1. Report Industry Investment Rating - Not provided in the document 2. Core Views of the Report - The energy - chemical sector is mainly divided into energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others [9] - Options strategies and suggestions are provided for selected varieties in each sector [9] - The option strategy report for each option variety is compiled according to the underlying market analysis, option factor research, and option strategy suggestions [9] 3. Summary by Relevant Content 3.1 Underlying Futures Market Overview - Various option varieties' underlying contracts' latest prices, price changes, price change rates, trading volumes, volume changes, open interests, and open interest changes are presented, such as crude oil (SC2512) with a latest price of 470, a price increase of 16, and a price change rate of 3.48% [4] 3.2 Option Factors - Volume and Open Interest PCR - Volume PCR and open interest PCR for different option varieties are given, along with their changes, which are used to describe the strength of the option underlying market and the turning point of the underlying market [5] 3.3 Option Factors - Pressure and Support Levels - Pressure and support levels for different option varieties are analyzed from the perspective of the strike prices with the largest open interests of call and put options [6] 3.4 Option Factors - Implied Volatility - Implied volatility data for different option varieties are provided, including at - the - money implied volatility, weighted implied volatility, and its changes, etc. [7] 3.5 Option Strategies and Suggestions 3.5.1 Energy - related Options - **Crude Oil**: Fundamentals involve OPEC's production increase and US shale oil production. The market has shown different trends from July to October. Option factors indicate a decline in implied volatility, a weak market according to open interest PCR, and specific pressure and support levels. Strategies include a volatility strategy of selling a neutral call + put option combination and a spot long - hedging strategy of constructing a long collar [8] - **Liquefied Petroleum Gas (LPG)**: Fundamentals show a decrease in domestic LPG production in September. The market has experienced ups and downs. Option factors suggest a decline in implied volatility, a weak market, and specific pressure and support levels. Strategies include a volatility strategy of selling a neutral call + put option combination and a spot long - hedging strategy of constructing a long collar [10] 3.5.2 Alcohol - related Options - **Methanol**: Fundamentals involve port and enterprise inventories. The market has been weak. Option factors indicate that implied volatility fluctuates around the historical average, a weak - oscillating market, and specific pressure and support levels. Strategies include a volatility strategy of selling a bearish call + put option combination and a spot long - hedging strategy of constructing a long collar [10] - **Ethylene Glycol**: Fundamentals show inventory changes. The market has been weak. Option factors suggest that implied volatility fluctuates below the average, strong bearish power, and specific pressure and support levels. Strategies include a directional strategy of constructing a bearish spread of put options, a volatility strategy of shorting volatility, and a spot long - hedging strategy [11] 3.5.3 Polyolefin - related Options - **Polypropylene**: Fundamentals involve inventory changes. The market has been weak. Option factors indicate a decline in implied volatility to around the average, a weak market, and specific pressure and support levels. Strategies include a spot long - hedging strategy of holding a spot long position, buying an at - the - money put option, and selling an out - of - the - money call option [11] 3.5.4 Rubber - related Options - **Rubber**: Fundamentals show inventory changes. The market has been in a weak consolidation. Option factors suggest that implied volatility has decreased to around the average, a relatively strong bullish market according to open interest PCR, and specific pressure and support levels. Strategies include a volatility strategy of selling a bearish call + put option combination [12] 3.5.5 Polyester - related Options - **PTA**: Fundamentals show inventory accumulation. The market has been weak. Option factors indicate that implied volatility fluctuates at a relatively high level, an oscillating market, and specific pressure and support levels. Strategies include a volatility strategy of selling a bearish call + put option combination [12] 3.5.6 Alkali - related Options - **Caustic Soda**: Fundamentals show a decline in production capacity utilization. The market has been weak. Option factors suggest high - level volatility of implied volatility, a weak - oscillating market, and specific pressure and support levels. Strategies include a directional strategy of constructing a bearish spread and a spot collar - hedging strategy [13] - **Soda Ash**: Fundamentals show an increase in factory inventory. The market has been in a low - level weak oscillation. Option factors indicate that implied volatility fluctuates at a relatively high historical level, strong bearish pressure, and specific pressure and support levels. Strategies include a volatility strategy of shorting volatility and a spot long - hedging strategy of constructing a long collar [13] 3.5.7 Other Options - **Urea**: Fundamentals show an increase in enterprise and port inventories. The market has been in a low - level weak oscillation. Option factors suggest that implied volatility fluctuates around the historical average, strong bearish pressure, and specific pressure and support levels. Strategies include a directional strategy of constructing a bearish spread of put options, a volatility strategy of selling a bearish call + put option combination, and a spot long - hedging strategy [14] 3.6 Option Charts - Charts for various option varieties, such as crude oil, LPG, methanol, etc., are provided, including price trends, trading volume and open interest, open interest PCR, implied volatility, historical volatility cones, and pressure and support levels [15][36][54]

