金属期权 2025-11-25 金属期权策略早报 | 卢品先 | 投研经理 | 从业资格号：F3047321 | 交易咨询号：Z0015541 | 邮箱：lupx@wkqh.cn | | --- | --- | --- | --- | --- | | 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 | | --- | | 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 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | （%） ...

南华期权周报 I 2025/11/17—2025/11/21 隐波上升，金融、商品市场整体下跌 本周摘要 金融期权方面，50ETF 期权本周日均成交量为 80.63 万张， 较前周下降 0.00%，其中认沽期权成交量高于认购期权，认沽-认 购成交比为 1.04，相对前周有所下降，高于历史均值水平。上周 认沽认购持仓比为 0.98，较前周下降，高于历史均值。华泰柏瑞 300ETF 期权日均成交 98.95 万张，日均持仓量 146.93 万张；南 方中证 500ETF 期权日均成交 145.55 万张，日均持仓量 145.36 万张；华夏上证科创 50ETF 期权日均成交 118.44 万张，日均持 仓量 247.69 万张；深证 100ETF 期权日均成交 8.7 万张，日均持 仓量 13.98 万张；创业板 ETF 期权日均成交 184.65 万张，日均 持仓量 198.33 万张；沪深 300 股指期权日均成交 11.88 万手， 日均持仓量 21.09 万手；中证 1000 股指期权日均成交 26.93 万 手，日均持仓 32.31 万手。 波动率方面，截止本周五收盘，沪深 300 股指期权隐含波动 率 ...

周度报告——商品期权 商品期权周报：2025 年第 47 周 报告日期： 2025 年 11 月 23 日 ★ 商品期权市场活跃度 本周（2025.11.17-2025.11.21）商品期权市场成交小幅反弹， 日均成交量为 854 万手，日均持仓量为 1019 万手，环比变化 分别为+10.09%和-0.74%。分品种来看，本周日均成交活跃的 品种主要包括白银（109 万手）、碳酸锂（81 万手）、玻璃 （59 万手）。此外，本周共有 4 个品种成交增长超过 100%， 成交量增长较为显著的品种为合成橡胶（+138%）、对二甲 苯（+121%）、碳酸锂（+120%）、工业硅（109%）。与此 同时，成交量下降较为明显的品种则有原油（-57%）、烧碱 （-52%）和 PTA（-42%）。从持仓量数据来看，本周日均持 仓量较高的品种为玻璃（96 万手）、豆粕（82 万手）和纯碱 （81 万手）。日均持仓量环比增长较为迅速的品种为合工业 硅（+49%）、对二甲苯（+42%）、碳酸锂（+40%）。建议 投资者可重点关注交易活跃品种可能存在的市场机会。 ★ 商品期权主要数据点评 标的涨跌情况：本周商品期权标的期货以下跌 ...

