金属期权 2025-11-27 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 | | --- | 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 | | --- | --- | --- | --- | --- | --- | --- | --- | --- ...

数据来源：WIND、五矿期货期权服务部 金属期权研究 表2：期权因子—量仓PCR 金属期权 2025-11-26 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 | | --- | --- | --- | --- | --- | --- | -- ...

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 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | （%） ...

Core Viewpoint - The article discusses the rising copper prices and how manufacturing companies, particularly Zhejiang-based Zhengtai Electric, are utilizing flexible hedging strategies to mitigate the risks associated with price fluctuations [1][2]. Group 1: Copper Price Trends - Copper prices have been on a significant upward trend, with Shanghai copper futures surpassing 86,000 yuan/ton, marking a near-high level [1]. - The price of copper has increased from approximately 72,000 yuan/ton in early April to over 86,000 yuan/ton by early November [4]. Group 2: Hedging Strategies - Zhengtai Electric has implemented flexible hedging strategies to convert price volatility risks into cost reduction and efficiency gains, achieving hundreds of thousands of yuan in option premium income in a single quarter [2][4]. - The company initiated its hedging business in 2021, initially focusing on futures tools and later exploring options tools to create a more flexible and refined risk management system [3]. Group 3: Option Strategy Effectiveness - In the third quarter of this year, Zhengtai Electric sold put options corresponding to 8,000 tons of copper, generating over 6 million yuan in premium income, while copper prices remained within the 78,000-81,500 yuan/ton range [4]. - The company designed a "cash-settled put option" strategy to optimize costs while retaining the right to purchase at lower prices, effectively managing risks associated with price fluctuations [5]. Group 4: Risk Management Insights - The company has developed three mature strategies for options: selling put options to optimize costs in a volatile market, bull spread strategies to control expenses during moderate price increases, and covered call strategies to enhance returns while holding futures [6]. - Key lessons learned include the importance of market analysis capabilities, prioritizing risk control, adopting a gradual innovation approach, and using a combination of tools for effective risk management [6].

Core Insights - Copper prices have been rising significantly, with Shanghai copper futures surpassing 86,000 yuan/ton, impacting the manufacturing sector's cost structure [1] - Companies like Chint Electric are utilizing flexible hedging strategies to convert price volatility into cost reduction and efficiency gains [1][2] Group 1: Company Overview - Chint Electric is a leading enterprise in China's low-voltage electrical industry, covering various solutions including distribution, control, and power electrical systems, with a market presence in over 140 countries [2] - The company has adopted a procurement settlement mechanism based on "weekly average + floating trigger pricing" to manage the significant cost share of raw materials like copper and silver [2] Group 2: Hedging Strategies - Since 2021, Chint Electric has initiated hedging operations, initially focusing on futures and later incorporating options to create a more flexible risk management system [2][3] - The company implemented a "cash-settled put option" strategy to manage copper price fluctuations, allowing for cost optimization while maintaining the ability to purchase at lower prices if the market declines [3][4] Group 3: Results and Effectiveness - In Q3 2025, Chint Electric sold put options corresponding to 8,000 tons of copper, generating approximately 6 million yuan in premium income, while copper prices remained stable between 78,000 and 81,500 yuan/ton [4] - The use of options has allowed the company to optimize costs in a fluctuating market while retaining purchasing flexibility [4][5] Group 4: Lessons Learned - Chint Electric has identified four key lessons in utilizing options as a hedging tool: market analysis capability, prioritizing risk control, a gradual innovation approach, and the combination of tools for effective risk management [6] - The company emphasizes strict risk control, ensuring that option positions remain within hedging needs and that margin usage does not exceed 50% of total account funds [6]

Core Insights - The price of copper has been rising significantly, with Shanghai copper futures surpassing 86,000 yuan/ton, impacting the manufacturing sector [1] - Companies like Chint Electric are utilizing flexible hedging strategies to convert price volatility risks into cost reduction and efficiency gains [1][2] Group 1: Company Strategies - Chint Electric has adopted a procurement settlement mechanism of "weekly average + floating trigger adjustment" to stabilize supply chains while managing cost control amidst price fluctuations [2] - Since 2021, Chint Electric has initiated hedging operations, initially focusing on futures and later exploring options to create a more flexible risk management system [2][3] Group 2: Options Strategy Effectiveness - Chint Electric has implemented a "cash-settled put option" strategy to manage copper price fluctuations, allowing for cost optimization while retaining the ability to purchase at lower prices if the market drops [3][4] - The strategy has proven effective, with the company selling put options corresponding to 8,000 tons of copper and generating approximately 6 million yuan in premium income during a period of price stability [4] Group 3: Risk Management and Experience - Chint Electric has developed three mature strategies for options: selling put options for cost optimization, bull spread strategies for moderate price increases, and covered call strategies to enhance returns while holding futures [5] - The company emphasizes the importance of market analysis, risk control, gradual innovation, and the combined use of financial tools in its approach to options trading [6]

