| 李立勤 | 高级投研经 | 从业资格号：F3074095 | 交易咨询号：Z0017896 | 邮箱：lilq@wkqh.cn | | --- | --- | --- | --- | --- | | | 理 | | | | | 黄柯涵 | 期权研究员 | 从业资格号：F03138607 | 电话：0755-23375252 | 邮箱：huangkh@wkqh.cn | | 李仁君 | 产业服务 | 从业资格号：F03090207 | 交易咨询号：Z0016947 | 邮箱：lirj@wkqh.cn | 金属期权策略早报概要：（1）有色金属偏多上行，构建卖方中性波动率策略策略；（2）黑色系维持大幅度波动的 行情走势，适合构建做空波动率组合策略；（3）贵金属反弹回暖上升，构建牛市价差组合策略。 | 表1：标的期货市场概况 | | --- | 金属期权 2026-01-12 金属期权策略早报 | 期权品种 | 标的合约 | 最新价 | 涨跌 | 涨跌幅 | 成交量 | 量变化 | 持仓量 | 仓变化 | | --- | --- | --- | --- | --- | --- | --- | --- | --- ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The metal sector is divided into non - ferrous metals, precious metals, and black metals. For each sector, option strategies and suggestions are provided for selected varieties. Option strategy reports are compiled for each option variety based on underlying market analysis, option factor research, and option strategy suggestions [8]. - For non - ferrous metals, a seller neutral volatility strategy can be constructed as they are trending upwards. For black metals, a short - volatility combination strategy is suitable due to their large - amplitude fluctuations. For precious metals, a bull spread combination strategy can be built as they are rebounding [2]. 3. Summary by Related Catalogs 3.1 Underlying Futures Market Overview - Copper (CU2602): The latest price is 93,560, up 840 (0.91%), with a trading volume of 17.27 million lots (up 1.27 million) and an open interest of 23.77 million lots (up 0.64 million) [3]. - Aluminum (AL2602): The latest price is 22,245, up 205 (0.93%), with a trading volume of 22.56 million lots (up 3.72 million) and an open interest of 31.51 million lots (up 2.09 million) [3]. - Zinc (ZN2602): The latest price is 23,090, up 70 (0.30%), with a trading volume of 8.84 million lots (up 0.20 million) and an open interest of 8.64 million lots (up 0.26 million) [3]. - Lead (PB2602): The latest price is 17,005, up 155 (0.92%), with a trading volume of 5.65 million lots (up 2.52 million) and an open interest of 6.22 million lots (up 0.65 million) [3]. - Nickel (NI2602): The latest price is 117,430, up 1,170 (1.01%), with a trading volume of 16.58 million lots (up 10.28 million) and an open interest of 9.41 million lots (up 0.17 million) [3]. - Tin (SN2602): The latest price is 341,220, up 1,400 (0.41%), with a trading volume of 18.49 million lots (up 3.75 million) and an open interest of 5.66 million lots (up 0.71 million) [3]. - Alumina (AO2602): The latest price is 2,528, down 10 (-0.39%), with a trading volume of 12.14 million lots (down 1.21 million) and an open interest of 21.88 million lots (up 0.84 million) [3]. - Gold (AU2602): The latest price is 984.58, up 4.34 (0.44%), with a trading volume of 32.89 million lots (up 8.78 million) and an open interest of 18.97 million lots (down 0.71 million) [3]. - Silver (AG2602): The latest price is 15,746, up 462 (3.02%), with a trading volume of 190.42 million lots (up 33.25 million) and an open interest of 33.75 million lots (down 2.59 million) [3]. - Lithium carbonate (LC2602): The latest price is 109,740, up 4,160 (3.94%), with a trading volume of 2.48 million lots (up 0.61 million) and an open interest of 3.46 million lots (up 0.21 million) [3]. - Industrial silicon (SI2602): The latest price is 8,665, up 45 (0.52%), with a trading volume of 2.23 million lots (down 1.27 million) and an open interest of 9.04 million lots (up 0.03 million) [3]. - Polysilicon (PS2602): The latest price is 60,680, down 355 (-0.58%), with a trading volume of 3.70 million lots (down 0.96 million) and an open interest of 3.57 million lots (up 0.13 million) [3]. - Rebar (RB2605): The latest price is 3,114, unchanged (0.00%), with a trading volume of 68.61 million lots (down 52.94 million) and an open interest of 156.89 million lots (down 0.71 million) [3]. - Iron ore (I2602): The latest price is 794.00, up 2.00 (0.25%), with a trading volume of 1.07 million lots (down 0.23 million) and an open interest of 7.25 million lots (down 0.08 million) [3]. - Manganese silicon (SM2602): The latest price is 5,792, up 14 (0.24%), with a trading volume of 2.24 million lots (up 0.73 million) and an open interest of 3.14 million lots (up 0.11 million) [3]. - Silicon iron (SF2602): The latest price is 5,512, up 36 (0.66%), with a trading volume of 9.35 million lots (up 1.24 million) and an open interest of 3.65 million lots (up 0.03 million) [3]. - Glass (FG2602): The latest price is 993, down 2 (-0.20%), with a trading volume of 2.87 million lots (down 1.84 million) and an open interest of 3.85 million lots (down 0.01 million) [3]. 3.2 Option Factor - Volume and Open Interest PCR - Different metal options have different volume and open - interest PCR values and their changes, which are used to describe the strength of the option underlying market and the turning point of the underlying market [4]. 