1. Report Industry Investment Rating There is no information about the report industry investment rating in the provided content. 2. Core Viewpoints of the Report - The trading volume of the commodity options market rebounded slightly this week. The average daily trading volume was 7.75 million lots, and the average daily open interest was 10.26 million lots, with a week - on - week change of +6.85% and +2.72% respectively. Investors are advised to focus on potential market opportunities in actively traded varieties [1][6]. - Most of the underlying futures of commodity options rose this week. The varieties with higher weekly increases include silver (+7.54%), lithium carbonate (+6.15%), and apple (+5.86%); the varieties with higher weekly decreases include glass (-5.41%), eggs (-4.60%), and red dates (-4.17%) [2][14]. - This week, the implied volatility of most commodity options in each sector increased on a weekly basis. For varieties with implied volatility at a high level in the past year, investors should be vigilant against unilateral risks and consider short - selling volatility opportunities; for varieties with implied volatility at a low level, the cost - performance of buying options is relatively high [2][14]. - Different varieties show different market sentiment in terms of trading volume PCR and open interest PCR, reflecting the market's expectations of rising or falling [2][14]. 3. Summary by Relevant Catalogs 3.1 Commodity Option Market Activity - This week, the average daily trading volume of actively traded varieties mainly includes silver (700,000 lots), glass (680,000 lots), and soda ash (520,000 lots). The varieties with significant trading volume growth are tin (+268%), LPG (+126%), and alumina (+122%); the varieties with obvious trading volume decline are polysilicon (-61%), industrial silicon (-61%), and lithium carbonate (-40%) [1][6]. - The varieties with high average daily open interest this week are glass (1 million lots), soybean meal (870,000 lots), and soda ash (810,000 lots). The varieties with rapid week - on - week growth in average daily open interest are p - xylene (+54%), styrene (+42%), and asphalt (+41%) [1][6]. 3.2 This Week's Main Data Review of Commodity Options - **Underlying price changes**: The underlying futures of commodity options mainly rose this week. The varieties with high weekly increases include silver (+7.54%), lithium carbonate (+6.15%), and apple (+5.86%); the varieties with high weekly decreases include glass (-5.41%), eggs (-4.60%), and red dates (-4.17%) [2][14]. - **Market volatility**: Most sectors' commodity options' implied volatility increased this week. 21 varieties' current implied volatility is above the 50% quantile of the past year. Varieties with implied volatility at a high level in the past year include silver, methanol, asphalt, apple, and gold; varieties with implied volatility at a low level include ferromanganese, alumina, rubber, and corn [2][14]. - **Option market sentiment**: The trading volume PCR of pulp, ferrosilicon, and cotton is at a historical high, indicating a short - term concentrated bet on a decline; the trading volume PCR of gold, aluminum, lead, and PTA is at a low level in the past year, indicating a concentrated bet on an increase. The open interest PCR of silver, p - xylene, lithium carbonate, and soybean meal is at a historical high, showing a high level of bearish sentiment; the open interest PCR of methanol, plastic, urea, and palm oil is at a low level in the past year, showing a bullish sentiment [2][14]. 3.3 Key Data Overview of Main Varieties This chapter mainly shows the key data of main varieties, including trading volume, volatility, and option market sentiment indicators. More detailed data of other varieties can be found on the Dongzheng Fanci website (https://www.finoview.com.cn/) [19]. - **Energy**: Data on option total turnover, volatility, open interest PCR, and trading volume PCR of crude oil, LPG, asphalt, fuel oil, etc. are presented [15][20]. - **Chemicals**: - **PTA**: Data on option total turnover, volatility, open interest PCR, and trading volume PCR are provided [15][27]. - **Caustic soda**: Similar data for caustic soda are shown [15][36]. - **Glass**: Data related to glass options are presented [15][42]. - **Soda ash**: Key data of soda ash options are provided [15][48]. - **Precious metals**: Data on option total turnover, volatility, open interest PCR, and trading volume PCR of silver are shown [15][54]. - **Ferrous metals**: - **Iron ore**: Data related to iron ore options are presented [15][61]. - **Ferromanganese**: Similar data for ferromanganese are provided [15][69]. - **Non - ferrous metals**: - **Copper**: Data on copper options are shown [15][75]. - **Aluminum**: Key data of aluminum options are provided [15][84]. - **Agricultural products**: - **Soybean meal**: Data related to soybean meal options are presented [15][90]. - **Palm oil**: Similar data for palm oil are provided [15][97]. - **Cotton**: Key data of cotton options are shown [15][105].

