Core Viewpoint - The global geopolitical risks have significantly increased, yet the stock market remains relatively calm, creating a dilemma for options traders who are caught between selling volatility and the potential for sudden conflict escalation [1][6][12] Group 1: Market Dynamics - Since Israel's airstrikes on Iran, oil prices have surged by 11%, with oil market volatility reaching its highest level since the 2022 Russia-Ukraine conflict [1][3][7] - The implied volatility (IV) has dropped significantly from its spring highs, while the actual volatility (RV) remains low, leading to a situation where IV appears expensive despite its decline [2][10] - The S&P 500 index has only decreased by 1.3%, while the implied volatility gap has widened to its highest level in about a year [3][7] Group 2: Options Trading Strategies - Options traders are currently in a precarious position, balancing between the fear of sudden geopolitical events causing IV to spike and the risk of time decay (theta) eroding the value of bought volatility [2][6][8] - Selling volatility typically involves strategies like selling straddles or strangles, with profits dependent on actual volatility being lower than implied volatility [2][10] - The current market environment has led to a chaotic global options market, where implied volatility has decreased significantly, but premiums remain high, complicating profitable trading strategies [10][12] Group 3: Investor Sentiment and Strategy Shifts - Investor sentiment has shifted from a "Buy America" strategy to a more mixed stance, reflecting fatigue with headline news and uncertainty regarding geopolitical developments [7][11] - Some traders are adopting "stock replacement" strategies, using options to hedge against market risks while maintaining their positions [12][13] - The Cboe VVIX index, which measures the volatility of the VIX, has risen to a high level, indicating increased market willingness to purchase options for hedging against significant volatility [12]

Core Viewpoint - The euro is increasingly being used as a safe-haven currency and is gaining traction in the global foreign exchange options market, as traders seek to avoid the unpredictable U.S. dollar amid trade war risks and economic uncertainties [1][5]. Group 1: Euro's Growing Role - Approximately 15% to 30% of contracts linked to the U.S. dollar against major currencies have shifted to the euro in the first five months of this year [1]. - The euro has appreciated by 11% against the U.S. dollar this year, reaching its highest level since 2021 at over 1.16 USD [5]. - The euro is being viewed as a key driver in a potentially more significant European capital flow environment, according to BNP Paribas options strategist Oliver Brennan [1]. Group 2: Dollar's Decline - The U.S. dollar has seen a decline of over 7% against a basket of major currencies, marking its lowest level since 2022 [5]. - Hedge fund manager Paul Tudor Jones predicts a further 10% decline in the dollar over the next year [5]. - The implied volatility of the euro against the yen has decreased relative to that of the dollar against the yen, indicating a shift in market sentiment towards the euro as a safer asset [5][9]. Group 3: Market Sentiment and Strategy - Traders are increasingly favoring the euro over the dollar when hedging or betting on significant volatility in the yen, as evidenced by the widening spread in the "10-delta fly wing" options [9]. - The market is seeking cheaper ways to express bullish views on the euro, especially in light of the potential for better performance compared to the dollar [6]. - European Central Bank President Christine Lagarde has called for policymakers to seize the opportunity to enhance the euro's global standing [9].

投资咨询业务资格:证监许可【2012】31号 IIG 国贸期 x 据日报 主能介于品中心 =: F0251925 2025/6/20 数据来源: Wind,国贸期货研究院 | | 行情回顾 | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | | 指数 收盘价 | 张肤帽(%) | | | 成交额(亿元) | | 成交里(亿) | | | 上证50 2665. 5197 | -0.54 | | | 640. 21 | | 37. 65 | | | 沪深300 3843. 0912 | -0.82 | | | 2348. 40 | | 130. 28 | | | 中证1000 6048. 2243 | -1.42 | | | 2708. 27 | | 212. 22 | | | | 中金所股指期权成交情况 | | | | | | | | 期权成交里 指数 | 认沽期权 | 认购期权 | 日成交里 | 期权持仓里 | 认购期权 | 认洁期权 | 持仓里 | | (万张) | 成交堂 | 成交堂 | PCR | (万张) | 持仓里 | 持创 ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - For non - ferrous metals, a short - volatility strategy is recommended as they are in a bullish consolidation phase [2]. - For the black series, which are in a range - bound consolidation and oscillation, a bear spread combination strategy and a seller option combination strategy are suitable [2]. - For precious metals, with gold in high - level consolidation and silver breaking through and rising, a bull spread combination strategy and a spot hedging strategy are suggested [2]. 3. Summary by Related Catalogs 3.1 Futures Market Overview - Various metal futures showed different price changes, trading volumes, and open interest changes. For example, copper (CU2508) had a price of 78,100 with a decline of 0.27%, and trading volume of 3.29 million lots [3]. 