Report Summary 1. Investment Rating The provided content does not mention the industry investment rating. 2. Core Viewpoint The overall trend of agricultural product options shows that oilseeds and oils are weakly volatile, oils and by - products maintain a volatile market, soft commodity sugar slightly fluctuates, cotton is weakly consolidating, and grains such as corn and starch are weakly and narrowly consolidating. The recommended strategy is to construct an option portfolio strategy mainly based on sellers, as well as spot hedging or covered strategies to enhance returns [2]. 3. Summary by Category 3.1 Futures Market Overview - The latest prices, price changes, price change rates, trading volumes, volume changes, open interests, and open interest changes of various agricultural product options' underlying futures contracts are presented. For example, the latest price of soybean (A2601) is 4,115, with a price increase of 34 and a price change rate of 0.83%. The trading volume is 16.27 million lots, and the open interest is 24.43 million lots [3]. 3.2 Option Factors - Volume and Open Interest PCR - The volume and open interest PCR of various agricultural product options are given. For instance, the volume PCR of soybean is 0.75, with a change of - 0.08; the open interest PCR is 0.76, with a change of 0.09 [4]. 3.3 Option Factors - Pressure and Support Levels - The pressure and support levels of various agricultural product options are analyzed. For example, the pressure level of soybean is 4,600, and the support level is 3,900 [5]. 3.4 Option Factors - Implied Volatility - The implied volatility data of various agricultural product options are provided, including at - the - money implied volatility, weighted implied volatility, weighted implied volatility change, annual average implied volatility, call implied volatility, put implied volatility, historical 20 - day volatility, and the difference between implied and historical volatility. For example, the at - the - money implied volatility of soybean is 12.54% [6]. 3.5 Strategy and Recommendations - **Soybean Options**: The global soybean supply is abundant, and the price of domestic soybeans shows a pattern of oversold rebound. The implied volatility of soybean options is below the historical average. It is recommended to construct a neutral call + put option selling combination strategy and a long collar strategy for spot hedging [7]. - **Soybean Meal Options**: The domestic soybean meal spot is weak, and the futures price is also under pressure. The implied volatility of soybean meal options is below the historical average. It is recommended to construct a bearish spread strategy for put options, a short - biased call + put option selling combination strategy, and a long collar strategy for spot hedging [9]. - **Palm Oil Options**: The Malaysian palm oil inventory has accumulated. The price of palm oil shows a high - level volatile pattern. The implied volatility of palm oil options is below the historical average. It is recommended to construct a short - biased call + put option selling combination strategy and a long collar strategy for spot hedging [9]. - **Peanut Options**: The peanut price in the spot market is weak. The implied volatility of peanut options is at a relatively high historical level. It is recommended to hold a long position in the spot + buy put options + sell out - of - the - money call options for spot hedging [10]. - **Pork Options**: The overall supply of pork is abundant, and the price shows a weak downward trend. The implied volatility of pork options is above the historical average. It is recommended to construct a bearish spread strategy for put options, a short - biased call + put option selling combination strategy, and a covered call strategy for spot hedging [10]. - **Egg Options**: The inventory of laying hens is expected to increase, and the egg price shows a weak downward trend. The implied volatility of egg options is at a relatively high level. It is recommended to construct a bearish spread strategy for put options, a short - biased call + put option selling combination strategy [11]. - **Apple Options**: The opening price of new - season apples is higher than last year, and the price shows a continuous upward trend. The implied volatility of apple options is above the historical average. It is recommended to construct a long - biased call + put option selling combination strategy and a long collar strategy for spot hedging [11]. - **Jujube Options**: The new - season jujubes in Xinjiang are about to be harvested. The price shows a bullish upward trend. The implied volatility of jujube options has rapidly risen above the historical average. It is recommended to construct a long - biased wide - straddle option selling combination strategy and a covered call strategy for spot hedging [12]. - **Sugar Options**: The number of ships waiting to load sugar in Brazilian ports has increased. The sugar price shows a weak downward trend. The implied volatility of sugar options is at a relatively low historical level. It is recommended to construct a short - biased call + put option selling combination strategy and a long collar strategy for spot hedging [12]. - **Cotton Options**: The China Cotton Price Index has declined, and the cotton price shows a short - term weak trend. The implied volatility of cotton options is at a relatively low level. It is recommended to construct a short - biased call + put option selling combination strategy and a covered call strategy for spot hedging [13]. - **Corn Options**: The national average corn price has declined. The corn price shows a weak downward trend after a rebound. The implied volatility of corn options is at a relatively low historical level. It is recommended to construct a short - biased call + put option selling combination strategy [13].

