1. Report Industry Investment Rating No relevant information provided. 2. Core View of the Report - For non - ferrous metals, construct a seller's neutral volatility strategy as they are in a range - bound oscillation; for black metals, build a short - volatility portfolio strategy due to their large - amplitude fluctuations; for precious metals, create a spot hedging strategy as they are rising and breaking through [2]. 3. Summary by Related Catalogs 3.1 Futures Market Overview - The latest prices, price changes, trading volumes, and open interest changes of various metal futures contracts are presented, including copper, aluminum, zinc, etc. For example, the latest price of copper (CU2511) is 80,080, up 260 with a 0.33% increase, and its trading volume is 5.41 million lots with a decrease of 3.52 million lots [3]. 3.2 Option Factors - Volume and Open Interest PCR - The volume and open interest PCR of different metal options are given. For instance, the volume PCR of copper options is 0.65 with a change of 0.01, and the open interest PCR is 0.75 with a change of 0.04 [4]. 3.3 Option Factors - Pressure and Support Levels - The pressure and support levels of various metal options are analyzed. For example, the pressure level of copper options is 82,000 and the support level is 78,000 [5]. 3.4 Option Factors - Implied Volatility - The implied volatility of different metal options is provided, including at - the - money implied volatility, weighted implied volatility, etc. For example, the at - the - money implied volatility of copper options is 12.26%, and the weighted implied volatility is 15.27% with a change of - 1.54% [6]. 3.5 Strategy and Recommendations 3.5.1 Non - ferrous Metals - **Copper**: Build a short - volatility seller option portfolio strategy and a spot long - hedging strategy. The three - exchange copper inventory increased by 11,000 tons. The implied volatility of copper options fluctuates around the historical average, and the open interest PCR indicates some pressure above [7]. - **Aluminum**: Construct a short - neutral call + put option portfolio strategy and a spot collar strategy. The domestic aluminum ingot social inventory increased, and the LME inventory is at a low level. The market shows a long - biased upward and high - level oscillating trend [9]. - **Zinc/Lead**: Build a short - neutral call + put option portfolio strategy and a spot collar strategy. The zinc market shows an oscillating and falling trend after rising, and the implied volatility of zinc options continues to decline [9]. - **Nickel**: Construct a short - bearish call + put option portfolio strategy and a spot covered strategy. The domestic nickel ore port inventory increased, and the market shows a wide - range oscillating trend with bearish pressure above [10]. - **Tin**: Build a short - volatility strategy and a spot collar strategy. The tin production in Yunnan and Jiangxi is affected, and the market shows a short - term high - level oscillating trend with pressure above [10]. - **Lithium Carbonate**: Construct a short - bearish call + put option portfolio strategy and a spot long - hedging strategy. The lithium carbonate production increased, and the market shows a large - amplitude fluctuating and continuously falling trend [11]. 3.5.2 Precious Metals - **Gold/Silver**: Build a bullish option bull - spread combination strategy, a long - biased short - volatility option seller portfolio strategy, and a spot hedging strategy. The relationship between gold and silver prices is related to the overseas manufacturing PMI. The gold market shows a short - term oscillating and strongly breaking - through trend [12]. 3.5.3 Black Metals - **Rebar**: Construct a short - bearish call + put option portfolio strategy and a spot long - covered strategy. The rebar inventory decreased slightly, and the market shows a weak oscillating trend with pressure above [13]. - **Iron Ore**: Build a short - neutral call + put option portfolio strategy and a spot long - collar strategy. The iron ore inventory decreased, and the market shows a range - bound oscillating and rebounding trend [13]. - **Ferroalloys**: Build a short - volatility strategy for manganese silicon. The manganese silicon production decreased, and the market shows a weak and bearish trend [14]. - **Industrial Silicon/Polysilicon**: Construct a short - volatility call + put option portfolio strategy and a spot hedging strategy. The industrial silicon inventory remains high, and the market shows a large - amplitude range - bound oscillating trend [14]. - **Glass**: Build a short - volatility call + put option portfolio strategy and a spot long - collar strategy. The glass inventory decreased in some areas, and the market shows a weak trend with pressure above [15].

