1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The agricultural product options market shows diverse trends: oilseeds and oils are in a range - bound consolidation, with oils and beans showing a weak trend; agricultural by - products maintain a volatile trend; soft commodities like sugar continue to be weak, while cotton consolidates at a high level after a rebound; grains such as corn and starch gradually recover and then consolidate in a narrow range [2]. - It is recommended to construct option portfolio strategies mainly based on sellers, as well as spot hedging or covered strategies to enhance returns [2]. 3. Summary by Related Catalogs 3.1 Futures Market Overview - Different agricultural product futures have various price changes, trading volumes, and open interest changes. For example, the price of soybeans No. 1 (A2507) is 4,181, down 7 (- 0.17%), with a trading volume of 8.01 million lots (down 4.50 million lots) and an open interest of 4.18 million lots (down 2.13 million lots) [3]. 3.2 Option Factor - Volume and Open Interest PCR - The volume and open interest PCR of different agricultural product options vary. For instance, the volume PCR of soybeans No. 1 is 0.55 (up 0.09), and the open interest PCR is 0.55 (down 0.01), which are used to describe the strength of the option underlying market and the turning point of the underlying market respectively [4]. 3.3 Option Factor - Pressure and Support Levels - The pressure and support levels of different agricultural product options are different. For example, the pressure level of soybeans No. 1 is 4,300, and the support level is 4,100 [5]. 3.4 Option Factor - Implied Volatility - The implied volatility of different agricultural product options shows different characteristics. For example, the at - the - money implied volatility of soybeans No. 1 is 9.84%, and the weighted implied volatility is 14.02% (up 0.69%) [6]. 3.5 Strategy and Recommendations 3.5.1 Oils and Oilseeds Options - **Soybeans No. 1 and No. 2**: - Fundamental analysis shows that the shipment and sales of US soybeans to China are at a low level in the expected range. The market trend of soybeans No. 1 is that it rebounds after a decline and then consolidates at a high level. - Option factor research indicates that the implied volatility of soybeans No. 1 is at a relatively high level, the open interest PCR is below 0.70, and the pressure and support levels are 4,300 and 4,100 respectively. - Option strategies include a bull spread strategy for call options, a neutral call + put option combination selling strategy, and a long collar strategy for spot hedging [7]. - **Soybean Meal and Rapeseed Meal**: - For soybean meal, the daily average trading volume of mainstream oil mills has increased, and the basis has decreased week - on - week. The market shows a short - term upward trend. - Option factor research shows that the implied volatility of soybean meal is above the historical average, the open interest PCR is below 0.80, and the pressure and support levels are 3,300 and 2,700 respectively. - Option strategies include a bull spread strategy for call options, a long - biased call + put option combination selling strategy, and a long collar strategy for spot hedging [9]. - **Palm Oil, Soybean Oil, and Rapeseed Oil**: - The soybean crushing volume and operating rate of domestic oil mills are expected to increase. Palm oil shows a range - bound consolidation trend. - Option factor research indicates that the implied volatility of palm oil is below the historical average, the open interest PCR is below 1.00, and the pressure and support levels are 8,500 and 7,500 respectively. - Option strategies include a neutral call + put option combination selling strategy and a long collar strategy for spot hedging [10]. - **Peanuts**: - The peanut spot market is in a strong - biased and volatile state, but the downstream consumption is not as expected. The market shows a weak - biased and volatile trend. - Option factor research shows that the implied volatility of peanuts is at a relatively low level, the open interest PCR is below 0.80, and the pressure and support levels are 9,000 and 7,200 respectively. - Option strategies include a bear spread strategy for put options and a long collar strategy for spot hedging [11]. 3.5.2 Agricultural By - products Options - **Pigs**: - The sales volume of three major pig enterprises has decreased month - on - month. The market shows a wide - range consolidation and downward trend. - Option factor research indicates that the implied volatility of pigs is above the historical average, the open interest PCR is below 0.50, and the pressure and support levels are 14,000 and 12,800 respectively. - Option strategies include a short - biased call + put option combination selling strategy and a covered call strategy for spot [11]. - **Eggs**: - The supply of eggs is stable, but the short - term price center is expected to decline. The market shows a weak - biased and downward trend. - Option factor research shows that the implied volatility of eggs is at a high level, the open interest PCR is below 0.60, and the pressure and support levels are 3,100 and 2,800 respectively. - Option strategies include a bear spread strategy for put options and a short - biased call + put option combination selling strategy [12]. - **Apples**: - The cold - storage inventory of apples is at a low level in the past five years. The market shows a weak - biased and