3.2 Option Factor - Volume and Open Interest PCR - Different metal options had different volume and open interest PCR values, which are used to describe the strength of the option underlying market and the turning point of the underlying market respectively. For instance, the volume PCR of copper was 0.70 with a change of 0.09, and the open interest PCR was 0.91 with a change of 0.03 [4]. 3.3 Option Factor - Pressure and Support Levels - Each metal option had identified pressure and support levels. For example, the pressure level of copper was 80,000 and the support level was 77,000 [5]. 3.4 Option Factor - Implied Volatility - Different metal options had different implied volatility values, including at - the - money implied volatility, weighted implied volatility, etc. For example, the at - the - money implied volatility of copper was 10.55% [6]. 3.5 Strategy and Recommendations 3.5.1 Non - Ferrous Metals - **Copper Options**: - Fundamental analysis showed changes in inventory. The price was in a high - level range - bound oscillation. - Based on option factors, implied volatility was high, and the open interest PCR indicated pressure. - Recommended strategies included a bull spread combination strategy and a short - volatility seller option combination strategy, as well as a spot hedging strategy [8]. - **Aluminum/Alumina Options**: - Aluminum had inventory changes and price trends. - Option factors showed certain characteristics of implied volatility and open interest PCR. - Recommended strategies included a bull spread combination strategy, a short - option combination strategy for a bullish market, and a spot collar strategy [9]. - **Zinc/Lead Options**: - Zinc had changes in inventory and price trends. - Option factors showed high implied volatility and a certain open interest PCR level. - Recommended strategies included a short - option combination strategy for a bearish market and a spot collar strategy [9]. - **Nickel Options**: - Nickel had inventory changes and a weak price trend. - Option factors showed high implied volatility and a decreasing bullish force. - Recommended strategies included a bear spread combination strategy, a short - option combination strategy for a bearish market, and a spot hedging strategy [10]. - **Tin Options**: - Tin had inventory changes and a price trend of rebound after a decline. - Option factors showed high implied volatility and an open interest PCR around 1.00. - Recommended strategies included a short - volatility strategy and a spot collar strategy [10]. - **Lithium Carbonate Options**: - Lithium carbonate had production and inventory issues, and a weak price trend. - Option factors showed high implied volatility and a low open interest PCR. - Recommended strategies included a bear spread combination strategy, a short - option combination strategy for a bearish market, and a spot covered strategy [11]. 3.5.2 Precious Metals - **Gold/Silver Options**: - Gold was affected by geopolitical conflicts. The price was in a high - level consolidation with a decline. - Option factors showed rising implied volatility and a certain open interest PCR level. - Recommended strategies included a short - volatility option seller combination strategy for a bullish market and a spot hedging strategy [12]. 3.5.3 Black Series - **Rebar Options**: - Rebar had production and inventory changes, and a weak price trend. - Option factors showed low - level implied volatility and a high - level open interest PCR indicating bearish pressure. - Recommended strategies included a bear spread combination strategy, a short - option combination strategy for a bearish market, and a spot covered strategy [13]. - **Iron Ore Options**: - Iron ore had inventory changes and a price trend of oscillation. - Option factors showed low - level implied volatility and an open interest PCR around 1.00. - Recommended strategies included a short - option combination strategy for a neutral market and a spot collar strategy [13]. - **Ferroalloy Options**: - Manganese silicon had production and inventory changes, and a weak price trend with a rebound. - Option factors showed low - level implied volatility and a low open interest PCR. - Recommended strategies included a bear spread combination strategy and a short - volatility strategy [14]. - **Industrial Silicon/Polysilicon Options**: - Industrial silicon had production and inventory changes, and a weak price trend. - Option factors showed rising implied volatility and a low open interest PCR. - Recommended strategies included a short - option combination strategy for a bearish market and a spot covered strategy [14]. - **Glass Options**: - Glass had supply and demand issues, and a weak price trend with a large - amplitude oscillation. - Option factors showed high - level implied volatility and a low open interest PCR. - Recommended strategies included a bear spread combination strategy, a short - volatility option combination strategy, and a spot collar strategy [15].

