金属期权 2025-08-28 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）有色金属偏弱震荡，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）贵金属高位盘整震荡有所回落，构建现货避险策略。 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 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | （%） | (万手) | ...

金属期权 2025-08-26 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）有色金属偏弱震荡，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）贵金属高位盘整震荡有所回落，构建现货避险策略。 | 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 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | （ ...

本文由 AI 算法生成，仅作参考，不涉投资建议，使用风险自担 【本周多类商品期权隐含波动率下降，市场情绪降温】截至本周五收盘，原油期权隐含波动率为 28.91%，较一周前下降4.35%；碳酸锂期权隐含波动率42.69%，较一周前下降5.54%。 螺纹钢期权隐含 波动率11.35%，较一周前下降0.46%；纯碱期权隐含波动率18.20%，较一周前下降1.48%。 黄金期权隐 含波动率15.51%，较一周前下降0.25%；白银期权隐含波动率18.06%，较一周前下降0.21%。 棕榈油期 权隐含波动率15.61%，较一周前上升0.14%；豆油期权隐含波动率21.60%，较一周前上升2.06%。 菜油 期权隐含波动率19.84%，较一周前下降0.35%；橡胶期权隐含波动率12.69%，较一周前下降2.85%。 本 周，商品期权成交量较上周大幅下降24.45%，持仓量较上周下降24.29%。市场情绪较上周显著降温， 期权隐含波动率普遍下降。 碳酸锂、纯碱期权隐含波动率较上周五下降均超4个百分点，目前分别处于 历史60%-70%、30%-40%分位数水平。 【免责声明】本文仅代表作者本人观点，与和讯网无关。和讯网站对文 ...

商品期权周报 I 2025/08/18—2025/08/22 隐波下降，市场震荡回落 本周摘要 波动率方面，截至本周五收盘，原油期权隐含波动率 28.91%,较 一周前下降-4.35%。碳酸锂期权隐含波动率 42.69%,较一周前下 降-5.54%。螺纹钢期权隐含波动率 11.35%,较一周前下降- 0.46%。纯碱期权隐含波动率 18.20%,较一周前下降-1.48%。黄 金期权隐含波动率 15.51%,较一周前下降-0.25%,较一周前下降- 1.48%。白银期权隐含波动率 18.06%,较一周前下降-0.21%。棕 榈油期权隐含波动率 15.61%,较一周前上升 0.14%。豆油期权隐 含波动率 21.60%,较一周前上升 2.06%。菜油期权隐含波动率 19.84%,较一周前下降-0.35%。橡胶期权隐含波动率 12.69%,较 一周前下降-2.85%。 本周商品期权成交量较上周大幅下降 24.45%，持仓量较上周下 降 24.29%。本周商品期权市场情绪较上周显著降温，期权隐含 波动率普遍下降。碳酸锂、纯碱期权隐含波动率较上周五下降均 超 4 个百分点，目前分别处于历史 60%-70%，30%-40 ...

Group 1: Report Summary - The report is a metal options strategy morning report dated August 25, 2025, covering有色金属, precious metals, and black metals [1][2] - The overall strategy suggestions are to construct a seller neutral volatility strategy for non - ferrous metals in a weak shock, a short - volatility combination strategy for black metals with large fluctuations, and a spot hedging strategy for precious metals in a high - level consolidation [2] Group 2: Market Overview Futures Market - The latest prices, price changes, trading volumes, and open interest changes of various metal futures contracts are presented. For example, the latest price of copper (CU2510) is 79,120, up 420 (0.53%); the latest price of aluminum (AL2510) is 20,755, up 85 (0.41%) [3] Option Factors - **Volume and Open Interest PCR**: These indicators are used to describe the strength of the option underlying market and the turning point of the market. For example, the volume PCR of copper is 0.73, down 0.04; the open interest PCR is 0.85, down 0.02 [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 80,000 and the support point is 78,000 [5] - **Implied Volatility**: It includes at - the - money implied volatility, weighted implied volatility, etc. For example, the weighted implied volatility of copper is 15.17%, up 0.50% [6] Group 3: Strategy Suggestions for Different Metals Non - ferrous Metals - **Copper**: The fundamental situation shows that the inventory of the three major exchanges decreased by 0.04 million tons. The option strategy suggests constructing a short - volatility seller option combination strategy and a spot long - position hedging strategy [7] - **Aluminum/Alumina**: The domestic aluminum ingot social inventory increased by 0.8 million tons last week. The option strategy includes constructing a short - neutral call + put option combination strategy and a spot collar strategy [9] - **Zinc/Lead**: Zinc concentrate port and factory inventories are given. The option strategy is to construct a short - neutral call + put option combination strategy and a spot collar strategy [9] - **Nickel**: The spot market shows that traders have a strong willingness to hold prices. The option strategy includes constructing a short - bearish call + put option combination strategy and a spot covered call strategy [10] - **Tin**: The terminal demand increased slightly, and the inventory decreased significantly. The option strategy is to construct a short - volatility strategy and a spot collar strategy [10] - **Lithium Carbonate**: The domestic weekly inventory decreased by 0.5%. The option strategy includes constructing a short - neutral call + put option combination strategy and a spot long - position hedging strategy [11] Precious Metals - **Gold/Silver**: Powell's speech indicates the start of a new interest - rate cut cycle. The option strategy for gold is to construct a neutral short - volatility option seller combination strategy and a spot hedging strategy [12] Black Metals - **Rebar**: The social and factory inventories of rebar increased. The option strategy includes constructing a short - bearish call + put option combination strategy and a spot long - position covered call strategy [13] - **Iron Ore**: The inventory of imported iron ore in 47 ports increased. The option strategy is to construct a short - neutral call + put option combination strategy and a spot long - position collar strategy [13] - **Ferroalloys**: For manganese silicon, the production increased and the inventory decreased. The option strategy is to construct a short - volatility strategy [14] - **Industrial Silicon/Polysilicon**: The industrial silicon inventory remained high. The option strategy includes constructing a short - volatility call + put option combination strategy and a spot hedging strategy [14] - **Glass**: The total inventory of float glass enterprises increased. The option strategy is to construct a short - volatility call + put option combination strategy and a spot long - position collar strategy [15] Group 4: Charts - There are price trend charts, option trading volume and open interest charts, option factor charts (such as PCR, implied volatility) for various metals, including copper, aluminum, zinc, etc. These charts visually present the market conditions and option factors of each metal [18][20][26]