1. Report Industry Investment Rating There is no information provided regarding the report industry investment rating in the given content. 2. Core Viewpoints of the Report - The energy - chemical sector is mainly divided into energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others. Options strategies and suggestions are provided for selected varieties in each sector, and option strategy reports are prepared for each option variety based on underlying market analysis, option factor research, and option strategy suggestions [9]. - Overall, the report suggests constructing option combination strategies mainly based on sellers, as well as spot hedging or covered strategies to enhance returns [3]. 3. Summary by Relevant Catalogs 3.1 Futures Market Overview - The report provides the latest prices, price changes, price change percentages, trading volumes, volume changes, open interests, and open interest changes of various energy - chemical futures, including crude oil, liquefied petroleum gas (LPG), methanol, ethylene glycol, etc. For example, the latest price of crude oil futures (SC2512) is 449, with a price increase of 7 and a price increase percentage of 1.65% [4]. 3.2 Option Factor - Volume and Open Interest PCR - It shows the trading volumes, volume changes, open interests, open interest changes, volume PCR (Put - Call Ratio), volume PCR changes, open interest PCR, and open interest PCR changes of various energy - chemical options. For instance, the volume PCR of crude oil options is 0.52, with a change of - 0.13, and the open interest PCR is 0.56, with a change of 0.01 [5]. 3.3 Option Factor - Pressure and Support Levels - The report presents the at - the - money strike prices, pressure points, pressure point offsets, support points, support point offsets, maximum call option open interests, and maximum put option open interests of various energy - chemical options. For example, the pressure point of crude oil options is 500, and the support point is 400 [6]. 3.4 Option Factor - Implied Volatility - It provides the at - the - money implied volatility, weighted implied volatility, weighted implied volatility changes, annual average implied volatility, call option implied volatility, put option implied volatility, 20 - day historical volatility, and implied - historical volatility differences of various energy - chemical options. For example, the at - the - money implied volatility of crude oil options is 28.2, and the weighted implied volatility is 30.84, with a change of - 2.19 [7]. 3.5 Strategy and Suggestions 3.5.1 Energy - related Options (Crude Oil) - **Underlying Market Analysis**: OPEC maintains a principle - based production increase of 137,000 barrels per day. The U.S. shale oil production has slightly increased, and refineries are in a seasonal decline but are about to enter a small demand peak. The crack spread of refined oil has declined, and the monthly spread of crude oil is stronger than the single - price performance. Since July, crude oil has gradually weakened and then traded in a range, showing a weak market trend with upward pressure [8]. - **Option Factor Research**: The implied volatility of crude oil options has declined to near the average. The open interest PCR is around 0.60, indicating a recent weak crude oil market. The pressure point is 500, and the support point is 400 [8]. - **Option Strategy Suggestions**: No directional strategy is recommended. A volatility strategy of selling a relatively neutral combination of call and put options is proposed to obtain option time value and directional returns, with dynamic adjustment of positions to keep the delta neutral. A spot long - hedging strategy of constructing a long collar strategy is also suggested [8]. 3.5.2 Energy - related Options (LPG) - **Underlying Market Analysis**: In September, the estimated domestic LPG commercial volume was 1.6221 million tons, a month - on - month decrease of 5.65%. Since July, LPG has shown a market trend of over - sold rebound with upward pressure [10]. - **Option Factor Research**: The implied volatility of LPG options has significantly declined to below the average. The open interest PCR is around 0.70, indicating a recent weak LPG market. The pressure point is 4500, and the support point is 3600 [10]. - **Option Strategy Suggestions**: No directional strategy is recommended. A volatility strategy of selling a relatively neutral combination of call and put options is proposed, along with a spot long - hedging strategy of constructing a long collar strategy [10]. 3.5.3 Alcohol - related Options (Methanol) - **Underlying Market Analysis**: The port inventory is 1.4914 million tons, a month - on - month decrease of 51,800 tons. The enterprise inventory is 359,900 tons, a month - on - month increase of 20,500 tons. Since July, methanol has shown a weak market trend with upward pressure [10]. - **Option Factor Research**: The implied volatility of methanol options fluctuates around the historical average. The open interest PCR is below 0.80, indicating a recent weak and volatile methanol market. The pressure point is 2300, and the support point is 2250 [10]. - **Option Strategy Suggestions**: No directional strategy is recommended. A volatility strategy of selling a relatively bearish combination of call and put options is proposed, along with a spot long - hedging strategy of constructing a long collar strategy [10]. 