周度报告——商品期权 商品期权周报：2026 年第 8 周 期权市场情绪：当前沥青、白银、合成橡胶、玻璃成交量 PCR 位于历史高位，市场短期集中博弈下跌预期；烧碱、LPG 成 交量 PCR 处于近一年低位，市场集中博弈上涨预期；沥青、 合成橡胶、纸浆、PVC 持仓量 PCR 位于历史高位，市场对 下跌的博弈情绪已积累至较高水平；而棕榈油、菜油、白银、 黄金、多晶硅、铁矿石等持仓量 PCR 位于近一年低位，市场 对看涨的博弈情绪积累。 ★ 风险提示 模型风险、政策风险、末日轮极端行情 报告日期： 2026 年 2 月 23 日 ★ 商品期权市场活跃度 节前最后一周（2026.02.09-2026.02.13）商品期权市场成交活 跃度继续下滑，日均成交量为 663 万手，日均持仓量为 821 万手，环比变化分别为-22.34%和-11.72%。分品种来看，日均 成交活跃的品种主要包括白银（83 万手）、PTA（60 万手）、 玻璃（34 万手）。此外，成交量增长较为显著的品种为豆一 （+214%）、镍（+100%）。与此同时，成交量下降较为明 显的品种则有多晶硅（-94%）、燃油（-89%）、工业硅（-88%） ...

Group 1 - The core viewpoint of the articles indicates a mixed performance in the stock indices, with significant changes in options trading volumes and open interest, suggesting a shift in market sentiment and risk management strategies [1][2] Group 2 - The Shanghai and Shenzhen 300, CSI 1000, and SSE 50 indices showed varied performance, with a notable decline in stock index options trading volume and value, while open interest increased [1] - Implied volatility for stock index options has decreased significantly, with IO at 16.24%, MO at 23.05%, and HO at 15.28%, indicating a potential for future declines in implied volatility premiums [1] - Market risk aversion has risen, as evidenced by the PCR ratios for various options, with IO at 0.67 for open interest, MO at 0.94, and HO at 0.62, reflecting changing trading behaviors [1] - The concentration of open interest in specific strike prices remains stable, with CSI 1000 options focused on 8600 call and 8400 put, SSE 50 options on 3200 call and 3000 put, and Shanghai 300 options on 4800 call and 4700 put [2] - The significant drop in trading volume and implied volatility suggests that traders may consider buying put options to hedge against potential risks in their positions [2]

Group 1: Report Industry Investment Rating - No relevant content provided Group 2: Core Viewpoints of the Report - The trading volume of commodity options reached 5 million and 90 thousand contracts. The trading volume of silver options was 1 million and 240 thousand contracts, and those of PTA options and lithium carbonate options were 560 thousand and 260 thousand contracts respectively. In terms of open interest, the open interest of silver options exceeded 520 thousand contracts, and that of soda ash options exceeded 400 thousand contracts. In terms of the trading volume PCR, some varieties deviated significantly, such as apple options with a PCR of 2.12 and peanut options with a PCR of only 0.25 [3]. - The IV of PTA options rose by 2.26%. Among agricultural products, the IV of cotton options rose by 0.38%, and that of apple options fell by 2.05%. Among energy and chemical varieties, the IV of PTA options rose by 2.26%, and that of synthetic rubber options fell by 1.44%. Among metal varieties, the IV of each variety fluctuated, with the IV of Shanghai silver options falling by 3.57% [3]. Group 3: Summary According to the Table of Contents 1. Market Quick View 1.1 Trading Volume and Open Interest - The report presents the trading volume, open - interest, and other data of various commodity options, including details such as the trading volume of认购 and认沽, open interest of认购 and认沽, trading volume PCR, and open - interest PCR for each variety [6]. 1.2 Volatility - The report shows the IV change, historical volatility (30 - day, 60 - day, 90 - day), and the difference between implied and historical volatility (隐历差) of various commodity options. For example, the IV of PTA options rose by 2.26%, and its historical volatility for 30 days was 14.49% [12]. 2. Variety Research - For each option variety (such as soybean meal options, rapeseed meal options, PTA options, etc.), the report provides charts of volatility smile curves, volatility term structures, the IV trend in the past month, and the trend of the difference between implied and historical volatility in the past month [16][20][24].

