Group 1: Report Overview - The report is an early morning strategy report on energy and chemical options dated January 7, 2026 [1] - It covers various energy and chemical options including energy, polyolefins, polyesters, alkali chemicals, etc [2] - The recommended strategy is to construct option portfolio strategies mainly as sellers, along with spot hedging or covered strategies to enhance returns [2] Group 2: Underlying Futures Market Overview - The report provides the latest prices, price changes, trading volumes, and open interest changes of multiple underlying futures contracts such as crude oil, LPG, methanol, etc [3] Group 3: Option Factors Volume and Open Interest PCR - The report presents the volume and open interest PCR data of different option varieties, which are used to describe the strength of the underlying market and the turning point of the market respectively [4] Pressure and Support Levels - The pressure and support levels of each option variety are analyzed from the perspective of the strike prices with the largest open interest of call and put options [5] Implied Volatility - The report shows the implied volatility data of various option varieties, including at - the - money implied volatility, weighted implied volatility, and its changes [6] Group 4: Strategy and Recommendations for Different Option Varieties Energy Options (Crude Oil and LPG) - **Crude Oil**: Fundamental factors include geopolitical events and OPEC+ policies; directional strategy is none, volatility strategy is to construct a short - biased call + put option combination, and spot long - hedging strategy is to construct a long collar strategy [7] - **LPG**: Fundamental factors involve supply and demand; directional strategy is none, volatility strategy is to construct a short - biased call + put option combination, and spot long - hedging strategy is to construct a long collar strategy [9] Alcohol Options (Methanol and Ethylene Glycol) - **Methanol**: Fundamental factors include import volume and inventory; directional strategy is none, volatility strategy is to construct a neutral - biased call + put option combination, and spot long - hedging strategy is to construct a long collar strategy [9] - **Ethylene Glycol**: Fundamental factors involve port inventory; directional strategy is none, volatility strategy is to construct a short - volatility strategy, and spot long - hedging strategy is to hold spot long + buy put option + sell out - of - the - money call option [10] Olefin Options (PVC) - **PVC**: Fundamental factors include production capacity utilization; directional strategy is to construct a bull spread combination of call options, volatility strategy is none, and spot long - hedging strategy is to hold spot long + buy at - the - money put option + sell out - of - the - money call option [10] Rubber Options - **Rubber**: Fundamental factors include port inventory and production; directional strategy is none, volatility strategy is to construct a neutral - biased call + put option combination, and spot hedging strategy is none [11] Polyester Options (PTA) - **PTA**: Fundamental factors include market operating rate and production; directional strategy is to construct a bull spread combination of call options, volatility strategy is to construct a long - biased call + put option combination, and spot hedging strategy is none [11] Alkali Chemical Options (Caustic Soda and Soda Ash) - **Caustic Soda**: Fundamental factors include capacity utilization rate; directional strategy is to construct a bear spread combination, volatility strategy is none, and spot collar hedging strategy is to hold spot long + buy put option + sell out - of - the - money call option [12] - **Soda Ash**: Fundamental factors include domestic effective production capacity; directional strategy is none, volatility strategy is to construct a short - volatility combination, and spot long - hedging strategy is to construct a long collar strategy [12] Urea Options - **Urea**: Fundamental factors include daily production; directional strategy is none, volatility strategy is to construct a long - biased call + put option combination, and spot hedging strategy is to hold spot long + buy at - the - money put option + sell out - of - the - money call option [13]

Report Summary 1. Report Industry Investment Rating No investment rating information is provided in the report. 2. Core Viewpoints - The stock market shows a bullish upward trend, with the Shanghai Composite Index, large - cap blue - chip stocks, small and medium - cap stocks, and ChiNext stocks all performing well [3]. - The implied volatility of financial options has declined to a level below the historical average [3]. - For ETF options, it is suitable to construct bullish seller strategies and call option bull spread combination strategies; for index options, in addition to the above, an arbitrage strategy of long synthetic futures and short futures can also be considered [3]. 3. Summary by Relevant Catalogs 3.1 Financial Market Index Overview - **Stock Indexes**: The Shanghai Composite Index closed at 4,023.42, up 1.38% with a trading volume of 10,673 billion yuan; the Shenzhen Component Index closed at 13,828.63, up 2.24% with a trading volume of 14,789 billion yuan; other indexes such as the SSE 50, CSI 300, CSI 500, and CSI 1000 also showed varying degrees of increase [4]. - **ETF Options Underlying**: Multiple ETFs, including SSE 50ETF, SSE 300ETF, etc., had different closing prices, price changes, trading volumes, and trading volume changes. For example, SSE 50ETF closed at 3.174, up 2.22% [5]. 3.2 Option Factor - Volume and Position PCR - Different option varieties have different volume and position PCR values and their changes, which can be used to describe the strength of the option underlying market and the turning point of the market [6][7]. 3.3 Option Factor - Pressure and Support Points - From the perspective of the strike prices of the maximum open interest of call and put options, the pressure and support points of different option underlying are analyzed. For example, the pressure point of SSE 50ETF is 3.20, and the support point is 3.10 [8][10]. 3.4 Option Factor - Implied Volatility - The implied volatility of different option varieties, including at - the - money implied volatility, weighted implied volatility, and their changes, is presented. For example, the at - the - money implied volatility of SSE 50ETF is 13.66% [11][12]. 3.5 Strategy and Suggestions - The financial option sector is divided into different segments, such as the financial stock sector, large - cap blue - chip stock sector, small and medium - cap stock sector, and ChiNext sector [13]. - For each sector, specific option strategies are proposed based on the analysis of the underlying market, option factors. For example, for SSE 50ETF, a call option bull spread combination strategy, a seller - biased long combination strategy, and a spot long covered call strategy are recommended [14].