Group 1: Implied Volatility Index and Its Calculation - The implied volatility index of financial options reflects the 30 - day implied volatility (IV) trend as of the previous trading day. The implied volatility index of commodity options is obtained by weighting the IV of the two strike - prices above and below the at - the - money option of the front - month contract, reflecting the IV change trend of the front - month contract [2] - 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 [2] Group 2: Implied Volatility and Historical Volatility Difference Graph - The document presents graphs showing the IV, HV, and IV - HV differences for various financial and commodity options, including 300 - stock index, 50ETF, 1000 - stock index, 500ETF, and many commodity options such as soybeans, corn, sugar, cotton, etc [3] Group 3: Implied Volatility Quantile and Volatility Spread Quantile Ranking - 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 current IV is low. The volatility spread is calculated as the IV index minus the historical volatility [4] - The implied volatility quantile rankings are provided for different options, such as 50ETF with a quantile of 0.79, 300 - stock index with 0.80, iron ore with 0.37, PVC with 0.46, etc [5][7]

金属期权 2025-08-22 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 | 表2：期权因子—量仓PCR | 期权品种 | 成交量 | 量变化 | 持仓量 | 仓变化 | 成交量 | 量PCR | 持仓量 | 仓PCR | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | | PCR | 变化 | PCR | 变化 | | 铜 | 78,247 | -4,389 | 118,896 | -300 | 0.77 | -0.16 | 0.87 | -0.01 | | 铝 | 48,439 ...

Report Summary 1. Investment Rating The report does not provide an overall investment rating for the metal options industry. 2. Core Viewpoints - The non - ferrous metals are in a weak and volatile state, and a seller's neutral volatility strategy is recommended. - The black metals show significant fluctuations, and a short - volatility portfolio strategy is suitable. - The precious metals are consolidating at high levels with a slight decline, and a spot hedging strategy is advised [2]. 3. Summary by Relevant Catalogs 3.1. Futures Market Overview - **Copper (CU2510)**: The latest price is 78,700, up 150 (0.19%). The trading volume is 4.84 million lots (up 2.48 million lots), and the open interest is 13.98 million lots (up 0.18 million lots) [3]. - **Aluminum (AL2510)**: The latest price is 20,565, up 75 (0.37%). The trading volume is 12.82 million lots (up 2.30 million lots), and the open interest is 22.80 million lots (down 0.67 million lots) [3]. - Other metals such as zinc, lead, nickel, etc., also have detailed price, trading volume, and open - interest data provided in the report [3]. 3.2. Option Factors - Volume and Open Interest PCR - **Copper**: The volume PCR is 0.93 (up 0.19), and the open - interest PCR is 0.88 (up 0.07) [4]. - **Aluminum**: The volume PCR is 1.26 (up 0.09), and the open - interest PCR is 0.91 (unchanged) [4]. 3.3. Option Factors - Pressure and Support Levels - **Copper**: The pressure point is 80,000, and the support point is 78,000 [5]. - **Aluminum**: The pressure point is 20,800, and the support point is 20,000 [5]. 3.4. Option Factors - Implied Volatility - **Copper**: The at - the - money implied volatility is 8.38%, and the weighted implied volatility is 13.00% (down 0.73%) [6]. - **Aluminum**: The at - the - money implied volatility is 9.10%, and the weighted implied volatility is 12.07% (down 0.58%) [6]. 3.5. Strategy and Recommendations - **Non - ferrous Metals (e.g., Copper)**: - **Fundamentals**: The combined inventory of the three major exchanges increased by 0.7 million tons, with the SHFE inventory increasing by 0.4 million tons to 8.6 million tons [7]. - **Market Analysis**: Since June, it has shown a bullish trend, with a high - level consolidation pattern since August [7]. - **Option Strategy**: Build a short - volatility seller's option portfolio strategy and a spot long - hedging strategy [7]. - **Precious Metals (e.g., Gold)**: - **Fundamentals**: The US CPI and core CPI data in July have different year - on - year and month - on - month changes [12]. - **Market Analysis**: Shanghai gold has been in a high - level consolidation and decline recently [12]. - **Option Strategy**: Construct a neutral short - volatility option seller's portfolio strategy and a spot hedging strategy [12]. - **Black Metals (e.g., Rebar)**: - **Fundamentals**: The social inventory of rebar increased by 6.8% week - on - week, and the factory inventory increased by 2.4% week - on - week [13]. - **Market Analysis**: Since June, it has been in a low - level consolidation and then a rebound, followed by a decline recently [13]. - **Option Strategy**: Build a bear - spread option strategy, a short - volatility strategy, and a spot long - covered call strategy [13].