Group 1: Report Overview - Report Title: Metal Options Strategy Morning Report [1] - Date: December 18, 2025 - Report Summary: The report provides an analysis of the metal options market, including the performance of various metal futures, option factors, and trading strategies [2] Group 2: Industry Investment Rating - No industry investment rating is provided in the report Group 3: Core Viewpoints - The有色金属 sector is expected to move upward, and a neutral volatility strategy for sellers is recommended [2] - The黑色系 sector is expected to maintain high volatility, and a short volatility strategy is recommended [2] - The贵金属 sector is expected to rebound, and a bull spread strategy is recommended [2] Group 4: Futures Market Overview - Copper (CU2601): The latest price is 92,680, up 380 (0.41%) from the previous day. The trading volume is 6.63 million lots, down 3.58 million lots, and the open interest is 13.65 million lots, down 0.93 million lots [3] - Aluminum (AL2601): The latest price is 21,985, up 145 (0.66%) from the previous day. The trading volume is 4.34 million lots, down 2.73 million lots, and the open interest is 12.40 million lots, down 0.85 million lots [3] - Zinc (ZN2601): The latest price is 23,045, up 135 (0.59%) from the previous day. The trading volume is 12.06 million lots, down 1.80 million lots, and the open interest is 5.92 million lots, down 1.40 million lots [3] - Lead (PB2601): The latest price is 16,825, up 55 (0.33%) from the previous day. The trading volume is 4.02 million lots, down 0.05 million lots, and the open interest is 2.69 million lots, down 0.28 million lots [3] - Nickel (NI2601): The latest price is 113,300, up 570 (0.51%) from the previous day. The trading volume is 13.96 million lots, down 1.77 million lots, and the open interest is 9.41 million lots, down 1.15 million lots [3] - Tin (SN2601): The latest price is 334,240, up 9,230 (2.84%) from the previous day. The trading volume is 16.68 million lots, down 5.58 million lots, and the open interest is 3.21 million lots, down 0.02 million lots [3] - Alumina (AO2601): The latest price is 2,573, up 23 (0.90%) from the previous day. The trading volume is 19.30 million lots, down 9.09 million lots, and the open interest is 18.04 million lots, down 1.05 million lots [3] - Gold (AU2602): The latest price is 982.48, up 5.18 (0.53%) from the previous day. The trading volume is 27.59 million lots, down 1.80 million lots, and the open interest is 19.71 million lots, up 0.09 million lots [3] - Silver (AG2602): The latest price is 15,594, up 589 (3.93%) from the previous day. The trading volume is 162.71 million lots, up 5.57 million lots, and the open interest is 38.90 million lots, up 2.49 million lots [3] - Lithium Carbonate (LC2602): The latest price is 106,900, up 7,560 (7.61%) from the previous day. The trading volume is 3.36 million lots, up 2.37 million lots, and the open interest is 3.36 million lots, down 0.06 million lots [3] - Industrial Silicon (SI2602): The latest price is 8,480, up 50 (0.59%) from the previous day. The trading volume is 4.29 million lots, up 1.59 million lots, and the open interest is 9.10 million lots, down 0.06 million lots [3] - Polysilicon (PS2602): The latest price is 62,175, up 2,490 (4.17%) from the previous day. The trading volume is 4.47 million lots, up 1.45 million lots, and the open interest is 3.58 million lots, down 0.19 million lots [3] - Rebar (RB2601): The latest price is 3,130, up 35 (1.13%) from the previous day. The trading volume is 6.27 million lots, down 1.26 million lots, and the open interest is 22.66 million lots, down 1.52 million lots [3] - Iron Ore (I2602): The latest price is 793.00, up 12.00 (1.54%) from the previous day. The trading volume is 0.55 million lots, down 0.03 million lots, and the open interest is 7.18 million lots, down 0.02 million lots [3] - Manganese Silicon (SM2602): The latest price is 5,744, up 2 (0.03%) from the previous day. The trading volume is 1.65 million lots, up 0.06 million lots, and the open interest is 2.96 million lots, down 0.09 million lots [3] - Silicon Iron (SF2602): The latest price is 5,428, up 50 (0.93%) from the previous day. The trading volume is 5.39 million lots, up 0.50 million lots, and the open interest is 3.79 million lots, up 0.22 million lots [3] - Glass (FG2602): The latest price is 1,013, up 17 (1.71%) from the previous day. The trading volume is 2.90 million lots, up 0.59 million lots, and the open interest is 4.11 million lots, up 0.05 million lots [3] Group 5: Option Factors Volume and Open Interest PCR - The PCR indicators are used to describe the strength of the option underlying market and the turning point of the underlying market [4] Pressure and Support Levels - The pressure and support levels are determined by the strike prices with the largest open interest of call and put options [5] Implied Volatility - The implied volatility reflects the market's expectation of the future volatility of the underlying asset [6] Group 6: Strategy Recommendations Copper Options - Directional Strategy: Construct a bull spread strategy using call options to obtain directional returns [7] - Volatility Strategy: Construct a short volatility strategy using put and call options to obtain time value returns [7] - Spot Hedging Strategy: Construct a spot collar strategy by holding a long position in the spot market, buying put options, and selling out-of-the-money call options [7] Aluminum Options - Directional Strategy: None [9] - Volatility Strategy: Construct a short volatility strategy using put and call options to obtain time value and directional returns [9] - Spot Hedging Strategy: Construct a spot collar strategy by holding a long position in the spot market, buying put options, and selling out-of-the-money call options [9] Zinc Options - Directional Strategy: None [9] - Volatility Strategy: Construct a short volatility strategy using put and call options to obtain time value [9] - Spot Hedging Strategy: Construct a spot collar strategy by holding a long position in the spot market, buying put options, and selling out-of-the-money call options [9] Nickel Options - Directional Strategy: None [10] - Volatility Strategy: Construct a short volatility strategy using put and call options to obtain time value [10] - Spot Hedging Strategy: Construct a covered call strategy by holding a long position in the spot market and selling call options [10] Tin Options - Directional Strategy: Construct a bull spread strategy using call options to obtain directional returns [10] - Volatility Strategy: Construct a short volatility strategy using put and call options to obtain time value returns [10] - Spot Hedging Strategy: Construct a spot collar strategy by holding a long position in the spot market, buying put options, and selling out-of-the-money call options [10] Lithium Carbonate Options - Directional Strategy: Construct a bull spread strategy using call options to obtain directional returns [11] - Volatility Strategy: Construct a short volatility strategy using put and call options to obtain time value and directional returns [11] - Spot Hedging Strategy: Construct a spot collar strategy by holding a long position in the spot market, buying put options, and selling out-of-the-money call options [11] Silver Options - Directional Strategy: Construct a bull spread strategy using call options to obtain directional returns [12] - Volatility Strategy: Construct a short volatility strategy using put and call options to obtain time value [12] - Spot Hedging Strategy: Construct a spot collar strategy by holding a long position in the spot market, buying put options, and selling out-of-the-money call options [12] Rebar Options - Directional Strategy: None [13] - Volatility Strategy: Construct a short volatility strategy using put and call options to obtain time value [13] - Spot Hedging Strategy: Construct a covered call strategy by holding a long position in the spot market and selling call options [13] Iron Ore Options - Directional Strategy: None [13] - Volatility Strategy: Construct a short volatility strategy using put and call options to obtain time value and directional returns [13] - Spot Hedging Strategy: Construct a long collar strategy by holding a long position in the spot market, buying put options, and selling out-of-the-money call options [13] Manganese Silicon Options - Directional Strategy: None [14] - Volatility Strategy: Construct a short volatility strategy using put and call options to obtain time value returns [14] - Spot Hedging Strategy: None [14] Industrial Silicon Options - Directional Strategy: Construct a bear spread strategy using put options to obtain directional returns [14] - Volatility Strategy: Construct a short volatility strategy using put and call options to obtain time value and directional returns [14] - Spot Hedging Strategy: Construct a spot collar strategy by holding a long position in the spot market, buying put options, and selling out-of-the-money call options [14] Glass Options - Directional Strategy: Construct a bear spread strategy using put options to obtain directional returns [15] - Volatility Strategy: Construct a short volatility strategy using put and call options to obtain time value [15] - Spot Hedging Strategy: Construct a long collar strategy by holding a long position in the spot market, buying put options, and selling out-of-the-money call options [15]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The agricultural product options market shows different trends: oilseeds and oils are weakly volatile, fats and oils, and agricultural by - products maintain a volatile market, soft commodity sugar fluctuates slightly, cotton consolidates strongly, and grains such as corn and starch are narrowly bullish [2]. - It is recommended to construct option combination strategies mainly based on sellers, as well as spot hedging or covered strategies to enhance returns [2]. 3. Summaries Based on Relevant Catalogs 3.1 Futures Market Overview - Different agricultural product futures have different price changes, trading volumes, and open - interest changes. For example, the latest price of soybean No.1 (A2603) is 4,144, down 9 with a decline of 0.22%, trading volume is 1.09 million lots (down 1.18 million lots), and open - interest is 5.59 million lots (down 0.03 million lots) [3]. 3.2 Option Factors - Volume and Open - Interest PCR - The volume and open - interest PCR of different agricultural product options vary. For instance, the volume PCR of soybean No.1 option is 0.69 (down 0.02), and the open - interest PCR is 1.09 (up 0.07) [4]. 3.3 Option Factors - Pressure and Support Levels - Different agricultural product options have different pressure and support levels. For example, the pressure point of soybean No.1 option is 4,250 and the support point is 4,100 [5]. 3.4 Option Factors - Implied Volatility - The implied volatility of different agricultural product options is different. For example, the at - the - money implied volatility of soybean No.1 option is 11.69%, and the weighted implied volatility is 13.51% (up 1.04%) [6]. 3.5 Strategies and Recommendations 3.5.1 Oilseeds and Oils Options - **Soybean No.1**: - **Fundamentals**: China purchased 462,000 tons of US soybeans on December 5, 2025, and the import cost of Brazilian soybeans increased slightly week - on - week, with a neutral - to - bullish impact [7]. - **Market Analysis**: Since August, it has shown a weak upward trend with pressure above [7]. - **Option Factors**: The implied volatility of soybean No.1 option fluctuates around the historical average, the open - interest PCR is around 0.90, indicating a volatile market, and the pressure and support levels are 4,250 and 4,050 respectively [7]. - **Option Strategies**: Construct a short neutral call + put option combination strategy, a long collar strategy for spot hedging [7]. 3.5.2 Meal Options - **Soybean Meal**: - **Fundamentals**: The average daily trading volume of soybean meal in major domestic oil mills increased week - on - week, and the delivery volume decreased slightly [9]. - **Market Analysis**: It has shown a bottom - rebound trend since August [9]. - **Option Factors**: The implied volatility of soybean meal option fluctuates below the historical average, the open - interest PCR is below 0.80, indicating a weak market, and the pressure and support levels are both 3,100 [9]. - **Option Strategies**: Construct a short neutral call + put option combination strategy, a long collar strategy for spot hedging [9]. 