金融期权 2025-08-05 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 | （1）股市短评：上证综指数、大盘蓝筹股、中小盘股和创业板股表现为高位震荡的市场行情。 表2：期权标的ETF市场概况 | 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 | 2.890 | 0.014 | 0.49 | 479.90 | 471.66 | 13.83 | -9.91 | | 上证300ETF | 510300.SH | 4.152 ...

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - The agricultural products sector is mainly divided into beans, oils, agricultural by - products, soft commodities, grains, and others. The overall market shows different trends, with oilseeds and oils in a relatively strong and volatile state, oils and agricultural by - products in a volatile trend, soft commodity sugar slightly fluctuating, cotton's upward trend weakening, and grains such as corn and starch in a weak and narrow - range consolidation. It is recommended to construct option portfolio strategies mainly as sellers, along with spot hedging or covered strategies to enhance returns [2][8] 3. Summary According to Related Catalogs 3.1 Futures Market Overview - Different agricultural product futures show various price changes, trading volumes, and open interest changes. For example, the latest price of soybean No.1 (A2509) is 4,133, up 7 with a 0.17% increase, trading volume of 11.13 million lots, and open interest of 11.04 million lots. While the price of eggs (JD2509) is 3,360, down 141 with a 4.03% decrease, trading volume of 30.84 million lots, and open interest of 23.20 million lots [3] 3.2 Option Factor - Volume and Open Interest PCR - Volume and open interest PCR are used to describe the strength of the option underlying market and the turning point of the market. For example, the volume PCR of soybean No.1 is 0.59, up 0.18, and the open interest PCR is 0.39, up 0.01, indicating the market situation of soybean No.1 [4] 3.3 Option Factor - Pressure and Support Levels - From the perspective of the exercise prices with the largest open interest of call and put options, the pressure and support levels of the option underlying are analyzed. For instance, the pressure level of soybean No.1 is 4,300 and the support level is 4,050 [5] 3.4 Option Factor - Implied Volatility - Implied volatility includes at - the - money implied volatility and weighted implied volatility. For example, the at - the - money implied volatility of soybean No.1 is 8.715, and the weighted implied volatility is 12.19, down 1.39 [6] 3.5 Strategy and Recommendations 3.5.1 Oils and Oilseeds Options - **Soybean No.1 and No.2**: Based on the analysis of fundamentals such as the US soybean good rate and Brazilian soybean premiums, and considering option factors like implied volatility and open interest PCR, strategies include constructing a neutral short call + put option combination strategy and a long collar strategy for spot hedging [7] - **Soybean Meal and Rapeseed Meal**: Analyzing fundamentals such as daily提货量 and basis, and option factors, strategies involve constructing a neutral short call + put option combination strategy and a long collar strategy for spot hedging [9] - **Palm Oil, Soybean Oil, and Rapeseed Oil**: Considering fundamentals like Malaysian palm oil production and exports, and option factors, strategies include constructing a long - biased short call + put option combination strategy and a long collar strategy for spot hedging [10] - **Peanuts**: Given the fundamentals of the peanut oil market and option factors, strategies include constructing a bear spread strategy for put options and a long collar strategy for spot hedging [11] 3.5.2 Agricultural By - product Options - **Pigs**: Based on fundamentals such as average slaughter weight and frozen product inventory rate, and option factors, strategies include constructing a short - biased short call + put option combination strategy and a covered call strategy for spot [11] - **Eggs**: Considering fundamentals like laying hen inventory and option factors, strategies include constructing a bear spread strategy for put options, a short - biased short call + put option combination strategy [12] - **Apples**: Analyzing fundamentals such as expected apple production and option factors, strategies include constructing a neutral short call + put option combination strategy [12] - **Red Dates**: Based on fundamentals like inventory and option factors, strategies include constructing a short - biased wide - straddle option combination strategy and a covered call strategy for spot hedging [13] 3.5.3 Soft Commodity Options - **Sugar**: Considering fundamentals such as Brazilian sugar shipping and production forecasts, and option factors, strategies include constructing a neutral short call + put option combination strategy and a long collar strategy