Core Insights - The latest statistics from the China Futures Association indicate that in October, the national futures market recorded a trading volume of 603 million contracts and a trading value of 61.22 trillion yuan, representing a year-on-year decrease of 13.26% in volume but an increase of 4.54% in value [1] - From January to October, the cumulative trading volume reached 7.347 billion contracts and the cumulative trading value was 608.84 trillion yuan, showing year-on-year increases of 14.86% in volume and 21.82% in value [1] Trading Performance by Exchange - The top three futures products by trading value are: - Shanghai Futures Exchange: Gold, Silver, Copper - Zhengzhou Commodity Exchange: Glass, Soda Ash, Caustic Soda - Dalian Commodity Exchange: Coking Coal, Palm Oil, Soybean Meal - Guangzhou Futures Exchange: Polysilicon Futures, Lithium Carbonate Futures, Industrial Silicon Futures [1] - The top three futures products by trading volume are: - Shanghai Futures Exchange: Silver, Rebar, Silver Options - Zhengzhou Commodity Exchange: Glass, Soda Ash, PTA - Dalian Commodity Exchange: Soybean Meal, Coking Coal, Corn - Guangzhou Futures Exchange: Lithium Carbonate Futures, Polysilicon Futures, Industrial Silicon Futures [1] Financial Futures Market - The China Financial Futures Exchange reported a trading volume of 23.9351 million contracts for financial futures options, accounting for 3.97% of the national market, with a trading value of 20.51 trillion yuan, representing 33.5% of the national market [1] - The top three products by trading value in the financial futures market are: - CSI 1000 Index Futures - CSI 500 Index Futures - CSI 300 Index Futures [1] Futures Options Listings - As of October 2025, a total of 160 futures options products have been listed in China [1]

1. Report Industry Investment Rating - No information provided in the content 2. Core Viewpoints of the Report - In the past week, the trading volume of commodity options increased slightly, with only the trading volume of the precious metals sector decreasing. Most varieties are in a volatility - reduction cycle, and it is advisable to move short - option positions to far - month contracts in advance to avoid end - of - contract risks [4]. - The options of the black sector showed increased volatility and trading volume. Affected by the decline in iron ore futures prices, the implied volatility of black options has risen. The previous policy - driven boost has basically been realized, and the market trading logic has returned to fundamentals. There is a lack of new macro - drivers, and the upward momentum of prices has been weakened. The implied volatility still has room to rise, and it is advisable to buy a bearish put spread portfolio to hedge against the downward market [4]. 3. Summary According to the Directory 3.1 Market Overview - The trading volume of commodity options increased slightly last week, with the precious metals sector being the only one with a decline in trading volume. Energy and chemical products such as short - fiber, PTA, methanol, glass, crude oil, caustic soda, soda ash, and bottle chips are about to expire on Wednesday. Most varieties are in a volatility - reduction cycle [4]. - The options of the black sector showed increased volatility and trading volume. The implied volatility of black options has risen due to the decline in iron ore futures prices. The previous policy - driven boost has basically been realized, and the market trading logic has returned to fundamentals [4]. 3.2 Market Data 3.2.1 Market Overview - The table shows the quantitative data of commodity options, including the flat - value volatility, 60 - day quantile, Skew, and 60 - day quantile of various varieties such as corn, soybean meal, and crude oil [12]. 3.2.2 - 3.2.54 Option Data of Each Variety - For each variety (such as corn, soybean meal, etc.), the data includes the closing price, trading volume, open interest, trading volume PCR, open interest PCR, flat - value volatility, HV - 10 days, HV - 20 days, and Skew of the main contract, secondary - main contract, and all contracts [13][14][15] etc.

