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 ...

Group 1 - The core concept of options volatility strategy emphasizes the importance of analyzing volatility over the option price itself, as volatility is a critical indicator for investors when trading options [1] - Volatility can be categorized into implied volatility and historical volatility, with implied volatility reflecting market expectations of future price fluctuations [6][7] - The article outlines various volatility strategies, including long volatility strategies such as buying straddles and strangles, which are used when significant price movements are anticipated without a clear direction [3][4][6] Group 2 - A long straddle strategy involves purchasing both a call and a put option with the same strike price and expiration date, allowing for profit if the underlying asset's price moves significantly in either direction [3] - A long strangle strategy entails buying a call option with a higher strike price and a put option with a lower strike price, which is generally less expensive than a straddle and can yield high returns during significant price movements [4] - Directly purchasing volatility index futures, such as VIX futures, is another strategy employed when investors expect an increase in market volatility, allowing them to profit from rising volatility [4] Group 3 - The article also discusses short volatility strategies, where investors can profit from a decrease in volatility by selling options when volatility is expected to revert to its mean [7] - Historical volatility is calculated using past data, while implied volatility is derived from option pricing models, indicating market sentiment regarding future volatility [7] - The strategies discussed can be particularly effective during events that cause significant market fluctuations, such as geopolitical tensions or economic announcements [6][7]

Core Viewpoint - The article invites participants to the "First Global Yiyang Trading Forum" in Shanghai, focusing on uncovering excess returns in a volatile market environment in 2025, emphasizing the unique investment opportunities arising from China's market reforms and technological innovations [1][2]. Group 1: Macro Perspective - Experts will analyze the asset rotation rhythm under the divergence of global central bank policies and geopolitical risk pricing models [2]. - The forum will cover a framework for major asset allocation against the backdrop of narrowing China-US interest rate differentials [2]. Group 2: Stock Market Insights - A private equity leader with over 20 years of experience will reveal a quantitative identification system for industry rotation in high-volatility environments [2]. Group 3: Futures Market Analysis - Commodity futures experts will discuss trend-following opportunities amid global supply chain restructuring and risk position management strategies during extreme market conditions [2]. Group 4: Options Trading Strategies - Experienced traders will analyze arbitrage opportunities within volatility surface distortions and teach techniques for capturing cross-market volatility premiums [2]. - A practical workshop on "Multi-Asset Linked Trading" will be conducted, focusing on integrated hedging strategies involving stocks, futures, and options [2]. Group 5: Event Details - The forum is scheduled for May 24, 2025, at the Star River Bay Hotel in Shanghai, accommodating 1,000 participants [5]. - The event is organized by Super Trader and Fudan Qiushi Wealth Forum, with support from various financial institutions [4].