for spot hedging [13] - **Cotton**: Based on fundamentals like spinning and weaving factory operating rates and cotton inventory, and option factors, strategies include constructing a long - biased short call + put option combination strategy and a covered call strategy for spot [14] 3.5.4 Grain Options - **Corn and Starch**: Given fundamentals such as new corn listing and market sentiment, and option factors, strategies include constructing a bear spread strategy for put options and a short - biased short call + put option combination strategy [14]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The energy - chemical sector includes energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others. Strategies suggest constructing option portfolios mainly on the short - selling side, along with spot hedging or covered strategies to enhance returns [3][9]. 3. Summary by Relevant Catalogs 3.1 Futures Market Overview - The table shows the latest prices, price changes, trading volumes, and open interest of various energy - chemical futures contracts. For example, the latest price of crude oil (SC2509) is 510, down 7 with a decline of 1.28%, trading volume of 14.58 million lots, and open interest of 2.82 million lots [4]. 3.2 Option Factors - Volume and Open Interest PCR - The PCR indicators for volume and open interest of different energy - chemical options are presented. These indicators help describe the strength of the option underlying market and potential turning points. For instance, the volume PCR of crude oil options is 0.89 with a change of - 0.12, and the open - interest PCR is 0.75 with a change of - 0.10 [5]. 3.3 Option Factors - Pressure and Support Levels - The pressure and support levels of different 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 640 and the support level is 480 [6]. 3.4 Option Factors - Implied Volatility - The implied volatility data of various energy - chemical options are provided, including at - the - money implied volatility and volume - weighted implied volatility. For example, the at - the - money implied volatility of crude oil options is 30.835, and the weighted implied volatility is 34.67 with a change of - 1.69 [7]. 3.5 Strategy and Recommendations 3.5.1 Energy - related Options - **Crude Oil**: The US crude oil inventories have increased. The market showed a short - term upward trend followed by a decline last week. Implied volatility is around the average. Directional strategy: None; Volatility strategy: Construct a short - neutral call + put option combination; Spot long - hedging strategy: Build a long - collar strategy [8]. - **LPG**: Factory and port inventories are at high levels. The market is short - oriented in the short term. Implied volatility is at a relatively high historical level. Similar to crude oil, it has corresponding strategies for volatility and spot long - hedging [10]. 3.5.2 Alcohol - related Options - **Methanol**: Production enterprise inventories and orders have decreased. The market is weak with pressure above. Implied volatility is around the average. Strategies include short - neutral option combinations and long - collar hedging [10]. - **Ethylene Glycol**: The overall operating rate is stable, but production profits are under pressure. The market shows a narrow - range volatile pattern. Strategies involve short - selling volatility and long - collar hedging [11]. 3.5.3 Polyolefin - related Options - **Polypropylene**: The number of maintenance production lines has decreased, and production has increased. The market is weak with upward pressure. Strategies include long - collar hedging [11]. 3.5.4 Rubber - related Options - **Rubber**: The opening area and output in Hainan have decreased. The market is in a short - term downward trend. Strategies involve short - neutral option combinations [12]. 3.5.5 Polyester - related Options - **PTA**: Factory inventories are accumulating, and price rebound is restricted. The market shows a slight upward trend with pressure. Strategies include short - neutral option combinations [13]. 3.5.6 Alkali - related Options - **Caustic Soda**: The average utilization rate of production capacity has slightly decreased. The market is volatile with pressure. Strategies include long - collar hedging [14]. - **Soda Ash**: Inventories are at a high level. The market has experienced a significant decline after a rise. Strategies include short - selling volatility and long - collar hedging [14]. 3.5.7 Other Options - **Urea**: Supply is slightly decreasing, and demand is weak. The market is volatile under short - term pressure. Strategies include short - bearish option combinations and long - collar hedging [15].