3.3 Option Factor - Pressure and Support Levels - Different metal options have different pressure and support levels, which are determined by the strike prices of the maximum open interest of call and put options [5]. 3.4 Option Factor - Implied Volatility - Different metal options have different implied volatility values, including at - the - money implied volatility, weighted implied volatility, and their changes, as well as the difference between implied and historical volatility [6]. 3.5 Option Strategies and Suggestions Non - Ferrous Metals - **Copper Options**: Construct a call option bull spread combination strategy for directional gains, a short - volatility seller option combination strategy for time - value gains, and a spot long - hedging strategy [7]. - **Aluminum Options**: Build a short - volatility combination strategy of selling slightly bullish call and put options and a spot collar strategy [9]. - **Zinc Options**: Construct a short - volatility combination strategy of selling slightly bullish call and put options and a spot collar strategy [9]. - **Nickel Options**: Build a short - volatility combination strategy of selling slightly bearish call and put options and a spot covered - call strategy [10]. - **Tin Options**: Construct a call option bull spread combination strategy, a short - volatility strategy, and a spot collar strategy [10]. - **Lithium Carbonate Options**: Build a call option bull spread combination strategy, a short - volatility combination strategy of selling slightly bullish call and put options, and a spot long - hedging strategy [11]. Precious Metals - **Silver Options**: Construct a call option bull spread combination strategy, a slightly bullish short - volatility option seller combination strategy, and a spot hedging strategy [12]. Black Metals - **Rebar Options**: Build a short - volatility combination strategy of selling slightly bearish call and put options and a spot long - covered call strategy [13]. - **Iron Ore Options**: Construct a short - volatility combination strategy of selling slightly bearish call and put options and a spot long - collar strategy [13]. - **Manganese Silicon Options**: Build a short - volatility strategy [14]. - **Industrial Silicon Options**: Construct a put option bear spread combination strategy, a short - volatility combination strategy of selling call and put options, and a spot hedging strategy [14]. - **Glass Options**: Build a put option bear spread combination strategy, a short - volatility combination strategy of selling call and put options, and a spot long - collar strategy [15].

1. Report Industry Investment Rating - No relevant content provided. 2. Core Viewpoints of the Report - The trading volume of the commodity options market decreased slightly this week, with an average daily trading volume of 6.91 million lots and an average daily open interest of 6.46 million lots, showing a week - on - week change of -16.35% and -35.33% respectively. Investors are advised to focus on potential market opportunities of actively traded varieties [1][7]. - The underlying futures of commodity options showed mixed price movements this week. The varieties with higher weekly increases included lithium carbonate (+14%), polysilicon (+5.34%), and p - xylene (+4.62%); those with higher weekly decreases included rapeseed oil (-6.45%), soybean oil (-3.53%), and apple (-3.36%) [2][17]. - Most commodity options' implied volatility increased this week. 32 varieties' current implied volatility was above the 50% quantile of the past year. For varieties with high implied volatility, investors should beware of unilateral risks and consider short - selling volatility opportunities; for those with low implied volatility, buying options has a higher cost - performance [2][17]. - Different varieties showed different sentiment in the options market. For example, the trading volume PCR of palm oil and PVC was at a historical high, indicating a short - term concentrated bet on price declines; while that of cotton, gold, and others was at a one - year low, indicating a concentrated bet on price increases [2][18]. 3. Summary According to Relevant Catalogs 3.1. Commodity Options Market Activity - This week (2025.12.15 - 2025.12.19), the trading volume of the commodity options market decreased slightly. The average daily trading volume was 6.91 million lots, and the average daily open interest was 6.46 million lots, with week - on - week changes of -16.35% and -35.33% respectively [1][7]. - The actively traded varieties in terms of average daily trading volume this week included silver (1.08 million lots), PVC (0.34 million lots), and glass (0.33 million lots) [1][7]. - There were 4 varieties with a trading volume increase of over 100% this week, with significant growth in p - xylene (+256%), asphalt (+143%), and nickel (+125%). The varieties with obvious trading volume decreases were rapeseed oil (-84%), rapeseed meal (-79%), and corn starch (-64%) [1][7]. - The varieties with high average daily open interest this week were silver (0.5 million lots), glass (0.36 million lots), and soda ash (0.36 million lots). The varieties with a rapid week - on - week increase in average daily open interest were p - xylene (+91%) and tin (+49%) [1][7]. 