Group 1: Report Overview - The report is an energy and chemical options strategy morning report dated January 6, 2026 [2] - It covers various energy and chemical options, including energy (crude oil, LPG), polyolefins (PP, PVC, etc.), polyesters (PX, PTA, etc.), and alkali chemicals (caustic soda, soda ash) [3] - The recommended strategy is to construct option combination strategies mainly as sellers, along with spot hedging or covered strategies to enhance returns [3] Group 2: Underlying Futures Market Overview - The table shows the latest prices, price changes, trading volumes, and open interest of various option underlying futures contracts [4] - For example, the latest price of crude oil (SC2602) is 428, with a price increase of 1 and a gain of 0.30%, trading volume of 4.45 million lots, and open interest of 3.43 million lots [4] Group 3: Option Factors - Volume and Open Interest PCR - The table presents the trading volume, volume change, open interest, open interest change, volume PCR, volume PCR change, open interest PCR, and open interest PCR change of various options [5] - 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 [5] Group 4: Option Factors - Resistance and Support Levels - The table lists the at - the - money strike price, resistance point, resistance point deviation, support point, support point deviation, maximum call option open interest, and maximum put option open interest of various options [6] - These levels are determined based on the strike prices of the maximum open interest of call and put options [6] Group 5: Option Factors - Implied Volatility - The table shows the at - the - money implied volatility, weighted implied volatility, weighted implied volatility change, annual average implied volatility, call option implied volatility, put option implied volatility, HISV20, and the difference between implied and historical volatility of various options [7] - The weighted implied volatility uses volume - weighted average [7] Group 6: Strategy and Recommendations for Energy Options - Crude Oil - Fundamental analysis: US military raid on Maduro, Saudi - UAE rift in Yemen, OPEC+ expected to maintain production policy, NNPC aims to increase production [8] - Market analysis: Crude oil showed a weak - biased market trend after a series of price movements [8] - Option factor research: Implied volatility remained below the average, open interest PCR indicated a weak market, resistance level was 540, and support level was 440 [8] - Strategy recommendations: Directional strategy: None; Volatility strategy: Construct a short - biased call + put option combination strategy; Spot long - hedging strategy: Construct a long collar strategy [8] Group 7: Strategy and Recommendations for Other Options - Similar analyses and strategy recommendations are provided for LPG, methanol, ethylene glycol, PVC, rubber, PTA, caustic soda, soda ash, and urea options [9][10][11] - Each analysis includes fundamental analysis, market analysis, option factor research, and corresponding strategy recommendations [10][11]

1. Report Industry Investment Rating - No investment rating information is provided in the report [1][2] 2. Core Viewpoints - For non - ferrous metals, a seller's neutral volatility strategy can be constructed as they tend to move upwards; for the black series, a short - volatility combination strategy is suitable due to their large - amplitude fluctuations; for precious metals that are rebounding, a bull spread combination strategy can be built [2] 3. Summary by 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 [3] 3.2 Option Factors - Volume and Open Interest PCR - 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 various metal options are provided. 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 [4] 3.3 Option Factors - Pressure and Support Levels - The strike price at the money, pressure points, pressure point offsets, support points, support point offsets, maximum call option open interest, and maximum put option open interest of various metal options are given. These are used to analyze the pressure and support levels of the option underlyings [5] 3.4 Option Factors - Implied Volatility - The at - the - money implied volatility, weighted implied volatility, weighted implied volatility change, annual average implied volatility, call option implied volatility, put option implied volatility, 20 - day historical volatility, and the difference between implied and historical volatility of various metal options are presented [6] 3.5 Strategy and Recommendations 3.5.1 Non - Ferrous Metals - **Copper**: Based on the fundamentals and market trends of copper, directional, volatility, and spot long - hedging strategies are proposed, such as constructing a bull spread combination strategy for call options, a short - volatility seller option combination strategy, and a