Group 1: Introduction to Volatility Indexes - The financial options implied volatility index reflects the 30 - day implied volatility (IV) trend as of the previous trading day. The commodity options implied volatility index is obtained by weighting the IV of the two - strike options around the at - the - money option of the front - month contract, reflecting the IV change trend of the front - month contract [3] - The difference between the IV index and historical volatility (HV) indicates the relative level of IV to HV. A larger difference means higher IV relative to HV, and a smaller difference means lower IV relative to HV [3] Group 2: Volatility Data Graphs - There are graphs showing the IV, HV, and IV - HV differences for various financial and commodity options, including 300 Index, 50ETF, 1000 Index, 500ETF, and many commodity options such as silver, gold, sugar, cotton, etc. [4] Group 3: Quantile Rankings of Volatility - Implied volatility quantiles represent the current level of a variety's IV in history. A high quantile means the current IV is high, and a low quantile means the IV is low. Volatility spread is related to the IV index and historical volatility [5] - There are rankings of implied volatility quantiles and historical volatility quantiles for different varieties, such as 300 Index with quantiles of 0.89 and 0.74, 300 Index with 0.62, etc. [5][6]

Group 1: Report Overview - The report is a metal options strategy morning report dated November 3, 2025 [1] - It covers various metal options including non - ferrous metals, precious metals, and black metals [8] - Different strategies are proposed for each metal based on market conditions, option factors, etc. [7][9][10] Group 2: Market Conditions of Underlying Futures - Copper (CU2512) is priced at 87,130, down 80 (-0.09%), with a trading volume of 24.44 million lots and an open interest of 25.83 million lots [3] - Aluminum (AL2512) is at 21,415, up 130 (0.61%), with a trading volume of 20.09 million lots and an open interest of 26.69 million lots [3] - Other metals such as zinc, lead, nickel, etc., also have their respective price, trading volume, and open - interest data [3] Group 3: Option Factors Volume and Open Interest PCR - For copper, the volume PCR is 0.55 with a change of 0.14, and the open - interest PCR is 0.75 with no change [4] - Aluminum has a volume PCR of 0.40 with no change and an open - interest PCR of 0.70 with a - 0.07 change [4] Pressure and Support Levels - Copper's pressure point is 90,000 and support point is 82,000 [5] - Aluminum's pressure point is 21,800 and support point is 19,900 [5] Implied Volatility - Copper's average implied volatility of at - the - money options is 21.02%, and the weighted implied volatility is 22.69% with a - 1.95 change [6] - Aluminum's average implied volatility of at - the - money options is 12.77%, and the weighted implied volatility is 13.86% with a - 0.26 change [6] Group 4: Strategies and Recommendations Non - ferrous Metals - **Copper**: Build a bull spread strategy for call options and a short - volatility seller option combination strategy, and also a spot long - hedging strategy [7] - **Aluminum**: Construct a bull spread strategy for call options, a short call + put option combination strategy, and a spot collar strategy [9] Precious Metals - **Gold**: Build a neutral short - volatility option seller combination strategy and a spot hedging strategy [12] Black Metals - **Rebar**: Construct a short call + put option combination strategy and a spot long - covered call strategy [14] - **Iron Ore**: Build a short call + put option combination strategy and a spot long - collar strategy [14]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - This week (October 20 - October 24, 2025), the trading volume of the commodity options market declined slightly, with an average daily trading volume of 6.29 million lots and an average daily open interest of 8.95 million lots, showing a -8.93% and +3.79% change respectively compared to the previous period. It is recommended that investors focus on potential market opportunities in actively traded varieties [1][8]. - This week, most of the underlying futures of commodity options rose, with 45 varieties closing higher for the week. The energy sector had relatively high weekly gains, while precious metals such as silver and gold had relatively high weekly losses. Most sectors, except for agricultural products, saw an increase in the implied volatility of commodity options this week. It is advisable to be vigilant against unilateral risks and pay attention to opportunities for short - selling volatility or buying options with high cost - effectiveness based on different implied volatility levels [2][15]. 