3.2. This Week's Main Data Review of Commodity Options 3.2.1. Underlying Price Movements - The underlying futures of commodity options showed mixed price movements this week. The varieties with higher weekly increases included lithium carbonate (+14%), polysilicon (+5.34%), and p - xylene (+4.62%); those with higher weekly decreases included rapeseed oil (-6.45%), soybean oil (-3.53%), and apple (-3.36%) [2][17]. 3.2.2. Market Volatility - Most commodity options' implied volatility increased this week. 32 varieties' current implied volatility was above the 50% quantile of the past year. The implied volatility of lithium carbonate, nickel, and polysilicon increased by 4.81, 4.71, and 4.25 percentage points respectively [2][17]. - Varieties with implied volatility at a one - year high included silver, polypropylene, plastic, tin, aluminum, copper, and ethylene glycol. Investors should beware of unilateral risks and consider short - selling volatility opportunities. Varieties with implied volatility at a one - year low included rapeseed meal, soybean oil, and urea, where buying options has a higher cost - performance [2][17]. 3.2.3. Options Market Sentiment - The trading volume PCR of palm oil and PVC was at a historical high, indicating a short - term concentrated bet on price declines; the trading volume PCR of cotton, gold, pure benzene, PTA, zinc, aluminum, etc. was at a one - year low, indicating a concentrated bet on price increases [2][18]. - The open interest PCR of lithium carbonate, silver, iron ore, tin, PTA, etc. was at a historical high, indicating a high - level accumulation of sentiment for betting on price declines; the open interest PCR of rapeseed oil, gold, aluminum, palm oil, etc. was at a one - year low, indicating an accumulation of sentiment for betting on price increases [2][18]. 3.3. Key Data Overview of Main Varieties - This chapter mainly presents key data of main varieties, including trading volume, volatility, and options market sentiment indicators. More detailed data of other varieties can be found on the Dongzheng Finoview official website (https://www.finoview.com.cn/) [23]. 3.3.1. Energy - The report provides charts on the total trading volume, volatility, open interest PCR, and trading volume PCR of crude oil, but no specific data analysis is provided [26][27]. 3.3.2. Chemicals - **PTA**: Charts on total trading volume, volatility, open interest PCR, and trading volume PCR are provided, but no specific data analysis [32][38]. - **Caustic Soda**: Charts on total trading volume, volatility, open interest PCR, and trading volume PCR are provided, but no specific data analysis [41][42]. - **Glass**: Charts on total trading volume, volatility, open interest PCR, and trading volume PCR are provided, but no specific data analysis [47][48]. - **Soda Ash**: Charts on total trading volume, volatility, open interest PCR, and trading volume PCR are provided, but no specific data analysis [55][56]. 3.3.3. Precious Metals - For silver, charts on total trading volume, volatility, open interest PCR, and trading volume PCR are provided, but no specific data analysis [63][64]. 3.3.4. Ferrous Metals - **Iron Ore**: Charts on total trading volume, volatility, open interest PCR, and trading volume PCR are provided, but no specific data analysis [73][74]. - **Manganese Silicide**: Charts on total trading volume, volatility, open interest PCR, and trading volume PCR are provided, but no specific data analysis [79][80]. 3.3.5. Non - ferrous Metals - **Copper**: Charts on total trading volume, volatility, open interest PCR, and trading volume PCR are provided, but no specific data analysis [86][88]. - **Aluminum**: Charts on total trading volume, volatility, open interest PCR, and trading volume PCR are provided, but no specific data analysis [95][97]. 3.3.6. Agricultural Products - **Soybean Meal**: Charts on total trading volume, volatility, open interest PCR, and trading volume PCR are provided, but no specific data analysis [103][104]. - **Palm Oil**: Charts on total trading volume, volatility, open interest PCR, and trading volume PCR are provided, but no specific data analysis [109][110]. - **Cotton**: Charts on total trading volume, volatility, open interest PCR, and trading volume PCR are provided, but no specific data analysis [117][118].