spot long - hedging strategy [7] - **Aluminum**: Considering the fundamentals and market trends of aluminum, directional, volatility, and spot long - hedging strategies are recommended, including constructing a bull spread combination strategy for call options, a sell - biased long call + put option combination strategy, and a spot collar strategy [9] - **Zinc**: According to the fundamentals and market trends of zinc, volatility and spot long - hedging strategies are suggested, like constructing a sell - biased long call + put option combination strategy and a spot collar strategy [9] - **Nickel**: Based on the fundamentals and market trends of nickel, directional, volatility, and spot - covered strategies are put forward, such as constructing a bull spread combination strategy for call options, a sell - biased long call + put option combination strategy, and a spot - covered strategy [10] - **Tin**: Considering the fundamentals and market trends of tin, volatility and spot long - hedging strategies are recommended, including constructing a short - volatility strategy and a spot collar strategy [10] - **Lithium Carbonate**: According to the fundamentals and market trends of lithium carbonate, volatility and spot long - hedging strategies are suggested, like constructing a sell - biased long call + put option combination strategy and a spot long - hedging strategy [11] 3.5.2 Precious Metals - **Silver**: Based on the fundamentals and market trends of silver, volatility and spot - hedging strategies are proposed, such as constructing a neutral short - volatility option seller combination strategy and a spot - hedging strategy [12] 3.5.3 Black Series - **Rebar**: Considering the fundamentals and market trends of rebar, volatility and spot long - covered strategies are recommended, including constructing a sell - biased short call + put option combination strategy and a spot long - covered strategy [13] - **Iron Ore**: Based on the fundamentals and market trends of iron ore, volatility and spot long - hedging strategies are put forward, such as constructing a sell - neutral call + put option combination strategy and a long collar strategy [13] - **Ferroalloys**: For manganese silicon, volatility strategies are suggested, like constructing a short - volatility strategy; for industrial silicon, volatility and spot long - hedging strategies are recommended; for glass, volatility and spot long - hedging strategies are put forward [14][15]

Group 1: Volatility Index Explanation - The implied volatility index of financial options reflects the 30 - day implied volatility trend as of the previous trading day, while the implied volatility index of commodity options is obtained by weighting the implied volatilities of the two - strike options above and below the at - the - money option of the main contract month, reflecting the implied volatility trend of the main contract [3] - The difference between the implied volatility index and historical volatility indicates the relationship between implied and historical volatility. A larger difference means implied volatility is relatively higher, and a smaller difference means it is relatively lower [3] Group 2: Volatility Data Visualization - The document presents multiple charts showing the relationships between implied volatility (IV), historical volatility (HV), and their differences (IV - HV) for various financial and commodity options such as 300 - stock index, 50ETF, 1000 - stock index, 500ETF, silver, gold, etc., from 2024 to 2025 [4] Group 3: Quantile Explanation - Implied volatility quantile represents the current implied volatility level of a variety in history. A high quantile means the current implied volatility is high, and a low quantile means it is low [5] - Volatility spread is calculated by adding the index and historical volatility [5]

1. Report Industry Investment Rating - No information provided in the report 2. Core Viewpoints of the Report - The stock market shows a high - level volatile upward trend, with the Shanghai Composite Index, large - cap blue - chip stocks, small - and medium - cap stocks, and ChiNext stocks all experiencing this pattern [3] - The implied volatility of financial options has declined to a level below the historical average [3] - For ETF options, it is suitable to construct a partial long - side seller strategy and a bull spread strategy for call options; for index options, in addition to the above two strategies, an arbitrage strategy of combining long synthetic futures with short futures can also be constructed [3] 3. Summary by Relevant Catalogs 3.1 Stock Market Overview - **Important Indexes**: The Shanghai Composite Index closed at 3,968.84, up 3.72 points or 0.09%, with a trading volume of 829.5 billion yuan, a decrease of 58 billion yuan; the Shenzhen Component Index closed at 13,525.02, down 79.04 