)**: With sufficient supply and increasing inventory, the market is under pressure. Option factors show above - average historical volatility, a weak - volatile market, and specific pressure and support levels. Strategies include a bear - spread strategy for directional gain, a short - biased call + put option selling combination, and a long - collar strategy for spot hedging [9] - **Palm Oil (P2511)**: Malaysian palm oil production and inventory data show changes, and the market is in a high - level volatile pattern. Option factors show decreasing volatility, a bullish - biased market, and specific pressure and support levels. Strategies include a bull - biased call + put option selling combination for time - value gain, and a long - collar strategy for spot hedging [10] - **Peanut (PK2511)**: In the traditional off - season, the market is in a weak - consolidation pattern. Option factors show low - level historical volatility, a weak - volatile market, and specific pressure and support levels. Strategies include a bear - spread strategy for directional gain, and a long - collar - like strategy for spot hedging [11] 3.5.2 Agricultural By - products Options - **Pig (LH2511)**: Piglet prices and profits are falling, and the supply is expected to increase. The market is in a weak - consolidation pattern. Option factors show increasing volatility, a weak market, and specific pressure and support levels. Strategies include a short - biased call + put option selling combination for time - value and directional gain, and a covered call strategy for spot [11] - **Egg (JD2510)**: High - supply and low - demand situation persists, and the market is in a weak - bearish pattern. Option factors show high - level volatility, a weak - volatile market, and specific pressure and support levels. Strategies include a bear - spread strategy for directional gain, a short - biased call + put option selling combination, and no spot - hedging strategy [12] - **Apple (AP2511)**: Inventory issues and new - fruit listing affect the market, which is in a warming - up pattern. Option factors show above - average historical volatility, a weak - volatile market, and specific pressure and support levels. Strategies include a bull - biased call + put option selling combination for time - value gain, and no spot - hedging strategy [12] - **Jujube (CJ2601)**: Inventory is slightly decreasing, and the market is in a short - term decline pattern. Option factors show increasing volatility, a weak market, and specific pressure and support levels. Strategies include a short - biased wide - straddle option selling combination for time - value gain, and a covered call strategy for spot [13] 3.5.3 Soft Commodity Options - **Sugar (SR2511)**: Brazilian sugar production data and global supply - demand forecasts change. The market is in a weak - bearish pattern. Option factors show low - level historical volatility, a range - bound market, and specific pressure and support levels. Strategies include a short - biased call + put option selling combination for time - value gain, and a long - collar strategy for spot hedging [13] - **Cotton (CF2511)**: Brazilian cotton production is expected to increase, and the market is in a short - term weak pattern. Option factors show decreasing volatility, increasing bullish power, and specific pressure and support levels. Strategies include a bull - biased call + put option selling combination for time - value gain, and a covered call strategy for spot [14] 3.5.4 Grain Options - **Corn (C2511)**: With new - season corn approaching and sufficient supply, the market is in a weak - rebound pattern. Option factors show low - level historical volatility, a weak market, and specific pressure and support levels. Strategies include a short - biased call + put option selling combination for time - value gain, and no spot - hedging strategy [14]

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - For non - ferrous metals, a neutral volatility seller strategy is recommended for the current weak and volatile market; for the black series, a short - volatility combination strategy is suitable due to large - amplitude fluctuations; for precious metals, a spot hedging strategy is advisable as the bulls break through and rise [2]. 3. Summary by Relevant Catalogs 3.1 Futures Market Overview - The latest prices, price changes, trading volumes, and open interest changes of various metal futures such as copper, aluminum, zinc, etc. are presented. For example, the latest price of copper (CU2510) is 80,490, with a price increase of 410 and a trading volume of 6.48 million hands [3]. 3.2 Option Factor - Volume and Open Interest PCR - The volume PCR and open interest PCR of different 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 instance, the volume PCR of copper options is 0.38, with a change of - 0.20 [4]. 3.3 Option Factor - Pressure and Support Levels - The pressure and support levels of various metal options are given, which are determined by the strike prices with the largest open interest of call and put options. For example, the pressure level of copper options is 82,000, and the support level is 79,000 [5]. 3.4 Option Factor - Implied Volatility - The implied volatility data of different 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 11.62% [6]. 3.5 Strategy and Recommendations 3.5.1 Non - ferrous Metals - **Copper Options**: Build a short - volatility seller option portfolio strategy and a spot long - hedging strategy [7]. - **Aluminum/Alumina Options**: Construct a bull spread combination strategy for call options, a short - neutral call + put option combination strategy, and a spot collar strategy [9]. - **Zinc/Lead Options**: Build a short - neutral call + put option combination strategy and a spot collar strategy [9]. - **Nickel Options**: Construct a short - bearish call + put option combination strategy and a spot covered - call strategy [10]. - **Tin Options**: Build a short - volatility strategy and a spot collar strategy [10]. - **Lithium Carbonate Options**: Construct a short - bearish call + put option combination strategy and a spot long - hedging strategy [11]. 3.5.2 Precious Metals - **Gold/Silver Options**: Build a bull spread combination strategy for call options, a short - bullish volatility seller option portfolio strategy, and a spot hedging strategy [12]. 3.5.3 Black Series - **Rebar Options**: Build a short - bearish call + put option combination strategy and a spot covered - call strategy [13]. - **Iron Ore Options**: Construct a short - neutral call + put option combination strategy and a spot long - collar strategy [13]. - **Ferroalloy Options**: Build a short - volatility strategy [14]. - **Industrial Silicon/Polysilicon Options**: Construct a short - volatility call + put option combination strategy and a spot hedging strategy [14]. - **Glass Options**: Build a short - volatility call + put option combination strategy and a spot long - collar strategy [15].