1. Report Industry Investment Rating - No relevant information provided 2. Core Viewpoints of the Report - For non - ferrous metals, construct a neutral volatility strategy for sellers when the market is oscillating; for black metals, build a short - volatility portfolio strategy after significant price fluctuations; for precious metals, construct a spot hedging strategy during high - level consolidation [2] 3. Summaries Based on Related Catalogs 3.1 Futures Market Overview - The latest prices, price changes, price change percentages, trading volumes, volume changes, open interests, and open interest changes of various metal futures contracts such as copper, aluminum, zinc, etc. are presented. For example, the latest price of copper (CU2509) is 78,370, with a price increase of 150 and a price change percentage of 0.19% [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 underlying market respectively. The volume and open interest PCR values of various metal options, as well as their changes, are provided [4] 3.3 Option Factors - Pressure and Support Levels - The pressure and support levels of option underlying assets are determined by the strike prices with the largest open interest of call and put options. The pressure and support levels of various metal options are presented, such as the pressure level of copper being 82,000 and the support level being 75,000 [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, its change, annual average, call implied volatility, put implied volatility, historical volatility, and the difference between implied and historical volatility [6] 3.5 Strategies and Recommendations 3.5.1 Non - Ferrous Metals - **Copper**: The inventory of the three major exchanges increased by 21,000 tons month - on - month. The market has been in a high - level consolidation pattern since June. Implied volatility fluctuates around the historical average, and the open interest PCR indicates pressure above. Strategies include constructing a short - volatility seller option portfolio and a spot long - hedging strategy [7] - **Aluminum/Alumina**: The domestic aluminum ingot inventory increased, and the market showed a pattern of rising and then falling. Implied volatility fluctuates around the historical average, and the open interest PCR indicates increasing pressure above. Strategies include constructing a neutral call + put option combination and a spot collar strategy [9] - **Zinc/Lead**: The zinc ore inventory continued to accumulate, and the zinc market showed a pattern of rising and then falling. The implied volatility of zinc options continued to rise above the historical average, and the open interest PCR indicates increasing pressure above. Strategies include constructing a neutral call + put option combination and a spot collar strategy [9] - **Nickel**: The nickel ore price was weak due to increased supply and weak demand. The market showed a wide - range oscillation pattern. The implied volatility of nickel options remained at a relatively high historical level, and the open interest PCR indicates increasing short - selling power. Strategies include constructing a short - biased call + put option combination and a spot long - hedging strategy [10] - **Tin**: The tin ingot inventory increased slightly, and the market showed a short - term weak oscillation pattern. The implied volatility of tin options remained at a relatively high historical level, and the open interest PCR indicates range - bound oscillation. Strategies include constructing a short - volatility strategy and a spot collar strategy [10] - **Lithium Carbonate**: The inventory decreased, and the market showed a pattern of large fluctuations. The implied volatility of lithium carbonate options rose rapidly to a relatively high level, and the open interest PCR indicates continuous weakness. Strategies include constructing a neutral call + put option combination and a spot long - hedging strategy [11] 3.5.2 Precious Metals - **Gold/Silver**: The US economic data was resilient, and the gold market showed a short - term weak oscillation pattern. The implied volatility of gold options fluctuated around the historical average, and the open interest PCR indicates weakening. Strategies include constructing a neutral short - volatility seller option portfolio and a spot hedging strategy [12] 3.5.3 Black Metals - **Rebar**: The inventory increased slightly, and the market showed an upward oscillation pattern with pressure above. The implied volatility of rebar options fluctuated at a relatively high historical level, and the open interest PCR indicates strong short - selling pressure above. Strategies include constructing a neutral call + put option combination and a spot long - covered call strategy [13] - **Iron Ore**: The port inventory decreased, and the market showed a bullish oscillation pattern. The implied volatility of iron ore options fluctuated above the historical average, and the open interest PCR indicates a recent upward trend. Strategies include a bullish call spread strategy, constructing a long - biased call + put option combination, and a spot long - collar strategy [13] - **Ferroalloys**: The