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints - The energy - chemical sector is divided into energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others. Strategies mainly involve constructing option combination strategies focused on sellers and spot hedging or covered strategies to enhance returns [3][9]. 3. Summary by Related Catalogs 3.1 Futures Market Overview - Various energy - chemical futures showed different price movements. For example, crude oil (SC2508) rose 3.52% to 564, and liquefied petroleum gas (PG2508) rose 1.15% to 4,469. Trading volumes and open interests also changed accordingly [4]. 3.2 Option Factors - Volume and Open Interest PCR - Option volume and open interest PCR values varied among different varieties. For instance, the open interest PCR of crude oil was 1.65 with a 0.18 change, indicating the strength of the market sentiment [5]. 3.3 Option Factors - Pressure and Support Levels - Pressure and support levels were identified for each option variety. For example, the pressure level of crude oil was 610 and the support level was 450 [6]. 3.4 Option Factors - Implied Volatility - Implied volatility levels differed across different options. Crude oil's implied volatility was relatively high, with a weighted implied volatility of 51.85% and an increase of 8.52% [7]. 3.5 Option Strategies and Recommendations - **Energy - related Options (Crude Oil and LPG)**: - Fundamental analysis considered factors such as US economic data and geopolitical conflicts. - Option strategies included constructing bull spread combinations for directional gains, selling call + put option combinations for time - value and directional returns, and using long - collar strategies for spot hedging [8][10]. - **Alcohol - related Options (Methanol and Ethylene Glycol)**: - Fundamental analysis focused on inventory and production. - Similar option strategies were proposed as in energy - related options [10][11]. - **Polyolefin - related Options (Polypropylene, PVC, Plastic, and Styrene)**: - Fundamental analysis involved downstream开工 rates and inventory levels. - Directional strategies mainly included bull spread combinations, and some had no volatility strategies [11]. - **Rubber - related Options**: - Fundamental analysis considered overseas production, policies, and tire industry conditions. - Volatility strategies involved selling neutral call + put option combinations [12]. - **Polyester - related Options**: - Fundamental analysis was based on inventory and downstream demand. - Volatility strategies included selling neutral call + put option combinations [13]. - **Alkali - related Options (Caustic Soda and Soda Ash)**: - Fundamental analysis focused on production, capacity utilization, and inventory. - Directional strategies included bear spread combinations for caustic soda and soda ash, and volatility strategies involved selling bearish option combinations [14]. - **Urea Options**: - Fundamental analysis considered inventory and price trends. - Volatility strategies included selling neutral call + put option combinations [15].

Group 1: Definitions - Financial option implied volatility index reflects the 30 - day implied volatility (IV) trend as of the previous trading day. Commodity option implied volatility index is obtained by weighting the IVs of the two strike prices above and below the at - the - money option of the main contract month, reflecting the IV change trend of the main contract [3] - The difference between the IV index and historical volatility (HV) indicates the relative level of IV to HV. A larger difference means IV is relatively higher than HV, and a smaller difference means IV is relatively lower [3] Group 2: Implied Volatility and Historical Volatility Charts - Charts show the IV, HV, and IV - HV differences of various products including 300 index, 50ETF, 1000 index, 500ETF, cotton, sugar, rubber, PTA, crude oil, methanol, iron ore, copper, PVC, rebar, urea, gasoline, aluminum, zinc, etc. from different time periods [4][6][7][8] Group 3: Implied Volatility and Historical Volatility Quantiles - Implied volatility quantiles represent the current IV level of a product in history. High quantiles mean current IV is high, and low quantiles mean current IV is low. Volatility spread is the difference between IV and HV [19] - The implied volatility quantiles of different products are provided, such as PTA (0.85), PVC (0.72), etc. [21]

投资咨询业务资格:证监许可【2012】31号 IIG 国贸期 权数据日报 主能介于品中心 =: F0251925 2025/6/18 数据来源: Wind,国贸期货研究院 | | 行情回顾 | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | | 指数 | 收盘价 张肤帽(%) | | | 成交额(亿元) | | 成交堂(亿) | | | 上证50 | 2683. 9528 -0. 04 | | | 635. 17 | | 33.12 | | | 沪至300 | 3870. 3786 -0. 09 | | | 2204. 00 | | 122. 34 | | | 中证1000 | 6141. 4684 -0.10 | | | 2608. 74 | | 208. 43 | | | | 中金所股指期权成交情况 | | | | | | | | 指数 | 期权成交望 认沽期权 | 认购期权 | 日成交里 | 期权持仓里 | 认购期权 | 认沽期权 | 持仓里 | | | (万张) 成交里 | 成交里 | PCR | (万5k) | 持仓里 | ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The Shanghai Composite Index and large-cap blue-chip stocks are consolidating and fluctuating at high levels, while small and medium-cap stocks and ChiNext stocks are showing signs of a fluctuating recovery [2]. - The implied volatility of financial options is fluctuating at a historically low level [2]. - For ETF options, it is suitable to construct covered strategies, neutral double-selling strategies, and vertical spread combination strategies; for index options, it is suitable to construct neutral double-selling strategies and arbitrage strategies between synthetic long or short options and long or short futures [2]. 