points or 0.58%, with a trading volume of 1,215.6 billion yuan, a decrease of 39.2 billion yuan; other indexes such as the SSE 50, CSI 300, CSI 500, and CSI 1000 also showed different trends [4] - **ETF Market**: The closing prices, price changes, trading volumes, and trading volume changes of various option - underlying ETFs are different. For example, the SSE 50ETF closed at 3.105, down 0.003 or 0.10%, with a trading volume of 9.1147 million shares, an increase of 9.0623 million shares, and a trading volume of 2.833 billion yuan, an increase of 1.204 billion yuan [5] 3.2 Option Factor Analysis - **Volume and Position PCR**: The volume and position PCR of different option varieties show different trends. For example, the volume PCR of the SSE 50ETF is 0.97, a decrease of 0.01, and the position PCR is 0.90, a decrease of 0.04 [6] - **Pressure and Support Points**: From the perspective of the strike prices of the maximum positions of call and put options, the pressure and support points of different option - underlying assets are determined. For example, the pressure point of the SSE 50ETF is 3.10, and the support point is 3.00 [8] - **Implied Volatility**: The implied volatility of different option varieties also shows different characteristics. For example, the at - the - money implied volatility of the SSE 50ETF is 13.71%, and the weighted implied volatility is 13.75%, a decrease of 0.13% [11] 3.3 Strategy and Recommendations - **Market Segmentation**: The financial option market is divided into large - cap blue - chip stocks, small - and medium - sized boards, and the ChiNext board. Each board includes different option varieties [13] - **Option Strategies**: For different option varieties, corresponding strategies are proposed, including directional strategies, volatility strategies, and spot long - side covered call strategies. For example, for the SSE 50ETF, a partial neutral seller strategy can be constructed to obtain time - value income [14]

农产品期权策略早报概要：油料油脂类农产品偏弱震荡，油脂类，农副产品维持震荡行情，软商品白糖小幅震荡， 棉花偏强盘整，谷物类玉米和淀粉偏多窄幅盘整。 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 | A2603 | 4,201 | 36 | 0.86 | 1.28 | -0.96 | 5.04 | -0.05 | | 豆二 | B2602 | 3,800 | 21 | 0.56 | 1.49 | 0.89 | 3.23 | -0.32 | | 豆粕 | M2603 | 3,080 | 8 | 0.26 | 17.49 | 5.12 | 56.36 | -2.84 | | 菜籽粕 | RM2603 | 2,437 | -18 | -0.73 | 0.71 | -0.06 ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Views of the Report - Energy - chemical sectors are divided into energy, alcohols, polyolefins, rubbers, polyesters, alkalis, and others[9]. - Strategies focus on constructing option combination strategies mainly as sellers, along with spot hedging or covered - call strategies to enhance returns[3]. 3. Summary by Related Catalogs 3.1 Futures Market Overview - **Crude Oil**: The SC2602 contract's latest price is 432, down 6 (-1.46%), with a trading volume of 5.20 million lots (down 1.41 million lots) and an open interest of 2.96 million lots (down 0.08 million lots)[4]. - **Liquefied Petroleum Gas (LPG)**: The PG2602 contract's latest price is 4,132, up 40 (0.98%), with a trading volume of 8.66 million lots (up 1.37 million lots) and an open interest of 5.94 million lots (down 0.32 million lots)[4]. - **Methanol**: The MA2602 contract's latest price is 2,207, up 21 (0.96%), with a trading volume of 13.53 million lots (up 3.48 million lots) and an open interest of 4.46 million lots (down 0.95 million lots)[4]. - **Ethylene Glycol**: The EG2602 contract's latest price is 3,649, down 57 (-1.54%), with a trading volume of 0.89 million lots (up 0.32 million lots) and an open interest of 1.33 million lots (up 0.15 million lots)[4]. - **Polypropylene**: The PP2602 contract's latest price is 6,231, up 40 (0.65%), with a trading volume of 1.42 million lots (down 0.31 million lots) and an open interest of 3.47 million lots (down 0.29 million lots)[4]. - **Polyvinyl Chloride (PVC)**: The V2602 contract's latest price is 4,539, down 1 (-0.02%), with a trading volume of 2.37 million lots (up 1.00 million lots) and an open interest of 5.46 million lots (up 0.14 million lots)[4]. - **Plastic**: The L2602 contract's latest price is 6,299, down 1 (-0.02%), with a trading volume of 1.93 million lots (up 0.56 million lots) and an open interest of 3.51 million lots (down 0.92 million lots)[4]. - **Styrene**: The EB2602 contract's latest price is 6,791, up 12 (0.18%), with a trading volume of 30.05 million lots (down 2.76 million lots) and an open interest of 31.13 million lots (down 0.88 million lots)[4]. - **Rubber**: The RU2605 contract's latest price is 15,605, down 75 (-0.48%), with a trading volume of 21.78 million lots (down 4.24 million lots) and an open interest of 16.88 million lots (down 0.68 million lots)[4]. - **Synthetic Rubber**: The BR2602 contract's latest price is 11,520, down 30 (-0.26%), with a trading volume of 9.77 million