| 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）有色金属偏多震荡，构建做空波动率策略策略；（2）黑色系弱势盘整，适合构建熊 市价差组合策略和卖方期权组合策略；（3）贵金属止跌反弹大幅上扬后小幅盘整，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 | 78,140 | -60 | -0.08 | 11.14 | 2.95 | 19.52 | 1.30 | | 铝 ...

能源化工期权 2025-06-05 能源化工期权策略早报 | 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 | 能源化工期权策略早报概要：能源类：原油、LPG；聚烯烃类期权：聚丙烯、聚氯乙烯、塑料、苯乙烯；聚酯类期 权：对二甲苯、PTA、短纤、瓶片；碱化工类：烧碱、纯碱；其他能源化工类：橡胶等。 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 数据来源：WIND、五矿期货期权服务部 能源化工期权研究 表2：期权因子—量仓PCR | 期权品种 | 成交量 | 量变化 | 持仓量 | 仓变化 | 成交量 | 量PCR | 持仓量 | 仓PCR | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | | P ...

1. Report Industry Investment Rating - No relevant information provided 2. Core Viewpoints of the Report - The energy - chemical sector is divided into energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others. For each selected option variety, strategies are provided based on the analysis of the underlying market, option factor research, and option strategy suggestions. The overall strategy is to construct option portfolio strategies mainly as sellers and spot hedging or covered strategies to enhance returns [2][8] 3. Summary by Related Catalogs 3.1 Futures Market Overview - The report presents the latest prices, price changes, price change rates, trading volumes, volume changes, open interests, and open interest changes of various energy - chemical option underlying futures contracts, including crude oil, liquefied petroleum gas, methanol, etc [3] 3.2 Option Factor - Volume and Open Interest PCR - The volume PCR 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 [4] 3.3 Option Factor - Pressure and Support Levels - The pressure and support levels of various energy - chemical option underlying assets 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 - The implied volatility data of various energy - chemical options are presented, including at - the - money implied volatility, weighted implied volatility, and its changes, annual average, call and put implied volatility, historical volatility, and the difference between implied and historical volatility [6] 3.5 Option Strategies and Suggestions 3.5.1 Energy - related Options - **Crude Oil**: The fundamental situation shows that the price has soared, and OPEC +'s production increase is lower than expected. The market has shown a large - amplitude oscillating pattern. Option strategies include constructing a neutral short call + put option combination strategy and a long collar strategy for spot hedging [7] - **Liquefied Petroleum Gas**: The factory inventory has slightly increased, and the port inventory has decreased. The market is in a weak and bearish state. Strategies include constructing a bearish short call + put option combination strategy and a long collar strategy for spot hedging [9] 3.5.2 Alcohol - related Options - **Methanol**: The port and enterprise inventories have increased, and the market has shown a weak and bearish rebound pattern. Strategies include constructing a neutral short call + put option combination strategy and a long collar strategy for spot hedging [9] - **Ethylene Glycol**: The port inventory has decreased, and the market has shown a pattern of short - term bullish rise followed by a decline at a high level. Strategies include constructing a short - volatility strategy and a long + put + short call option strategy for spot hedging [10] 3.5.3 Polyolefin - related Options - **Polypropylene**: The downstream start - up rate has decreased, and the market is in a bearish trend. Strategies include constructing a bearish spread strategy of put options and a long + put + short call option strategy for spot hedging [10] 3.5.4 Rubber - related Options - **Rubber**: The domestic main production areas have entered the full - scale tapping period. The market is in a bearish downward pattern. Strategies include constructing a bearish spread strategy of put options and a bearish short call + put option combination strategy [11] 3.5.5 Polyester - related Options - **PTA**: The overall load of the polyester industry is low, and the PTA market has shown a pattern of bullish rise followed by high - level oscillation. Strategies include constructing a neutral short call + put option combination strategy [11] 3.5.6 Alkali - related Options - **Caustic Soda**: New production facilities are expected to be put into operation, and the market is in a short - term oscillating pattern. Strategies include constructing a bearish wide - straddle option combination strategy and a covered call strategy for spot hedging [12] - **Soda Ash**: The production has increased, and the inventory has decreased slightly. The market is in a bearish downward pattern. Strategies include constructing a bearish spread strategy of put options, a bearish short call + put option combination strategy, and a long collar strategy for spot hedging [12] 3.5.7 Urea Options - The inventory has increased, and the market has shown a pattern of oscillating decline. Strategies include constructing a neutral short call + put option combination strategy and a long + put + short call option strategy for spot hedging [13]

