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]