3.5.3 Agricultural By - products Options - **Live Pigs**: - **Fundamentals**: The supply is relatively loose, and the demand has increased after the temperature drop [10]. - **Market Analysis**: It has shown a weak downward trend since August [10]. - **Option Factors**: The implied volatility of live pig option fluctuates around the historical average, the open - interest PCR is below 0.50, indicating a weak market, and the pressure and support levels are 13,000 and 11,000 respectively [10]. - **Option Strategies**: Construct a short bearish call + put option combination strategy, a covered call strategy for spot [10]. 3.5.4 Soft Commodity Options - **Sugar**: - **Fundamentals**: The sugar production ratio in Brazil has decreased, and the domestic sugar production has increased, but the import of syrups and premixes has been tightened [12]. - **Market Analysis**: It has shown a weak downward trend since August [12]. - **Option Factors**: The implied volatility of sugar option fluctuates at a relatively low historical level, the open - interest PCR is below 0.60, indicating a weak market, and the pressure and support levels are 5,500 and 5,400 respectively [12]. - **Option Strategies**: Construct a short bearish call + put option combination strategy, a long collar strategy for spot hedging [12]. 3.5.5 Grain Options - **Corn**: - **Fundamentals**: The national average price of corn has increased, and the prices in North China have fluctuated [13]. - **Market Analysis**: It has shown a bottom - rebound trend since August [13]. - **Option Factors**: The implied volatility of corn option fluctuates at a relatively low historical level, the open - interest PCR is above 0.60, indicating a strengthening market, and the pressure and support levels are 2,180 and 2,000 respectively [13]. - **Option Strategies**: Construct a short neutral call + put option combination strategy [13].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The stock market shows a high - level volatile upward trend, including the Shanghai Composite Index, large - cap blue - chip stocks, small - and medium - cap stocks, and ChiNext stocks [3]. - The implied volatility of financial options has decreased but remains at a relatively high level of fluctuation [3]. - For ETF options, it is suitable to construct a partial long seller strategy and a bull spread strategy for call options; for index options, it is appropriate to construct a partial long seller strategy, a bull spread strategy for call options, and an arbitrage strategy of synthetic long futures with options and short futures [3]. 3. Summary According to Relevant Catalogs 3.1 Financial Market Important Index Overview | Index Name | Index Code | Closing Price | Change | Change Percentage | Trading Volume (billion yuan) | Volume Change (billion yuan) | PE | | --- | --- | --- | --- | --- | --- | --- | --- | | Shanghai Composite Index | 000001.SH | 3,875.79 | - 2.21 | - 0.06% | 6,237 | - 235 | 16.22 | | Shenzhen Component Index | 399001.SZ | 13,006.72 | 51.46 | 0.40% | 9,252 | - 975 | 29.88 | | SSE 50 Index | 000016.SH | 2,974.34 | 11.26 | 0.38% | 886 | 31 | 11.82 | | CSI 300 Index | 000300.SH | 4,546.57 | 15.52 | 0.34% | 3,488 | - 257 | 13.96 | | CSI 500 Index | 000905.SH | 7,012.81 | 16.45 | 0.24% | 2,399 | - 114 | 31.94 | | CSI 1000 Index | 000852.SH | 7,248.66 | 0.38 | 0.01% | 3,113 | - 237 | 45.91 | [4] 3.2 Option - underlying ETF Market Overview - Multiple ETFs are involved, including SSE 50ETF, SSE 300ETF, etc. Their closing prices, price changes, trading volumes, and trading volume changes are presented. For example, the SSE 50ETF closed at 3.116 yuan, with a price increase of 0.008 yuan and a change percentage of 0.26%, and its trading volume was 430.64 million shares [5]. 3.3 Option Factor - Volume and Position PCR - The volume, volume change, position, position change, volume PCR, and position PCR of various options are provided. For instance, the SSE 50ETF option has a volume of 51.16 million contracts (a decrease of 3.99 million contracts), a position of 127.17 million contracts (an increase of 2.06 million contracts), a volume PCR of 0.93 (a decrease of 0.32), and a position PCR of 0.98 (an increase of 0.01) [6]. 3.4 Option Factor - Pressure and Support Points - The pressure and support points of different options are analyzed from the perspective of the strike prices with the largest open interest of call and put options. For example, the pressure point of the SSE 50ETF is 3.20, and the support point is 3.10 [8]. 3.5 Option Factor - Implied Volatility - The implied volatility data of various options are given, including at - the - money implied volatility, weighted implied volatility, and its change, annual average, call option implied volatility, put option implied volatility, 20 - day historical volatility, and the difference between implied and historical volatility. For example, the SSE 50ETF option has an at - the - money implied volatility of 11.66%, a weighted implied volatility of 11.90% (a decrease of 0.12%), an annual average of 16.00%, etc. [11] 3.6 Strategy and Suggestions 3.6.1 Financial Stock Sector (SSE 50ETF) - Market trend: After accelerating the rise in August, it fluctuated at a high level. In September, it rebounded after a high - level decline. In October, it recovered after a high - level decline. In November, it gradually declined and then consolidated in a narrow range, showing a volatile decline trend with pressure above [14]. - Option factor analysis: The implied volatility fluctuates around the mean; the position PCR is around 1.00, indicating a volatile trend; the pressure point is 3.30, and the support point is 3.10 [14]. - Strategy suggestions: No directional strategy; construct a neutral - biased seller combination strategy for volatility; implement a spot long covered call strategy [14]. 