金融期权 2025-11-11 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： | 标的 | 标的合约 | 收盘价 | 涨跌 | 涨跌幅 | 成交量 | 量变化 | 成交额 | 额变化 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | （%） | (万份) | | (亿元) | | | 上证50ETF | 510050.SH | 3.201 | 0.015 | 0.47 | 441.12 | 436.67 | 14.07 | -0.14 | | 上证300ETF | 510300.SH | 4.807 | 0.012 | 0.25 | 448.35 | 442.96 | 21.47 | -4 ...

1、金融期权隐含波动率指数反映截止上一交易日的30日隐波走势,商品期权隐含波动 率指数通过主力月平值期权上下两档隐波加权所得,反映主力合约的隐波变化趋势。2 隐波指数与历史波动率的差值,差值越大反映隐波相对历史波动率越高,差值越小代 表隐波相对历史波动率越低。 70 -300股指 IV -- 300股指 HV IV-HV美 IV-HV美 - 50ETF IV - 50ETF HV 20 BO IV-HV差 -- 1000股指 IV -- 1000股指 HV 500ETF IV - 500ETF HV 70 10 10 白银 IV IV-HV美 日报 HV 沪金 IV IV-HV旁 HT HV STEPTOIS 07586 一豆粕 IV 空期 HV IV-HV美 -王米IV 玉米 HV IV-HV差 30 50 20 30 10 10 10 30 10 30 40 40 0 OSALS TO 30 30 40 白糖 IV 日糖 HV IV-HV美 30 25 5 IV-HV差 棉花 IV - 棉花 HV 25 20 20 0 20 10 15 ·5 0 10 10 10 -20 15 5 5 30 T 40 0 ...

Group 1: Report Overview - The report is a metal option strategy morning report dated November 10, 2025, covering有色金属, precious metals, and black metals [1][2] - It provides option strategies and suggestions for selected metal varieties based on market analysis and option factor research [8] Group 2: Market Conditions Futures Market - The latest prices, changes, trading volumes, and open interests of various metal futures contracts are presented, showing different trends in each metal [3] Option Factors - The volume and open interest PCR, pressure and support levels, implied volatility, and historical volatility of each metal option are analyzed, providing insights into market sentiment and risk [4][5][6] Group 3: Option Strategies Non - ferrous Metals - **Copper**: Build a short - volatility seller option portfolio and a spot hedging strategy [7] - **Aluminum**: Construct a bull spread of call options, a short call + put option portfolio, and a spot collar strategy [9] - **Zinc**: Build a short neutral call + put option portfolio and a spot collar strategy [9] - **Nickel**: Construct a short bearish call + put option portfolio and a spot covered call strategy [10] - **Tin**: Build a short - volatility strategy and a spot collar strategy [10] - **Lithium Carbonate**: Construct a short neutral call + put option portfolio and a spot long + put + call option strategy [11] Precious Metals - **Gold**: Build a short - volatility neutral option seller portfolio and a spot hedging strategy [12] Black Metals - **Rebar**: Build a short bearish call + put option portfolio and a spot covered call strategy [13] - **Iron Ore**: Build a short bearish call + put option portfolio and a spot collar strategy [13] - **Ferro - alloy**: Build a short - volatility strategy for manganese silicon [14] - **Industrial Silicon**: Build a short - volatility call + put option portfolio and a spot hedging strategy [14] - **Glass**: Build a short - volatility call + put option portfolio and a spot collar strategy [15] Group 4: Charts - Charts of price trends, option volume and open interest, PCR, implied volatility, and historical volatility for various metals are provided, visually presenting market changes [19][21][27][38][40][46]

核心观点 主要观点 • 上周各期权隐含波动率表现为先扬后抑震荡回落格局，周一至周三盘中受海外流动性等因素影响隐含波动率出 现局部冲高，但我们亦注意到此过程中国内A股韧性十足，周四周五随着市场情绪的修复隐含波动率再度创出此 轮新低。当前11月IO、HO和MO期权平值隐波均值分别在13.95%、14%和18.3%左右，与30日历史波动率相比分别 溢价-2.89个百分点、-2个百分点和-0.3个百分点左右，溢价整体处于历史偏低水平，预计隐波继续回落空间相 对有限，波动率聚集性特征下或将继续呈现低位震荡格局。 • 隐波的不断回落显示期权市场更多以震荡上行进行定价，短期各指数向上加速概率仍旧偏低。 股指期权 • 持仓PCR值出现明显上行，看涨期权卖方在上周最后两个交易日均有明显减仓趋势，显示资金观点更多认为指数 下方空间不大。 • MO看跌期权持仓密集区在行权价7400点以下区域，IO看跌期权则在行权价4700点处依旧持仓极高，但结合技术 形态我们更倾向于用上周低点附近作为11月看跌期权卖方的防守区域。 2 • 综合而言，11月合约剩余时间将进入最后两周，时间价值衰减加快。一方面前期11月虚值看跌期权卖方仍可考 虑继续 ...