3.5.4 Alcohol - related Options (Ethylene Glycol) - **Underlying Market Analysis**: The port inventory is 541,000 tons, a month - on - month increase of 34,000 tons. Since July, ethylene glycol has shown a weak market trend with upward pressure [11]. - **Option Factor Research**: The implied volatility of ethylene glycol options fluctuates below the average. The open interest PCR is around 0.70, indicating strong recent bearish forces. The pressure point is 4500, and the support point is 4050 [11]. - **Option Strategy Suggestions**: A directional strategy of constructing a bear - spread combination of put options is recommended. A volatility strategy of shorting volatility is proposed, along with a spot long - hedging strategy [11]. 3.5.5 Polyolefin - related Options (Polypropylene) - **Underlying Market Analysis**: The inventory of PP production enterprises, traders, and ports has decreased. Since July, polypropylene has shown a weak market trend with upward bearish pressure [11]. - **Option Factor Research**: The implied volatility of polypropylene options has declined to near the average. The open interest PCR is around 0.70, indicating a recent weak polypropylene market. The pressure point is 7300, and the support point is 6300 [11]. - **Option Strategy Suggestions**: No directional or volatility strategy is recommended. A spot long - hedging strategy of holding a long position in the underlying + buying an at - the - money put option + selling an out - of - the - money call option is proposed [11]. 3.5.6 Rubber - related Options (Rubber) - **Underlying Market Analysis**: The social inventory of natural rubber in China has decreased. Since July, rubber has shown a weak and volatile market trend with support below and pressure above [12]. - **Option Factor Research**: The implied volatility of rubber options has rapidly increased and then declined to near the average. The open interest PCR is below 0.60. The pressure point has significantly moved down to 17000, and the support point is 14000 [12]. - **Option Strategy Suggestions**: No directional strategy is recommended. A volatility strategy of selling a relatively bearish combination of call and put options is proposed. No spot hedging strategy is provided [12]. 3.5.7 Polyester - related Options (PTA) - **Underlying Market Analysis**: The overall social inventory of PTA (excluding credit warehouse receipts) has increased slightly. Since July, PTA has shown a weak and bearish market trend with upward pressure [12]. - **Option Factor Research**: The implied volatility of PTA options fluctuates at a relatively high level above the average. The open interest PCR is around 0.70, indicating a recent volatile PTA market. The pressure point is 4600, and the support point is 4300 [12]. - **Option Strategy Suggestions**: No directional strategy is recommended. A volatility strategy of selling a relatively bearish combination of call and put options is proposed. No spot hedging strategy is provided [12]. 3.5.8 Alkali - related Options (Caustic Soda) - **Underlying Market Analysis**: The average capacity utilization rate of caustic soda sample enterprises has decreased. Since July, caustic soda has shown a weak and bearish market trend with upward pressure [13]. - **Option Factor Research**: The implied volatility of caustic soda options fluctuates at a relatively high level. The open interest PCR is around 0.90, indicating a recent weak and volatile caustic soda market. The pressure point is 2600, and the support point is 2280 [13]. - **Option Strategy Suggestions**: A directional strategy of constructing a bear - spread combination is recommended. No volatility strategy is provided. A spot collar hedging strategy is proposed [13]. 3.5.9 Alkali - related Options (Soda Ash) - **Underlying Market Analysis**: The in - plant inventory of soda ash has increased. Since July, soda ash has shown a low - level and volatile market trend with support below [13]. - **Option Factor Research**: The implied volatility of soda ash options fluctuates at a relatively high historical level. The open interest PCR is below 0.60, indicating strong bearish pressure. The pressure point is 1400, and the support point is 1100 [13]. - **Option Strategy Suggestions**: A volatility strategy of shorting the volatility combination is proposed. A spot long - hedging strategy of constructing a long collar strategy is also suggested [13]. 3.5.10 Other Options (Urea) - **Underlying Market Analysis**: The enterprise and port inventories of urea have increased. Since July, urea has shown a low - level and volatile market trend [14]. - **Option Factor Research**: The implied volatility of urea options fluctuates slightly around the historical average. The open interest PCR is below 0.60, indicating strong bearish pressure. The pressure point is 1800, and the support point is 1600 [14]. - **Option Strategy Suggestions**: A directional strategy of constructing a bear - spread combination of put options is recommended. A volatility strategy of selling a relatively bearish combination of call and put options is proposed, along with a spot hedging strategy [14].