lots (down 2.36 million lots) and an open interest of 4.13 million lots (down 0.83 million lots)[4]. - **Para - Xylene**: The PX2603 contract's latest price is 7,260, down 54 (-0.74%), with a trading volume of 25.77 million lots (down 7.48 million lots) and an open interest of 22.95 million lots (down 1.69 million lots)[4]. - **Purified Terephthalic Acid (PTA)**: The TA2602 contract's latest price is 5,084, down 38 (-0.74%), with a trading volume of 7.04 million lots (down 2.55 million lots) and an open interest of 5.58 million lots (down 0.41 million lots)[4]. - **Short - Fiber**: The PF2602 contract's latest price is 6,514, down 50 (-0.76%), with a trading volume of 16.58 million lots (down 0.74 million lots) and an open interest of 13.20 million lots (down 2.12 million lots)[4]. - **Bottle Chips**: The PR2602 contract's latest price is 6,006, down 32 (-0.53%), with a trading volume of 1.09 million lots (up 0.51 million lots) and an open interest of 0.69 million lots (down 0.26 million lots)[4]. - **Caustic Soda**: The SH2602 contract's latest price is 2,164, down 14 (-0.64%), with a trading volume of 4.01 million lots (down 1.65 million lots) and an open interest of 2.06 million lots (down 0.36 million lots)[4]. - **Soda Ash**: The SA2602 contract's latest price is 1,151, down 2 (-0.17%), with a trading volume of 2.04 million lots (down 0.58 million lots) and an open interest of 2.06 million lots (down 0.42 million lots)[4]. - **Urea**: The UR2602 contract's latest price is 1,670, down 7 (-0.42%), with a trading volume of 0.69 million lots (down 0.27 million lots) and an open interest of 1.47 million lots (down 0.23 million lots)[4]. 3.2 Option Factors - Volume and Open Interest PCR - **Crude Oil**: Volume PCR is 0.58 (up 0.02), and open interest PCR is 0.64 (down 0.03)[5]. - **LPG**: Volume PCR is 0.32 (down 0.04), and open interest PCR is 0.68 (down 0.01)[5]. - **Methanol**: Volume PCR is 0.34 (up 0.01), and open interest PCR is 0.62 (down 0.02)[5]. - **Ethylene Glycol**: Volume PCR is 0.38 (up 0.12), and open interest PCR is 0.44 (up 0.02)[5]. - **Polypropylene**: Volume PCR is 0.28 (down 0.09), and open interest PCR is 0.60 (down 0.02)[5]. - **PVC**: Volume PCR is 0.34 (down 0.14), and open interest PCR is 0.28 (down 0.01)[5]. - **Plastic**: Volume PCR is 0.39 (down 0.10), and open interest PCR is 0.44 (down 0.02)[5]. - **Styrene**: Volume PCR is 0.32 (down 0.06), and open interest PCR is 0.44 (unchanged)[5]. - **Rubber**: Volume PCR is 0.30 (up 0.10), and open interest PCR is 0.37 (unchanged)[5]. - **Synthetic Rubber**: Volume PCR is 0.47 (up 0.03), and open interest PCR is 0.80 (down 0.03)[5]. - **Para - Xylene**: Volume PCR is 0.73 (down 0.34), and open interest PCR is 1.93 (up 0.07)[5]. - **PTA**: Volume PCR is 0.76 (up 0.13), and open interest PCR is 1.06 (up 0.09)[5]. - **Short - Fiber**: Volume PCR is 0.58 (up 0.04), and open interest PCR is 1.02 (unchanged)[5]. - **Bottle Chips**: Volume PCR is 0.88 (down 0.39), and open interest PCR is 1.30 (down 0.01)[5]. - **Caustic Soda**: Volume PCR is 0.38 (down 0.04), and open interest PCR is 0.46 (down 0.05)[5]. - **Soda Ash**: Volume PCR is 0.51 (down 0.07), and open interest PCR is 0.34 (down 0.02)[5]. - **Urea**: Volume PCR is 0.45 (up 0.06), and open interest PCR is 0.81 (unchanged)[5]. 3.3 Option Factors - Pressure and Support Levels - **Crude Oil**: Pressure point is 540, support point is 440[6]. - **LPG**: Pressure point is 4,200, support point is 4,000[6]. - **Methanol**: Pressure point is 2,300, support point is 2,100[6]. - **Ethylene Glycol**: Pressure point is 4,000, support point is 3,500[6]. - **Polypropylene**: Pressure point is 6,500, support point is 6,200[6]. - **PVC**: Pressure point is 5,000, support point is 4,300[6]. - **Plastic**: Pressure point is 6,600, support point is 6,200[6]. - **Styrene**: Pressure point is 7,000, support point is 6,300[6]. - **Rubber**: Pressure point is 17,000, support point is 14,000[6]. - **Synthetic Rubber**: Pressure point is 12,600, support point is 11,000[6]. - **Para - Xylene**: Pressure point is 7,600, support point is 5,800[6]. - **PTA**: Pressure point is 5,300, support point is 4,800[6]. - **Short - Fiber**: Pressure point is 7,200, support point is 6,100[6]. - **Bottle Chips**: Pressure point is 6,400, support point is 5,300[6]. - **Caustic Soda**: Pressure point is 2,400, support point is 2,080[6]. - **Soda Ash**: Pressure point is 1,200, support point is 1,100[6]. - **Urea**: Pressure point is 1,700, support point is 1,640[6]. 