3.6.2 Large - cap Blue - chip Stock Sector (SSE 300ETF) - Market trend: It accelerated the rise and broke through in August, then fell back and rebounded rapidly in September. Since October, it has fluctuated at a high level and then reached a new high and declined. In November, it declined rapidly after a high - level shock and then rebounded, showing an oversold rebound and recovery trend with pressure above [14]. - Option factor analysis: The implied volatility fluctuates above the mean; the position PCR is above 1.00, indicating a weak market; the pressure point is 4.70, and the support point is 4.60 [14]. - Strategy suggestions: No directional strategy; construct a short - volatility strategy of selling call and put options; implement a spot long covered call strategy [14]. 3.6.3 Medium - and Large - cap Stock Sector (SZSE 100ETF) - Market trend: It showed a long - biased upward trend with high - level volatility in September, reached a new high and then declined rapidly in October, and declined rapidly after a high - level shock in November and then rebounded, showing a long - biased high - level volatile and oversold rebound trend [15]. - Option factor analysis: The implied volatility fluctuates at a relatively high level; the position PCR is above 1.00, indicating a long - biased volatile decline trend; the pressure point is 3.70, and the support point is 3.50 [15]. - Strategy suggestions: No directional strategy; construct a short - volatility strategy of selling call and put options; implement a spot long covered call strategy [15]. 3.6.4 Small - and Medium - cap Stock Sector (SSE 500ETF) - Market trend: It continued to rise in August and then declined at a high level. In September, it fell back and then rebounded rapidly. In October, it fluctuated at a high level. In November, it consolidated at a high level and then declined rapidly and then consolidated in a small range, showing a high - level volatile decline and then range - bound trend [15]. - Option factor analysis: The implied volatility fluctuates above the historical mean; the position PCR is above 1.00, indicating a volatile trend; the pressure point is 7.25, and the support point is 6.75 [15]. - Strategy suggestions: No directional strategy; construct a short - volatility strategy of selling call and put options; implement a spot long covered call strategy [15]. 3.6.5 Small - and Medium - cap Stock Sector (CSI 1000) - Market trend: It has fluctuated significantly at a high level since September, fell back after reaching a high in October and then rebounded, and consolidated in a small range and weakened in November and then rebounded, showing an oversold rebound trend after a high - level decline with pressure above [16]. - Option factor analysis: The implied volatility of the CSI 1000 index option has risen to a level above the mean; the position PCR is above 1.00, indicating a volatile and weak market; the pressure point is 7400, and the support point is 7000 [16]. - Strategy suggestions: No directional strategy; implement a short - volatility strategy, construct a combination of selling call and put options, and adjust the position dynamically to keep the delta of the position short [16]. 3.6.6 ChiNext Sector (ChiNext ETF) - Market trend: It reached a high and then fell back sharply and then rebounded to a recent high in October, and then declined. In November, it fluctuated significantly at a high level, declined, and then gradually recovered, showing a long - trend high - level volatile, new - high - reaching, and then rapid - decline and gradual - rebound trend [16]. - Option factor analysis: The implied volatility remains at a high level; the position PCR is above 1.00, indicating a strengthening trend; the pressure point is 3.10, and the support point is 2.90 [16]. - Strategy suggestions: No directional strategy; construct a short - volatility strategy to obtain time - value income; implement a spot long covered call strategy [16].

Group 1: Report Industry Investment Rating - Not provided in the text Group 2: Core View of the Report - The supply of new cotton is increasing significantly this year, but the expected increase may be less than previously thought. The demand side is in a relatively off - season after the peak season, and orders have been average recently. However, previous negative factors have been mostly reflected in the market. It is expected that Zhengzhou cotton will likely fluctuate within a limited range [6]. - The overall atmosphere in the cotton yarn industry is weakening, with the price of pure - cotton yarn remaining stable, and some large manufacturers offering price promotions. The overall startup rate has not changed much, but inventory has increased. If there is no significant improvement in new orders, the yarn price may decline further. Attention should be paid to the trend of Zhengzhou cotton and downstream terminal demand [10]. Group 3: Summary of Each Section 1. Market Information - **Futures Market**: For CF01, CF05, and CF09 contracts of cotton, the closing prices were 13765, 13725, and 13860 respectively, with price increases of 40, 40, and 70. The trading volumes were 200,316, 118,427, and 4,067 hands respectively, showing decreases of 66,349, 3,732, and 1,026 hands. The open - interest positions were 546,943, 370,519, and 13,609, with increases of 1,675, 22,949, and 1,112 respectively. For CY01, CY05, and CY09 contracts of cotton yarn, the closing prices were 20045, 20040, and 20095 respectively, with price changes of - 45, 60, and - 30. The trading volumes were 4,978, 60, and 2 hands respectively, showing decreases of 8,693, increases of 55, and decreases of 8. The open - interest positions were 6543, 46, and 7, with changes of - 1364, 6, and 0 respectively [2]. - **Spot Market**: The price of CCIndex3128B was 14936 yuan/ton, up 45; Cot A was 74.95 cents/pound; the arrival price of (FC Index):M was 73.91; the price of polyester staple fiber was 7450 yuan/ton, up 70; the price of viscose staple fiber was 12800 yuan/ton, down 50. For cotton yarn, CY IndexC32S was 20770 yuan/ton, up 30; FCY IndexC33S was 20988 yuan/ton, down 11; the price of Indian S - 6 was 55800; the price of pure polyester yarn T32S was 11050 yuan/ton, up 100; the price of viscose yarn R30S was 17300 yuan/ton, up 50 [2]. - **Spread**: In cotton inter - period spreads, the 1 - 5 spread was 40 (unchanged), the 5 - 9 spread was - 135 (down 30), and the 9 - 1 spread was 95 (up 30). In cotton yarn inter - period spreads, the 1 - 5 spread was 5 (down 105), the 5 - 9 spread was - 55 (up 90), and the 9 - 1 spread was 50 (up 15). In cross - variety spreads, CY01 - CF01 was 6280 (down 85), CY05 - CF05 was 6315 (up 20), and CY09 - CF09 was 6235 (down 100). The 1% tariff internal - external cotton spread was 1899 (up 14), the sliding - duty internal - external cotton spread was 933 (up 12), and the internal - external yarn spread was - 218 (up 41) [2]. 