波动率数据日报 永安期货期权总部 更新时间: 2025/11/7 、隐含波动率指数、历史波动率及其价差走势图 0. 90 494 0.67 300 级 指 orea 45 0.64 PTA 0.54 PTA 0 55 五米 0.58 300股指 0.32 50ETE 0.51 50ETF 0.30 天峻 0.41 五米 0.18 上指 0.35 天峻 0.17 PVC 038 7 14 0.12 日時 0.27 8.4 6 0.10 45 PVC 0.30 0.02 铁右右 0.21 炸花 0.00 白练 神花 0.18 0 03 0.6 0.7 0.9 0.1 0.2 0.4 05 0.8 1 0.6 0.7 0.8 0 01 0.2 0.3 0.4 0.5 0 a 1 免费声明:本文所有内得均不符成改造仪、对文中信息的准确推料免费性不作任何保证，使用学习交流。技资录像此作出的任何投资决策与产企司无关、授权仪为我 公司所有、未来书面许可。任何扎格和个人不得以世同形式相談、提到发布。如引用、代度、规控班出处为水安和货公司、且不得进行存择原置的引用、量市和谐政。 0.82 1、金融期权隐含波动率指数反映截止上一 ...

Group 1: Report Overview - The report is an energy and chemical options strategy morning report, covering energy, polyolefin, polyester, alkali chemical, and other energy and chemical options [2][3] - It provides an overview of the underlying futures market, option factors, and offers strategies and suggestions for each option variety [4][5][8] Group 2: Underlying Futures Market Overview - The report presents the latest prices, price changes, trading volumes, and open interest of various underlying futures contracts, including crude oil, LPG, methanol, and others [4] Group 3: Option Factors Volume and Open Interest PCR - The report shows the volume and open interest PCR for each option variety, which are used to describe the strength of the option underlying market and potential turning points [5] Pressure and Support Levels - It identifies the pressure and support levels for each option variety based on the strike prices with the highest open interest of call and put options [6] Implied Volatility - The report provides the implied volatility data for each option variety, including at-the-money implied volatility, weighted implied volatility, and historical volatility [7] Group 4: Strategies and Suggestions Energy Options - For crude oil options, the report suggests a short call + put option combination strategy and a long collar strategy for spot hedging [8] - For LPG options, it recommends a neutral short call + put option combination strategy and a long collar strategy [10] Alcohol Options - For methanol options, the report proposes a bear spread strategy, a short call + put option combination strategy, and a long collar strategy [10] - For ethylene glycol options, it suggests a bear spread strategy, a short volatility strategy, and a long collar strategy [11] Polyolefin Options - For polypropylene options, the report recommends a long collar strategy [11] Rubber Options - For natural rubber options, it suggests a short call + put option combination strategy [12] Polyester Options - For PTA options, the report proposes a short call + put option combination strategy [12] Alkali Chemical Options - For caustic soda options, it suggests a bear spread strategy and a long collar strategy [13] - For soda ash options, the report recommends a bear spread strategy, a short volatility strategy, and a long collar strategy [13] Urea Options - For urea options, it suggests a neutral short call + put option combination strategy and a long collar strategy [14]