recovering trend. - Option factor research indicates that the implied volatility of apples is below the historical average, the open interest PCR is below 0.60, and the pressure and support levels are 8,900 and 7,000 respectively. - Option strategies include a bear spread strategy for put options and a short - biased call + put option combination selling strategy [12]. - **Red Dates**: - The growth of jujube trees in the main producing areas is good, but the trading atmosphere has weakened after the Dragon Boat Festival. The market shows a weak - biased and rebounding trend. - Option factor research indicates that the implied volatility of red dates is at a low level, the open interest PCR is below 0.50, and the pressure and support levels are 11,400 and 8,600 respectively. - Option strategies include a neutral strangle option combination selling strategy and a covered call strategy for spot hedging [13]. 3.5.3 Soft Commodities Options - **Sugar**: - The domestic sugar production in the 24/25 and 25/26 crushing seasons is expected to increase. The market shows a weak - biased and volatile trend. - Option factor research shows that the implied volatility of sugar is at a relatively low level, the open interest PCR is around 0.80, and the pressure and support levels are 6,000 and 5,700 respectively. - Option strategies include a short - biased call + put option combination selling strategy and a long collar strategy for spot hedging [13]. - **Cotton**: - Affected by the external market, cotton rebounds slightly. The market shows a recovering trend under bearish pressure. - Option factor research indicates that the implied volatility of cotton is at a low level, the open interest PCR is below 1.00, and the pressure and support levels are 14,000 and 13,000 respectively. - Option strategies include a neutral call + put option combination selling strategy and a covered call strategy for spot [14]. 3.5.4 Grains Options - **Corn and Starch**: - The inventory of corn starch has increased, and the cost of raw material corn is high. Corn shows a rising and consolidating trend. - Option factor research shows that the implied volatility of corn is at a relatively low level, the open interest PCR is around 0.80, and the pressure and support levels are 2,400 and 2,240 respectively. - Option strategies include a long - biased call + put option combination selling strategy [14].

Report Summary 1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints - The energy and chemical sector is divided into energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others [8]. - Strategies suggest constructing option - combination strategies mainly as sellers, along with spot hedging or covered strategies to enhance returns [2]. 3. Summary by Related Catalogs 3.1 Futures Market Overview - Various energy and chemical futures showed different price movements, volume changes, and open - interest changes. For example, crude oil (SC2508) had a latest price of 476, a rise of 1, and a volume of 2.69 million lots with a decrease of 0.52 million lots compared to the previous period [3]. 3.2 Option Factors - Volume and Open - Interest PCR - PCR indicators were used to describe the strength of the option underlying market and the turning points. For instance, the open - interest PCR of crude oil was 1.20, indicating an increase in the long - side strength [4]. 3.3 Option Factors - Pressure and Support Levels - Pressure and support levels were determined from the strike prices of the maximum open - interest of call and put options. For example, the pressure level of crude oil was 570 and the support level was 400 [5]. 3.4 Option Factors - Implied Volatility - Implied volatility was calculated using different methods. For example, the weighted implied volatility of crude oil was 28.09% with a decrease of 1.08% [6]. 3.5 Strategy and Recommendations for Each Option Type - **Energy - related Options (Crude Oil)**: Based on fundamental and technical analysis, strategies included constructing a short - neutral call + put option combination strategy and a long - collar strategy for spot hedging [7]. - **LPG Options**: With a weak - bearish market, strategies involved constructing a short - bearish call + put option combination strategy and a long - collar strategy for spot hedging [9]. - **Alcohol - related Options (Methanol and Ethylene Glycol)**: Strategies included constructing short - neutral or short - volatility option combination strategies and long - collar strategies for spot hedging [9][10]. - **Polyolefin - related Options (Polypropylene, etc.)**: Strategies included constructing a bear - spread strategy for put options and long - collar strategies for spot hedging [10]. - **Rubber Options**: Strategies included constructing a bear - spread strategy for put options and a short - bearish call + put option combination strategy [11]. - **Polyester - related Options (PTA, etc.)**: Strategies included constructing a short - neutral call + put option combination strategy [12]. - **Alkali - related Options (Caustic Soda and Soda Ash)**: Strategies included constructing bear - spread strategies for put options, short - bearish option combination strategies, and long - collar or covered - call strategies for spot hedging [13]. - **Urea Options**: Strategies included constructing a bear - spread strategy for put options, a short - bearish call + put option combination strategy, and a long - collar strategy for spot hedging [14].