3.4 Option Factors - Implied Volatility - **Crude Oil**: At - the - money implied volatility is 27.75%, weighted implied volatility is 34.02% (up 1.79%), annual average is 31.44%, call implied volatility is 37.40%, put implied volatility is 28.22%, HISV20 is 26.32%, and the implied - historical volatility difference is 1.43[7]. - **LPG**: At - the - money implied volatility is 21.17%, weighted implied volatility is 25.21% (up 1.37%), annual average is 22.22%, call implied volatility is 26.41%, put implied volatility is 21.49%, HISV20 is 18.92%, and the implied - historical volatility difference is 2.25[7]. - **Methanol**: At - the - money implied volatility is 20.195%, weighted implied volatility is 24.65% (down 1.03%), annual average is 20.48%, call implied volatility is 26.16%, put implied volatility is 20.21%, HISV20 is 18.50%, and the implied - historical volatility difference is 1.70[7]. - **Ethylene Glycol**: At - the - money implied volatility is 15.23%, weighted implied volatility is 21.72% (down 1.60%), annual average is 15.97%, call implied volatility is 23.89%, put implied volatility is 15.99%, HISV20 is 16.78%, and the implied - historical volatility difference is - 1.55[7]. - **Polypropylene**: At - the - money implied volatility is 10.705%, weighted implied volatility is 21.30% (up 3.98%), annual average is 12.53%, call implied volatility is 23.68%, put implied volatility is 12.86%, HISV20 is 12.44%, and the implied - historical volatility difference is - 1.73[7]. - **PVC**: At - the - money implied volatility is 17.475%, weighted implied volatility is 24.68% (up 0.52%), annual average is 19.06%, call implied volatility is 26.95%, put implied volatility is 17.98%, HISV20 is 16.31%, and the implied - historical volatility difference is 1.17[7]. - **Plastic**: At - the - money implied volatility is 13.345%, weighted implied volatility is 17.71% (down 2.13%), annual average is 13.27%, call implied volatility is 18.82%, put implied volatility is 14.86%, HISV20 is 13.27%, and the implied - historical volatility difference is 0.07[7]. - **Styrene**: At - the - money implied volatility is 19.3%, weighted implied volatility is 23.95% (down 2.05%), annual average is 21.03%, call implied volatility is 24.96%, put implied volatility is 20.77%, HISV20 is 18.73%, and the implied - historical volatility difference is 0.57[7]. - **Rubber**: At - the - money implied volatility is 18.62%, weighted implied volatility is 22.07% (up 0.77%), annual average is 22.84%, call implied volatility is 23.14%, put implied volatility is 18.45%, HISV20 is 18.41%, and the implied - historical volatility difference is 0.21[7]. - **Synthetic Rubber**: At - the - money implied volatility is 24.805%, weighted implied volatility is 28.06% (down 1.22%), annual average is 27.11%, call implied volatility is 29.07%, put implied volatility is 25.92%, HISV20 is 22.31%, and the implied - historical volatility difference is 2.50[7]. - **Para - Xylene**: At - the - money implied volatility is 22.64%, weighted implied volatility is 25.42% (down 4.04%), annual average is 21.70%, call implied volatility is 27.78%, put implied volatility is 22.18%, HISV20 is 16.77%, and the implied - historical volatility difference is 5.87[7]. - **PTA**: At - the - money implied volatility is 22.11%, weighted implied volatility is 24.96% (down 5.56%), annual average is 20.29%, call implied volatility is 27.77%, put implied volatility is 21.25%, HISV20 is 14.35%, and the implied - historical volatility difference is 7.76[7]. - **Short - Fiber**: At - the - money implied volatility is 18.185%, weighted implied volatility is 21.88% (down 2.37%), annual average is 17.61%, call implied volatility is 23.08%, put implied volatility is 19.78%, HISV20 is 13.57%, and the implied - historical volatility difference is 4.62[7]. - **Bottle Chips**: At - the - money implied volatility is 17.42%, weighted implied volatility is 23.18% (down 3.08%),

Report Summary 1. Investment Rating The report does not mention the industry investment rating. 2. Core Viewpoints - For non - ferrous metals with a bullish upward trend, construct a neutral volatility strategy for sellers; for the black series with large - amplitude fluctuations, construct a short - volatility combination strategy; for precious metals with a rebound, construct a bull spread combination strategy [2]. 3. Summary by Category 3.1 Futures Market Overview - The report provides the latest prices, price changes, price change rates, trading volumes, volume changes, open interests, and open interest changes of various metal futures contracts, including copper, aluminum, zinc, etc. For example, the latest price of copper (CU2602) is 98,240, with a price increase of 820 and a price change rate of 0.84% [3]. 