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints - The metal sector is divided into non - ferrous metals, precious metals, and black metals. Different option strategies are recommended for each sector and selected varieties based on their respective market conditions and option factors [2][7]. 3. Summary by Related Catalogs 3.1 Market Overview of Underlying Futures - The latest prices, price changes, trading volumes, and open interest changes of various metal options' underlying futures contracts are presented. For example, the latest price of copper (CU2507) is 78,180, with a price increase of 390 and a trading volume of 8.19 million lots [3]. 3.2 Option Factor - Volume and Open Interest PCR - The volume PCR and open interest PCR of different metal options are calculated. These indicators are used to describe the strength of the option underlying market and the turning point of the market. For instance, the volume PCR of copper is 2.09, and the open interest PCR is 1.25 [4]. 3.3 Option Factor - Pressure and Support Levels - The pressure and support levels of various metal options are determined from the perspective of the strike prices with the largest open interest of call and put options. For example, the pressure level of copper is 80,000, and the support level is 70,000 [5]. 3.4 Option Factor - Implied Volatility - The implied volatility of different metal options is analyzed, 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 is 11.42% [6]. 3.5 Strategy and Recommendations - **Non - ferrous Metals** - **Copper Options**: Directional strategy - construct a bull spread of call options; volatility strategy - construct a short - volatility seller option portfolio; spot long - hedging strategy - hold spot long + buy put options + sell out - of - the - money call options [8]. - **Aluminum/Alumina Options**: Directional strategy - construct a bull spread of call options; volatility strategy - construct a neutral short call + put option portfolio; spot long - hedging strategy - construct a spot collar strategy [9]. - **Zinc/Pb Options**: Directional strategy - none; volatility strategy - construct a neutral short call + put option portfolio; spot long - hedging strategy - construct a spot collar strategy [9]. - **Nickel Options**: Directional strategy - none; volatility strategy - construct a short - bearish call + put option portfolio; spot long - hedging strategy - hold spot long + buy put options [10]. - **Tin Options**: Directional strategy - none; volatility strategy - construct a short - volatility strategy; spot long - hedging strategy - construct a spot collar strategy [10]. - **Lithium Carbonate Options**: Directional strategy - construct a bear spread of put options; volatility strategy - construct a short - bearish call + put option portfolio; spot long - hedging strategy - hold spot long + sell call options [11]. - **Precious Metals** - **Gold/Silver Options**: Directional strategy - none; volatility strategy - construct a long - biased short - volatility option seller portfolio; spot long - hedging strategy - hold spot long + buy put options + sell out - of - the - money call options [12]. - **Black Metals** - **Rebar Options**: Directional strategy - construct a bear spread of put options; volatility strategy - construct a short - bearish call + put option portfolio; spot long - hedging strategy - hold spot long + sell at - the - money call options [13]. - **Iron Ore Options**: Directional strategy - none; volatility strategy - construct a neutral short call + put option portfolio; spot long - hedging strategy - construct a long collar strategy [13]. - **Ferroalloy Options**: Directional strategy - construct a bear spread of put options; volatility strategy - construct a short - volatility strategy; spot long - hedging strategy - none [14]. - **Industrial Silicon/Polysilicon Options**: Directional strategy - construct a bear spread of put options; volatility strategy - construct a short - bearish call + put option portfolio; spot long - hedging strategy - hold spot long + sell call options [14]. - **Glass Options**: Directional strategy - construct a bear spread of put options; volatility strategy - construct a short - volatility call + put option portfolio; spot long - hedging strategy - construct a long collar strategy [15]. 3.6 Charts - Charts of various metal options, including price trends, trading volume, open interest, and implied volatility, are provided to visually present the market conditions of different metal options [17][37][57] etc.