Report Industry Investment Rating No relevant information provided. Core Viewpoints of the Report - On June 10, 2025, cast aluminum alloy options were officially listed for trading. The market performance on the first trading day was stable, with a total trading volume of 8,485 lots. The trading was concentrated on the main contract AD2511, indicating a certain bullish sentiment in the market. [1][21] - The implied volatility of cast aluminum alloy options is slightly higher than the historical volatility of the spot. The price of cast aluminum alloy on the spot side has limited downward space, but there is pressure on the subsequent social inventory to accumulate. The price on the disk can be traded in the short - term range. [2][33] - Speculative strategies can consider constructing short strangles to earn Theta income. Hedging strategies include upstream enterprises buying put options to hedge the risk of falling sales prices, or constructing covered strategies by selling out - of - the - money call options, and combining them to construct collar strategies. [3][33][34] Summary by Directory 1. Cast Aluminum Alloy Option Compliance Rules - **Listing and Contracts**: Cast aluminum alloy options were officially listed for trading on the night session of June 10, 2025. The first batch of listed contracts were the option contracts corresponding to the AD2511 and AD2512 futures contracts. The contract details include the contract subject, type, trading unit, etc. [1][9][11] - **Pricing and Limits**: The listing benchmark price is calculated by the binomial tree option pricing model. The daily limit is ±7%, and it is twice that on the first day. The maximum order quantity per order is 100 lots. [9][10] - **Exercise and Position Management**: It is an American - style option. The option and futures contracts are separately limited in position. The cast aluminum alloy options and futures share the approved hedging trading positions. [14][16][18] - **Fees**: The trading fee is 10 yuan per lot, and the fee for closing positions on the same day is temporarily waived. From the listing date to December 31, 2025, the hedging trading fee is halved. [19] 2. First - Day Trading Situation - The total trading volume on the first trading day was 8,485 lots, concentrated on the main contract AD2511, accounting for 28.89% of the AD2511 futures trading volume. The trading volume PCR was 52.99%, the open interest PCR was 77.64%, and the turnover PCR/volume PCR was 94.92%, indicating a certain bullish sentiment. [1][21] - The trading and open interest of the main options were mainly concentrated in the slightly out - of - the - money and deeply out - of - the - money areas. The main strike prices of call options were concentrated at 19,500 yuan/ton and 21,400 yuan/ton, and those of put options were at 19,200 yuan/ton and 17,200 yuan/ton. [22] 3. Volatility Situation - The AD2511 option has 93 trading days until expiration. The 90 - trading - day volatility of the current spot price is 10.42%, and the historical one - year minimum, average, and maximum are 8.47%, 11.25%, and 12.48% respectively. The 90 - trading - day volatility of the Shanghai aluminum futures index is 12.06%. [2][25][26] - The implied volatility of the main at - the - money option of cast aluminum alloy is 12.60%, higher than the historical volatility of the spot and Shanghai aluminum futures. The option implied volatility shows a relatively smooth volatility smile distribution, providing a certain safety margin for the short - option strategy. [2][26] 4. Option Synthetic Futures Arbitrage Test The premium rate of the synthetic futures of cast aluminum alloy main options is between - 0.36% and 0.19%, indicating that the market prices the options reasonably and there are no obvious arbitrage opportunities. [30] 5. Option Strategy Recommendations - **Market Analysis**: From May to August is the traditional off - season for aluminum alloys. The spot price of cast aluminum alloy has limited downward space, but there is pressure on social inventory to accumulate. The price on the disk can be traded in the short - term range, with support at 19,000 yuan/ton and resistance at 19,800 yuan/ton. [3][33] - **Speculative Strategy**: Construct short strangles to earn Theta income, but pay attention to risk control. [3][33] - **Hedging Strategy**: Upstream enterprises can buy put options, sell out - of - the - money call options, or combine them to construct collar strategies. [3][33][34]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - For non - ferrous metals in a range - bound consolidation, construct short - volatility strategies; for black metals in a weak oscillation, construct