金属期权 2025-06-10 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）有色金属区间盘整震荡，构建做空波动率策略策略；（2）黑色系弱势震荡，适合构 建熊市价差组合策略和卖方期权组合策略；（3）贵金属黄金高位盘整，白银多头突破上行，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 | 79,330 | 660 | 0.84 | 7.53 | ...

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 ...

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].

Investment Rating - The report suggests a neutral to slightly bullish strategy for various metal options, indicating a mixed outlook across different segments of the metal market [2][10]. Core Insights - The non-ferrous metals are showing weak fluctuations, suitable for constructing neutral selling strategies - The black metals exhibit significant volatility, making them suitable for selling wide straddle option strategies - Precious metals are showing a strong trend, appropriate for constructing covered call strategies or slightly bullish selling strategies [2]. Summary by Sections Market Overview - Non-ferrous metals are experiencing weak fluctuations, while black metals are highly volatile, and precious metals are on a strong upward trend [2]. - The latest prices and changes for various metals are as follows: Copper at 80,200, Aluminum at 20,865, Zinc at 24,010, Lead at 17,595, Nickel at 130,650, Tin at 281,940, and Gold at 696.74 [3]. Option Factors - The PCR (Put-Call Ratio) for copper is at 1.09, indicating a bullish sentiment, while aluminum is at 1.24, suggesting a similar outlook [4]. - The implied volatility for copper is at 14.96%, while for aluminum it is at 9.32%, indicating lower market expectations for price movements in aluminum compared to copper [8]. Strategies and Recommendations - For copper, a bull spread strategy is recommended to capture directional gains, while a volatility strategy suggests selling a slightly bullish call and put option combination [11]. - For aluminum, a strategy involving selling a slightly bullish call and put option combination is suggested to capture time value and directional gains [13]. - For zinc, a similar strategy of selling a slightly bullish call and put option combination is recommended, with a focus on maintaining a bullish delta [14]. Price Levels - Key resistance and support levels for copper are at 82,000 and 77,000 respectively, while for aluminum they are at 21,000 and 20,400 [6]. - The pressure point for gold is at 744, with a support level at 640, indicating potential price movements [15]. Market Sentiment - The overall sentiment in the precious metals market remains strong, with gold showing a bullish trend and a PCR above 1.10, indicating continued upward momentum [15]. - The black metal market, particularly rebar, is showing signs of weakness with a PCR below 0.70, suggesting strong bearish pressure [17].

Investment Rating - The report does not explicitly provide an investment rating for the industry [2]. Core Insights - The total trading volume of commodity options reached 4.79 million contracts, with notable volumes in specific products such as soda ash options at 650,000 contracts, caustic soda options at 340,000 contracts, and palm oil options at 310,000 contracts [3][4]. - The implied volatility (IV) of soybean two options increased by 6.83%, while the IV of soybean one options decreased by 0.96%. In the energy and chemical categories, methanol options saw a 0.92% increase in IV, while PTA options experienced a 3.02% decrease [3][13]. - The report highlights significant discrepancies in the put-call ratio (PCR) for certain products, indicating potential trading opportunities alongside liquidity risks [3]. Summary by Sections 1. Market Overview - The report provides a snapshot of trading volumes and open interest across various commodity options, indicating active trading in products like soybean meal and soda ash [4][5]. 2. Product Research 2.1 Soybean Meal Options - Detailed analysis of soybean meal options, including trading volumes and implied volatility trends [15]. 2.2 Rapeseed Meal Options - Insights into rapeseed meal options, focusing on volatility and market dynamics [18]. 2.3 PTA Options - Examination of PTA options with emphasis on volatility structures and trading patterns [23]. 2.4 Methanol Options - Analysis of methanol options, highlighting recent trading activity and volatility trends [26]. 2.5 Soda Ash Options - Research on soda ash options, including trading volumes and market behavior [29]. 2.6 Iron Ore Options - Insights into iron ore options, focusing on trading dynamics and volatility [33]. 2.7 Silver Options - Analysis of silver options, detailing trading activity and market trends [37]. 2.8 Rebar Options - Examination of rebar options, focusing on volatility and trading patterns [40].