Report Summary 1) Report Industry Investment Rating No information provided. 2) Core View of the Report The asphalt market has a solid short - term support, with the spot market showing a strong willingness to hold prices. However, the improvement in the consumption side is still insufficient, and the increase in rainfall in the south will limit project construction and terminal demand, restricting the market's upward space. The supply - demand weakness pattern continues, but due to the low pressure on regional traders at the beginning of the month, the average domestic asphalt price has increased [1]. 3) Summary by Relevant Catalog Market Analysis - On June 3, the closing price of the main asphalt futures contract BU2507 in the afternoon session was 3482 yuan/ton, up 42 yuan/ton or 1.22% from the previous day's settlement price. The position was 95984 lots, down 4606 lots from the previous day, and the trading volume was 196526 lots, down 98818 lots from the previous day [1]. - The spot settlement prices of heavy - traffic asphalt from Zhuochuang Information are as follows: Northeast, 3780 - 4091 yuan/ton; Shandong, 3470 - 3870 yuan/ton; South China, 3410 - 3450 yuan/ton; East China, 3530 - 3620 yuan/ton. Prices in Shandong, North China, and East China markets rose yesterday, while prices in other regions remained stable [1]. - The supply - demand weakness pattern of asphalt continues. The rigid demand for asphalt is generally poor, but due to the low shipment pressure of regional traders at the beginning of the month, the willingness to hold prices is strong, leading to an increase in the average domestic asphalt price. Currently, the increase in market supply is limited, and both the overall operating rate and inventory are at low levels, resulting in limited market pressure and a solid short - term support. However, the improvement in the consumption side is still insufficient [1]. Strategy - Unilateral: Oscillation [2]. - Inter - delivery: Go long on the spread of BU2507 - 2509 at low prices (positive spread trading) [2]. - Inter - commodity: None [2]. - Futures - cash: None [2]. - Options: None [2].

1. Report Investment Rating - No investment rating for the industry is provided in the report. 2. Core Viewpoints - The agricultural product options market shows diverse trends. Oilseeds and oils are in a range - bound consolidation, with some showing a weak trend. By - products maintain a volatile trend, soft commodities like sugar are weak and cotton is in a high - level consolidation after a rebound, and grains such as corn and starch are gradually warming up and then in a 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 Category 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 4,117, up 6 with a 0.15% increase, trading volume is 8.89 million lots (down 1.15 million lots), and open interest is 13.38 million lots (down 1.06 million lots) [3]. 3.2 Option Factors 3.2.1 Volume and Open Interest PCR - The volume PCR and open interest PCR of various agricultural product options are different, 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 soybean No.1 is 0.57 (down 0.44), and the open interest PCR is 0.51 (up 0.02) [4]. 3.2.2 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 soybean No.1 is 4300 and the support level is 4000 [5]. 3.2.3 Implied Volatility - The implied volatility of various agricultural product options also varies. For example, the at - the - money implied volatility of soybean No.1 is 9.92%, and the weighted implied volatility is 14.48% (up 0.98%) [6]. 3.3 Strategy and Recommendations 3.3.1 Oilseeds and Oils Options - **Soybean No.1 and No.2**: The US soybean futures price is mainly in a downward trend. The soybean No.1 shows a high - level consolidation trend. It is recommended to construct a neutral call + put option combination strategy for volatility, and a long collar strategy for spot hedging [7]. - **Soybean Meal and Rapeseed Meal**: The trading volume of soybean meal has decreased. The market shows a rebound after a decline. It is recommended to construct a neutral call + put option combination strategy for volatility, and a long collar strategy for spot hedging [9]. - **Palm Oil, Soybean Oil, and Rapeseed Oil**: The trading volume of oils is weak, and the inventory is sufficient. It is recommended to construct a neutral call + put option combination strategy for volatility, and a long collar strategy for spot hedging [10]. - **Peanuts**: The supply is abundant and the demand is weak. It is recommended to construct a bull call spread strategy for direction, and a long + put + short call option strategy for spot hedging [11]. 3.3.2 By - product Options - **Pigs**: The market shows a pattern of increasing supply and weak demand. It is recommended to construct a neutral call + put option combination strategy for volatility, and a covered call strategy for spot hedging [11]. - **Eggs**: The supply is sufficient and the demand is weak. It is recommended to construct a bear put spread strategy for direction, and a short - biased call + put option combination strategy for volatility [12]. - **Apples**: The de - stocking speed has slowed down. It is recommended to construct a bear put spread strategy for direction, and a short - biased call + put option combination strategy for volatility [12]. - **Jujubes**: It is in the off - season and the price is at a low level. It is recommended to construct a bear put spread strategy for direction, a short - strangle option combination strategy for volatility, and a covered call strategy for spot hedging [13]. 3.3.3 Soft Commodity Options - **Sugar**: The Brazilian sugar export situation has changed. The market shows a weak and volatile trend. It is recommended to construct a short - biased call + put option combination strategy for volatility, and a long collar strategy for spot hedging [13]. - **Cotton**: The Brazilian cotton export volume has decreased. The market shows a pattern of rebound and then decline. It is recommended to construct a neutral call + put option combination strategy for volatility, and a covered call strategy for spot hedging [14]. 3.3.4 Grain Options - **Corn and Starch**: The corn price is affected by factors such as traders' behavior and wheat price. The market shows a pattern of shock and then rise. It is recommended to construct a neutral call + put option combination strategy for volatility [14].