bear - spread portfolios and short - option portfolios; for precious metals, with gold at a high - level consolidation and silver breaking through and rising, construct short - volatility strategies and spot hedging strategies [2] - Each metal variety is analyzed from aspects of fundamentals, market trends, option factors, and corresponding option strategies and suggestions are given [7][9][10] 3. Summary by Related Catalogs 3.1 Futures Market Overview - **Copper**: The latest price of CU2507 is 79,030, down 100 with a decline of 0.13%. Trading volume is 8.61 million lots, up 1.08 million lots, and open interest is 20.87 million lots, up 0.64 million lots [3] - **Aluminum**: The latest price of AL2507 is 20,050, up 50 with an increase of 0.25%. Trading volume is 14.92 million lots, up 1.60 million lots, and open interest is 18.43 million lots, up 0.26 million lots [3] - Other metals such as zinc, lead, nickel, etc. also have detailed price, trading volume, and open - interest data provided [3] 3.2 Option Factors - Volume and Open Interest PCR - **Copper**: Volume PCR is 0.46, down 0.16; Open interest PCR is 1.00, down 0.07 [4] - **Aluminum**: Volume PCR is 1.02, down 0.21; Open interest PCR is 1.41, up 0.05 [4] - Each metal option has corresponding volume and open - interest PCR data and their changes [4] 3.3 Option Factors - Pressure and Support Levels - **Copper**: Pressure point is 80,000, support point is 70,000 [5] - **Aluminum**: Pressure point is 20,200, support point is 19,000 [5] - Each metal option has corresponding pressure and support levels [5] 3.4 Option Factors - Implied Volatility - **Copper**: At - the - money implied volatility is 12.17%, weighted implied volatility is 17.27%, down 0.12 [6] - **Aluminum**: At - the - money implied volatility is 9.34%, weighted implied volatility is 11.25%, down 1.06 [6] - Each metal option has corresponding implied - volatility data [6] 3.5 Strategies and Suggestions 3.5.1 Non - Ferrous Metals - **Copper**: Construct bull - spread call option strategies and short - volatility short - option portfolios, and also construct spot hedging strategies [7] - **Aluminum**: Construct short - neutral call + put option portfolios and spot collar strategies [9] - Other non - ferrous metals such as zinc, nickel, etc. also have corresponding strategies and suggestions [9][10] 3.5.2 Precious Metals - **Gold**: Construct short - volatility short - option portfolios and spot hedging strategies [12] - **Silver**: Similar to gold, construct relevant strategies [12] 3.5.3 Black Metals - **Rebar**: Construct bear - spread put option strategies, short - bearish call + put option portfolios, and spot covered - call strategies [13] - **Iron Ore**: Construct short - neutral call + put option portfolios and spot collar strategies [13] - Other black metals such as ferroalloys, industrial silicon, etc. also have corresponding strategies and suggestions [14][15]

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 | ...

农产品期权 2025-06-10 农产品期权策略早报 | 卢品先 | 投研经理 | 从业资格号：F3047321 | 交易咨询号：Z0015541 | 邮箱：lupx@wkqh.cn | | --- | --- | --- | --- | --- | | 黄柯涵 | 期权研究员 | 从业资格号：F03138607 | 电话：0755-23375252 | 邮箱：huangkh@wkqh.cn | 农产品期权策略早报概要：油料油脂类农产品区间盘整，油脂类，豆类偏弱行情，农副产品维持震荡行情，软商品 白糖延续偏弱，棉花反弹后高位盘整形态，谷物类玉米和淀粉逐渐回暖上升后窄幅盘整。 策略上：构建卖方为主的期权组合策略以及现货套保或备兑策略增强收益。 表1：标的期货市场概况 | 期权品种 | 标的合约 | 最新价 | 涨跌 | 涨跌幅 | 成交量 | 量变化 | 持仓量 | 仓变化 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | （%） | (万手) | | (万手) | | | 豆一 | A2507 | 4,145 | 4 | 0 ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The energy and chemical sector includes energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others. The recommended strategy is to construct option combination strategies mainly as sellers, along with spot hedging or covered strategies to enhance returns [2]. 3. Summary by Related Catalogs 3.1 Futures Market Overview - **Crude Oil**: The latest price of SC2507 is 479, up 6 with a 1.16% increase. Trading volume is 12.06 million lots, up 1.14 million, and open interest is 2.25 million lots, up 0.14 million [3]. - **Liquefied Petroleum Gas (LPG)**: The latest price of PG2507 is 4,088, down 17 with a 0.41% decrease. Trading volume is 5.34 million lots, down 0.76 million, and open interest is 5.50 million lots, down 0.24 million [3]. - **Methanol**: The latest price of MA2509 is 2,273, up 3 with a 0.13% increase. Trading volume is 59.02 million lots, down 1.75 million, and open interest is 81.91 million lots, up 1.94 million [3]. - **Ethylene Glycol**: The latest price of EG2509 is 4,256, down 11 with a 0.26% decrease. Trading volume is 20.86 million lots, down 2.43 million, and open interest is 28.48 million lots, up 0.40 million [3]. - **Polypropylene**: The latest price of PP2509 is 6,918, down 17 with a 0.25% decrease. Trading volume is 22.95 million lots, up 0.23 million, and open interest is 51.63 million lots, down 0.15 million [3]. - **Polyvinyl Chloride (PVC)**: The latest price of V2509 is 4,782, down 23 with a 0.48% decrease. Trading volume is 92.03 million lots, down 18.30 million, and open interest is 99.14 million lots, down 1.23 million [3]. - **Plastic**: The latest price of L2509 is 7,072, down 7 with a 0.10% decrease. Trading volume is 24.95 million lots, down 9.28 million, and open interest is 54.54 million lots, up 0.14 million [3]. - **Styrene**: The latest price of EB2507 is 7,240, up 80 with a 1.12% increase. Trading volume is 48.34 million lots, up 4.87 million, and open interest is 27.49 million lots, down 1.20 million [3]. - **Rubber**: The latest price of RU2509 is 13,670, up 30 with a 0.22% increase. Trading volume is 35.26 million lots, down 6.86 million, and open interest is 16.84 million lots, down 0.37 million [3]. - **Synthetic Rubber**: The latest price of BR2507 is 11,225, down 10 with a 0.09% decrease. Trading volume is 10.41 million lots, down 5.54 million, and open interest is 2.30 million lots, down 0.19 million [3]. - **Para - xylene**: The latest price of PX2509 is 6,486, down 54 with a 0.83% decrease. Trading volume is 27.81 million lots, up 2.11 million, and open interest is 13.83 million lots, up 0.01 million [3]. - **Purified Terephthalic Acid (PTA)**: The latest price of TA2509 is 4,602, down 36 with a 0.78% decrease. Trading volume is 128.77 million lots, up 0.38 million, and open interest is 122.53 million lots, up 1.63 million [3]. - **Short - fiber**: The latest price of PF2508 is 6,294, down 44 with a 0.69% decrease. Trading volume is 9.83 million lots, up 3.78 million, and open interest is 10.57 million lots, up 1.99 million [3]. - **Bottle Chip**: The latest price of PR2508 is 5,830, down 46 with a 0.78% decrease. Trading volume is 1.62 million lots, up 0.21 million, and open interest is 1.64 million lots, up 0.04 million [3]. - **Caustic Soda**: The latest price of SH2508 is 2,337, down 13 with a 0.55% decrease. Trading volume is 3.42 million lots, up 0.22 million, and open interest is 2.02 million lots, up 0.42 million [3]. - **Soda Ash**: The latest price of SA2509 is 1,195, down 18 with a 1.48% decrease. Trading volume is 174.66 million lots, up 7.84 million, and open interest is 151.34 million lots, up 11.76 million [3]. - **Urea**: The latest price of UR2509 is 1,697, down 31 with a 1.79% decrease. Trading volume is 27.55 million lots, up 7.93 million, and open interest is 26.59 million lots, up 2.11 million [3]. 3.2 Option Factors - Volume and Open Interest PCR - Different option varieties have different volume and open interest PCR values and their changes, 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 - Each option variety has corresponding pressure and support levels, which are determined by the strike prices of the maximum open interest of call and put options [5]. 3.4 Option Factors - Implied Volatility - The implied volatility of each option variety includes at - the - money implied volatility, weighted implied volatility, and their changes, as well as the difference between implied and historical volatility [6]. 3.5 Strategy and Recommendations 3.5.1 Energy - related Options (Crude Oil) - **Fundamentals**: US non - SPR oil inventory is 1.235 billion barrels, up from last week. European crude and refined product inventories are down year - on - year [7]. - **Market Analysis**: Since May, crude oil has shown a short - term bullish upward trend with resistance [7]. - **Option Factor Research**: Implied volatility is at a relatively high historical level. The open interest PCR is around 1.00, indicating a balanced game between bulls and bears. The pressure level is 570 and the support level is 400 [7]. - **Strategies**: No directional strategy. For volatility, construct a neutral short call + put option combination. For spot hedging, use a long collar strategy [7]. 3.5.2 Energy - related Options (LPG) - **Fundamentals**: International LPG prices are moving down. Domestic production is increasing, and imports are concentrated. Inventory in South China has increased [9]. - **Market Analysis**: Since April, LPG has shown a weak bearish trend [9]. - **Option Factor Research**: Implied volatility is around the historical average. The open interest PCR is below 0.80, indicating a weak market. The pressure level is 4500 and the support level is 3800 [9]. - **Strategies**: No directional strategy. For volatility, construct a bearish short call + put option combination. For spot hedging, use a long collar strategy [9]. 