manganese silicon inventory decreased but remained at a high level, and the market showed a pattern of rising and then falling sharply. The implied volatility of manganese silicon options rose rapidly to a relatively high historical level, and the open interest PCR indicates a weak market under short - selling pressure. Strategies include constructing a short - volatility strategy [14] - **Industrial Silicon/Polysilicon**: The industrial silicon inventory remained at a high level, and the market showed a pattern of large fluctuations. The implied volatility of industrial silicon options gradually rose to a relatively high historical level, and the open interest PCR indicates a stable market. Strategies include constructing a short - volatility call + put option combination and a spot hedging strategy [14] - **Glass**: The factory inventory decreased, and the market showed a pattern of rising and then falling sharply. The implied volatility of glass options remained at a relatively high historical level, and the open interest PCR indicates an upward trend. Strategies include constructing a short - volatility call + put option combination and a spot long - collar strategy [15]

1. Report Industry Investment Rating - No industry investment rating is provided in the report. 2. Core Views of the Report - Last week, State Street issued broad - industry option strategy products, and other option strategy product lines also expanded. The performance of new and traditional energy in the US has diverged significantly this year, with new energy outperforming traditional energy. The Russell 2000 ETF had a significant outflow, while the overall inflow of broad - based ETFs was positive. The outflow of US domestic stock funds returned to over $10 billion in a single week, and the inflow of bond products was stable [1]. 3. Summary According to the Directory 3.1 US ETF Innovation Products: State Street Issues Broad - Industry Option Strategy Products - Last week, there were 23 new US products. State Street issued option strategy products for its GICS broad - industry ETFs, which invest in existing broad - industry ETFs and sell corresponding call options to gain income, covering all 11 industries. The GraniteShares YieldBOOST product line expanded, with a new product linked to CoinBase, and the YieldMax single - stock Covered Call strategy product was linked to ROBLOX. BlackRock issued an infrastructure active ETF, First Trust issued a nuclear energy product, Dakota issued an active ETF, and PGIM issued 4 ETFs, including 3 corporate bond ETFs with different maturities and a S&P 500 downside protection product [1][6]. 3.2 US ETF Dynamics 3.2.1 US ETF Funds: Significant Outflow from Russell 2000 ETF - Last week, equity ETFs had an inflow of nearly $10 billion, the inflow of digital currency ETFs slowed down, and commodity ETFs had a slight outflow. Among broad - based ETFs, the Russell 2000 ETF had an outflow of nearly $5 billion, while multiple YieldMax Covered Call products had the highest inflows, and traditional leveraged products had outflows. In the bond market, short - term bonds had inflows and long - term bonds had outflows [1][10][13]. 3.2.2 US ETF Performance: New Energy Significantly Outperforms Traditional Energy - This year, there has been a significant divergence in the performance of new and traditional energy in the US. Different from the high - inflation period of 2021 - 2022, the new energy sector has significantly outperformed the traditional energy sector. The VanEck nuclear energy ETF has risen by over 40%, and other managers also issued similar products last week [1][17]. 3.3 Recent US Ordinary Public Fund Fund Flows - In June 2025, the total amount of non - money public funds in the US was $22.69 trillion, an increase of $0.78 trillion compared to May 2025. The S&P 500 rose by 6.15% in June, and the scale of US domestic equity products increased by 4.26%, slightly lower than the stock increase. From July 16th to July 23rd, US domestic equity funds had a total outflow of approximately $13.5 billion, returning to over $10 billion, while the inflow of bond products was stable [1][19].

1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints of the Report - The energy - chemical sector is mainly divided into energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others. Strategies suggest constructing option portfolio strategies mainly based on sellers, as well as spot hedging or covered strategies to enhance returns [3][9]. 3. Summary by Relevant Catalogs 3.1 Futures Market Overview - The latest prices of various energy - chemical futures showed different trends. For example, crude oil (SC2509) was at 513, down 15 (-2.86%); liquefied petroleum gas (PG2509) was at 3,923, down 64 (-1.61%); methanol (MA2509) was at 2,383, down 20 (-0.83%) [4]. 3.2 Option Factor - Quantity and Position PCR - The PCR indicators of different option varieties varied. For instance, the volume PCR of crude oil was 1.01 with a change of 0.46, and the position PCR was 0.85 with a change of 0.01. These indicators are used to describe the strength of the option underlying market and the turning point of the market [5]. 