Group 1: Report Industry Investment Ratings - There is no information about the report industry investment ratings in the provided content. Group 2: Core Views of the Report - This week, the market may price in the probability of the Fed restarting interest rate cuts ahead of the September FOMC meeting. Volatility may increase after the Fed's decision [2]. - The technology sector has regained strength in the stock index futures market, with funds rotating among sectors. If volatility continues to decline, a long straddle options strategy can be considered [2]. - The 10 - year Treasury bond yield has initially stabilized around 1.8%. The central bank's bond - buying expectations have increased, and the bond futures market has first declined and then risen. Traders are advised to wait and see and focus on the capital, equity market, and fundamentals in the short term [2]. - Pre - Fed decision, the loose expectation has caused the US dollar index to fall to its lowest point this year. Gold and silver prices have fluctuated. After the decision, silver volatility may rise and then fall [2]. - The main container shipping index (European line) has shown weak and volatile performance, and a 12 - 10 spread arbitrage strategy can be considered [2]. - Coal supply contraction expectations have resurfaced, and coking coal has driven up steel prices. Iron ore, coking coal, and coke prices are expected to be strong, supported by factors such as increased shipments, rising pig iron production, and replenishment demand [2]. - In the energy and chemical sector, the prices of various products are affected by factors such as supply - demand balance, seasonal maintenance, and macro - environment. Different trading strategies are recommended for each product [2]. - In the agricultural products sector, the prices of products such as corn, soybeans, and livestock are affected by factors such as supply, demand, and seasonal factors, and corresponding trading suggestions are provided [2]. - In the special and new energy product sectors, the prices of products such as glass, rubber, and industrial silicon are affected by factors such as market sentiment and cost, and different trading stances are recommended [2]. Group 3: Summaries by Related Catalogs Stock Index Futures - The technology sector has regained strength, and funds are rotating among sectors. If volatility declines, a long straddle options strategy can be tried [2]. Treasury Futures - The 10 - year Treasury bond yield has stabilized around 1.8%. The central bank's bond - buying expectations have increased. Traders are advised to wait and see and focus on short - term market changes [2]. Precious Metals - Pre - Fed decision, the US dollar index has fallen, and gold and silver prices have fluctuated. Silver has high elasticity above $42, but volatility may rise and then fall after the decision. Different options strategies are recommended for gold and silver [2]. Container Shipping Index (European Line) - The main index has shown weak and volatile performance, and a 12 - 10 spread arbitrage strategy can be considered [2]. Black Metals - Coal supply contraction expectations have resurfaced. Coking coal, iron ore, and coke prices are expected to be strong. Specific ranges for long - buying and spread - trading strategies are provided [2]. Energy and Chemical - Different products have different supply - demand situations. For example, PX and PTA are expected to have different short - term supply - demand conditions. Various trading strategies such as waiting and seeing, range - trading, and spread - trading are recommended for each product [2]. Agricultural Products - The prices of products such as corn, soybeans, and livestock are affected by supply, demand, and seasonal factors. Different trading suggestions are provided for each product, such as waiting and seeing, range - trading, and position - adjustment [2]. Special and New Energy Products - Products such as glass, rubber, and industrial silicon are affected by market sentiment and cost. Different stances such as waiting and seeing and range - trading are recommended [2].