Group 1: Report Overview - Report Title: Metal Options Strategy Morning Report [1] - Date: December 18, 2025 - Report Summary: The report provides an analysis of the metal options market, including the performance of various metal futures, option factors, and trading strategies [2] Group 2: Industry Investment Rating - No industry investment rating is provided in the report Group 3: Core Viewpoints - The有色金属 sector is expected to move upward, and a neutral volatility strategy for sellers is recommended [2] - The黑色系 sector is expected to maintain high volatility, and a short volatility strategy is recommended [2] - The贵金属 sector is expected to rebound, and a bull spread strategy is recommended [2] Group 4: Futures Market Overview - Copper (CU2601): The latest price is 92,680, up 380 (0.41%) from the previous day. The trading volume is 6.63 million lots, down 3.58 million lots, and the open interest is 13.65 million lots, down 0.93 million lots [3] - Aluminum (AL2601): The latest price is 21,985, up 145 (0.66%) from the previous day. The trading volume is 4.34 million lots, down 2.73 million lots, and the open interest is 12.40 million lots, down 0.85 million lots [3] - Zinc (ZN2601): The latest price is 23,045, up 135 (0.59%) from the previous day. The trading volume is 12.06 million lots, down 1.80 million lots, and the open interest is 5.92 million lots, down 1.40 million lots [3] - Lead (PB2601): The latest price is 16,825, up 55 (0.33%) from the previous day. The trading volume is 4.02 million lots, down 0.05 million lots, and the open interest is 2.69 million lots, down 0.28 million lots [3] - Nickel (NI2601): The latest price is 113,300, up 570 (0.51%) from the previous day. The trading volume is 13.96 million lots, down 1.77 million lots, and the open interest is 9.41 million lots, down 1.15 million lots [3] - Tin (SN2601): The latest price is 334,240, up 9,230 (2.84%) from the previous day. The trading volume is 16.68 million lots, down 5.58 million lots, and the open interest is 3.21 million lots, down 0.02 million lots [3] - Alumina (AO2601): The latest price is 2,573, up 23 (0.90%) from the previous day. The trading volume is 19.30 million lots, down 9.09 million lots, and the open interest is 18.04 million lots, down 1.05 million lots [3] - Gold (AU2602): The latest price is 982.48, up 5.18 (0.53%) from the previous day. The trading volume is 27.59 million lots, down 1.80 million lots, and the open interest is 19.71 million lots, up 0.09 million lots [3] - Silver (AG2602): The latest price is 15,594, up 589 (3.93%) from the previous day. The trading volume is 162.71 million lots, up 5.57 million lots, and the open interest is 38.90 million lots, up 2.49 million lots [3] - Lithium Carbonate (LC2602): The latest price is 106,900, up 7,560 (7.61%) from the previous day. The trading volume is 3.36 million lots, up 2.37 million lots, and the open interest is 3.36 million lots, down 0.06 million lots [3] - Industrial Silicon (SI2602): The latest price is 8,480, up 50 (0.59%) from the previous day. The trading volume is 4.29 million lots, up 1.59 million lots, and the open interest is 9.10 million lots, down 0.06 million lots [3] - Polysilicon (PS2602): The latest price is 62,175, up 2,490 (4.17%) from the previous day. The trading volume is 4.47 million lots, up 1.45 million lots, and the open interest is 3.58 million lots, down 0.19 million lots [3] - Rebar (RB2601): The latest price is 3,130, up 35 (1.13%) from the previous day. The trading volume is 6.27 million lots, down 1.26 million lots, and the open interest is 22.66 million lots, down 1.52 million lots [3] - Iron Ore (I2602): The latest price is 793.00, up 12.00 (1.54%) from the previous day. The trading volume is 0.55 million lots, down 0.03 million lots, and the open interest is 7.18 million lots, down 0.02 million lots [3] - Manganese Silicon (SM2602): The latest price is 5,744, up 2 (0.03%) from the previous day. The trading volume is 1.65 million lots, up 0.06 million lots, and the open interest is 2.96 million lots, down 0.09 million lots [3] - Silicon Iron (SF2602): The latest price is 5,428, up 50 (0.93%) from the previous day. The trading volume is 5.39 million lots, up 0.50 million lots, and the open interest is 3.79 million lots, up 0.22 million lots [3] - Glass (FG2602): The latest price is 1,013, up 17 (1.71%) from the previous day. The trading volume is 2.90 million lots, up 0.59 million lots, and the open interest is 4.11 million lots, up 0.05 million lots [3] Group 5: Option Factors Volume and Open Interest PCR - The PCR indicators are used to describe the strength of the option underlying market and the turning point of the underlying market [4] Pressure and Support Levels - The pressure and support levels are determined by the strike prices with the largest open interest of call and put options [5] Implied Volatility - The implied volatility reflects the market's expectation of the future volatility of the underlying asset [6] Group 6: Strategy Recommendations Copper Options - Directional Strategy: Construct a bull spread strategy using call options to obtain directional returns [7] - Volatility Strategy: Construct a short volatility strategy using put and call options to obtain time value returns [7] - Spot Hedging Strategy: Construct a spot collar strategy by holding a long position in the spot market, buying put options, and selling out-of-the-money call options [7] Aluminum Options - Directional Strategy: None [9] - Volatility Strategy: Construct a short volatility strategy using put and call options to obtain time value and directional returns [9] - Spot Hedging Strategy: Construct a spot collar strategy by holding a long position in the spot market, buying put options, and selling out-of-the-money call options [9] Zinc Options - Directional Strategy: None [9] - Volatility Strategy: Construct a short volatility strategy using put and call options to obtain time value [9] - Spot Hedging Strategy: Construct a spot collar strategy by holding a long position in the spot market, buying put options, and selling out-of-the-money call options [9] Nickel Options - Directional Strategy: None [10] - Volatility Strategy: Construct a short volatility strategy using put and call options to obtain time value [10] - Spot Hedging Strategy: Construct a covered call strategy by holding a long