3.3 Option Factor - Pressure and Support Levels - Each option variety has corresponding pressure and support levels. For example, the pressure level of crude oil was 640 and the support level was 500; the pressure level of liquefied petroleum gas was 5,200 and the support level was 3,800 [6]. 3.4 Option Factor - Implied Volatility - The implied volatility of different option varieties also differed. For example, the at - the - money implied volatility of crude oil was 33.445, and the weighted implied volatility was 36.36 with a change of - 1.17 [7]. 3.5 Strategy and Recommendations for Each Option Variety 3.5.1 Energy - related Options (Crude Oil, Liquefied Petroleum Gas) - **Crude Oil**: The US crude oil inventories increased. The market showed a short - term upward受阻and then downward trend. Implied volatility fluctuated around the mean. Recommended strategies included constructing a neutral short call + put option combination strategy and a long collar strategy for spot hedging [8]. - **Liquefied Petroleum Gas**: Factory and port inventories were at high levels. The market was short - term bearish. Implied volatility was at a relatively high historical level. Recommended strategies included constructing a short - biased call + put option combination strategy and a long collar strategy for spot hedging [10]. 3.5.2 Alcohol - related Options (Methanol, Ethylene Glycol) - **Methanol**: Production enterprise inventories and orders decreased. The market was weakly bullish with pressure. Implied volatility fluctuated around the mean. Recommended strategies included constructing a neutral short call + put option combination strategy and a long collar strategy for spot hedging [10]. - **Ethylene Glycol**: The overall operating rate was stable, but production profits were under pressure. The market was weakly bullish with pressure. Implied volatility fluctuated around the historical mean. Recommended strategies included constructing a short - volatility strategy and a long collar strategy for spot hedging [11]. 3.5.3 Polyolefin - related Options (Polypropylene, Polyvinyl Chloride, Plastic, Styrene) - **Polypropylene**: The number of maintenance production lines decreased, and production increased. The market was weakly bearish. Implied volatility was around the historical mean. Recommended strategies included a long collar strategy for spot hedging [11]. 3.5.4 Rubber - related Options (Rubber, Synthetic Rubber) - **Rubber**: Hainan's natural rubber production decreased. The market was bearish. Implied volatility decreased to around the mean after a sharp increase. Recommended strategies included constructing a neutral short call + put option combination strategy [12]. 3.5.5 Polyester - related Options (Para - xylene, PTA, Short - fiber, Bottle - chip) - **PTA**: Factory inventories continued to accumulate, and prices were under pressure. The market was slightly bullish with pressure. Implied volatility was at a relatively high level. Recommended strategies included constructing a neutral short call + put option combination strategy [13]. 3.5.6 Alkali - related Options (Caustic Soda, Soda Ash, Urea) - **Caustic Soda**: The average utilization rate of production capacity decreased slightly. The market was weakly bullish with pressure. Implied volatility was at a relatively high level. Recommended strategies included a long collar strategy for spot hedging [14]. - **Soda Ash**: Inventories continued to accumulate at a high level. The market was bearish after a sharp decline. Implied volatility was at a relatively high level. Recommended strategies included constructing a short - volatility combination strategy and a long collar strategy for spot hedging [14]. - **Urea**: Supply decreased slightly, and demand was weak. The market was bearish with fluctuations. Implied volatility was below the historical mean. Recommended strategies included constructing a short - biased call + put option combination strategy and a long collar strategy for spot hedging [15].

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - For non - ferrous metals, construct a seller neutral volatility strategy as they are in a state of oscillation; for black metals, build a short - volatility portfolio strategy due to their sharp decline after a continuous rise; for precious metals, create a spot hedging strategy as they are consolidating at a high level [2] 3. Summary by Related Catalogs 3.1 Futures Market Overview - Copper (CU2509): The latest price is 78,170, down 100 (-0.13%), with a trading volume of 8.09 million lots (down 2.81 million) and an open interest of 16.77 million lots (down 0.85 million) [3] - Aluminum (AL2509): The latest price is 20,480, up 5 (0.02%), with a trading volume of 12.76 million lots (down 1.77 million) and an open interest of 23.35 million lots (down 1.52 million) [3] - Other metals follow a similar pattern of price, trading volume, and open - interest changes 3.2 Option Factors - Volume and Open Interest PCR - Copper: Volume PCR is 1.49 (down 0.01), and open - interest PCR is 0.84 (down 0.03) [4] - Aluminum: Volume PCR is 1.06 (down 0.03), and open - interest PCR is 0.79 (down 0.04) [4] - Other metals also