Core Insights - The article presents a comprehensive market monitoring dashboard covering multiple asset classes, including stocks, forex, commodities, and cryptocurrencies, providing traders with indicators for trend, reversal, volatility, and overbought/oversold conditions [1]. Asset Classification - The assets are categorized into four main classes: Equity, FX, Commodities, and Crypto, each with specific indicators for analysis [2]. Key Assets and Recent Changes - Key assets to focus on include: - **Equity**: SP500_US and Nasdaq100_US are highlighted for their significant volatility and potential for trend continuation or reversal [1]. - **China Stocks**: CSI300_China and SSE_China are noted for their low valuations and potential rebound, albeit with high volatility [1]. - **Forex**: USDJPY and USDCNY are emphasized due to significant central bank policy differences, while EURUSD and GBPUSD are suitable for macro hedging [1]. - **Commodities**: Gold and CrudeWTI are driven by safe-haven demand and inflation expectations, while CopperHG and Soybean are sensitive to economic cycles and Chinese demand [1]. - **Cryptocurrency**: BTCUSD and ETHUSD are recognized for their high volatility and suitability for swing trading [1]. Potential Trading Opportunities - Trading opportunities are identified based on specific numerical indicators, such as extreme Sigma values indicating potential rebounds or trend continuations [3]. Suggested Operational Framework - Strategies include: - **Rebound Opportunities**: Identifying assets with low Sigma values and reversal signals for potential rebounds [4]. - **Trend Continuation**: Following assets where EMA20 is above EMA100, indicating an upward trend [4]. - **Volatility Strategies**: Utilizing high VolRank and rising ATR% for options strategies or breakout trades [4]. Risk Considerations - Risks include: - **Overbought Risks**: High Sigma values indicating potential short-term overheating [4]. - **Trend Reversal Risks**: Signals indicating potential reversals, especially with high deviation [4]. - **Liquidity/Volatility Risks**: Extreme market conditions requiring position control [4]. Multi-Asset Comparison and Risk Management - Emphasis on comparing assets within the same category and using multiple indicators for comprehensive analysis [4]. - Risk management is prioritized, with all trades requiring stop-loss measures based on volatility and drawdown metrics [4]. - The technical analysis should be complemented with macroeconomic factors such as central bank policies and geopolitical events [4].

Core Insights - The article discusses the integration of a volatility timing straddle option strategy into common stock-bond asset allocation portfolios, resulting in a reduction of maximum drawdown by approximately 5% and an increase in the Calmar ratio by over 0.1 [1][2] Group 1: Volatility Timing Strategy - The article highlights that the performance of long-term option buying strategies, such as directly purchasing put protection options, has been subpar in both domestic and international markets [1] - It emphasizes that while the A-share market lacks direct trading tools based on volatility indices, investors can still construct equivalent volatility strategies using existing ETF options [1][2] - The article notes that single-leg strategies involving 300ETF options exhibit high volatility and drawdown, making them unsuitable for risk-averse allocation funds [1] Group 2: Straddle Option Strategy - The straddle strategy is found to have lower volatility and drawdown compared to single-leg strategies, with annualized volatility generally below 0.1 [2] - Selling straddle options can provide relatively stable excess returns, while buying options does not yield long-term excess returns due to high premiums and infrequent large market movements [2] - The article suggests that extreme volatility often follows periods of historically low volatility, indicating a potential "coiling" effect before significant market movements [2] Group 3: Implementation and Results - The article proposes a timing mechanism where buying straddle options is preferred when volatility drops to historically low levels (thresholds of 5%, 10%, 15%) to mitigate the risk of sudden volatility spikes [2] - The implementation of the volatility timing straddle option strategy into a common stock-bond asset allocation portfolio, allocating 10% of stock weight to the option strategy, results in a reduction of maximum drawdown from 21.4% to 13.5% and an increase in annualized return from 3.5% to 5.8% [2]

Group 1 - The report introduces a volatility timing strategy using straddle options in the A-share market, which can reduce the maximum drawdown of asset allocation by approximately 5% and improve the Calmar ratio by over 0.1 [1][67]. - The report emphasizes that while the A-share market lacks direct volatility index derivatives, investors can construct equivalent volatility strategies using existing ETF options, enhancing risk management and opportunity capture [6][20]. - The analysis indicates that extreme volatility spikes often occur after volatility has dropped to historically low levels, suggesting a potential "coiling" effect before significant market movements [60][68]. Group 2 - The report details that single-leg strategies for trading 300ETF options exhibit high volatility and drawdown, making them unsuitable for risk-averse funds [24][44]. - In contrast, straddle strategies show lower volatility and drawdown, with annualized volatility generally below 0.1, making them more stable for investors [48][45]. - The report finds that selling straddle options can provide stable excess returns, while buying options tends to be less effective due to high premiums and infrequent large market movements [57][59]. Group 3 - The report proposes a volatility timing approach where selling straddle options is switched to buying when volatility falls to historical low thresholds (5%, 10%, 15%), effectively reducing drawdown from 21.4% to 13.5% and increasing annualized returns from 3.5% to 5.8% [63][66]. - Incorporating the volatility timing straddle strategy into traditional stock-bond portfolios can significantly enhance performance metrics, including a reduction in maximum drawdown and an increase in the Calmar ratio [67][1].