position in the spot market and selling call options [10] Tin Options - Directional Strategy: Construct a bull spread strategy using call options to obtain directional returns [10] - Volatility Strategy: Construct a short volatility strategy using put and call options to obtain time value returns [10] - Spot Hedging Strategy: Construct a spot collar strategy by holding a long position in the spot market, buying put options, and selling out-of-the-money call options [10] Lithium Carbonate Options - Directional Strategy: Construct a bull spread strategy using call options to obtain directional returns [11] - Volatility Strategy: Construct a short volatility strategy using put and call options to obtain time value and directional returns [11] - Spot Hedging Strategy: Construct a spot collar strategy by holding a long position in the spot market, buying put options, and selling out-of-the-money call options [11] Silver Options - Directional Strategy: Construct a bull spread strategy using call options to obtain directional returns [12] - Volatility Strategy: Construct a short volatility strategy using put and call options to obtain time value [12] - Spot Hedging Strategy: Construct a spot collar strategy by holding a long position in the spot market, buying put options, and selling out-of-the-money call options [12] Rebar Options - Directional Strategy: None [13] - Volatility Strategy: Construct a short volatility strategy using put and call options to obtain time value [13] - Spot Hedging Strategy: Construct a covered call strategy by holding a long position in the spot market and selling call options [13] Iron Ore Options - Directional Strategy: None [13] - Volatility Strategy: Construct a short volatility strategy using put and call options to obtain time value and directional returns [13] - Spot Hedging Strategy: Construct a long collar strategy by holding a long position in the spot market, buying put options, and selling out-of-the-money call options [13] Manganese Silicon Options - Directional Strategy: None [14] - Volatility Strategy: Construct a short volatility strategy using put and call options to obtain time value returns [14] - Spot Hedging Strategy: None [14] Industrial Silicon Options - Directional Strategy: Construct a bear spread strategy using put options to obtain directional returns [14] - Volatility Strategy: Construct a short volatility strategy using put and call options to obtain time value and directional returns [14] - Spot Hedging Strategy: Construct a spot collar strategy by holding a long position in the spot market, buying put options, and selling out-of-the-money call options [14] Glass Options - Directional Strategy: Construct a bear spread strategy using put options to obtain directional returns [15] - Volatility Strategy: Construct a short volatility strategy using put and call options to obtain time value [15] - Spot Hedging Strategy: Construct a long collar strategy by holding a long position in the spot market, buying put options, and selling out-of-the-money call options [15]

Report Information - Report Title: Metal Options Strategy Morning Report [1] - Date: December 4, 2025 Investment Rating - Not provided in the report Core Views - For non - ferrous metals showing a bullish upward trend, construct a neutral volatility strategy for sellers [2]. - For the black series with large - amplitude fluctuations, construct a short - volatility combination strategy [2]. - For precious metals rebounding and rising, construct a bull spread combination strategy [2]. Summary by Category 1. Futures Market Overview - Various metal futures are presented, including copper, aluminum, zinc, etc., with details on the latest price, change, percentage change, trading volume, volume change, open interest, and open interest change [3]. 2. Option Factors - Volume and Open Interest PCR - PCR indicators (volume PCR and open interest PCR) are used to describe the strength of the option underlying market and the turning point of the underlying market. Data for different metal options are provided [4]. 3. Option Factors - Pressure and Support Levels - Pressure and support levels of option underlyings are determined from the strike prices of the maximum open interest of call and put options. Data for various metal options are given [5]. 4. Option Factors - Implied Volatility - Implied volatility data (including at - the - money implied volatility, weighted implied volatility, etc.) for different metal options are presented, along with the change and the difference between implied and historical volatility [6]. 5. Strategy and Recommendations Non - Ferrous Metals - **Copper**: Construct a bull spread combination strategy for call options, a short - volatility option combination strategy, and a spot long - hedging strategy [8]. - **Aluminum**: Construct a bull spread combination strategy for call options, a short call + put option combination strategy with a bullish bias, and a spot collar strategy [9]. - **Zinc**: Construct a short call + put option combination strategy with a neutral bias and a spot collar strategy [9]. - **Nickel**: Construct a short call + put option combination strategy with a bearish bias and a spot covered - call strategy [10]. - **Tin**: Construct a bull spread combination strategy for call options, a short - volatility strategy, and a spot collar strategy [10]. - **Lithium Carbonate**: Construct a short call + put option combination strategy with a bullish bias and a spot long - hedging strategy [11]. Precious Metals - **Silver**: Construct a bull spread combination strategy for call options, a short - volatility option seller combination strategy with a bullish bias, and a spot hedging strategy [12]. Black Series - **Rebar**: Construct a short call + put option combination strategy with a bearish bias and a spot long - covered - call strategy [13]. - **Iron Ore**: Construct a short call + put option combination strategy with a bearish bias and a spot long - collar strategy [13]. - **Ferroalloys (Manganese Silicon)**: Construct a short - volatility strategy [14]. - **Industrial Silicon**: Construct a short call + put option combination strategy for short - volatility and a spot long - hedging strategy [14]. - **Glass**: Construct a short call + put option combination strategy for short - volatility and a spot long - collar strategy [15].