Report Industry Investment Rating No information provided in the content. Core Viewpoints of the Report - The agricultural products options market shows a mixed trend, with oilseeds and oils, and some agricultural by - products in a weak and volatile state, while soft commodities like sugar have a slight fluctuation, and cotton is in a weak consolidation. Grains such as corn and starch are in a weak and narrow - range consolidation. It is recommended to construct option portfolio strategies mainly based on sellers, as well as spot hedging or covered strategies to enhance returns [2]. Summary According to Relevant Catalogs 1. Futures Market Overview - The futures prices of different agricultural products show various trends. For example, the price of soybean No.1 (A2601) increased by 0.32% to 4,063, while the price of palm oil (P2601) decreased by 1.56% to 9,080. The trading volume and open interest of each variety also changed differently [3]. 2. Option Factor - Volume and Open Interest PCR - The volume PCR and open interest PCR of different agricultural product options are used to describe the strength of the option underlying market and the turning point of the underlying market. For example, the volume PCR of soybean No.1 is 0.83 with a change of 0.06, and the open interest PCR is 0.68 with a change of - 0.04 [4]. 3. Option Factor - Pressure and Support Levels - From the perspective of the maximum open interest of call and put options, the pressure and support levels of different agricultural product options are determined. For example, the pressure level of soybean No.1 is 4100 and the support level is 3900 [5]. 4. Option Factor - Implied Volatility - The implied volatility of different agricultural product options shows different levels and changes. For example, the average implied volatility of soybean No.1 is 12.47 with a change of 0.45, and the difference between implied and historical volatility is 0.06 [6]. 5. Strategy and Recommendations 5.1 Oilseeds and Oils Options - **Soybean No.1**: The fundamental situation of soybeans shows that the global supply is abundant, and the price of soybean No.1 has a rebound after a decline. The implied volatility of options is below the historical average, and the open interest PCR indicates a weak market. It is recommended to construct a neutral call + put option combination strategy and a long collar strategy for spot hedging [7]. - **Soybean Meal**: The domestic soybean meal spot is weak, and the price shows a downward trend. The implied volatility of options is below the historical average, and the open interest PCR indicates a weak market. It is recommended to construct a bear - spread strategy for call options, a short - biased call + put option combination strategy, and a long collar strategy for spot hedging [9]. - **Palm Oil**: The inventory of Malaysian palm oil has accumulated. The price of palm oil shows a high - level oscillation. The implied volatility of options is below the historical average, and the open interest PCR indicates some support at the bottom. It is recommended to construct a short - biased call + put option combination strategy and a long collar strategy for spot hedging [9]. - **Peanut**: The spot price of peanuts is weak, and the supply pressure is expected to increase. The implied volatility of options is at a relatively high historical level, and the open interest PCR indicates a weak and volatile market. It is recommended to use a long collar strategy for spot hedging [10]. 5.2 Agricultural By - products Options - **Pig**: The overall supply of pigs is abundant, and the price shows a downward trend. The implied volatility of options is above the historical average, and the open interest PCR indicates a weak market. It is recommended to construct a bear - spread strategy for call options, a short - biased call + put option combination strategy, and a covered call strategy for spot hedging [10]. - **Egg**: The inventory of laying hens is expected to increase, and the price shows a downward trend. The implied volatility of options is at a relatively high level, and the open interest PCR indicates a weak market. It is recommended to construct a bear - spread strategy for call options, a short - biased call + put option combination strategy [11]. - **Apple**: The price of new - season apples is stable and firm. The price shows an upward trend. The implied volatility of options is above the historical average, and the open interest PCR indicates strong support at the bottom. It is recommended to construct a long - biased call + put option combination strategy and a long collar strategy for spot hedging [11]. - **Jujube**: The new - season jujube is about to be harvested. The price shows an upward trend. The implied volatility of options has rapidly increased to above the historical average, and the open interest PCR is below 0.5. It is recommended to construct a long - biased wide - straddle option combination strategy and a covered call strategy for spot hedging [12]. 5.3 Soft Commodities Options - **Sugar**: The number of ships waiting to load sugar in Brazilian ports has increased. The price of sugar shows a downward trend. The implied volatility of options is at a relatively low historical level, and the open interest PCR indicates a range - bound market. It is recommended to construct a short - biased call + put option combination strategy and a long collar strategy for spot hedging [12]. - **Cotton**: The price of cotton shows a weak trend. The implied volatility of options is at a low level, and the open interest PCR indicates a weak market. It is recommended to construct a short - biased call + put option combination strategy and a covered call strategy for spot hedging [13]. 5.4 Grains Options - **Corn**: The average price of corn has decreased. The price of corn shows a weak and volatile trend. The implied volatility of options is at a relatively low historical level, and the open interest PCR indicates a weak market. It is recommended to construct a short - biased call + put option combination strategy [13].