2. Market News and Views - **Cotton Market News**: As of the week of November 28, 2025, the cumulative inspection volume of U.S. upland cotton + Pima cotton was 1.7585 million tons, accounting for 57.3% of the estimated annual U.S. cotton production, 12% slower than the same period last year. The inspection volume of U.S. upland cotton was 1.7234 million tons, with an inspection progress of 57.63%, a 12% year - on - year decrease; the inspection volume of Pima cotton was 35,100 tons, with an inspection progress of 42.4%, a 34% year - on - year decrease. The weekly deliverable ratio was 85.7%, the quarterly deliverable ratio was 82%, 0.5 percentage points lower than the same period last year, and the quarterly deliverable ratio increased month - on - month. The U.S. cotton harvest is in the late stage, and the listing inspection peak season has seen a narrowing of the year - on - year lag in the listing progress, with the overall inspection of Pima cotton being much slower. The quarterly deliverable ratio continues to rise. In the week of October 16, the weekly signing volume of 2025/26 U.S. upland cotton was 39,800 tons, a 11% weekly increase and a 5% increase compared to the average of the previous four weeks; the weekly signing volume of 2026/27 U.S. upland cotton was 6,100 tons; the weekly shipment volume of 2025/26 U.S. upland cotton was 36,200 tons, a 15% weekly increase and a 1% increase compared to the average of the previous four weeks [4]. - **Trading Logic**: In November, with the large - scale listing of new cotton, there may be some selling - hedging pressure in the market. Although this year's cotton production is a bumper harvest, the expected increase may be less than previously thought. On the demand side, after the peak season, the market enters a relative off - season. Overall, the large - scale listing of new cotton on the supply side and a significant increase in production this year but a possible smaller - than - expected increase; on the demand side, recent orders have been average, but previous negative factors have been mostly reflected in the market. It is expected that Zhengzhou cotton will likely fluctuate within a limited range [6]. - **Trading Strategy**: For single - sided trading, it is expected that the future trend of U.S. cotton will likely be range - bound, and Zhengzhou cotton is expected to fluctuate. For arbitrage and options, the recommendation is to wait and see [8][9][10]. - **Cotton Yarn Industry News**: Zhengzhou cotton continues to fluctuate strongly. Although there is some resilience in recent demand, the overall atmosphere is weakening. The price of pure - cotton yarn remains stable, and some large manufacturers have carried out price promotions. The overall startup rate has not changed much, but inventory has increased. The rise in Zhengzhou cotton has gradually weakened the cash flow of spinning enterprises, and combined with year - end bank repayment, supplier settlement, and worker wage payment, enterprises are under great pressure. If there is no significant improvement in new orders, the yarn price may decline further. Attention should be paid to the trend of Zhengzhou cotton and downstream terminal demand. The rigid demand for all - cotton clothing grey fabric is weak, and both the volume and price are expected to decline further. The grey fabric market has low popularity and insufficient confidence, mainly due to the decline in demand leading to insufficient factory orders. The price center has shifted downwards, and actual orders can be negotiated. The situation of dyeing factories varies, with better - performing ones having orders that can last about half a month, and those with less business being able to deliver goods in 7 days [10]. 3. Options - **Option Data**: On November 24, 2025, for the CF601C13400.CZC option contract, the underlying contract price was 13585.00, the closing price was 183.00, with a price increase of 71.0%, an implied volatility (IV) of 6.7%, a Delta of 0.7924, a Gamma of 0.0012, a Vega of 8.9763, a Theta of - 2.5396, a theoretical leverage of 74.2350, and an actual leverage of 58.8238. For the CF601P13000.CZC option contract, the underlying contract price was 13585.00, the closing price was 7.00, with a price decrease of 75.9%, an IV of 11.4%, a Delta of - 0.0470, a Gamma of 0.0000, a Vega of 3.0820, a Theta of - 1.2967, a theoretical leverage of 1,940.7143, and an actual leverage of 91.2136. For the CF601P12400.CZC option contract, the underlying contract price was 13585.00, the closing price was 2.00, with a price decrease of 83.3%, an IV of 17.3%, a Delta of - 0.0106, a Gamma of 0.0001, a Vega of 0.8840, a Theta of - 0.5394, a theoretical leverage of 6,792.5000, and an actual leverage of 72.0005. The 10 - day historical volatility (HV) of cotton was 6.4492, slightly higher than the previous day. The implied volatilities of CF601 - C - 13400, CF601 - P - 13000, and CF601 - P - 12400 were 6.7%, 11.4%, and 17.8% respectively [12]. - **Option Strategy**: The PCR of the main contract of Zhengzhou cotton was 0.7339, and the volume PCR of the main contract was 0.6421. The trading volumes of both call and put options decreased today. The recommendation for options is to wait and see [13][14]. 4. Related Attachments - The text provides multiple figures, including the internal - external cotton price spread under 1% tariff, the basis of cotton in January, May, and September, the spread between CY05 - CF05 and CY01 - CF01, and the spreads of CF9 - 1 and CF5 - 9 [16][19][23][24].