Report Summary 1. Investment Rating No investment rating for the industry is provided in the report. 2. Core Viewpoints - For non - ferrous metals, a neutral volatility seller strategy is recommended as they are trending upwards; for the black metals sector, a short - volatility portfolio strategy is suitable due to large - scale fluctuations; for precious metals, a bull spread portfolio strategy is suggested as they are rebounding [2]. 3. Summary by Category 3.1 Futures Market Overview - The table shows the latest prices, price changes, trading volumes, and open interest of various metal futures contracts. For example, the latest price of copper (CU2601) is 87,050, with a decline of 20 and a decrease rate of 0.02%. The trading volume is 9.53 million lots, and the open interest is 21.07 million lots [3]. 3.2 Option Factors - **Volume and Open Interest PCR**: This indicator describes the strength of the option underlying market and the turning point of the market. For instance, the volume PCR of copper is 0.43, with a change of 0.02, and the open interest PCR is 0.81, with a change of - 0.00 [4]. - **Pressure and Support Levels**: Determined from the strike prices of the maximum open interest of call and put options. For example, the pressure point of copper is 90,000, and the support point is 84,000 [5]. - **Implied Volatility**: The implied volatility of options reflects the market's expectation of future price fluctuations. For example, the at - the - money implied volatility of copper is 12.62%, and the weighted implied volatility is 15.85%, with a change of 0.60 [6]. 3.3 Strategy and Recommendations - **Non - ferrous Metals** - **Copper**: Based on the analysis of fundamentals, market trends, and option factors, a short - volatility seller option portfolio strategy and a spot long - hedging strategy are recommended [7]. - **Aluminum**: A bull spread portfolio strategy for call options, a short - volatility option combination strategy, and a spot collar strategy are suggested [9]. - **Zinc**: A short - volatility option combination strategy and a spot collar strategy are proposed [9]. - **Nickel**: A short - volatility option combination strategy with a short bias and a spot covered - call strategy are recommended [10]. - **Tin**: A short - volatility strategy and a spot collar strategy are suggested [10]. - **Lithium Carbonate**: A short - volatility option combination strategy with a long bias and a spot long - hedging strategy are recommended [11]. - **Precious Metals (Silver)** - A bull spread portfolio strategy for call options, a short - volatility option seller combination strategy with a long bias, and a spot hedging strategy are recommended [12]. - **Black Metals** - **Rebar**: A short - volatility option combination strategy with a short bias and a spot covered - call strategy are recommended [13]. - **Iron Ore**: A short - volatility option combination strategy with a short bias and a spot long - collar strategy are suggested [13]. - **Ferroalloys (Manganese Silicon)**: A short - volatility strategy is recommended, and no spot hedging strategy is provided [14]. - **Industrial Silicon**: A short - volatility option combination strategy and a spot hedging strategy are recommended [14]. - **Glass**: A short - volatility option combination strategy and a spot long - collar strategy are suggested [15].