金属期权 2025-10-23 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 | | 李仁君 | 产业服务 | 从业资格号：F03090207 | 交易咨询号：Z0016947 | 邮箱：lirj@wkqh.cn | 金属期权策略早报概要：（1）有色金属区间震荡，构建卖方中性波动率策略策略；（2）黑色系维持大幅度波动的 行情走势，适合构建做空波动率组合策略；（3）贵金属高位回落连续大幅下跌，构建现货避险策略。 | 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 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | （ ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The energy and chemical sector is mainly divided into energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others. For each sector, options strategies and suggestions are provided for selected varieties. Each option variety's strategy report includes underlying market analysis, option factor research, and option strategy suggestions [9]. - The overall strategy is to construct option portfolio strategies mainly based on sellers, as well as spot hedging or covered strategies to enhance returns [3]. 3. Summary by Related Catalogs 3.1 Futures Market Overview - **Data of Various Options**: The report provides the latest prices, price changes, price change rates, trading volumes, volume changes, open interest, and open interest changes of various energy and chemical option underlying futures contracts, such as crude oil, liquefied petroleum gas (LPG), methanol, etc. [4]. 3.2 Option Factors - Volume and Open Interest PCR - **Concept Explanation**: The PCR indicator includes volume PCR (put option volume / call option volume) and open interest PCR (put option open interest / call option open interest). Volume PCR is mainly used to describe whether the underlying market has a turning point, while open interest PCR is used to describe the strength of the underlying market [5]. - **Data of Various Options**: The report presents the volume, volume changes, open interest, open interest changes, volume PCR, volume PCR changes, open interest PCR, and open interest PCR changes of various options [5]. 3.3 Option Factors - Pressure and Support Levels - **Determination Method**: The pressure and support levels of the underlying are determined from the strike prices with the largest open interest of call and put options [6]. - **Data of Various Options**: The report provides the pressure points, pressure point offsets, support points, support point offsets, maximum call option open interest, and maximum put option open interest of various options [6]. 3.4 Option Factors - Implied Volatility - **Calculation Method**: The implied volatility includes at - the - money implied volatility (the arithmetic average of call and put at - the - money option implied volatilities) and weighted implied volatility (using volume - weighted average) [7]. - **Data of Various Options**: The report shows the at - the - money implied volatility, weighted implied volatility, weighted implied volatility changes, annual average implied volatility, call option implied volatility, put option implied volatility, historical 20 - day volatility, and the difference between implied and historical volatility of various options [7]. 3.5 Option Strategies and Suggestions for Different Varieties 3.5.1 Energy - related Options - **Crude Oil**: - **Underlying Market Analysis**: OPEC maintains a 137,000 - barrel - per - day increase. The US shale oil production has slightly increased, and refinery operations are seasonally declining but approaching a small demand peak. The crack spread of refined oil has declined, and the monthly spread of crude oil is stronger than the single - price performance. The market has shown a weak trend overall since July [8]. - **Option Factor Research**: The implied volatility of crude oil options has declined to near the average. The open interest PCR is around 0.60, indicating a weak market. The pressure level is 500, and the support level is 400 [8]. - **Option Strategy Suggestions**: Directional strategy: None. Volatility strategy: Construct a neutral - biased short call + put option combination strategy. Spot long - hedging strategy: Construct a long collar strategy [8]. - **LPG**: - **Underlying Market Analysis**: In September, the estimated domestic LPG commodity volume decreased. The market has shown a pattern of over - decline and rebound with pressure above [10]. - **Option Factor Research**: The implied volatility of LPG options has significantly declined to below the average. The open interest PCR is around 0.60, indicating a weak market. The pressure level is 4500, and the support level is 3600 [10]. - **Option Strategy Suggestions**: Directional strategy: None. Volatility strategy: Construct a neutral - biased short call + put option combination strategy. Spot long - hedging strategy: Construct a long collar strategy [10]. 