3.5.3 Alcohol - related Options (Methanol) - **Fundamentals**: Port demand is weak, and inventory has accumulated. Some plants have undergone maintenance and restart [9]. - **Market Analysis**: Since January, methanol has shown a weak bearish trend with a recent rebound [9]. - **Option Factor Research**: Implied volatility is around the historical average. The open interest PCR is around 1.00, indicating weakening bearish pressure. The pressure level is 2500 and the support level is 1975 [9]. - **Strategies**: No directional strategy. For volatility, construct a neutral short call + put option combination. For spot hedging, use a long collar strategy [9]. 3.5.4 Alcohol - related Options (Ethylene Glycol) - **Fundamentals**: The spot contract price has moved down, and inventory has increased [10]. - **Market Analysis**: Since May, ethylene glycol has shown a short - term bullish trend followed by a decline [10]. - **Option Factor Research**: Implied volatility is at a relatively high historical level. The open interest PCR is around 1.00, indicating a strong - side consolidation. The pressure level is 4500 and the support level is 4300 [10]. - **Strategies**: No directional strategy. For volatility, construct a short - volatility strategy. For spot hedging, use a long collar strategy [10]. 3.5.5 Polyolefin - related Options (Polypropylene) - **Fundamentals**: Domestic production capacity is increasing, and there is a supply - demand contradiction [10]. - **Market Analysis**: Since May, polypropylene has shown a bearish trend [10]. - **Option Factor Research**: Implied volatility is above the historical average. The open interest PCR is below 1.00. The pressure level is 7500 and the support level is 6800 [10]. - **Strategies**: For direction, construct a bearish put spread. For spot hedging, use a long collar strategy [10]. 3.5.6 Rubber - related Options - **Fundamentals**: Qingdao's rubber inventory is down [11]. - **Market Analysis**: Rubber has shown a bearish downward trend with a low - level rebound [11]. - **Option Factor Research**: The open interest PCR is below 0.60. The pressure level is 21000 and the support level is 13500 [11]. - **Strategies**: For direction, construct a bearish put spread. For volatility, construct a bearish short call + put option combination [11]. 3.5.7 Polyester - related Options (PTA) - **Fundamentals**: PX and PTA production and operating rates are up, and PTA inventory is down [12]. - **Market Analysis**: Since April, PTA has shown a high - level consolidation with a decline [12]. - **Option Factor Research**: Implied volatility is at a relatively high historical level. The open interest PCR is above 1.00, indicating a strengthening market. The pressure level is 5000 and the support level is 3800 [12]. - **Strategies**: No directional strategy. For volatility, construct a neutral short call + put option combination [12]. 3.5.8 Alkali - related Options (Caustic Soda) - **Fundamentals**: Supply pressure is high, and new production capacity is expected [13]. - **Market Analysis**: After a bearish decline, caustic soda has shown a rebound followed by a decline [13]. - **Option Factor Research**: Implied volatility is below the average. The open interest PCR is below 0.60, indicating a weak market. The pressure level is 2520 and the support level is 2320 [13]. - **Strategies**: For direction, construct a bearish put spread. For volatility, construct a bearish short strangle. For spot hedging, use a covered call strategy [13]. 3.5.9 Alkali - related Options (Soda Ash) - **Fundamentals**: Production and capacity utilization are up, and inventory is slightly up [13]. - **Market Analysis**: Soda ash has shown a weak bearish trend [13]. - **Option Factor Research**: Implied volatility is below the historical average. The open interest PCR is below 0.50, indicating a weak consolidation. The pressure level is 1400 and the support level is 1180 [13]. - **Strategies**: For direction, construct a bearish put spread. For volatility, construct a bearish short call + put option combination. For spot hedging, use a long collar strategy [13]. 3.5.10 Urea - related Options - **Fundamentals**: Supply pressure is high, and demand is weakening [14]. - **Market Analysis**: Since May, urea has shown an inverted "V" shape [14]. - **Option Factor Research**: Implied volatility is below the historical average. The open interest PCR is above 1.00. The pressure level is 1900 and the support level is 1700 [14]. - **Strategies**: For direction, construct a bearish put spread. For volatility, construct a bearish short call + put option combination. For spot hedging, use a long collar strategy [14].