3. Summary by Directory 3.1 Commodity Option Market Activity - This week, the average daily trading volume of the commodity options market decreased by 8.93% compared to the previous period, and the average daily open interest increased by 3.79%. Actively traded varieties included silver, styrene, and glass. The trading volume of lead, double - gum paper, and aluminum alloy increased significantly, while that of polysilicon and industrial silicon decreased significantly. In terms of open interest, varieties with high average daily open interest were soybean meal, glass, and soda ash. The open interest of double - gum paper, lead, and short - fiber increased rapidly [1][8]. 3.2 Main Data Review of Commodity Options - **Underlying Price Movements**: 45 varieties of underlying futures of commodity options closed higher this week. The energy sector had high weekly gains, with fuel oil (+7.12%), crude oil (+6.87%), and asphalt (+5.23%) leading the way. Silver (-7.49%) and gold (-6.17%) had high weekly losses [2][15]. - **Market Volatility**: Except for agricultural products, most sectors saw an increase in the implied volatility of commodity options this week. 25 varieties had their current implied volatility above the 50th percentile of the past year. Varieties with implied volatility at a one - year high included crude oil, LPG, asphalt, and fuel oil; those at a one - year low included rapeseed oil, rapeseed meal, and sugar [2][15]. - **Option Market Sentiment**: Varieties such as rapeseed oil, soybean oil, sugar, and live pigs had a high volume PCR, indicating strong short - term bearish sentiment. Aluminum, alumina, nickel, tin, and copper had a low volume PCR, showing concentrated short - term bullish sentiment. Silver, ferrosilicon, manganese silicon, and rapeseed oil had a high open interest PCR, indicating a high level of accumulated bearish sentiment, while asphalt, corn, methanol, and alumina had a low open interest PCR, indicating accumulated bullish sentiment [2][15]. 3.3 Key Data Overview of Main Varieties - This chapter presents key data of main varieties, including trading volume, volatility, and option market sentiment indicators. More detailed data can be found on the Dongzheng Fanwei official website (https://www.finoview.com.cn/) [20]. - **Energy**: Key data such as trading volume, volatility, and option market sentiment indicators of energy varieties like crude oil are presented, with relevant charts provided [21][23][25]. - **Chemicals**: - **PTA**: Key data and relevant charts of PTA are presented [28][29][35]. - **Caustic Soda**: Key data and relevant charts of caustic soda are presented [37][38][40]. - **Glass**: Key data and relevant charts of glass are presented [44][45][46]. - **Soda Ash**: Key data and relevant charts of soda ash are presented [50][51][52]. - **Precious Metals**: Key data and relevant charts of precious metals such as silver are presented [56][57][58]. - **Ferrous Metals**: - **Iron Ore**: Key data and relevant charts of iron ore are presented [62][63][66]. - **Manganese Silicon**: Key data and relevant charts of manganese silicon are presented [70][71][72]. - **Non - Ferrous Metals**: - **Copper**: Key data and relevant charts of copper are presented [77][78][83]. - **Aluminum**: Key data and relevant charts of aluminum are presented [85][86][89]. - **Agricultural Products**: - **Soybean Meal**: Key data and relevant charts of soybean meal are presented [93][95][96]. - **Palm Oil**: Key data and relevant charts of palm oil are presented [100][101][102]. - **Cotton**: Key data and relevant charts of cotton are presented [114][109][110].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - This week (October 13 - October 17, 2025), the trading activity in the commodity options market declined slightly. The average daily trading volume was 6.55 million lots, and the average daily open interest was 8.33 million lots, with环比 changes of -4.94% and -3.47% respectively. Investors are advised to focus on potential market opportunities in actively traded varieties [1][6]. - Most underlying futures of commodity options fell this week, with precious metals and new - energy metals showing relatively high weekly gains, while some varieties like glass, crude oil, and fuel oil had significant weekly losses. The implied volatility of most commodity options increased this week. Different varieties have different implied volatility levels compared to the past year, presenting different trading opportunities. The options market sentiment varies among different varieties, with some showing strong short - term bearish sentiment and others showing concentrated short - term bullish sentiment [2][15][16]. 