have corresponding volume and open - interest PCR values and changes 3.3 Option Factors - Pressure and Support Levels - Copper: The pressure level is 82,000, and the support level is 75,000 [5] - Aluminum: The pressure level is 21,000, and the support level is 20,000 [5] - Other metals have their own pressure and support levels 3.4 Option Factors - Implied Volatility - Copper: The at - the - money implied volatility is 10.98%, the weighted implied volatility is 16.89% (down 1.21%), and the difference between implied and historical volatility is - 4.57% [6] - Aluminum: The at - the - money implied volatility is 9.67%, the weighted implied volatility is 12.06% (down 0.41%), and the difference between implied and historical volatility is - 1.62% [6] - Other metals have different implied volatility characteristics 3.5 Strategy and Recommendations 3.5.1 Non - Ferrous Metals - Copper: Build a short - volatility seller option portfolio strategy and a spot long - hedging strategy [7] - Aluminum: Construct a short - neutral call + put option combination strategy and a spot collar strategy [9] - Other non - ferrous metals also have corresponding strategies 3.5.2 Precious Metals - Gold/Silver: Build a neutral short - volatility option seller portfolio strategy and a spot hedging strategy [12] 3.5.3 Black Metals - Rebar: Construct a short - neutral call + put option combination strategy and a spot long - covered call strategy [13] - Iron ore: Use a bull spread strategy for call options, a short - long call + put option combination strategy, and a spot long - collar strategy [13] - Other black metals have their own strategies

1. Report Industry Investment Rating No information provided in the text. 2. Core Viewpoints of the Report - This week, the straddle statistical arbitrage strategy led the option strategies in the CSI 300 stock index options and SSE 50 ETF options, with weekly returns of 0.28% and 0.18% respectively. The strategy of selling the wide - straddle at the maximum position led the option strategies in the CSI 1000 stock index options, with a weekly return of 0.76% [1][6][11][16]. - From January 2024 to the present, the benchmark strategies in the CSI 300, SSE 50 ETF, and CSI 1000 stock index options markets performed best, with cumulative returns of 24.37%, 26.13%, and 30.9% respectively. Among the option strategies, the short - put strategy in the CSI 300 and SSE 50 ETF options, and the protective put strategy in the CSI 1000 stock index options had relatively good performance [6][11][16]. - The three option hedging strategies (covered call, protective put, and collar) can effectively reduce the maximum drawdown of the benchmark in all three markets [7][11][16]. - The three option volatility trading strategies (straddle statistical arbitrage, short - straddle, and selling the wide - straddle at the maximum position) can effectively reduce the strategy's drawdown due to the additional threshold limit in the clustering dimension of implied volatility [7][11][16]. - In the CSI 300 and SSE 50 ETF options, the short - straddle strategy is better than the strategy of selling the wide - straddle at the maximum position in terms of short - selling volatility; in the CSI 1000 stock index options, the short - straddle strategy has better returns [7][11][17]. - The bull call spread strategy has stronger returns than the benchmark in all three markets and can reduce the maximum drawdown because it can avoid tail risks [7][12][17]. 3. Summary by Relevant Catalogs 3.1 This Week's Market Review 3.1.1 CSI 300 Stock Index Option Strategy Review - Based on the CSI 300 index, futures, and options, eight common strategies were back - tested. This week, the straddle statistical arbitrage strategy led with a 0.28% return. From January 2024 to the present, the benchmark performed best with a 24.37% cumulative return, and the short - put strategy led among the option strategies with a 9.79% cumulative return [5][6][7]. 3.1.2 SSE 50 ETF Option Strategy Review - Based on the 50 ETF and its options, eight common strategies were back - tested. This week, the straddle statistical arbitrage strategy led with a 0.18% return. From January 2024 to the present, the benchmark performed best with a 26.13% cumulative return, and the short - put strategy led among the option strategies with a 19.44% cumulative return [8][11]. 3.1.3 CSI 1000 Stock Index Option Strategy Review - Based on the CSI 1000 index, futures, and options, eight common strategies were back - tested. This week, the strategy of selling the wide - straddle at the maximum position led with a 0.76% return. From January 2024 to the present, the benchmark performed best with a 30.9% cumulative return, and the protective put strategy had relatively good performance among the option strategies [13][16]. 3.2 Strategy Specific Descriptions 3.2.1 Covered Call Strategy - Purpose: To enhance returns, commonly used by overseas mutual funds. It can reduce holding costs and enhance stock - holding returns when the underlying asset is expected to rise slightly or not rise [18]. - Construction: For the SSE 50 ETF, buy 1 share of 50 ETF and sell 1 share of a 10% out - of - the - money standard call option. For the CSI 300 stock index futures, buy 1 contract and sell 3 contracts of a 4% out - of - the - money call option [18][21]. 