Group 1: Introduction to Volatility Indexes - The financial options implied volatility index reflects the 30 - day implied volatility (IV) trend as of the previous trading day. The commodity options implied volatility index is obtained by weighting the IV of the two - strike options around the at - the - money option of the front - month contract, reflecting the IV change trend of the front - month contract [3] - The difference between the IV index and historical volatility (HV) indicates the relative level of IV to HV. A larger difference means higher IV relative to HV, and a smaller difference means lower IV relative to HV [3] Group 2: Volatility Data Graphs - There are graphs showing the IV, HV, and IV - HV differences for various financial and commodity options, including 300 Index, 50ETF, 1000 Index, 500ETF, and many commodity options such as silver, gold, sugar, cotton, etc. [4] Group 3: Quantile Rankings of Volatility - Implied volatility quantiles represent the current level of a variety's IV in history. A high quantile means the current IV is high, and a low quantile means the IV is low. Volatility spread is related to the IV index and historical volatility [5] - There are rankings of implied volatility quantiles and historical volatility quantiles for different varieties, such as 300 Index with quantiles of 0.89 and 0.74, 300 Index with 0.62, etc. [5][6]

Group 1: Report Overview - The report is an energy and chemical options strategy morning report dated November 6, 2025 [1] - It covers various energy and chemical option types including energy, polyolefins, polyesters, alkali chemicals, and others [2] - The recommended strategy is to construct option portfolio strategies mainly as sellers and spot hedging or covered strategies to enhance returns [2] Group 2: Underlying Futures Market Overview - The report provides the latest prices, price changes, trading volumes, and open interest for multiple option underlying futures contracts such as crude oil, LPG, methanol, etc [3] Group 3: Option Factors - Volume and Open Interest PCR - The report presents the volume and open interest PCR data for different option varieties, which are used to describe the strength of the option underlying market and the turning point of the market [4] Group 4: Option Factors - Pressure and Support Levels - It shows the pressure and support levels of various option underlying assets from the perspective of the strike prices with the largest open interest of call and put options [5] Group 5: Option Factors - Implied Volatility - The report provides data on the implied volatility of different option varieties, including at-the-money implied volatility, weighted implied volatility, and the difference between implied and historical volatility [6] Group 6: Option Strategies and Recommendations Energy Options - Crude Oil - Fundamental analysis: US refinery demand is stabilizing and rising, shale oil production has slightly increased, OPEC exports are increasing but mostly absorbed by China, and European refined product inventories are in low-level destocking [7] - Market analysis: The crude oil market has shown a trend of weakening, consolidation, and then a rebound since July [7] - Option factor research: The implied volatility of crude oil options has decreased to near the average, the open interest PCR is below 0.80, indicating a weak market, and the pressure and support levels are 500 and 450 respectively [7] - Strategy recommendations: Construct a neutral call + put option combination strategy for volatility, and a long collar strategy for spot hedging [7] Energy Options - LPG - Fundamental analysis: The cost side of LPG, crude oil, is under pressure from oversupply and geopolitical issues, and US propane inventories are at a historical high [9] - Market analysis: The LPG market has shown a pattern of decline, rebound, and then resistance since August [9] - Option factor research: The implied volatility of LPG options has significantly decreased to below the average, the open interest PCR is around 0.80, indicating a weak market, and the pressure and support levels are 4500 and 4200 respectively [9] - Strategy recommendations: Construct a neutral call + put option combination strategy for volatility, and a long collar strategy for spot hedging [9] Alcohol Options - Methanol - Fundamental analysis: Port inventories are at a high level and difficult to effectively reduce, while enterprise inventories are at a low level compared to the same period last year [9] - Market analysis: The methanol market has shown a weakening trend with resistance since July [9] - Option factor research: The implied volatility of methanol options fluctuates around the historical average, the open interest PCR is below 0.80, indicating a weak and volatile market, and the pressure and support levels are 2300 and 2125 respectively [9] - Strategy recommendations: Construct a bear spread strategy for direction, a short-biased call + put option combination strategy for volatility, and a long collar strategy for spot hedging [9] Alcohol Options - Ethylene Glycol - Fundamental analysis: Port inventories are expected to increase due to high arrival volumes and low departure volumes, and the domestic load is at a high level [10] - Market analysis: The ethylene glycol market has shown a weakening trend since July [10] - Option factor research: The implied volatility of ethylene glycol options fluctuates below the average, the open interest PCR is around 0.70, indicating strong short - side power, and the pressure and support levels are 4500 and 4050 respectively [10] - Strategy recommendations: Construct a bear spread strategy for direction, a short volatility strategy for volatility, and a long collar strategy for spot hedging [10] Polyolefin Options - Polypropylene - Fundamental analysis: PP inventories have an overall higher pressure than PE, with both production and trade inventories showing a downward trend [10] - Market analysis: The polypropylene market has shown a weakening trend with resistance since July [10] - Option factor research: The implied volatility of polypropylene options has decreased to near the average, the open interest PCR is around 0.70, indicating a weak market, and the pressure and support levels are 7000 and 6300 respectively [10] - Strategy recommendations: A long collar strategy for spot hedging [10] Rubber Options - Rubber - Fundamental analysis: China's natural rubber social inventories have decreased, and inventories in Qingdao have also declined [11] - Market analysis: The rubber market has shown a pattern of short - term strength, followed by a decline and then consolidation since July [11] - Option factor research: The implied volatility of rubber options has decreased to below the average after a rapid increase, the open interest PCR is below 0.60, and the pressure and support levels are 17000 and 14000 respectively [11] - Strategy recommendations: Construct a short - biased call + put option combination strategy for volatility [11] Polyester Options - PTA - Fundamental analysis: PTA load has decreased, and November maintenance volume is expected to increase significantly, with overall load under pressure [11] - Market analysis: The PTA market has shown a weakening trend with resistance since August [11] - Option factor research: The implied volatility of PTA options fluctuates at a relatively high level, the open interest PCR is around 0.70, indicating a volatile market, and the pressure and support levels are 4700 and 4300 respectively [11] - Strategy recommendations: Construct a short - biased call + put option combination strategy for volatility [11] Alkali Chemical Options - Caustic Soda - Fundamental analysis: The average utilization rate of caustic soda production capacity has increased, with an increase in load in multiple regions [12] - Market analysis: The caustic soda market has shown a weakening trend with resistance since July [12] - Option factor research: The implied volatility of caustic soda options fluctuates at a high level, the open interest PCR is below 0.80, indicating a weak and volatile market, and the pressure and support levels are 2600 and 2240 respectively [12] - Strategy recommendations: Construct a bear spread strategy for direction, and a long collar strategy for spot hedging [12] Alkali Chemical Options - Soda Ash - Fundamental analysis: Soda ash inventories are at a certain level, with a slight change in overall inventories [12] - Market analysis: The soda ash market has shown a weak and volatile pattern since August [12] - Option factor research: The implied volatility of soda ash options fluctuates at a relatively high historical level, the open interest PCR is below 0.60, indicating strong short - side pressure, and the pressure and support levels are 1300 and 1100 respectively [12] - Strategy recommendations: Construct a bear spread strategy for direction, a short volatility combination strategy for volatility, and a long collar strategy for spot hedging [12] Other Options - Urea - Fundamental analysis: Enterprise inventories are decreasing due to the follow - up of some reserve demands, and port inventories have decreased significantly [13] - Market analysis: The urea market has shown a weak and volatile pattern since July [13] - Option factor research: The implied volatility of urea options fluctuates around the historical average, the open interest PCR is below 0.60, indicating strong short - side pressure, and the pressure and support levels are 1800 and 1600 respectively [13] - Strategy recommendations: Construct a neutral call + put option combination strategy for volatility, and a long collar strategy for spot hedging [13] Group 7: Option Charts - The report also includes various option charts for different option varieties, such as price trends, volume and open interest, PCR, implied volatility, and historical volatility cones [14][32][49]