Group 1: Report Overview - Report Date: November 27, 2025 [1] - Report Type: Metal Options Strategy Morning Report - Research Team: Lu Pinxian, Huang Kehan, Li Renjun [2] Group 2: Investment Ratings - No investment ratings are provided in the report. Group 3: Core Views - For non - ferrous metals, which are trending upward, a neutral volatility selling strategy is recommended [2]. - For the black metals sector, which is experiencing significant fluctuations, a volatility - shorting portfolio strategy is suitable [2]. - For precious metals, which are rebounding, a bull spread portfolio strategy is suggested [2]. Group 4: Market Overview Futures Market - Copper (CU2601) closed at 87,090, up 400 (0.46%) with a trading volume of 10.72 million lots and an open interest of 20.47 million lots [3]. - Aluminum (AL2601) closed at 21,565, up 120 (0.56%) with a trading volume of 17.29 million lots and an open interest of 25.91 million lots [3]. - Zinc (ZN2601) closed at 22,525, up 165 (0.74%) with a trading volume of 9.62 million lots and an open interest of 10.07 million lots [3]. - And other metals' futures data are also presented in detail [3]. Option Factors Volume - to - Open Interest PCR - Copper's volume PCR is 0.41 (down 0.21) and open interest PCR is 0.81 (down 0.04) [4]. - Aluminum's volume PCR is 0.52 (down 0.01) and open interest PCR is 0.63 (up 0.02) [4]. - Other metals' volume - to - open interest PCR data are also provided [4]. Pressure and Support Levels - Copper's pressure level is 90,000 and support level is 84,000 [5]. - Aluminum's pressure level is 22,000 and support level is 21,000 [5]. - Similar data for other metals are given [5]. Implied Volatility - Copper's at - the - money implied volatility is 11.72%, weighted implied volatility is 15.25% (up 0.49%) [6]. - Aluminum's at - the - money implied volatility is 8.88%, weighted implied volatility is 10.29% (down 0.09%) [6]. - Implied volatility data for other metals are also included [6]. Group 5: Strategy Recommendations Non - Ferrous Metals - **Copper**: Build a short - volatility seller option portfolio strategy, such as S_CU2601P84000, S_CU2601P86000, S_CU2601C86000, S_CU2601C88000. Also, a spot long - hedging strategy can be constructed [7]. - **Aluminum**: Use a bull spread strategy for direction and a short - volatility strategy for volatility. A spot collar strategy is recommended for hedging [9]. - **Other non - ferrous metals**: Similar strategies are provided for zinc, nickel, tin, and lithium carbonate [9][10][11]. Precious Metals - **Silver**: Construct a bull spread strategy for direction and a short - volatility strategy for volatility. A spot hedging strategy is also suggested [12]. Black Metals - **Rebar**: Build a short - volatility strategy with a short delta position. A spot covered - call strategy is recommended [13]. - **Iron Ore**: Use a short - volatility strategy with a neutral delta position. A spot collar strategy is suggested [13]. - **Other black metals**: Strategies for ferrosilicon, industrial silicon, and glass are also presented [14][15].

Report Summary 1. Report Industry Investment Rating No specific industry investment rating is provided in the report. 2. Core Viewpoints - For non - ferrous metals, a neutral volatility selling strategy is recommended as they tend to move upward. - For the black series, a short - volatility combination strategy is suitable due to their large - amplitude fluctuations. - For precious metals, a bull spread combination strategy is advised as they are rebounding [2]. 3. Summary by Relevant Catalogs 3.1. Futures Market Overview - The report presents the latest prices, price changes, trading volumes, and open interest of various metal futures contracts, including copper, aluminum, zinc, etc. For example, the latest price of copper (CU2601) is 86,350, with a decrease of 70 and a decline rate of - 0.08%. [3] 3.2. Option Factors - Volume and Open Interest PCR - It shows the volume and open - interest PCR of different metal options. For instance, the volume PCR of copper options is 0.62, with a change of - 0.19, and the open - interest PCR is 0.85, with no change [4]. 3.3. Option Factors - Pressure and Support Levels - The pressure and support levels of each option are analyzed. For example, the pressure level of copper is 90,000, and the support level is 84,000 [5]. 3.4. Option Factors - Implied Volatility - The report provides the at - the - money implied volatility, weighted implied volatility, and other related data of different metal options. For example, the at - the - money implied volatility of copper options is 11.17%, and the weighted implied volatility is 14.76%, with a change of - 0.61% [6]. 3.5. Strategy and Recommendations for Each Metal Option - **Copper**: Based on the analysis of fundamentals, market trends, and option factors, a short - volatility selling option combination strategy is recommended, along with a spot long - hedging strategy [7]. - **Aluminum**: A bull spread combination strategy for call options and a selling option combination strategy for both call and put options are suggested, as well as a spot collar strategy [9]. - **Zinc**: A neutral selling option combination strategy for both call and put options and a spot collar strategy are recommended [9]. - **Nickel**: A short - volatility selling option combination strategy with a bearish bias and a spot covered - call strategy are proposed [10]. - **Tin**: A short - volatility strategy and a spot collar strategy are recommended [10]. - **Lithium Carbonate**: A bullish selling option combination strategy and a spot long - hedging strategy are advised [11]. - **Silver**: A bull spread combination strategy for call options and a bullish short - volatility option selling combination strategy are recommended, along with a spot hedging strategy [12]. - **Rebar**: A short - volatility selling option combination strategy with a bearish bias and a spot covered - call strategy are proposed [13]. - **Iron Ore**: A short - volatility selling option combination strategy with a bearish bias and a spot long - collar strategy are recommended [13]. - **Ferroalloy (Manganese Silicon and Ferrosilicon)**: A short - volatility strategy for manganese silicon and relevant analysis and strategies for ferrosilicon are provided [14]. - **Industrial Silicon**: A short - volatility selling option combination strategy and a spot hedging strategy are recommended [14]. - **Glass**: A bear spread combination strategy, a short - volatility selling option combination strategy, and a spot long - collar strategy are proposed [15].