金属期权 2025-06-09 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）黑色系弱势反弹，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 | 78,620 | -190 | -0.24 | 12.8 ...

1. Report Industry Investment Rating No information provided in the given content. 2. Core Viewpoints of the Report - The energy - chemical sector mainly consists of energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others. For each sector, options strategies and suggestions are provided for selected varieties. The options strategy report for each option variety is compiled based on the analysis of the underlying asset's market, option factor research, and option strategy suggestions [8]. - The overall strategy is to construct option portfolio strategies mainly as sellers, along with spot hedging or covered strategies to enhance returns [2]. 3. Summary According to Relevant Catalogs 3.1 Futures Market Overview - Various energy - chemical option underlying futures contracts have different price movements, trading volumes, and open interest changes. For example, the latest price of crude oil (SC2507) is 476, with a rise of 8 and a rise - fall rate of 1.71%, trading volume of 10.92 million lots (a decrease of 2.58 million lots), and open interest of 2.11 million lots (an increase of 0.04 million lots) [3]. 3.2 Option Factor - PCR - The PCR indicators (both volume and open interest) of different option varieties are used to describe the strength of the option underlying market and the turning point of the underlying market. For example, the open interest PCR of crude oil options is 1.03, with a change of 0.04 [4]. 3.3 Option Factor - Pressure and Support Levels - From the perspective of the strike prices with the largest open interest of call and put options, the pressure and support levels of different option underlying assets are determined. For example, the pressure point of crude oil is 570, and the support point is 400 [5]. 3.4 Option Factor - Implied Volatility - The implied volatility of different option varieties shows different characteristics. For example, the at - the - money implied volatility of crude oil is 27.83%, the weighted implied volatility is 31.16% (a decrease of 1.21%), and the historical average is 17.96% [6]. 3.5 Strategy and Suggestions for Different Option Varieties 3.5.1 Energy - related Options - **Crude Oil**: In terms of fundamentals, U.S. and European inventories have changed. The market has shown a pattern of rising and then falling and then rising again. Option strategies include constructing a short - neutral call + put option combination strategy for volatility, and a long collar strategy for spot hedging [7]. - **LPG**: The international LPG market price center has moved down, and the domestic supply and inventory situation has changed. The market has shown a weak and bearish trend. Option strategies include constructing a short - bearish call + put option combination strategy for volatility, and a long collar strategy for spot hedging [9]. 3.5.2 Alcohol - related Options - **Methanol**: Port inventory has increased, and the market has shown a weak and bearish rebound trend. Option strategies include constructing a short - neutral call + put option combination strategy for volatility, and a long collar strategy for spot hedging [9]. - **Ethylene Glycol**: The port spot price center has moved down, and inventory has increased. The market has shown a pattern of rising and then falling. Option strategies include constructing a short - volatility strategy for volatility, and a long + put + short - call option strategy for spot hedging [10]. 3.5.3 Polyolefin - related Options - **Polypropylene**: New production capacity has been put into operation, and the market has shown a bearish trend. Option strategies include constructing a bear - spread put option combination strategy for direction, and a long + put + short - call option strategy for spot hedging [10]. 3.5.4 Rubber - related Options - **Natural Rubber**: Inventory in Qingdao has decreased. The market has shown a pattern of falling and then rising and then falling again. Option strategies include constructing a bear - spread put option combination strategy for direction, and a short - bearish call + put option combination strategy for volatility [11]. 3.5.5 Polyester - related Options - **PTA**: The start - up rate and production volume have changed, and inventory has decreased. The market has shown a pattern of rising and then falling. Option strategies include constructing a short - neutral call + put option combination strategy for volatility [12]. 3.5.6 Alkali - related Options - **Caustic Soda**: Supply pressure is high, and the market has shown a bearish trend. Option strategies include constructing a bear - spread put option combination strategy for direction, a short - bearish strangle option combination strategy for volatility, and a long + short - call option strategy for spot covered hedging [13]. - **Soda Ash**: Production and capacity utilization have changed, and inventory has increased slightly. The market has shown a weak and bearish trend. Option strategies include constructing a bear - spread put option combination strategy for direction, a short - bearish call + put option combination strategy for volatility, and a long collar strategy for spot hedging [13]. 3.5.7 Urea Options - Supply pressure is large, and demand may weaken. The market has shown an inverted "V" pattern. Option strategies include constructing a bear - spread put option combination strategy for direction, a short - bearish call + put option combination strategy for volatility, and a long + put + short - call option strategy for spot hedging [14].

