() 国泰君安期货 GUOTAI JUNAN FUTURES 中东局势升级下的铝市评估： AL潜在供应扰动较大 AO关注交易情绪 发布时间：2026年3月1日 铝品系 外铝锭定价偏看向上，目若发酵时间过长，海外中期向 上空间也将被打开，不排除试探2022年俄乌危机时高点 的可能性。内外价差倾向正套，伦敦相对强于沪铝，亦 可双多。电解铝和氧化铝跨品种上，建议做多铝厂利润， 多AL空AO，风险点是AO盘面交易者可能跟随有色资金 市定价，目春节前后氧化铝现货支撑偏强，节后库存回 补预期也在升温，新疆招标价提价，该操作谨慎尝试。 场内期权 氧化铝和沪铝的看涨期权隐波溢价均较高，可考虑 使用牛市看涨价差结构进行亏损有限的做多策略，并通 过滚动止盈上调行权价的方式降低长期持有期权的时间 价值成本。 风险提示：若盘面交易方向转为向下，看涨期权的 隐波或快速与价格正相关回落，期权价值消耗较快，需 注意仓位控制并及时进行止损或对冲操作。 场外期权 周末因中东局势快速升级，截至当前多方军事力量 对峙仍未有明显消褪（国际暗金价格略降温），且伊朗 官媒亦首次承认封锁霍尔木兹海峡，海外涉及多大宗商 品的断供窗口期可能打开。从铝产业链影 ...

Core Viewpoint - The use of financial tools for price risk management in the steel trading industry is becoming increasingly sophisticated, with companies adopting strategies like the "fuse cumulative purchase option" to effectively manage risks associated with price fluctuations [1][4]. Group 1: Industry Background - The black products market has seen increased price volatility due to concentrated production locations and seasonal demand, complicating risk management for related enterprises [2]. - In April 2023, global crude steel production and sales both declined month-on-month, while domestic demand weakened due to the rainy season in southern China, leading to a downward trend in black product prices [2]. - A steel trading company (referred to as Company A) aimed to hedge against rising procurement costs for rebar, anticipating a price rebound in June after a low in May [2][3]. Group 2: Financial Strategy - Company A initially considered using futures for hedging but opted for a "fuse cumulative purchase option" due to concerns about potential losses in a declining market [3]. - The "fuse cumulative purchase option" was designed to provide a safety net during price fluctuations, allowing for procurement at lower prices during downturns and capturing gains during price surges [4][21]. Group 3: Implementation Process - Company A began trading the fuse cumulative purchase option on May 29, 2023, with a procurement plan of 2,200 tons of rebar at an entry price of 3,500 yuan per ton [5][10]. - The option structure included upper and lower price limits, with a compensation mechanism for price movements, allowing for flexible adjustments based on market conditions [6][10]. Group 4: Performance Analysis - The strategy yielded a total profit of 141,000 yuan over the trading period, with an average profit of 64.09 yuan per ton, demonstrating the effectiveness of the fuse cumulative purchase option compared to standard options [11][12]. - The performance of the fuse cumulative purchase option was superior to that of standard cumulative purchase options, particularly in volatile market conditions, allowing Company A to optimize procurement costs [12][21]. Group 5: Conclusion and Advantages - The fuse cumulative purchase option alleviates timing difficulties in hedging, providing a safety net and optimizing procurement costs [21][22]. - It addresses the limitations of standard cumulative purchase options by allowing for early profit realization during significant price increases, facilitating timely strategy adjustments [21][22]. - The design of the fuse cumulative purchase option can be customized to meet specific risk management needs, enhancing its applicability in various market scenarios [22].