3. Summary by Relevant Catalogs 3.1 Financial Market Important Index Overview - The Shanghai Composite Index closed at 3,387.40, down 1.32 points or 0.04%, with a trading volume of 458 billion yuan, a decrease of 23.6 billion yuan [3]. - The Shenzhen Component Index closed at 10,151.43, down 12.12 points or 0.12%, with a trading volume of 749.2 billion yuan, an increase of 15.7 billion yuan [3]. - The Shanghai 50 Index closed at 2,683.95, down 1.06 points or 0.04%, with a trading volume of 63.5 billion yuan, a decrease of 5.3 billion yuan [3]. - The CSI 300 Index closed at 3,870.38, down 3.42 points or 0.09%, with a trading volume of 220.4 billion yuan, a decrease of 26.5 billion yuan [3]. - The CSI 500 Index closed at 5,750.91, down 16.90 points or 0.29%, with a trading volume of 160.1 billion yuan, a decrease of 10.9 billion yuan [3]. - The CSI 1000 Index closed at 6,141.47, down 5.99 points or 0.10%, with a trading volume of 260.9 billion yuan, an increase of 7.8 billion yuan [3]. 3.2 Option Underlying ETF Market Overview - The closing prices, price changes, trading volumes, and trading volume changes of various ETFs such as the Shanghai 50 ETF, Shanghai 300 ETF, and others are presented [4]. 3.3 Option Factor - Volume and Open Interest PCR - The volume and open interest PCR values and their changes for different option varieties are provided, which can be used to analyze the strength of the underlying option market and potential turning points [5]. 3.4 Option Factor - Pressure and Support Points - The pressure and support points for different option varieties are determined based on the strike prices with the largest open interest in call and put options [7][8]. 3.5 Option Factor - Implied Volatility - The implied volatility data for different option varieties, including at-the-money implied volatility, weighted implied volatility, and their changes, are presented [9]. 3.6 Strategies and Recommendations - The financial options sector is divided into large-cap blue-chip stocks, small and medium-cap stocks, and ChiNext stocks, with specific option strategies recommended for each sector [11]. - For each sector, specific option strategies are provided based on the analysis of the underlying asset market, option factor research, and option strategy suggestions [12][13][14].

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints - For non - ferrous metals in a range - bound consolidation, construct short - volatility strategies; for the black series in a weak oscillation, construct bear spread and short - option combination strategies; for precious metals, with gold consolidating at a high level and silver breaking through upwards, construct short - volatility and spot hedging strategies [2] 3. Summary by Related Catalogs 3.1 Market Overview of Underlying Futures - Presents the latest prices, price changes, price change rates, trading volumes, volume changes, open interests, and open interest changes of various metal futures contracts such as copper, aluminum, zinc, etc. [3] 3.2 Option Factors - Volume and Open Interest PCR - Displays the trading volume, volume change, open interest, open interest change, trading volume PCR, volume PCR change, open interest PCR, and open interest PCR change of different option varieties, which are used to describe the strength of the option underlying market and the turning point of the underlying market [4] 3.3 Option Factors - Pressure and Support Levels - Shows the pressure points, pressure point offsets, support points, support point offsets, maximum call option positions, and maximum put option positions of different option varieties from the perspective of the exercise prices with the maximum call and put option positions [5] 3.4 Option Factors - Implied Volatility - Presents the at - the - money implied volatility, weighted implied volatility, weighted implied volatility change, annual average, call option implied volatility, put option implied volatility, 20 - day historical volatility, and the difference between implied and historical volatility of different option varieties [6] 3.5 Option Strategies by Metal Category Non - ferrous Metals - **Copper Option**: Fundamental analysis shows inventory changes; the market presents a bullish oscillation pattern. Option factors suggest high implied volatility and increasing pressure above. Strategies include constructing bull spread, short - volatility, and spot long - hedging strategies [8] - **Aluminum/Alumina Option**: Aluminum inventory is decreasing; the market is in a bullish oscillation. Option factors show high implied volatility and a strong upward trend. Strategies include short - option combination and spot collar strategies [9] - **Zinc/Lead Option**: Zinc inventory shows a small increase; the market is in a wide - range oscillation. Option factors suggest high implied volatility and support below. Strategies include short - option combination and spot collar strategies [9] - **Nickel Option**: Nickel port inventory is increasing; the market is in a weak oscillation. Option factors show high implied