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12合约月度价格预测（11月） | 价格预测区间 | 当前平值期权IV | 历史波动率分位数 | | --- | --- | --- | | 770-826 | 18.07% | 11.3% | 铁矿石风险管理报告 2025/11/18 source： 南华研究 1.可交割的主流中高品粉矿港口库存持续走低，支撑近月合约和基差 2. 美国政府重新开门，财政力量回归 3.钢厂边际减产，黑色产业链矛盾边际有所缓解 4.在钢厂利润低迷时，主要原料焦煤价格大跌，为铁矿石价格腾出了空间，形成了短期支撑 【利空因素】 铁矿石风险管理策略建议（11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 | I2512 | 空 | 25% | 820-830 | | | | | ...

铁矿石风险管理报告 2025/11/10 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12合约月度价格预测（11月） | 价格预测区间 | 当前平值期权IV | 历史波动率分位数 | | --- | --- | --- | | 770-826 | 20.05% | 11.3% | source： 南华研究 铁矿石风险管理策略建议（11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 | I2512 | 空 | 25% | 820-830 | | | | | 卖看涨期权收权利金 | I2512-C-830 | | 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 | I2512 | 多 | 30% | 780-790 | | | | | 卖虚值看跌 ...

铁矿石12合约月度价格预测（11月） | 价格预测区间 | 当前平值期权IV | 历史波动率分位数 | | --- | --- | --- | | 770-826 | 18.85% | 11.3% | source： 南华研究 铁矿石风险管理策略建议（11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 | I2512 | 空 | 25% | 820-830 | | | | | 卖看涨期权收权利金 | I2512-C-830 | | 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 | I2512 | 多 | 30% | 780-790 | | | | | 卖虚值看跌，若跌破执行价则持有期货多单 | I2511-P-780 | | 40% | 逢高卖 | source： 南华研究 【核心矛盾】 综合来 ...

Report Overview - Report Title: Iron Ore Risk Management Report - Report Date: October 13, 2025 Report Industry Investment Rating - Not provided Core Viewpoints - Short - term market trends follow the macro situation. If Sino - US relations ease, the valuation will rise; if the negotiations fluctuate, the price will correct. The iron ore fundamentals are under marginal pressure, with neutral - to - high shipments, inventory accumulating above the seasonal level. Downstream hot metal production is supported, but steel demand is weak, inventory is piling up, and profits are declining. The price is expected to rise first and then fall, oscillating within a range [3]. Summary by Relevant Catalogs Price Forecast - The price forecast range for the iron ore 11 - contract in October is 780 - 850, with the current at - the - money option IV at 19.69% and the historical volatility quantile at 11.3% [2]. Risk Management Strategies Inventory Management - For those with current iron ore inventory worried about future price drops (long risk exposure), strategies include directly short - selling iron ore futures (I2511) to lock in profits with a 25% hedging ratio at an entry range of 840 - 850, and selling call options (I2511 - C - 850) to collect premiums with a 30% ratio by selling at high prices [2]. Procurement Management - For those planning to purchase iron ore in the future and worried about price increases (short risk exposure), strategies include directly going long on iron ore futures (I2511) to lock in costs with a 30% hedging ratio at an entry range of 780 - 790, and selling out - of - the - money put options (I2511 - P - 790). If the price falls below the strike price, hold long futures positions with a 40% ratio by selling at