（1）股市短评：上证综指数、大盘蓝筹股、中小盘股和创业板股表现为高位震荡上行的市场行情。 （2）金融期权波动性分析：金融期权隐含波动率下降，但维持较高水平波动。 （3）金融期权策略与建议：对于ETF期权来说，适合构建偏多头的买方策略，认购期权牛市价差组合策略；对于股 指期权来说，适合构建偏多头的卖方策略、认购期权牛市价差组合策略和期权合成期货多头与期货空头做套利策略 。 金融期权 2025-11-18 金融期权策略早报 | 卢品先 | 投研经理 | 从业资格号：F3047321 | 交易咨询号：Z0015541 | 邮箱：lupx@wkqh.cn | | --- | --- | --- | --- | --- | | 黄柯涵 | 期权研究员 | 从业资格号：F03138607 | 电话：0755-23375252 | 邮箱：huangkh@wkqh.cn | 金融期权策略早报概要： 表1：金融市场重要指数概况 | 重要指数 | 指数代码 | 收盘价 | 涨跌 | 涨跌幅 | 成交额 | 额变化 | PE | | --- | --- | --- | --- | --- | --- | --- | --- | | ...

1. Report Industry Investment Rating - No relevant information provided 2. Core Viewpoints of the Report - Today, all stock indices fluctuated and consolidated. The total trading volume of the Shanghai, Shenzhen, and Beijing stock markets throughout the day was 1964.8 billion yuan, a decrease of 49.1 billion yuan compared to the previous day. In the short term, the fermentation rhythm of policy - favorable expectations and the profit - taking rhythm of funds are in a game, and the stock indices are in a volatile and repeated market. In the medium and long term, the policy - favorable expectations and the trend of capital inflow into the stock market together form strong support for the stock indices. Especially next year is the beginning of the "15th Five - Year Plan", and the policy - favorable expectations support the stock indices to rise in the medium and long term. However, the incremental policy signals have weakened in the short term. As the stock valuation has risen significantly, the willingness of profit - making funds to take profits has increased, and the stock indices technically need to consolidate. Overall, with multiple factors at play, the stock indices will mainly fluctuate within a range in the short term. Currently, the implied volatility of options is at a relatively low historical quantile level. Considering the medium - and long - term upward trend of the stock indices, the idea of maintaining a bull spread is recommended [3]. 3. Summary According to Relevant Catalogs 3.1 Option Indicators - On November 12, 2025, the 50ETF rose 0.53% to close at 3.197; the 300ETF (Shanghai Stock Exchange) rose 0.04% to close at 4.765; the 300ETF (Shenzhen Stock Exchange) fell 0.06% to close at 4.912; the CSI 300 Index fell 0.13% to close at 4645.91; the CSI 1000 Index fell 0.72% to close at 7486.38; the 500ETF (Shanghai Stock Exchange) fell 0.51% to close at 7.356; the 500ETF (Shenzhen Stock Exchange) fell 0.54% to close at 2.937; the GEM ETF fell 0.16% to close at 3.108; the Shenzhen 100ETF rose 0.09% to close at 3.528; the SSE 50 Index rose 0.32% to close at 3044.30; the Science and Technology Innovation 50ETF fell 0.55% to close at 1.45; the E Fund Science and Technology Innovation 50ETF fell 0.50% to close at 1.41 [5]. - The trading volume PCR and position PCR of various options on November 12, 2025, and their changes compared to the previous trading day are provided in detail, including those of 50ETF options, 300ETF options (Shanghai and Shenzhen Stock Exchanges), CSI 300 Index options, CSI 1000 Index options, 500ETF options (Shanghai and Shenzhen Stock Exchanges), GEM ETF options, Shenzhen 100ETF options, SSE 50 Index options, Science and Technology Innovation 50ETF options, and E Fund Science and Technology Innovation 50ETF options [6]. - The implied volatility of at - the - money options in November 2025 and the 30 - trading - day historical volatility of the underlying assets for various options are also provided, such as 50ETF options, 300ETF options (Shanghai and Shenzhen Stock Exchanges), CSI 300 Index options, CSI 1000 Index options, 500ETF options (Shanghai and Shenzhen Stock Exchanges), GEM ETF options, Shenzhen 100ETF options, SSE 50 Index options, Science and Technology Innovation 50ETF options, and E Fund Science and Technology Innovation 50ETF options [7][8]. 3.2 Relevant Charts - **SSE 50ETF Options**: Include charts of the SSE 50ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [9]. - **Shanghai Stock Exchange 300ETF Options**: Include charts of the Shanghai Stock Exchange 300ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [18]. - **Shenzhen Stock Exchange 300ETF Options**: Include charts of the Shenzhen Stock Exchange 300ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [31]. - **CSI 300 Index Options**: Include charts of the CSI 300 Index trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [43]. - **CSI 1000 Index Options**: Include charts of the CSI 1000 Index trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [56]. - **Shanghai Stock Exchange 500ETF Options**: Include charts of the Shanghai Stock Exchange 500ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [70]. - **Shenzhen Stock Exchange 500ETF Options**: Include charts of the Shenzhen Stock Exchange 500ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [83]. - **GEM ETF Options**: Include charts of the GEM ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [96]. - **Shenzhen 100ETF Options**: Include charts of the Shenzhen 100ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [109]. - **SSE 50 Index Options**: Include charts of the SSE 50 Index trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [122]. - **Science and Technology Innovation 50ETF Options**: Include charts of the Science and Technology Innovation 50ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [135]. - **E Fund Science and Technology Innovation 50ETF Options**: Include charts of the E Fund Science and Technology Innovation 50ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [144].