Group 1: Report Overview - Report Date: November 6, 2025 [1] - Report Type: Metal Options Strategy Morning Report - Core Views: - For non - ferrous metals in a range - bound oscillation, build a seller's neutral volatility strategy [2] - For the black series with large - amplitude fluctuations, build a short - volatility portfolio strategy [2] - For precious metals with a continuous sharp decline after falling from a high level, build a spot hedging strategy [2] Group 2: Futures Market Overview - Copper (CU2512): Latest price 85,860, up 430 (0.50%), volume 14.23 million lots (down 2.44 million), open interest 21.70 million lots (down 1.05 million) [3] - Aluminum (AL2512): Latest price 21,445, up 95 (0.44%), volume 19.33 million lots (down 1.83 million), open interest 22.51 million lots (down 3.10 million) [3] - Zinc (ZN2512): Latest price 22,600, down 10 (- 0.04%), volume 10.08 million lots (down 4.97 million), open interest 11.25 million lots (down 0.44 million) [3] - Other metals follow a similar pattern of presenting price, volume, and open - interest changes [3] Group 3: Option Factor - Volume and Open Interest PCR - Copper: Volume PCR 0.79 (up 0.18), open interest PCR 0.77 (down 0.01) [4] - Aluminum: Volume PCR 0.54 (up 0.18), open interest PCR 0.70 (up 0.03) [4] - Zinc: Volume PCR 0.56 (up 0.26), open interest PCR 0.83 (unchanged) [4] - Other metals also have their respective PCR values and changes presented [4] Group 4: Option Factor - Pressure and Support Levels - Copper: Pressure point 90,000, support point 84,000 [5] - Aluminum: Pressure point 21,800, support point 19,900 [5] - Zinc: Pressure point 22,800, support point 22,000 [5] - Other metals have their corresponding pressure and support levels [5] Group 5: Option Factor - Implied Volatility - Copper: At - the - money implied volatility 15.32%, weighted implied volatility 18.08% (down 0.93%) [6] - Aluminum: At - the - money implied volatility 10.67%, weighted implied volatility 11.68% (down 0.46%) [6] - Zinc: At - the - money implied volatility 11.35%, weighted implied volatility 12.83% (up 0.03%) [6] - Other metals have their implied volatility data presented [6] Group 6: Option Strategies for Non - Ferrous Metals Copper - Fundamental Analysis: Three major exchanges' copper inventories increased by 17,000 tons month - on - month [7] - Market Analysis: Shanghai copper has shown a high - level consolidation and oscillation pattern [7] - Option Factor Research: Implied volatility is above the historical average, and the open - interest PCR indicates strong support below [7] - Option Strategy: Build a short - volatility seller's option portfolio and a spot hedging strategy [7] Aluminum - Fundamental Analysis: Aluminum ingot and related inventories have different changes [9] - Market Analysis: Shanghai aluminum shows a bullish high - level oscillation pattern [9] - Option Factor Research: Implied volatility is at the historical average, and the open - interest PCR indicates pressure above [9] - Option Strategy: Build a bullish call spread, a short - volatility option portfolio, and a spot collar strategy [9] Other Non - Ferrous Metals - Zinc, nickel, tin, and lithium carbonate also have their own fundamental, market, option - factor analysis, and corresponding option strategies [9][10][11] Group 7: Option Strategies for Precious Metals Gold - Fundamental Analysis: Powell's hawkish stance and the Fed's monetary policy outlook [12] - Market Analysis: Shanghai gold shows a bullish high - level consolidation pattern [12] - Option Factor Research: Implied volatility is at a high historical level, and the open - interest PCR indicates strong pressure above [12] - Option Strategy: Build a neutral short - volatility option seller's portfolio and a spot hedging strategy [12] Group 8: Option Strategies for the Black Series Rebar - Fundamental Analysis: Rebar inventories have decreased [14] - Market Analysis: Rebar shows a weak bearish pattern with pressure above [14] - Option Factor Research: Implied volatility is below the historical average, and the open - interest PCR indicates strong bearish pressure above [14] - Option Strategy: Build a short - volatility option portfolio and a spot covered - call strategy [14] Iron Ore - Fundamental Analysis: Iron ore inventories and port throughput changes [14] - Market Analysis: Iron ore shows a weak oscillation pattern [14] - Option Factor Research: Implied volatility is around the historical average, and the open - interest PCR indicates strong pressure above [14] - Option Strategy: Build a short - volatility option portfolio and a spot collar strategy [14] Other Black - Series Metals - Ferrosilicon, industrial silicon, and glass also have their own analysis and option strategies [15][16]

Group 1: Volatility Index Explanation - 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 volatilities 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 [2] - The difference between the implied volatility index and historical volatility: a larger difference indicates that the implied volatility is relatively higher than historical volatility, while a smaller difference means the opposite [2] Group 2: Volatility Data Visualization - There are charts showing the implied volatility (IV), historical volatility (HV), and their differences (IV - HV) for various financial and commodity options, including 300 - stock index, 50ETF, 1000 - stock index, 500ETF, and many commodity options such as silver, gold, soybean meal, corn, etc [3] Group 3: Quantile Ranking of Volatility - Implied volatility quantiles represent the current implied volatility level of a variety in history. A high quantile means the current implied volatility is high, and a low quantile means it is low [4] - There are rankings of implied volatility quantiles and historical volatility quantiles for different options, such as 300 - stock index with a quantile of 0.89, 50ETF with a quantile of 0.49, etc [4][5]