3.2.2 Short - Put Strategy - Purpose: To obtain premium income when the market is stable or not expected to fall sharply [24]. - Construction: Sell at - the - money standard put options, with different settings for the SSE 50 ETF and CSI 300 stock index futures in terms of contract multiplier and fees [24][26]. 3.2.3 Protective Put Strategy - Purpose: To hedge risks when the market goes down while allowing investors to enjoy some upside returns [28]. - Construction: For the SSE 50 ETF, buy 1 share of 50 ETF and 1 share of a 10% out - of - the - money standard put option. For the CSI 300 stock index futures, buy 1 contract and 3 contracts of a 4% out - of - the - money put option [29][31]. 3.2.4 Collar Strategy - Purpose: A neutral strategy that combines the covered call and protective put strategies to provide tail - risk management while reducing hedging costs [34]. - Construction: For the SSE 50 ETF, hold 1 share of 50 ETF, buy 1 share of a 10% out - of - the - money put option, and sell 1 share of a 10% out - of - the - money call option. For the CSI 300 stock index futures, hold 1 contract, buy 3 contracts of a 4% out - of - the - money put option, and sell 3 contracts of a 4% out - of - the - money call option [34][37]. 3.2.5 Straddle Statistical Arbitrage Strategy - Purpose: To trade volatility by taking advantage of the mean - reversion relationship between implied volatility and historical volatility [40]. - Construction: Use a straddle strategy to go long or short on implied volatility. Make decisions based on the difference between implied volatility and historical volatility, and consider the clustering of implied volatility [41]. 3.2.6 Short - Straddle Strategy - Purpose: A strategy to short - sell volatility, aiming to profit from the decline in volatility [46]. - Construction: Sell at - the - money call and put options of the same month, adjust positions according to changes in the at - the - money level and the main contract, and consider the clustering of implied volatility [48][51]. 3.2.7 Strategy of Selling the Wide - Straddle at the Maximum Position - Purpose: To obtain time - value income by constructing a short - wide - straddle option portfolio based on the maximum position levels of call and put options [53]. - Construction: Sell standard call and put options at the maximum position levels, adjust positions according to changes in the maximum position levels and the main contract, and consider the clustering of implied volatility [55][57]. 3.2.8 Bull Call Spread Strategy - Purpose: A low - cost long - call strategy, suitable for when the underlying price is expected to rise moderately in the short term and implied volatility is low [60]. - Construction: Buy at - the - money call options and sell 10% (SSE 50 ETF) or 4% (CSI 300 stock index futures) out - of - the - money call options [61][63].

Group 1: Report Overview - Report Title: Metal Options Strategy Morning Report [1] - Date: August 1, 2025 - Research Team: Lu Pinxian, Huang Kehan, Li Renjun [2] Group 2: Market Overview - **Non - ferrous Metals**: Most non - ferrous metals showed a downward trend. For example, copper (CU2509) dropped 0.55% to 78,010, aluminum (AL2509) decreased 0.58% to 20,450, etc. [3] - **Precious Metals**: Gold (AU2510) rose 0.12% to 770.92, while silver (AG2510) fell 1.37% to 8,935 [3] - **Black Metals**: Some black metals like iron ore (I2509) rose 0.25% to 786.50, while others such as industrial silicon (SI2509) dropped 6.26% to 8,760 [3] Group 3: Option Factors Volume - Open Interest PCR - Different metals have different PCR values and changes, which can be used to analyze market sentiment and potential turning points. For example, copper's volume PCR is 1.51 with a change of 1.00, and its open - interest PCR is 0.87 with a change of 0.15 [4] Pressure and Support Levels - Each metal option has its own pressure and support levels. For instance, copper's pressure point is 82,000 and support point is 75,000 [5] Implied Volatility - Implied volatility varies among different metals. For example, aluminum's weighted implied volatility is 12.47% with a change of 0.35%, and its historical average is 12.78% [6] Group 4: Strategy and Recommendations Non - ferrous Metals - **Copper**: Build a short - volatility seller option portfolio strategy and a spot hedging strategy [7] - **Aluminum/Alumina**: Construct a selling call + put option combination strategy with a positive delta and a spot collar strategy [9] - **Zinc/Lead**: Build a selling neutral call + put option combination strategy with a neutral delta and a spot collar strategy [9] - **Nickel**: Construct a selling bearish call + put option combination strategy with a negative delta and a spot long - position hedging strategy [10] - **Tin**: Implement a short - volatility strategy and a spot collar strategy [10] - **Lithium Carbonate**: Build a selling neutral call + put option combination strategy with a neutral delta and a spot long - position hedging strategy [11] Precious Metals - **Gold/Silver**: Construct a neutral short - volatility option seller portfolio strategy and a spot hedging strategy [12] Black Metals - **Rebar**: Build a selling neutral call + put option combination strategy with a neutral delta and a spot long - position covered call strategy [13] - **Iron Ore**: Use a bullish call spread strategy, a selling bullish call + put option combination strategy, and a spot long - position collar strategy [13] - **Ferroalloys**: Implement a short - volatility strategy for manganese silicon [14] - **Industrial Silicon/Polysilicon**: Build a short - volatility selling call + put option combination strategy with a neutral delta and a spot hedging strategy [14] - **Glass**: Construct a short - volatility selling call + put option combination strategy and a spot long - position collar strategy [15]

Industry Investment Rating - No industry investment rating is provided in the report. Core Viewpoints - The agricultural product options market shows different trends. Oilseeds and oils are in a strong - oscillating state, while by - products, soft commodities, and grains have their own market trends. The report suggests constructing option combination strategies mainly based on sellers, as well as spot hedging or covered strategies to enhance returns [2]. Summary by Related Catalogs 1. Market Overview of Underlying Futures - Different agricultural product futures have different price changes, trading volumes, and open interest changes. For example, the latest price of soybeans (A2509) is 4,133, down 4 with a decline rate of 0.10%, the trading volume is 10.27 million lots, and the open interest is 12.22 million lots [3]. 2. Option Factors - Volume and Open Interest PCR - The PCR indicators of different agricultural product options vary. For instance, the volume PCR of soybean (A2509) is 0.55 with a change of 0.17, and the open interest PCR is 0.39 with no change [4]. 3. Option Factors - Pressure and Support Levels - Each option variety has its own pressure and support levels. For example, the pressure level of soybean (A2509) is 4,300, and the support level is 4,100 [5]. 4. Option Factors - Implied Volatility - The implied volatility of different agricultural product options also shows different characteristics. For example, the at - the - money implied volatility of soybean (A2509) is 9.31%, and the weighted implied volatility is 12.04% with a change of - 0.32% [6]. 5. Strategies and Recommendations 5.1 Oilseeds and Oils Options - **Soybeans (A2509, B2509)**: The US soybean supply - demand situation in the 25/26 period has changed. The market shows a small - range consolidation and oscillation pattern. It is recommended to construct option combination strategies such as selling neutral call + put options and long collar strategies for spot hedging [7]. - **Soybean Meal (M2509), Rapeseed Meal (RM2509)**: The market shows a pattern of weak consolidation and then a rebound. It is recommended to construct selling neutral call + put option combination strategies and long collar strategies for spot hedging [9]. - **Palm Oil (P2509), Soybean Oil (Y2509), Rapeseed Oil (OI2509)**: The palm oil market is affected by production and demand. It is recommended to construct selling long - biased call + put option combination strategies and long collar strategies for spot hedging [10]. - **Peanuts (PK2510)**: The market shows a pattern of weak consolidation under bearish pressure. It is recommended to construct a bearish spread strategy of put options and long collar strategies for spot hedging [11]. 5.2 By - product Options - **Pigs (LH2509)**: The spot price of pigs has declined, and the market shows a pattern of small - range consolidation under bearish pressure. It is recommended to construct selling short - biased call + put option combination strategies and covered strategies for spot hedging [11]. - **Eggs (JD2509)**: The egg price has risen and then stabilized. It is recommended to construct a bearish spread strategy of put options and selling short - biased call + put option combination strategies [12]. - **Apples (AP2510)**: The apple market shows a pattern of gradual rebound. It is recommended to construct selling neutral call + put option combination strategies [12]. - **Jujubes (CJ2601)**: The jujube market shows a pattern of rebound and then a decline. It is recommended to construct selling short - biased strangle option combination strategies and covered strategies for spot hedging [13]. 5.3 Soft Commodity Options - **Sugar (SR2509)**: The sugar market shows a pattern of rebound after a decline. It is recommended to construct selling neutral call + put option combination strategies and long collar strategies for spot hedging [13]. - **Cotton (CF2509)**: The cotton market shows a short - term weak pattern. It is recommended to construct selling long - biased call + put option combination strategies and covered strategies for spot hedging [14]. 5.4 Grain Options - **Corn (C2509), Starch (CS2509)**: The corn market shows a pattern of weak decline. It is recommended to construct a bearish spread strategy of put options and selling short - biased call + put option combination strategies [14].