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - This week (October 20 - October 24, 2025), the trading volume of the commodity options market declined slightly, with an average daily trading volume of 6.29 million lots and an average daily open interest of 8.95 million lots, showing a -8.93% and +3.79% change respectively compared to the previous period. It is recommended that investors focus on potential market opportunities in actively traded varieties [1][8]. - This week, most of the underlying futures of commodity options rose, with 45 varieties closing higher for the week. The energy sector had relatively high weekly gains, while precious metals such as silver and gold had relatively high weekly losses. Most sectors, except for agricultural products, saw an increase in the implied volatility of commodity options this week. It is advisable to be vigilant against unilateral risks and pay attention to opportunities for short - selling volatility or buying options with high cost - effectiveness based on different implied volatility levels [2][15]. 3. Summary by Directory 3.1 Commodity Option Market Activity - This week, the average daily trading volume of the commodity options market decreased by 8.93% compared to the previous period, and the average daily open interest increased by 3.79%. Actively traded varieties included silver, styrene, and glass. The trading volume of lead, double - gum paper, and aluminum alloy increased significantly, while that of polysilicon and industrial silicon decreased significantly. In terms of open interest, varieties with high average daily open interest were soybean meal, glass, and soda ash. The open interest of double - gum paper, lead, and short - fiber increased rapidly [1][8]. 3.2 Main Data Review of Commodity Options - **Underlying Price Movements**: 45 varieties of underlying futures of commodity options closed higher this week. The energy sector had high weekly gains, with fuel oil (+7.12%), crude oil (+6.87%), and asphalt (+5.23%) leading the way. Silver (-7.49%) and gold (-6.17%) had high weekly losses [2][15]. - **Market Volatility**: Except for agricultural products, most sectors saw an increase in the implied volatility of commodity options this week. 25 varieties had their current implied volatility above the 50th percentile of the past year. Varieties with implied volatility at a one - year high included crude oil, LPG, asphalt, and fuel oil; those at a one - year low included rapeseed oil, rapeseed meal, and sugar [2][15]. - **Option Market Sentiment**: Varieties such as rapeseed oil, soybean oil, sugar, and live pigs had a high volume PCR, indicating strong short - term bearish sentiment. Aluminum, alumina, nickel, tin, and copper had a low volume PCR, showing concentrated short - term bullish sentiment. Silver, ferrosilicon, manganese silicon, and rapeseed oil had a high open interest PCR, indicating a high level of accumulated bearish sentiment, while asphalt, corn, methanol, and alumina had a low open interest PCR, indicating accumulated bullish sentiment [2][15]. 3.3 Key Data Overview of Main Varieties - This chapter presents key data of main varieties, including trading volume, volatility, and option market sentiment indicators. More detailed data can be found on the Dongzheng Fanwei official website (https://www.finoview.com.cn/) [20]. - **Energy**: Key data such as trading volume, volatility, and option market sentiment indicators of energy varieties like crude oil are presented, with relevant charts provided [21][23][25]. - **Chemicals**: - **PTA**: Key data and relevant charts of PTA are presented [28][29][35]. - **Caustic Soda**: Key data and relevant charts of caustic soda are presented [37][38][40]. - **Glass**: Key data and relevant charts of glass are presented [44][45][46]. - **Soda Ash**: Key data and relevant charts of soda ash are presented [50][51][52]. - **Precious Metals**: Key data and relevant charts of precious metals such as silver are presented [56][57][58]. - **Ferrous Metals**: - **Iron Ore**: Key data and relevant charts of iron ore are presented [62][63][66]. - **Manganese Silicon**: Key data and relevant charts of manganese silicon are presented [70][71][72]. - **Non - Ferrous Metals**: - **Copper**: Key data and relevant charts of copper are presented [77][78][83]. - **Aluminum**: Key data and relevant charts of aluminum are presented [85][86][89]. - **Agricultural Products**: - **Soybean Meal**: Key data and relevant charts of soybean meal are presented [93][95][96]. - **Palm Oil**: Key data and relevant charts of palm oil are presented [100][101][102]. - **Cotton**: Key data and relevant charts of cotton are presented [114][109][110].