Report Industry Investment Rating - Not provided in the document Core Viewpoints - The metal sector is mainly divided into non - ferrous metals, precious metals, and black metals. Different option strategies are recommended for each sector and selected varieties based on fundamental analysis, option factor research, and market trends [2][7] Summary by Related Catalogs 1. Metal Option Market Overview - **Futures Market**: The latest prices, price changes, and volume and position changes of various metal futures contracts are presented. For example, copper (CU2507) closed at 77,600, down 390 or 0.50%; nickel (NI2507) closed at 121,100, up 1,360 or 1.14% [3] - **Option Factors - PCR**: The volume and position PCR of various metal options are provided. Volume PCR is used to describe whether the underlying market has a turning point, and position PCR is used to describe the strength of the underlying market. For example, the volume PCR of copper options is 1.90, and the position PCR is 1.26 [4] - **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 80,000, and the support point is 70,000 [5] - **Option Factors - Implied Volatility**: The implied volatility of various 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 12.62%, and the weighted implied volatility is 17.83% [6] 2. Option Strategies for Different Metal Categories Non - ferrous Metals - **Copper Options**: Build a bullish option bull spread strategy, a short - volatility seller option portfolio strategy, and a spot long hedge strategy [8] - **Aluminum/Alumina Options**: Construct a bullish option bull spread strategy, a short - neutral call + put option portfolio strategy, and a spot collar strategy [9] - **Zinc/Lead Options**: Build a short - neutral call + put option portfolio strategy and a spot collar strategy [9] - **Nickel Options**: Construct a short - bearish call + put option portfolio strategy and a spot long hedging strategy [10] - **Tin Options**: Build a bearish option bear spread strategy, a short - volatility strategy, and a spot collar strategy [10] - **Lithium Carbonate Options**: Construct a bearish option bear spread strategy, a short - bearish call + put option portfolio strategy, and a spot long covered call strategy [11] Precious Metals - **Gold/Silver Options**: Build a short - bullish volatility option seller portfolio strategy and a spot hedging strategy [12] Black Metals - **Rebar Options**: Construct a bearish option bear spread strategy, a short - bearish call + put option portfolio strategy, and a spot long covered call strategy [13] - **Iron Ore Options**: Build a short - neutral call + put option portfolio strategy and a spot long collar strategy [13] - **Ferroalloy Options**: Construct a bearish option bear spread strategy and a short - volatility strategy [14] - **Industrial Silicon/Polysilicon Options**: Build a bearish option bear spread strategy, a short - bearish call + put option portfolio strategy, and a spot long covered call strategy [14] - **Glass Options**: Construct a bearish option bear spread strategy, a short - volatility call + put option portfolio strategy, and a spot long collar strategy [15] 3. Metal Option Charts - Charts for various metal options, including price trends, volume, and position changes, PCR indicators, implied volatility, historical volatility cones, and pressure and support levels, are provided, such as for copper, aluminum, and gold options [18][37][148]

能源化工期权 2025-06-03 能源化工期权策略早报 | 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 | 能源化工期权策略早报概要：能源类：原油、LPG；聚烯烃类期权：聚丙烯、聚氯乙烯、塑料、苯乙烯；聚酯类期 权：对二甲苯、PTA、短纤、瓶片；碱化工类：烧碱、纯碱；其他能源化工类：橡胶等。 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) | | | 原油 | SC2507 | 448 | -1 ...

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]

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 ...