铁矿石风险管理报告 2025/09/29 周甫翰 （投资咨询证号 Z0020173） 投资咨询业务资格：证监许可【2011】1290号 铁矿石11合约月度价格预测（10月） | 价格预测区间 | 当前平值期权IV | 历史波动率分位数 | | --- | --- | --- | | 780-850 | 21.01% | 11.3% | source： 南华研究 铁矿石风险管理策略建议（10月） | 行为导向 | 情景分析 | 风险敞口 | 策略推荐 | 套保工具 | 买卖方向 套保比例 | | 建议入场区间 | | --- | --- | --- | --- | --- | --- | --- | --- | | 库存管理 | 目前有现货，担心未来库存跌价 | 多 | 直接做空铁矿期货锁定利润 | I2511 | 空 | 25% | 840-850 | | | | | 卖看涨期权收权利金 | I2511-C-850 | | 30% | 逢高卖 | | 采购管理 | 未来要采购，担心涨价 | 空 | 直接做多铁矿期货锁定成本 | I2511 | 多 | 30% | 780-790 | | | | | 卖虚值看跌 ...

Report Industry Investment Rating - No relevant content provided Core View of the Report - Before the holiday, the market sentiment was cautious, with the black - series commodities reducing positions on the pre - holiday disk and price fluctuations decreasing. The current contradictions in iron ore are not significant. The supply of iron ore shipments has recovered to a medium - high level, and steel mills are replenishing stocks before the holiday, resulting in a tight balance in overall demand. On the demand side, the marginal profit of steel mills has slightly recovered, the inventory of rebar has marginally eased, and the contradictions have been alleviated, but increased rainfall in the South is unfavorable for demand. The supply and demand of hot - rolled coils are both strong, but the inventory continues to accumulate, and future attention should be paid to whether the demand can further increase. Currently, overseas orders support the price. After the interest rate cut, trading is expected to be closer to the fundamentals, with prices expected to fluctuate without a strong trend. It is recommended to reduce positions before the holiday [3] Summary by Relevant Catalogs Iron Ore Price Forecast and Risk Management Strategy - **October Price Forecast for Iron Ore 11 Contract**: The price forecast range is 780 - 850, the current at - the - money option IV is 20.94%, and the historical volatility quantile is 11.3% [2] - **October Iron Ore Risk Management Strategy Recommendations** - **Inventory Management**: For those with spot inventory worried about future price drops (long risk exposure), the strategies are to directly short iron ore futures to lock in profits (I2511, short, 25%, entry range 840 - 850) and sell call options to collect premiums (I2511 - C - 850, 30%, sell on rallies) [2] - **Procurement Management**: For those planning to purchase in the future and worried about price increases (short risk exposure), the strategies are to directly go long on iron ore futures to lock in costs (I2511, long, 30%, entry range 780 - 790) and sell out - of - the - money put options. If the price falls below the strike price, hold long futures positions (I2511 - P - 790, 40%, sell on rallies) [2] Core Contradictions and Market Analysis - **Core Contradictions**: Before the holiday, the market was cautious, with reduced positions in the black - series commodity market and smaller price fluctuations. Iron ore supply has recovered, and steel mills are restocking, maintaining a tight balance in demand. Steel mill profits have slightly recovered, and rebar inventory has eased, but southern rainfall affects demand. Hot - rolled coil supply and demand are strong, but inventory is accumulating. After the interest rate cut, trading will be more fundamental - based, and prices will fluctuate without a clear trend. Position reduction is recommended before the holiday [3] - **Positive Factors** - The Fed cut interest rates by 25bp, and two more cuts are expected this year, with global financial conditions being loose and the manufacturing PMI rising [4] - Hot - rolled coils have regained export profits after price drops [4] - Steel mill profits have slightly recovered [4] - Rebar inventory has decreased, and industrial chain contradictions have not further accumulated, releasing some risks [4] - There are expectations of economic stimulus due to weak domestic economic data [4] - **Negative Factors** - Steel inventory remains high under high hot - metal production, putting pressure on the fundamentals [4] - Iron ore shipments have increased, and non - mainstream shipments are at a seasonal high [4] Iron Ore Price and Index Data - **Contract Closing Prices and Basis**: On September 24, 2025, the 01 contract closed at 803.5, the 05 contract at 783, and the 09 contract at 762. The 01 basis was - 9.5, the 05 basis was 11, and the 09 basis was 32 [5][6] - **Spot Prices**: On September 24, 2025, the price of Rizhao PB powder was 794, Rizhao Carajás fines was 929, and Rizhao Super Special fines was 720 [6] - **Platts Index**: On September 23, 2025, the Platts 58% index was 95.3, the Platts 62% index was 106.2, and the Platts 65% index was 120.15 [7] Iron Ore Fundamental Data - **Production and Transportation Data**: As of September 19, 2025, the daily average hot - metal output was 241.02, the 45 - port desulfurization volume was 339.17, the global shipment volume was 3324.8, the Australia - Brazil shipment volume was 2693.3, and the 45 - port arrival volume was 2675 [13] - **Inventory Data**: As of September 19, 2025, the 45 - port inventory was 13801.08, the 247 - steel mill inventory was 9309.43, and the 247 - steel mill available days were 31.3 [13]

铁矿石风险管理报告 2025/09/23 周甫翰 （投资咨询证号 Z0020173） 投资咨询业务资格：证监许可【2011】1290号 铁矿石11合约月度价格预测（10月） | 价格预测区间 | 当前平值期权IV | 历史波动率分位数 | | --- | --- | --- | | 780-850 | 21.06% | 11.3% | source： 南华研究 铁矿石风险管理策略建议（10月） | 行为导向 | 情景分析 | 风险敞口 | 策略推荐 | 套保工具 | 买卖方向 套保比例 | | 建议入场区间 | | --- | --- | --- | --- | --- | --- | --- | --- | | 库存管理 | 目前有现货，担心未来库存跌价 | 多 | 直接做空铁矿期货锁定利润 | I2511 | 空 | 25% | 840-850 | | | | | 卖看涨期权收权利金 | I2511-C-850 | | 30% | 逢高卖 | | 采购管理 | 未来要采购，担心涨价 | 空 | 直接做多铁矿期货锁定成本 | I2511 | 多 | 30% | 780-790 | | | | | 卖虚值看跌 ...

铁矿石风险管理报告 2025/09/10 周甫翰 （投资咨询证号 Z0020173） 投资咨询业务资格：证监许可【2011】1290号 铁矿石10合约月度价格预测（9月） | 价格预测区间 | 当前平值期权IV | 历史波动率分位数 | | --- | --- | --- | | 770-830 | 21.53% | 11.3% | source： 南华研究 铁矿石风险管理策略建议（9月） | 行为导向 | 情景分析 | 风险敞口 | 策略推荐 | 套保工具 | 买卖方向 套保比例 | | 建议入场区间 | | --- | --- | --- | --- | --- | --- | --- | --- | | 库存管理 | 目前有现货，担心未来库存跌价 | 多 | 直接做空铁矿期货锁定利润 | I2510 | 空 | 45% | 820-830 | | | | | 卖看涨期权收权利金 | I2510-C-830 | | 40% | 逢高卖 | | 采购管理 | 未来要采购，担心涨价 | 空 | 直接做多铁矿期货锁定成本 | I2510 | 多 | 30% | 770-780 | | | | | 卖虚值看跌，若 ...

高盛将2025年第四季度铁矿石平均价格预测从每吨90美元上调至95美元，维持2026年底铁矿石价格预测 为每吨80美元。 （文章来源：新华财经） ...