3.2 Option Factors - **Volume - to - Open - Interest PCR**: The report presents the volume - to - open - interest PCR of various metal options, which is used to describe the strength of the option underlying market and whether the underlying market has a turning point. For instance, the volume PCR of copper options is 0.42, with a change of - 0.13, and the open - interest PCR is 0.67, with a change of - 0.02 [4]. - **Pressure and Support Levels**: The pressure and support levels of various metal options are analyzed from the perspective of the strike prices with the largest open interests of call and put options. For example, the pressure level of copper options is 110,000, and the support level is 94,000 [5]. - **Implied Volatility**: The report shows the at - the - money implied volatility, weighted implied volatility, change in weighted implied volatility, annual average implied volatility, call implied volatility, put implied volatility, 20 - day historical volatility, and the difference between implied and historical volatilities of various metal options. For example, the at - the - money implied volatility of copper options is 27.36%, and the weighted implied volatility is 33.51%, with a change of - 0.18% [6]. 3.3 Strategy and Recommendations - **Non - ferrous Metals**: - **Copper**: The copper market shows a bullish upward trend with support below. It is recommended to construct a short - volatility seller option combination strategy for volatility strategies and a spot hedging strategy for spot positions [7]. - **Aluminum**: The aluminum market is in a short - term retracement after a bullish rise. It is recommended to construct a call option bull spread combination strategy for directional strategies and a short - call + short - put option combination strategy for volatility strategies [9]. - **Other non - ferrous metals**: Similar analyses and strategy recommendations are provided for zinc, nickel, tin, and lithium carbonate options, including fundamental analysis, market trend analysis, option factor research, and corresponding option strategies [9][10][11]. - **Precious Metals (Silver)**: The silver market shows large - amplitude fluctuations in a bullish trend. It is recommended to construct a neutral short - volatility option seller combination strategy for volatility strategies and a spot hedging strategy for spot positions [12]. - **Black Series**: - **Rebar**: The rebar market shows a weak oscillatory retracement with pressure above. It is recommended to construct a short - bearish call + short - put option combination strategy for volatility strategies and a spot covered - call strategy for spot positions [13]. - **Iron Ore**: The iron ore market shows a bullish oscillatory trend with support below and pressure above. It is recommended to construct a neutral short - call + short - put option combination strategy for volatility strategies and a long - collar strategy for spot positions [13]. - **Other black series**: Similar analyses and strategy recommendations are provided for ferroalloys, industrial silicon, and glass options [14][15].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - In the performance of CSI 300 Index Option strategies this week, the short straddle strategy led with a 0.21% return. In the SSE 50 ETF Option strategies, the straddle statistical arbitrage strategy led with a 0.28% return. In the CSI 1000 Index Option strategies, the straddle statistical arbitrage strategy led with a 0.25% return [2]. - From the beginning of 2025 to now, the benchmark performed best in all three option markets. Among option strategies, the short put strategy led in the CSI 300 and SSE 50 ETF option markets, while in the CSI 1000 Index Option market, the short put strategy also performed well [7][11][15]. - Three option hedging strategies (covered call, protective put, and collar) can effectively reduce the benchmark's drawdown. Three option volatility trading strategies (straddle statistical arbitrage, short straddle, and short maximum - position wide straddle) can reduce the strategy's drawdown by adding threshold limits in the implied volatility clustering dimension [7][11][15]. - In the CSI 300 and CSI 1000 Index Option markets, the short straddle strategy has a greater Theta value and can obtain higher returns compared to the short maximum - position wide straddle strategy in a downward - moving volatility market. In the SSE 50 ETF Option market, the short maximum - position wide straddle strategy performs relatively better [7][11][15]. - The bull call spread strategy has stronger returns than the benchmark in all three option markets and can reduce the maximum drawdown because it can avoid tail risks and reduce losses in a falling market [7][12][16]. 3. Summary by Relevant Catalogs 3.1 This Week's Market Review 3.1.1 CSI 300 Index Option Strategy Review - Back - tested eight common strategies against the benchmark (CSI 300 Index Futures main contract). This week, the short straddle strategy led with a 0.21% return. From the beginning of 2025 to now, the benchmark performed best with a 27.15% return, and the short put strategy led among option strategies with a 19.11% return [5][6][7]. - Three option hedging strategies effectively reduced the benchmark's drawdown. Three option volatility trading strategies reduced the strategy's drawdown and achieved different cumulative returns. The short straddle strategy had better returns than the short maximum - position wide straddle strategy in a downward - moving volatility market. The bull call spread strategy had stronger returns than the benchmark and reduced the maximum drawdown [7]. 