3.5.2 Alcohol - related Options - **Methanol**: - **Underlying Market Analysis**: Port inventory has decreased, and enterprise inventory has increased. The market has shown a weak trend with pressure above [10]. - **Option Factor Research**: The implied volatility of methanol options fluctuates around the historical average. The open interest PCR is below 0.80, indicating a weak and volatile market. The pressure level is 2300, and the support level is 2250 [10]. - **Option Strategy Suggestions**: Directional strategy: None. Volatility strategy: Construct a short - biased short call + put option combination strategy. Spot long - hedging strategy: Construct a long collar strategy [10]. - **Ethylene Glycol**: - **Underlying Market Analysis**: Port inventory has increased, and the market has entered a inventory - building cycle. The market has shown a weak trend [11]. - **Option Factor Research**: The implied volatility of ethylene glycol options fluctuates below the average. The open interest PCR is around 0.60, indicating strong short - side power. The pressure level is 4500, and the support level is 4050 [11]. - **Option Strategy Suggestions**: Directional strategy: Construct a bear spread strategy using put options. Volatility strategy: Construct a short - volatility strategy. Spot long - hedging strategy: Hold a long spot position + buy a put option + sell an out - of - the - money call option [11]. 3.5.3 Polyolefin - related Options - **Polypropylene**: - **Underlying Market Analysis**: PP production enterprise inventory has decreased, and the market has shown a weak trend with downward pressure [11]. - **Option Factor Research**: The implied volatility of polypropylene options has declined to near the average. The open interest PCR is around 0.70, indicating a weak market. The pressure level is 7300, and the support level is 6300 [11]. - **Option Strategy Suggestions**: Directional strategy: None. Volatility strategy: None. Spot long - hedging strategy: Hold a long spot position + buy an at - the - money put option + sell an out - of - the - money call option [11]. 3.5.4 Rubber - related Options - **Rubber**: - **Underlying Market Analysis**: The social inventory of natural rubber in China has decreased. The market has shown a weak and volatile pattern with support below and pressure above [12]. - **Option Factor Research**: The implied volatility of rubber options has risen sharply and then declined to near the average. The open interest PCR is around 0.60. The pressure level has dropped significantly to 17000, and the support level is 14000 [12]. - **Option Strategy Suggestions**: Directional strategy: None. Volatility strategy: Construct a short - biased short call + put option combination strategy. Spot hedging strategy: None [12]. 3.5.5 Polyester - related Options - **PTA**: - **Underlying Market Analysis**: The overall social inventory of PTA has increased slightly, and the market has shown a weak and short - biased trend with pressure above [12]. - **Option Factor Research**: The implied volatility of PTA options fluctuates at a relatively high level. The open interest PCR is around 0.70, indicating a volatile market. The pressure level is 4600, and the support level is 4300 [12]. - **Option Strategy Suggestions**: Directional strategy: None. Volatility strategy: Construct a short - biased short call + put option combination strategy. Spot hedging strategy: None [12]. 3.5.6 Alkali - related Options - **Caustic Soda**: - **Underlying Market Analysis**: The average utilization rate of caustic soda production capacity has decreased. The market has shown a weak and short - biased trend recently [13]. - **Option Factor Research**: The implied volatility of caustic soda options fluctuates at a relatively high level. The open interest PCR is around 0.90, indicating a weak and volatile market. The pressure level is 2720, and the support level is 2280 [13]. - **Option Strategy Suggestions**: Directional strategy: Construct a bear spread strategy. Volatility strategy: None. Spot collar hedging strategy: Hold a long spot position + buy a put option + sell an out - of - the - money call option [13]. - **Soda Ash**: - **Underlying Market Analysis**: The in - plant inventory of soda ash has increased. The market has shown a low - level and weak - volatile pattern with support below [13]. - **Option Factor Research**: The implied volatility of soda ash options fluctuates at a relatively high historical level. The open interest PCR is below 0.60, indicating strong short - side pressure. The pressure level is 1400, and the support level is 1100 [13]. - **Option Strategy Suggestions**: Directional strategy: None. Volatility strategy: Construct a short - volatility combination strategy. Spot long - hedging strategy: Construct a long collar strategy [13]. 3.5.7 Urea Options - **Underlying Market Analysis**: The enterprise inventory of urea has increased, and the market has shown a low - level and weak - volatile pattern [14]. - **Option Factor Research**: The implied volatility of urea options fluctuates slightly around the historical average. The open interest PCR is below 0.60, indicating strong short - side pressure. The pressure level is 1800, and the support level is 1600 [14]. - **Option Strategy Suggestions**: Directional strategy: Construct a bear spread strategy using put options. Volatility strategy: Construct a short - biased short call + put option combination strategy. Spot hedging strategy: Hold a long spot position + buy an at - the - money put option + sell an out - of - the - money call option [14].

金属期权 2025-10-22 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 | | 李仁君 | 产业服务 | 从业资格号：F03090207 | 交易咨询号：Z0016947 | 邮箱：lirj@wkqh.cn | 金属期权策略早报概要：（1）有色金属区间震荡，构建卖方中性波动率策略策略；（2）黑色系维持大幅度波动的 行情走势，适合构建做空波动率组合策略；（3）贵金属高位回落连续大幅下跌，构建现货避险策略。 | 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 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | （ ...