金属期权 2025-09-11 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）有色金属偏弱震荡，构建卖方中性波动率策略策略；（2）黑色系维持大幅度波动的 行情走势，适合构建做空波动率组合策略；（3）贵金属多头上涨突破上行，构建现货避险策略。 | 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 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | （%） ...

Report Summary 1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints - For non - ferrous metals, a neutral volatility seller strategy can be constructed as they show a weak and volatile trend; for the black series, a short - volatility portfolio strategy is suitable due to large - amplitude fluctuations; for precious metals, a spot hedging strategy can be built as they break upward [2]. 3. Summary by Relevant Catalogs 3.1 Futures Market Overview - The latest prices, price changes, trading volumes, and open interest of various metal futures contracts are presented, such as the copper CU2510 contract with a latest price of 79,440, a decline of 500, and a trading volume of 5.54 million lots [3]. 3.2 Option Factor - Volume and Open Interest PCR - Volume and open - interest PCR data for different metal options are provided, which are used to describe the strength of the option underlying market and the turning points of the underlying market [4]. 3.3 Option Factor - Pressure and Support Levels - Pressure and support levels for different metal options are analyzed from the perspective of the strike prices with the largest open interest of call and put options [5]. 3.4 Option Factor - Implied Volatility - Implied volatility data for different metal options are presented, including at - the - money implied volatility, weighted implied volatility, and the difference between implied and historical volatility [6]. 3.5 Strategy and Recommendations - **Non - ferrous Metals** - **Copper**: Based on the stable inventory, the upward - trending price, and the option factors, a short - volatility seller option portfolio strategy and a spot long - hedging strategy are recommended [7]. - **Aluminum/Alumina**: Given the inventory changes, price trends, and option factors, a bull - spread strategy, a short - neutral call + put option combination strategy, and a spot collar strategy are suggested [9]. - **Zinc/Lead**: Considering the supply and demand fundamentals, price trends, and option factors, a short - neutral call + put option combination strategy and a spot collar strategy are recommended [9]. - **Nickel**: Based on the industrial fundamentals, price trends, and option factors, a short - bearish call + put option combination strategy and a spot covered - call strategy are suggested [10]. - **Tin**: Given the inventory and price trends, and option factors, a short - volatility strategy and a spot collar strategy are recommended [10]. - **Lithium Carbonate**: Considering the production, inventory, price trends, and option factors, a short - bearish call + put option combination strategy and a spot long - hedging strategy are suggested [11]. - **Precious Metals** - **Gold/Silver**: Based on the macro - fundamentals, price trends, and option factors, a bull - spread strategy, a short - neutral volatility seller option portfolio strategy, and a spot hedging strategy are recommended [12]. - **Black Series** - **Rebar**: Given the production capacity utilization rate, price trends, and option factors, a short - bearish call + put option combination strategy and a spot covered - call strategy are suggested [13]. - **Iron Ore**: Considering the inventory, price trends, and option factors, a short - neutral call + put option combination strategy and a spot long - collar strategy are recommended [13]. - **Ferroalloys**: Based on the production capacity utilization rate, price trends, and option factors, a short - volatility strategy is recommended for manganese - silicon, and a short - volatility call + put option combination strategy and a spot hedging strategy are suggested for industrial silicon and polysilicon [14]. - **Glass**: Given the supply and demand fundamentals, price trends, and option factors, a short - volatility call + put option combination strategy and a spot long - collar strategy are recommended [15].

Report Summary 1. Investment Rating No investment rating for the industry is provided in the report. 2. Core View The market has undergone a significant adjustment, and the implied volatility of financial options has decreased. The trading volume of 50ETF options has declined compared to the previous week, with the trading volume of put options lower than that of call options. The put - call trading ratio has increased compared to the previous week but is below the historical average, while the put - call holding ratio has decreased compared to the previous week but is above the historical average [1][2]. 3. Section Summaries 3.1 Financial Option Data - **Trading Volume and Holdings**: The average daily trading volume of 50ETF options this week was 1.4576 million contracts, a decrease of 18.99% compared to the previous week. The put - call trading ratio was 0.8, which increased compared to the previous week and was below the historical average. The put - call holding ratio last week was 0.85, which decreased compared to the previous week and was above the historical average. The average daily trading volume of Huatai Bairui 300ETF options was 1.5743 million contracts, and the average daily holdings were 1.4231 million contracts; the average daily trading volume of Southern China Securities 500ETF options was 2.1945 million contracts, and the average daily holdings were 1.4044 million contracts; the average daily trading volume of Huaxia Shanghai Stock Exchange Science and Technology Innovation 50ETF options was 2.1735 million contracts, and the average daily holdings were 2.1941 million contracts; the average daily trading volume of Shenzhen 100ETF options was 0.2263 million contracts, and the average daily holdings were 0.1551 million contracts; the average daily trading volume of GEM ETF options was 2.8928 million contracts, and the average daily holdings were 1.6524 million contracts; the average daily trading volume of CSI 300 index options was 0.1834 million lots, and the average daily holdings were 0.2248 million lots; the average daily trading volume of CSI 1000 index options was 0.3718 million lots, and the average daily holdings were 0.3404 million lots [1][4]. - **Implied Volatility**: As of the close on Friday, the implied volatility of CSI 300 index options was 20.54%, a decrease of 3.19% compared to a week ago. The implied volatility of 50ETF options was 18.48%, a decrease of 3.81% compared to a week ago. The implied volatility of CSI 1000 index options was 25.51%, a decrease of 0.98% compared to a week ago [2][4].