volatility and weakening bullish power. Strategies include short - option combination and spot long - hedging strategies [10] - **Tin Option**: Tin inventory is decreasing; the market is in a rebound after a decline. Option factors suggest high implied volatility. Strategies include short - volatility and spot collar strategies [10] - **Lithium Carbonate Option**: Supply is increasing, and inventory pressure is high; the market is in a weak rebound. Option factors show high implied volatility and a weak trend. Strategies include bear spread, short - option combination, and spot covered - call strategies [11] Precious Metals - **Gold/Silver Option**: Geopolitical conflicts boost gold prices; the market shows a bullish consolidation for gold. Option factors suggest high implied volatility for gold. Strategies include short - volatility and spot hedging strategies [12] Black Series - **Rebar Option**: Rebar production and inventory are decreasing; the market is in a weak oscillation. Option factors show low implied volatility and strong bearish pressure above. Strategies include bear spread, short - option combination, and spot covered - call strategies [13] - **Iron Ore Option**: Iron ore inventory is increasing; the market is in a range - bound oscillation. Option factors show low implied volatility and support below. Strategies include short - option combination and spot collar strategies [13] - **Ferroalloy Option**: Manganese silicon production is increasing slightly, and inventory is high; the market is in a rebound after a decline. Option factors show low implied volatility and a weak trend. Strategies include bear spread and short - volatility strategies [14] - **Industrial Silicon/Polysilicon Option**: Industrial silicon production is increasing, and inventory is high; the market is in a rebound and then a decline. Option factors show high implied volatility and a weak trend. Strategies include short - option combination and spot covered - call strategies [14] - **Glass Option**: Glass supply and demand are weak; the market is in a decline and then a rebound. Option factors show high implied volatility and a weak trend. Strategies include bear spread, short - volatility, and spot collar strategies [15]

Report Summary 1. Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoint The report analyzes the futures market conditions of various agricultural products, including beans, oils, agricultural by - products, soft commodities, and grains. It also provides option strategies for each product based on fundamental analysis, option factor research, and market trends [8]. 3. Summary by Category 3.1 Futures Market Overview - **Price and Volume**: The report presents the latest prices, price changes, trading volumes, and open interest of various agricultural product futures contracts. For example, the latest price of soybean No.1 (A2509) is 4,249, with a price increase of 31 and a trading volume of 14.86 million lots [3]. - **Option Factors**: It includes option volume - to - open - interest ratios (PCR), pressure and support levels, and implied volatility. For instance, the volume PCR of soybean No.1 is 0.57, and its pressure level is 4300, while the support level is 4100 [4][5]. 3.2 Option Strategies for Different Agricultural Product Categories 3.2.1 Oilseeds and Oils Options - **Soybean No.1 and No.2**: For soybean No.1, the recommended strategies include a bull spread strategy for call options, a neutral call + put option selling strategy, and a long collar strategy for spot hedging [7]. - **Soybean Meal and Rapeseed Meal**: Given the sufficient future soybean supply, strategies such as a bull spread strategy for call options, a slightly bullish call + put option selling strategy, and a long collar strategy for spot hedging are proposed [9]. - **Palm Oil, Soybean Oil, and Rapeseed Oil**: With the expected increase in biofuel demand for oils, strategies like a bull spread strategy for call options, a slightly bullish call + put option selling strategy, and a long collar strategy for spot hedging are recommended [10]. - **Peanuts**: Due to the weak market, a bear spread strategy for put options and a long collar strategy for spot hedging are suggested [11]. 3.2.2 Agricultural By - product Options - **Pigs**: Considering the high sow inventory and weak market, a neutral call + put option selling strategy and a long call writing strategy for spot are recommended [11]. - **Eggs**: Given the expected increase in egg supply, a bear spread strategy for put options, a slightly bearish call + put option selling strategy are proposed [12]. - **Apples**: With the low cold - storage inventory, a bear spread strategy for put options and a slightly bearish call + put option selling strategy are recommended [12]. - **Jujubes**: A neutral strangle option selling strategy and a long call writing strategy for spot are suggested [13]. 3.2.3 Soft Commodity Options - **Sugar**: In the context of a weak sugar market, a slightly bearish call + put option selling strategy and a long collar strategy for spot hedging are recommended [13]. - **Cotton**: A neutral call + put option selling strategy and a long call writing strategy for spot are proposed [14]. 3.2.4 Grain Options - **Corn and Starch**: For corn, a slightly bullish call + put option selling strategy is recommended [14].