1. Report Industry Investment Rating - Not provided in the content 2. Core View of the Report - The overall trend of agricultural product options shows that oilseeds and oils are weakly volatile, while other agricultural products maintain a volatile market. The strategy suggests constructing option portfolio strategies mainly based on sellers, as well as spot hedging or covered strategies to enhance returns [2] 3. Summary According to Relevant Catalogs 3.1 Futures Market Overview - Different agricultural product options have different price changes, trading volumes, and open interests. For example, the price of soybean A2601 decreased by 0.34% to 4,059, with a trading volume of 138,700 lots and an open interest of 220,600 lots [3] 3.2 Option Factors - Volume and Open Interest PCR - The volume and open interest PCR of different agricultural product options vary, which can be used to describe the strength of the option underlying market and whether the underlying market has a turning point [4] 3.3 Option Factors - Pressure and Support Levels - The pressure and support levels of different agricultural product options can be seen from the strike prices with the largest open interest of call and put options [5] 3.4 Option Factors - Implied Volatility - The implied volatility of different agricultural product options also shows different trends, which can be used to evaluate the market's expectation of future price fluctuations [6] 3.5 Strategy and Suggestions - For different agricultural product options, including oilseeds, oils, agricultural by - products, soft commodities, and grains, the report provides corresponding strategies and suggestions, including directional strategies, volatility strategies, and spot hedging strategies. For example, for soybean options, it is recommended to construct a neutral call + put option combination strategy to obtain option time value [7][9][10][11][12][13] 3.6 Charts - The report provides price trend charts, volume and open interest charts, implied volatility charts, and other charts for different agricultural product options, which can help investors visually understand the market situation [16][36][55][74][93][111][130][147][168][184]

专题报告——商品期权 黄金屡破历史新高，期权如何表达观点？ 报告日期： 2025 年 10 月 21 日 ★ 黄金屡破历史新高，期权如何表达观点？ 自 2024 年以来，黄金市场开启了一轮强劲的上涨周期，价格 屡次突破历史高点。伦敦金现货价格突破每盎司 4000 美元关 口，年内累计涨幅达 58%；沪金期货亦同步走强，年内涨幅 超过 50%。已建立黄金头寸的投资者需在继续持有与获利了 结之间进行权衡；而未建仓的投资者则面临是否仍应入场的 决策困境。保护策略：保护策略总体成本较低，使投资者能 够在控制风险的前提下，继续参与黄金市场的潜在上涨行 情。此外也可通过构建熊市价差策略对现货头寸进行保护， 但由于当前黄金期权尚未推出期权组合保证金制度，价差策 略仍需缴纳较高的保证金。单边策略：对于尚未建立头寸但 看好黄金长期走势的投资者，高位入场意愿与回调担忧并 存。可通过卖出虚值看跌期权、买入看涨期权或构建牛市价 差等策略参与市场，在限定最大风险的前提下逐步建立多头 暴露，实现逢低布局与风险控制的平衡。 ★ 黄金期权策略的关键因子 行权价选择：不同行权价盈亏平衡点、到期潜在收益以及权 利金不同。期初选择接近或略高于预期 ...

Core Viewpoint - The Federal Reserve's recent interest rate cut and persistent inflation are creating challenges for income-focused investors, leading to increased interest in alternative investment strategies such as gold and specialized ETFs like the ProShares Nasdaq-100 High Income ETF [1][2][4]. Interest Rate and Inflation - The Federal Reserve cut its benchmark interest rate by 25 basis points in September, which is expected to impact income-focused investors negatively [1]. - Inflation remains a significant concern, contributing to the rise in gold prices, with predictions from experts suggesting that gold could reach prices as high as $20,000 [2][3]. Investment Strategies - Income-seeking investors may need to accept higher risks, such as investing in commercial bonds or dividend stocks from unstable enterprises, due to declining risk-free yields from U.S. Treasuries [4]. - Advanced traders might consider writing covered calls, which involves underwriting the risk that the target security will not rise significantly [5][6]. ProShares Nasdaq-100 High Income ETF - The ProShares Nasdaq-100 High Income ETF (IQQQ) targets high income potential while aiming for long-term total returns similar to the tech-heavy Nasdaq-100 index [7]. - The IQQQ ETF employs a daily covered-call strategy through total return swap agreements with institutional counterparties, which helps deliver returns [8]. - The fund balances high yields with attractive long-term total return potential, acknowledging the tradeoff between income generation and capital gains [9][10]. - Monthly distributions from the IQQQ ETF align with typical financial obligations, making it a convenient option for income-focused investors [11]. Performance Metrics - Since the beginning of the year, the IQQQ ETF has gained almost 4%, with a notable 29% increase over the trailing six months [13]. - The ETF's technical profile is strong, with price action above both the 50- and 200-day moving averages, indicating positive market sentiment [13].