Key Points of the Report Core Concepts - The implied volatility index of financial options reflects the 30 - day implied volatility trend as of the previous trading day. The implied volatility index of commodity options is obtained by weighting the implied volatilities of the two - point - up and - down options at the at - the - money strike price of the main contract month, reflecting the implied volatility change trend of the main contract [2]. - The difference between the implied volatility index and historical volatility shows the relative level of implied volatility to historical volatility. A larger difference means the implied volatility is relatively higher, and a smaller difference means it is relatively lower [2]. - The implied volatility quantile represents the current implied volatility level of a variety in history. A high quantile means the current implied volatility is high, and a low quantile means it is low. The volatility spread is the implied volatility index minus the historical volatility [4]. Implied Volatility and Historical Volatility Data - The report presents the implied volatility (IV), historical volatility (HV), and their differences (IV - HV) of various options, including 300 Index, 50ETF, 1000 Index, 500ETF, and many commodity options such as soybean meal, corn, sugar, cotton, etc. [3] Implied Volatility Quantile and Volatility Spread Quantile Ranking - The report shows the ranking of implied volatility quantiles and historical volatility quantiles of different varieties, such as 300 Index, PVC, PTA, corn, etc. [4][5]

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - For non - ferrous metals, construct a seller neutral volatility strategy as they are in a weak and volatile state [2] - For the black series, build a short - volatility combination strategy due to their large - amplitude fluctuations [2] - For precious metals, construct a spot hedging strategy as they are consolidating at high levels and have declined [2] 3. Summary by Relevant Catalogs 3.1 Futures Market Overview - The latest prices, price changes, trading volumes, and open interest changes of 17 metal futures contracts including copper, aluminum, and zinc are presented [3] 3.2 Option Factors - Volume and Open Interest PCR - The volume PCR and open interest PCR of various metal options are provided, which are used to describe the strength of options underlying market trends and the turning points of the underlying market trends respectively [4] 3.3 Option Factors - Pressure and Support Levels - From the perspective of the strike prices with the largest open interest of call and put options, the pressure and support levels of various metal options are given [5] 3.4 Option Factors - Implied Volatility - The implied volatility data of various metal options are presented, including at - the - money implied volatility, weighted implied volatility, and the difference between implied and historical volatility [6] 3.5 Strategy and Recommendations 3.5.1 Non - ferrous Metals - **Copper**: Build a short - volatility seller option portfolio strategy and a spot long - hedging strategy [7] - **Aluminum/Alumina**: Construct a short - neutral call + put option combination strategy and a spot collar strategy [9] - **Zinc/Lead**: Build a short - neutral call + put option combination strategy and a spot collar strategy [9] - **Nickel**: Construct a short - bearish call + put option combination strategy and a spot covered - call strategy [10] - **Tin**: Build a short - volatility strategy and a spot collar strategy [10] - **Lithium Carbonate**: Construct a short - bullish call + put option combination strategy and a spot long - hedging strategy [11] 3.5.2 Precious Metals - **Gold/Silver**: Build a neutral short - volatility option seller combination strategy and a spot hedging strategy [12] 3.5.3 Black Series - **Rebar**: Construct a bearish call spread strategy, a short - bearish call + put option combination strategy, and a spot covered - call strategy [13] - **Iron Ore**: Build a short - bearish call + put option combination strategy and a spot collar strategy [13] - **Ferroalloys**: Build a short - volatility strategy for manganese silicon [14] - **Industrial Silicon/Polysilicon**: Construct a short - volatility call + put option combination strategy and a spot hedging strategy [14] - **Glass**: Build a bearish call spread strategy, a short - volatility call + put option combination strategy, and a spot collar strategy [15] 3.6 Charts - Price charts, option volume and open interest charts, PCR charts, implied volatility charts, historical volatility cone charts, and pressure and support level charts of various metals such as copper, aluminum, and zinc are provided [18][38][57]