3. Summary According to Relevant Catalogs 3.1 Commodity Options Market Activity - The average daily trading volume of the commodity options market this week was 6.55 million lots, and the average daily open interest was 8.33 million lots, with环比 changes of -4.94% and -3.47% respectively. Actively traded varieties included silver, polysilicon, and glass. Four varieties had a trading volume increase of over 100%, while some varieties like rapeseed oil, rapeseed meal, and ferrosilicon had significant trading volume declines. High - open - interest varieties were soybean meal, soda ash, and glass, and some varieties like p - xylene, LPG, and ethylene glycol had rapid open - interest growth [1][6]. 3.2 This Week's Main Data Review of Commodity Options 3.2.1 Underlying Price Movements - Most underlying futures of commodity options fell this week, with 44 varieties closing lower. Precious metals and new - energy metals had high weekly gains, such as gold (+10.90%), silver (+10.53%), polysilicon (+6.06%), and lithium carbonate (+3.95%); varieties with high weekly losses included glass (-9.28%), crude oil (-6.23%), and fuel oil (-5.54%) [2][15]. 3.2.2 Market Volatility - The implied volatility of most commodity options increased this week. Fourteen varieties' current implied volatility was above the 60th percentile of the past year. Varieties with high implied volatility included silver, gold, etc., and investors are advised to beware of unilateral risks and consider short - selling volatility opportunities; varieties with low implied volatility included nickel, pulp, etc., where buying options had a relatively high cost - performance [2][15]. 3.2.3 Options Market Sentiment - For some varieties like eggs, soybean meal, etc., the trading volume PCR is at a historical high, indicating strong short - term bearish sentiment. For varieties like gold, polysilicon, etc., the trading volume PCR is at a historical low, showing concentrated short - term bullish sentiment. For some varieties like silver, ferrosilicon, etc., the open - interest PCR is at a historical high, indicating a high level of accumulated bearish sentiment, while for varieties like urea, glass, etc., the open - interest PCR is at a historical low, indicating accumulated bullish sentiment [2][16]. 3.3 Key Data Overview of Main Varieties - This chapter presents key data of main varieties, including trading volume, volatility, and options market sentiment indicators. More detailed data can be found on the Dongzheng Fanwei official website (https://www.finoview.com.cn/) [20]. 3.3.1 Energy - Key data of energy varieties such as crude oil, LPG, asphalt, fuel oil, and natural rubber are presented, including price changes, implied volatility, implied volatility环比 changes, historical percentile of implied volatility, open - interest PCR, trading volume PCR, and expiration time of near - month options [17]. 3.3.2 Chemicals - **PTA**: Key data and related charts of PTA are presented, including trading volume, volatility, open - interest PCR, and trading volume PCR [19][28][29]. - **Caustic Soda**: Key data and related charts of caustic soda are presented, including trading volume, volatility, open - interest PCR, and trading volume PCR [19][38][39]. - **Glass**: Key data and related charts of glass are presented, including trading volume, volatility, open - interest PCR, and trading volume PCR [19][45][46]. - **Soda Ash**: Key data and related charts of soda ash are presented, including trading volume, volatility, open - interest PCR, and trading volume PCR [19][53][54]. 3.3.3 Precious Metals - Key data and related charts of precious metals such as silver and gold are presented, including trading volume, volatility, open - interest PCR, and trading volume PCR [19][61][62]. 3.3.4 Ferrous Metals - **Iron Ore**: Key data and related charts of iron ore are presented, including trading volume, volatility, open - interest PCR, and trading volume PCR [19][69][70]. - **Silicomanganese**: Key data and related charts of silicomanganese are presented, including trading volume, volatility, open - interest PCR, and trading volume PCR [19][78][79]. 3.3.5 Non - Ferrous Metals - **Copper**: Key data and related charts of copper are presented, including trading volume, volatility, open - interest PCR, and trading volume PCR [19][86][87]. - **Aluminum**: Key data and related charts of aluminum are presented, including trading volume, volatility, open - interest PCR, and trading volume PCR [19][94][95]. 3.3.6 Agricultural Products - **Soybean Meal**: Key data and related charts of soybean meal are presented, including trading volume, volatility, open - interest PCR, and trading volume PCR [19][100][102]. - **Palm Oil**: Key data and related charts of palm oil are presented, including trading volume, volatility, open - interest PCR, and trading volume PCR [19][107][108]. - **Cotton**: Key data and related charts of cotton are presented, including trading volume, volatility, open - interest PCR, and trading volume PCR [19][115][116].