high prices [2]. Factors Affecting Prices Positive Factors - The Fed cut interest rates by 25bp and is expected to cut twice more this year, leading to loose global financial conditions and an expected upward movement of the global manufacturing PMI. Hot metal production remains at a high level. There are short - term supply disruptions, and the "Trump TACO" factor [4]. Negative Factors - With high hot metal production, steel inventory remains high, putting pressure on the fundamentals. Although rebar production cuts have relieved inventory pressure, hot metal is being redirected to hot - rolled coil production, causing hot - rolled coil inventory to accumulate above the seasonal level. Iron ore shipments are increasing, with non - mainstream shipments at a seasonal high, and global iron ore shipments have turned from a cumulative year - on - year negative to positive. After pre - holiday steel mill restocking, port iron ore inventory has started to accumulate above the seasonal level. Macro - level positive factors have been fully priced in, and the anti - involution trend in the industrial sector has not continued [5]. Price Data Futures Closing Prices - On October 13, 2025, the closing prices of the 01, 05, and 09 contracts were 804.5, 781, and 759 respectively, with daily changes of 9.5, 6.5, and 6, and weekly changes of 14.5, 11.5, and 8.5 [5]. Basis - On October 13, 2025, the 01, 05, and 09 basis were - 16.5, 7, and 29 respectively, with daily changes of - 9.5, - 8.5, and - 8, and weekly changes of - 11.5, - 8.5, and - 6 [5][6]. Spot Prices - On October 13, 2025, the prices of Rizhao PB powder, Rizhao Carajás fines, and Rizhao Super Special fines were 788, 923, and 714 respectively, with daily changes of - 2 for all and weekly changes of 10, 6, and 9 [6]. Platts Index - On October 10, 2025, the Platts 58%, 62%, and 65% indexes were 95.85, 107.4, and 121.3 respectively, with daily changes of 1.3, 1.55, and 1.8, and weekly changes of 1.85, 3.3, and 3.55 [7]. Fundamental Data - As of October 10, 2025, the daily average hot metal output was 241.54, with a weekly change of - 0.27 and a monthly change of 0.99. The 45 - port desilting volume was 327, with a weekly change of - 9.4 and a monthly change of 9.22. The apparent demand for five major steel products was 751, with a weekly change of - 153 and a monthly change of - 92. The global shipment volume was 3207.5, with a weekly change of - 71.5 and a monthly change of - 365.6. The Australia - Brazil shipment volume was 2666.5, with a weekly change of - 60.9 and a monthly change of - 184.3. The 45 - port arrival volume was 3045.8, with a weekly change of 437.1 and a monthly change of 683.5. The 45 - port inventory was 14024.5, with a weekly change of 24.22 and a monthly change of 199.18. The inventory of 247 steel mills was 9046.19, with a weekly change of - 990.6 and a monthly change of 53.14. The available days for 247 steel mills were 30.24, with a weekly change of - 3.35 and a monthly change of - 0.08 [14].