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - For non - ferrous metals, construct a seller neutral volatility strategy as they are in a state of oscillation; for black metals, build a short - volatility portfolio strategy due to their sharp decline after a continuous rise; for precious metals, create a spot hedging strategy as they are consolidating at a high level [2] 3. Summary by Related Catalogs 3.1 Futures Market Overview - Copper (CU2509): The latest price is 78,170, down 100 (-0.13%), with a trading volume of 8.09 million lots (down 2.81 million) and an open interest of 16.77 million lots (down 0.85 million) [3] - Aluminum (AL2509): The latest price is 20,480, up 5 (0.02%), with a trading volume of 12.76 million lots (down 1.77 million) and an open interest of 23.35 million lots (down 1.52 million) [3] - Other metals follow a similar pattern of price, trading volume, and open - interest changes 3.2 Option Factors - Volume and Open Interest PCR - Copper: Volume PCR is 1.49 (down 0.01), and open - interest PCR is 0.84 (down 0.03) [4] - Aluminum: Volume PCR is 1.06 (down 0.03), and open - interest PCR is 0.79 (down 0.04) [4] - Other metals also have corresponding volume and open - interest PCR values and changes 3.3 Option Factors - Pressure and Support Levels - Copper: The pressure level is 82,000, and the support level is 75,000 [5] - Aluminum: The pressure level is 21,000, and the support level is 20,000 [5] - Other metals have their own pressure and support levels 3.4 Option Factors - Implied Volatility - Copper: The at - the - money implied volatility is 10.98%, the weighted implied volatility is 16.89% (down 1.21%), and the difference between implied and historical volatility is - 4.57% [6] - Aluminum: The at - the - money implied volatility is 9.67%, the weighted implied volatility is 12.06% (down 0.41%), and the difference between implied and historical volatility is - 1.62% [6] - Other metals have different implied volatility characteristics 3.5 Strategy and Recommendations 3.5.1 Non - Ferrous Metals - Copper: Build a short - volatility seller option portfolio strategy and a spot long - hedging strategy [7] - Aluminum: Construct a short - neutral call + put option combination strategy and a spot collar strategy [9] - Other non - ferrous metals also have corresponding strategies 3.5.2 Precious Metals - Gold/Silver: Build a neutral short - volatility option seller portfolio strategy and a spot hedging strategy [12] 3.5.3 Black Metals - Rebar: Construct a short - neutral call + put option combination strategy and a spot long - covered call strategy [13] - Iron ore: Use a bull spread strategy for call options, a short - long call + put option combination strategy, and a spot long - collar strategy [13] - Other black metals have their own strategies

Core Viewpoint - The article discusses the impact of significant unexpected events on market volatility and the asymmetrical effects on call and put options, leading to substantial changes in skewness. As the effects of these events dissipate, skewness tends to revert to normal levels, presenting opportunities for delta and vega neutral skewness strategies to capture returns from this reversion [1][12]. Group 1: Market Behavior and Volatility - During major unexpected events, the market experiences sharp short-term fluctuations, which asymmetrically affect call and put options, resulting in significant skewness changes [1][12]. - The implied volatility is a crucial parameter in option pricing, reflecting market expectations of future asset price volatility, characterized by mean reversion and clustering effects [1]. - In normal conditions, the implied volatility curve typically resembles a "smile curve," but during certain risks, it can tilt in one direction, indicating a shift in market sentiment [2][3]. Group 2: Skewness Strategy Principles - Skewness can be quantified to describe the degree of tilt in the implied volatility curve, with specific definitions for out-of-the-money call and put options [3]. - The skewness strategy aims to evaluate the extent of skewness deviation from normal levels and construct corresponding option combinations to capture trading opportunities [4]. - The strategy