Core Viewpoint - The interview highlights the trading strategies employed by a company in the polycrystalline silicon market, focusing on their successful use of various arbitrage and options strategies to enhance profitability. Group 1: Trading Strategies - The company utilizes three main trading strategies: spot-futures arbitrage, inter-month arbitrage, and options spread arbitrage [2]. - Initially, the company focused on spot-futures arbitrage, entering the market when reasonable price differences appeared, and increasing operations as price differences widened [2]. - In July, due to the "anti-involution" policy, the company shifted its strategy towards inter-month arbitrage, employing grid strategies to capture trading opportunities, resulting in a significant increase in trading volume [2]. Group 2: Options Strategies - The company employs a variety of options strategies, with a preference for vertical spreads and ratio spreads [2]. - The primary strategy involves a "bull spread," where the company buys near-month contracts and sells far-month contracts, allowing for profit locking even if price differences continue to widen [2]. - The company actively manages positions based on market conditions, using techniques such as pyramid averaging to gradually increase positions when price differences narrow [2]. Group 3: Unique Aspects of Options Trading - The company favors the options products offered by the exchange due to their sufficient strike price depth and wide coverage, which facilitates the implementation of the "wheel strategy" [3]. - The "wheel strategy" begins with selling put options, optimizing costs and generating income based on the demand in the spot market [3]. - The company emphasizes the role of options sellers, who focus on time value in addition to directional profits, and employs strategies to maximize returns or provide protection based on market volatility [4].

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report - The trading volume of the commodity options market rebounded slightly this week, with an average daily trading volume of 7.22 million lots and an average daily open interest of 10.01 million lots, showing a week - on - week change of +13.63% and +17.96% respectively. Investors are advised to focus on potential market opportunities in actively traded varieties [1][7]. - The underlying futures of commodity options showed mixed performance in terms of price changes. There are opportunities in varieties with high trading activity, and attention should be paid to the risks and opportunities indicated by factors such as price fluctuations, implied volatility, and option market sentiment [1][2][15]. 3. Summary According to the Table of Contents 3.1 Commodity Options Market Activity - This week, the average daily actively - traded varieties included glass (650,000 lots), lithium carbonate (610,000 lots), and polysilicon (520,000 lots). Five varieties had a trading volume increase of over 100%, with asphalt (+161%), ethylene glycol (+158%), and urea (+156%) showing significant growth. The varieties with a significant decline in trading volume were p - xylene (-83%), log (-58%), and alumina (-47%) [1][7]. - The varieties with a relatively high average daily open interest were glass (1.05 million lots), soda ash (870,000 lots), and glass (840,000 lots). The varieties with a relatively rapid week - on - week increase in average daily open interest were synthetic rubber (+83%), styrene (+66%), and LPG (+51%) [1][7]. 3.2 This Week's Commodity Options Main Data Review - **Underlying Price Changes**: The underlying futures of commodity options showed mixed price changes. The varieties with high weekly increases included rapeseed meal (+6.32%), pulp (+3.49%), and urea (+2.58%); the varieties with high weekly decreases included asphalt (-6.04%), polysilicon (-5.66%), and red dates (-5.47%) [2][15]. - **Market Volatility**: Most commodity option implied volatilities in various sectors decreased this week. Seventeen varieties had their current implied volatility above the 50th percentile of the past year. Varieties with implied volatility at a high level in the past year included live pigs, methanol, and asphalt; those at a low level included sugar, tin, cotton, and manganese silicon [2][15]. - **Option Market Sentiment**: The trading volume PCR of varieties such as apples, eggs, lithium carbonate, LPG, and cotton was at a historical high, indicating strong short - term bearish sentiment. The trading volume PCR of aluminum, ethylene glycol, and corn was at a historical low, showing concentrated short - term bullish sentiment. The open interest PCR of ferrosilicon, soybean meal, silver, and lithium carbonate was at a historical high, while that of aluminum, corn, methanol, palm oil, and plastic was at a historical low [2][15]. 3.3 Main Varieties Key Data Overview - The chapter presents key data of main varieties, including trading volume, volatility, and option market sentiment indicators. More detailed data can be accessed on the Dongzheng Fanwei official website (https://www.finoview.com.cn/) [20]. - Specific sub - sections cover energy (crude oil, LPG, etc.), chemicals (PTA, caustic soda, glass, soda ash), precious metals (silver), ferrous metals (iron ore, manganese silicon), non - ferrous metals (copper, aluminum), and agricultural products (soybean meal, palm oil, cotton), with corresponding data on trading volume, volatility, open interest PCR, and trading volume PCR provided [21][28][59][66][82][97].