3.1.2 SSE 50 ETF Option Strategy - Back - tested eight common strategies against the benchmark (50ETF). This week, the straddle statistical arbitrage strategy led with a 0.28% return. From the beginning of 2025 to now, the benchmark performed best with a 19.51% return, and the short put strategy led among option strategies with a 19.21% return [8][10][11]. - Three option hedging strategies reduced the benchmark's drawdown. Three option statistical arbitrage strategies reduced the strategy's drawdown and achieved different cumulative returns. The short maximum - position wide straddle strategy performed relatively better than the short straddle strategy [11]. - The bull call spread strategy had stronger returns than the benchmark and reduced the maximum drawdown [12]. 3.1.3 CSI 1000 Index Option Strategy - Back - tested eight common strategies against the benchmark (CSI 1000 Index Futures main contract). This week, the straddle statistical arbitrage strategy led with a 0.25% return. From the beginning of 2025 to now, the benchmark performed best with a 47.08% return, and the short put strategy led among option strategies with a 28.48% return [13][15][17]. - Three option hedging strategies effectively reduced the benchmark's drawdown. Three option volatility trading strategies reduced the strategy's drawdown and achieved different cumulative returns. The short straddle strategy had better returns than the short maximum - position wide straddle strategy [15]. - The bull call spread strategy had stronger returns than the benchmark and reduced the maximum drawdown [16]. 3.2 Specific Strategy Descriptions 3.2.1 Covered Call Strategy - It is used to enhance returns, commonly used by overseas mutual funds. In the SSE 50 ETF, it involves buying 1 share of 50ETF and selling 1 share of a 10% out - of - the - money call option. In the CSI 300 Index Option, it involves buying 1 CSI 300 Index Futures main contract and selling 3 shares of a 4% out - of - the - money call option [18][21]. 3.2.2 Short Put Strategy - A one - way seller strategy, gaining mainly in a sideways or rising market. In the SSE 50 ETF, it involves short - selling an at - the - money put option. In the CSI 300 Index Option, it also involves short - selling an at - the - money put option [24][26]. 3.2.3 Protective Put Strategy - A protective hedging strategy. In the SSE 50 ETF, it involves buying 1 share of 50ETF and 1 share of a 10% out - of - the - money put option. In the CSI 300 Index Option, it involves buying 1 CSI 300 Index Futures main contract and 3 shares of a 4% out - of - the - money put option [28][29][31]. 3.2.4 Collar Strategy - A neutral strategy, a combination of covered call and protective put. In the SSE 50 ETF, it involves holding 1 share of 50ETF, buying 1 share of a 10% out - of - the - money put option, and selling 1 share of a 10% out - of - the - money call option. In the CSI 300 Index Option, it involves holding 1 CSI 300 Index Futures main contract, buying 3 shares of a 4% out - of - the - money put option, and selling 3 shares of a 4% out - of - the - money call option [33][35]. 3.2.5 Straddle Statistical Arbitrage Strategy - Based on the relationship between implied and historical volatility. In the SSE 50 ETF, when the difference between implied and historical volatility is greater than 1.5%, short volatility; when it is less than - 1.5%, long volatility. In the CSI 300 Index Option, the thresholds are 3% and - 3% respectively [40][41][43]. 3.2.6 Short Straddle Strategy - A short - volatility strategy. In both the SSE 50 ETF and CSI 300 Index Option, it involves selling at - the - money call and put options of the same month. Adjust positions when the at - the - money price or the main contract changes, and close positions when the implied volatility change rate is greater than 10% [44][45][47]. 3.2.7 Short Maximum - Position Wide Straddle Strategy - Based on the maximum - position strike prices. In the SSE 50 ETF and CSI 300 Index Option, sell the maximum - position call and put options of the same month. Adjust positions when the maximum - position price or the main contract changes, and close positions when the implied volatility change rate is greater than 10% [49][50][52]. 3.2.8 Bull Call Spread Strategy - A low - cost long - call strategy. In the SSE 50 ETF, buy an at - the - money call option and sell a 10% out - of - the - money call option. In the CSI 300 Index Option, buy an at - the - money call option and sell a 4% out - of - the - money call option [55][57].