is fundamentally a mean reversion arbitrage, requiring the construction of positions that are delta and vega neutral to minimize sensitivity to price and volatility changes [4]. Group 3: Historical Backtesting and Results - On April 7, 2025, the escalation of Trump's "reciprocal tariffs" policy led to a significant rise in implied volatility, altering the curve from a "smile" to a "monotonically decreasing" structure [5]. - Historical data indicates that during significant market events, the implied volatility of out-of-the-money put options surged, creating opportunities for skewness strategies [9]. - The skewness strategy demonstrated good returns shortly after its construction, with the potential for profit-taking as skewness returned to normal levels [11]. Group 4: Future Outlook - The market is currently focused on key factors such as half-year reports from listed companies, export data, and the evolving U.S.-China tariff dispute, which will unfold in June and July [13]. - Positive unexpected policy signals could lead to a "positive skew," while uncertainties surrounding tariff disputes could result in a "negative skew" [13]. - There is potential for implied volatility skewness to deviate from normal levels again in June and July, providing opportunities for skewness strategies [13].

Group 1 - The A-share market experienced a rebound with leading weights driving the increase [1] - All types of options saw increased trading activity and rising open interest, indicating a more active market [2] - The trading volume and open interest for various ETF options were significant, with the highest being the CSI 500 ETF options at 1,807,038 contracts traded and an open interest of 1,268,751 contracts [2] Group 2 - All option underlying assets closed in the green, and implied volatility increased, reflecting improved market sentiment [3] - The weighted implied volatility for major ETF options showed a range from 0.1432 for the CSI 300 index options to 0.2749 for the Huaxia Sci-Tech 50 ETF options [3] - The outlook for the stock market remains strong, with expectations of continued high implied volatility and strategies focusing on volatility [3]

Core Viewpoint - After the reduction of tariffs, the average effective tariff in the U.S. has decreased from over 20% to 12%, leading to a decrease in inflation and stagflation risks. Consequently, Bank of America (BofA) maintains its interest rate forecasts for 2025 unchanged [1] Interest Rate Predictions - BofA forecasts the 2-year Treasury yield at 3.75%, the 10-year yield at 4.5%, and the 30-year yield at 4.9% by the end of 2025 [1] Interest Rate Curve Strategy - The strategy is adjusted to recommend a "flattening" trade between December 2025 and December 2026, with a target shift from -34 basis points to -70 basis points. This is based on the reduced likelihood of rate cuts in 2025, expected further decline in inflation in 2026, and potential divergence in strategies under new Federal Reserve leadership [2] Duration Positioning - BofA maintains a slightly positive bias towards mid-duration (5-year) bonds, suggesting gradual accumulation of longer-duration positions as the market has previously overestimated recession risks and underestimated hard data support. The 10-year Treasury yield is expected to stabilize in the range of 4.5% to 4.75% [3] Spread Outlook - The short-term outlook for spreads is neutral, while the long-term view is bearish on the 30-year spread due to fiscal deficits and supply pressures in U.S. Treasuries. The short-end (2-5 year) spreads remain neutral to slightly positive due to stable short-term financing conditions [4] Inflation Trading Strategy - The strategy is neutral on inflation trades, closing short positions on 1-year inflation while retaining long positions on 2-year and 3-year inflation, anticipating mid-term inflation to have upward potential, particularly relative to the Eurozone [5] Volatility Strategy - The volatility strategy leans towards short-term bullish and long-term conditional steepening, recommending a 6-month "costless" 2s10s lower bound volatility trade and a long-term "bear steepening" combination based on the 5s30s rate differential to address market repricing risks [5]