Report Overview - Report Title: Iron Ore Risk Management Report - Report Date: October 10, 2025 - Analyst: Zhou Fuhan (Investment Consulting License No. Z0020173) - Investment Advisory Business Qualification: CSRC License [2011] No. 1290 1. Report Industry Investment Rating - No industry investment rating is provided in the report. 2. Core Viewpoints - Short - term iron ore fundamentals are under marginal pressure, with high shipments, inventory accumulating above the seasonal level. Although downstream hot metal production provides support, steel demand is weak, inventories are piling up, and profits are declining, leading to the accumulation of industrial chain contradictions. The price is expected to rise first and then fall, remaining in a range - bound oscillation. The short - term rhythm depends on whether macro expectations can support the upward valuation; otherwise, it's difficult for the price to have a trending upward movement [3]. 3. Summary by Related Catalogs 3.1 Iron Ore Price Forecast and Strategy - **Price Forecast**: The price forecast range for the iron ore 11 - contract in October is 780 - 850, with the current at - the - money option IV at 19.14% and the historical volatility quantile at 11.3% [2]. - **Risk Management Strategies**: - **Inventory Management**: For those with current iron ore inventory worried about future price drops (long risk exposure), the strategies include directly short - selling iron ore futures (I2511) to lock in profits with a 25% hedging ratio at an entry range of 840 - 850, and selling call options (I2511 - C - 850) to collect premiums with a 30% ratio by selling at high prices [2]. - **Procurement Management**: For those planning to purchase iron ore in the future and worried about price increases (short risk exposure), the strategies are directly going long on iron ore futures (I2511) to lock in costs with a 30% hedging ratio at an entry range of 780 - 790, and selling out - of - the - money put options (I2511 - P - 790). If the price falls below the strike price, hold long futures positions with a 40% ratio by selling at high prices [2]. 3.2 Factors Affecting Iron Ore Prices - **Likely Positive Factors**: The Fed cut interest rates by 25bp and is expected to cut twice more this year, leading to loose global financial conditions and an expected upward movement of the global manufacturing PMI. Hot metal production remains at a high level, and there are short - term supply disruptions [4]. - **Likely Negative Factors**: Despite high hot metal production, steel inventories are still high, putting pressure on the fundamentals. Although rebar production cuts have relieved inventory pressure, the transfer of hot metal to hot - rolled coil production has led to above - seasonal inventory accumulation of hot - rolled coils. Iron ore shipments have increased, with non - mainstream shipments at a seasonal high, and global iron ore shipments have turned from a cumulative year - on - year negative to positive. After pre - holiday steel mill restocking, port iron ore inventories have started to accumulate above the seasonal level. Macro - level positive news has been fully digested, and the anti - involution trend in the industrial sector has not continued. Steel mill profits continue to be under pressure [4][5]. 3.3 Iron Ore Price Data - **Futures Contract Closing Prices**: On October 10, 2025, the closing prices of the 01, 05, and 09 contracts were 795, 774.5, and 753 respectively, with daily changes of 4.5, 3.5, and 2.5, and weekly changes of - 10.5, - 11, and - 12 [4]. - **Basis**: The 01, 05, and 09 basis on October 10, 2025, were - 6, 14.5, and 36 respectively, with daily changes of 0.5, 1.5, and 2.5, and weekly changes of 4.5, - 1, and 1.5 [4][6]. - **Spot Prices**: On October 10, 2025, the prices of Rizhao PB powder, Rizhao Carajás fines, and Rizhao Super Special fines were 788, 923, and 715 respectively [6]. - **Platts Index**: On October 10, 2025, the Platts 58%, 62%, and 65% indexes were 95.85, 107.4, and 121.3 respectively, with daily changes of 1.3, 1.55, and 1.8, and weekly changes of 1.85, 3.3, and 3.55 [7]. 3.4 Iron Ore Fundamental Data - **Production and Consumption - related Data**: As of October 10, 2025, the daily average hot metal production was 241.54, with a weekly change of - 0.27 and a monthly change of 0.99. The 45 - port ore removal volume was 327, with a weekly change of - 9.4 and a monthly change of 9.22. The apparent demand for five major steel products was 751, with a weekly change of - 153 and a monthly change of - 92 [13]. - **Shipment and Arrival Data**: The global shipment volume was 3279, with a weekly change of - 196.4 and a monthly change of 522.8. The Australia - Brazil shipment volume was 2727.4, with a weekly change of - 39.6 and a monthly change of 460.4. The 45 - port arrival volume was 2608.7, with a weekly change of 248.2 and a monthly change of 160.7 [13]. - **Inventory Data**: The 45 - port inventory was 14024.5, with a weekly change of 24.22 and a monthly change of 199.18. The inventory of 247 steel mills was 9046.19, with a weekly change of - 990.6 and a monthly change of 53.14. The available days for 247 steel mills were 30.24, with a weekly change of - 3.35 and a monthly change of - 0.08 [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 ...

南华期货铁矿石风险管理报告 2025/06/11 南华期货黑色研究团队 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07合约月度价格预测（6月） | 价格预测区间 | 当前平值期权IV | 历史波动率分位数 | | --- | --- | --- | | 705-770 | 17.60% | 11.3% | source： 南华研究 铁矿石风险管理策略建议（6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 | I2507 | 空 | 35% | 760-780 | | | | | 卖看涨期权收权利金 | I2507-C-770 | | 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 | I2506 | 多 | 30% | 715-725 | | ...

南华期货铁矿石风险管理报告 2025/04/15 南华期货黑色研究团队 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05合约月度价格预测（4月） | 价格预测区间 | 当前平值期权IV | 历史波动率分位数 | | --- | --- | --- | | 740-810 | 24.16% | 48.7% | 关税落地但反复，市场不确定性减弱，但需求预期仍差，短期铁矿石估值修复，但继续向上缺乏驱动。整 体方向偏空，但注意反弹的节奏。 【利好解读】 1.当前铁水产量同比增长，铁水在较高位置 2. 钢厂利润尚可 source： 南华研究 铁矿石风险管理策略建议（4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 | I2505 | 空 | 40% | 770-790 | | | | | 卖看涨期权收权利金 ...