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - The agricultural product sector includes oilseeds and oils, agricultural by - products, soft commodities, and grains. Oilseeds and oils show a range - bound consolidation, agricultural by - products maintain a volatile trend, soft commodities like sugar are weak and cotton rebounds and then consolidates at a high level, and grains such as corn and starch gradually recover and then consolidate in a narrow range. It is recommended to construct option portfolio strategies mainly based on sellers and spot hedging or covered strategies to enhance returns [2] 3. Summary by Relevant Catalogs 3.1 Futures Market Overview - Different agricultural product options have different price changes, trading volumes, and open interests. For example, the latest price of soybean A2507 is 4,147, up 5 with a 0.12% increase, trading volume of 11.73 million lots, and open interest of 8.79 million lots, a decrease of 2.03 million lots [3] 3.2 Option Factors - Volume and Open Interest PCR - PCR indicators are used to describe the strength of the option underlying market and the possible turning points. For instance, the open - interest PCR of soybean A is 0.57, a decrease of 0.01, and the volume PCR is 0.69, a decrease of 0.44 [4] 3.3 Option Factors - Pressure and Support Levels - Pressure and support levels of option underlyings are determined by the strike prices with the largest open interests of call and put options. For example, the pressure level of soybean A is 4300 and the support level is 4000 [5] 3.4 Option Factors - Implied Volatility - Implied volatility reflects the market's expectation of future price fluctuations. For example, the implied volatility of soybean A's at - the - money option is 8.825%, and the weighted implied volatility is 12.07%, an increase of 0.15% [6] 3.5 Strategies and Recommendations 3.5.1 Oilseeds and Oils Options - **Soybean Options**: The fundamental situation of soybeans shows that the shipment and sales of US soybeans to China are at a low level. The soybean market has a high - level consolidation pattern. Option strategies include constructing a neutral call + put option combination strategy and a long collar strategy for spot hedging [7] - **Soybean Meal and Rapeseed Meal Options**: The trading volume of soybean meal has increased, and the basis has decreased. The market shows a short - term bullish trend. Option strategies include constructing a bull spread strategy for call options, a neutral call + put option combination strategy, and a long collar strategy for spot hedging [9] - **Palm Oil, Soybean Oil, and Rapeseed Oil Options**: The domestic soybean crushing volume is expected to increase. The palm oil market shows a range - bound pattern. Option strategies include constructing a neutral call + put option combination strategy and a long collar strategy for spot hedging [10] - **Peanut Options**: The peanut spot market is in a strong - side consolidation, but the downstream consumption is weak. The market shows a rectangular - range consolidation. Option strategies include constructing a bull spread strategy for call options and a long collar strategy for spot hedging [11] 3.5.2 Agricultural By - products Options - **Pig Options**: The sales volume of major pig enterprises has decreased. The pig market shows a wide - range consolidation. Option strategies include constructing a bearish call + put option combination strategy and a covered call strategy for spot [11] - **Egg Options**: The egg supply is stable, and the price is expected to decline. The market shows a bearish trend. Option strategies include constructing a bear spread strategy for put options, a bearish call + put option combination strategy [12] - **Apple Options**: The cold - storage inventory of apples is at a low level. The market shows a weak recovery pattern. Option strategies include constructing a bear spread strategy for put options and a bearish call + put option combination strategy [12] - **Jujube Options**: The growth of jujube trees is good, and the market is in a weak bearish rebound. Option strategies include constructing a bear spread strategy for put options, a wide - straddle option combination strategy, and a covered call strategy for spot [13] 3.5.3 Soft Commodities Options - **Sugar Options**: The domestic sugar production and consumption are expected to increase. The sugar market shows a bearish consolidation. Option strategies include constructing a bearish call + put option combination strategy and a long collar strategy for spot hedging [13] - **Cotton Options**: The cotton market rebounds slightly. The market shows a recovery pattern under bearish pressure. Option strategies include constructing a neutral call + put option combination strategy and a covered call strategy for spot [14] 3.5.4 Grains Options - **Corn and Starch Options**: The corn starch inventory has increased, and the cost of raw corn is high. The corn market shows a rectangular - range consolidation. Option strategies include constructing a neutral call + put option combination strategy [14]