1. Report Industry Investment Rating - Not provided in the given content 2. Core Viewpoints of the Report - For non - ferrous metals, a seller neutral volatility strategy can be constructed as they are trending upwards; for black metals, a short - volatility portfolio strategy is suitable due to their large - amplitude fluctuations; for precious metals, a bull spread portfolio strategy can be built as they are rebounding [2] 3. Summary by Relevant Catalogs 3.1 Futures Market Overview - The latest prices, price changes, trading volumes, and open interest of various metal futures contracts are presented, including copper, aluminum, zinc, etc. For example, the latest price of copper (CU2601) is 85,930, with a price increase of 10 and a trading volume of 7.33 million lots [3] 3.2 Option Factors - Volume and Open Interest PCR - The volume PCR and open interest PCR of different metal options are provided, which are used to describe the strength of the option underlying market and the turning point of the underlying market respectively. For instance, the volume PCR of copper options is 0.90, with a change of - 0.06 [4] 3.3 Option Factors - Pressure and Support Levels - The pressure points, support points, and the maximum open interest of call and put options for each metal option are given. For example, the pressure point of copper options is 90,000, and the support point is 84,000 [5] 3.4 Option Factors - Implied Volatility - The at - the - money implied volatility, weighted implied volatility, and other implied volatility indicators of each metal option are presented, along with their changes and the differences between implied and historical volatilities. For example, the at - the - money implied volatility of copper options is 13.36% [6] 3.5 Strategy and Recommendations Non - ferrous Metals - Copper: Build a short - volatility seller option portfolio strategy and a spot long - hedging strategy, and the underlying shows a high - level consolidation and rebound trend [7] - Aluminum: Construct a bull spread portfolio strategy, a sell - biased long call + put option combination strategy, and a spot collar strategy, and the underlying shows a bullish high - level consolidation trend [9] - Zinc: Build a sell - neutral call + put option combination strategy and a spot collar strategy, and the underlying shows a warming - up trend with resistance [9] - Nickel: Construct a sell - bearish call + put option combination strategy and a spot covered strategy, and the underlying shows a bearish consolidation trend [10] - Tin: Build a short - volatility strategy and a spot collar strategy, and the underlying shows a short - term high - level consolidation trend [10] - Lithium Carbonate: Construct a bull spread portfolio strategy, a sell - bullish call + put option combination strategy, and a spot long - hedging strategy, and the underlying shows a recent bullish trend [11] Precious Metals - Gold: Build a neutral short - volatility option seller portfolio strategy and a spot hedging strategy, and the underlying shows a bullish trend with high - level consolidation [12] Black Metals - Rebar: Build a sell - bearish call + put option combination strategy and a spot covered strategy, and the underlying shows a bearish trend with resistance [13] - Iron Ore: Build a sell - bearish call + put option combination strategy and a spot long - collar strategy, and the underlying shows a bearish consolidation trend [13] - Ferroalloys (Manganese Silicon and Industrial Silicon): Build short - volatility strategies and corresponding spot hedging strategies, and the underlying shows a bearish trend with resistance [14] - Glass: Build a bear spread portfolio strategy, a short - volatility sell call + put option combination strategy, and a spot long - collar strategy, and the underlying shows a bearish trend with resistance [15]

Report Summary 1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints - The metal sector is divided into non - ferrous metals, precious metals, and black metals. For non - ferrous metals, a neutral volatility selling strategy can be constructed; for black metals, a short - volatility combination strategy is suitable; for precious metals, a bull spread combination strategy can be built [2]. - For each metal variety, the report provides investment strategies based on fundamental analysis, market trend analysis, and option factor research [7][9][10]. 3. Summary by Related Catalogs 3.1 Futures Market Overview - Presents the latest prices, price changes, trading volumes, and open interest of various metal futures contracts, including copper, aluminum, zinc, etc [3]. 3.2 Option Factor - Quantity and Open Interest PCR - The PCR indicators (quantity PCR and open interest PCR) are used to describe the strength of the option underlying market and the turning points of the underlying market [4]. 3.3 Option Factor - Pressure and Support Levels - Shows the pressure and support levels of various metal options based on the strike prices of the maximum open interest of call and put options [5]. 3.4 Option Factor - Implied Volatility - Displays the implied volatility data of various metal options, including at - the - money implied volatility, weighted implied volatility, etc [6]. 3.5 Strategy and Recommendations - **Non - Ferrous Metals** - **Copper**: Due to the expected decline in apparent consumption and the increase in total inventory, a short - volatility seller option combination strategy and a spot long - hedging strategy are recommended [7]. - **Aluminum**: Given the inventory changes and market trends, a bull spread combination strategy and a short - option combination strategy are suggested [9]. - **Zinc**: With inventory and market conditions, a short - neutral option combination strategy and a spot collar strategy are proposed [9]. - **Nickel**: Considering the supply - demand situation and market trends, a short - bearish option combination strategy and a spot covered strategy are recommended [10]. - **Tin**: Due to the slow resumption of production and supply shortages, a short - volatility strategy and a spot collar strategy are suggested [10]. - **Lithium Carbonate**: Based on inventory reduction and market trends, a short - neutral option combination strategy and a spot long - hedging strategy are recommended [11]. - **Precious Metals** - **Gold**: Considering the Fed's interest rate policy and market trends, a short - neutral volatility option seller combination strategy and a spot hedging strategy are proposed [12]. - **Black Metals** - **Rebar**: Given the production and market trends, a short - bearish option combination strategy and a spot long - covered strategy are recommended [13]. - **Iron Ore**: Based on inventory and market trends, a short - bearish option combination strategy and a spot long - collar strategy are suggested [13]. - **Ferroalloy (Manganese Silicon)**: Considering production and market trends, a short - volatility strategy is recommended [14]. - **Industrial Silicon**: Based on production and market trends, a short - volatility option combination strategy and a spot hedging strategy are proposed [14]. - **Glass**: Given the production and inventory situation, a short - volatility option combination strategy and a spot long - collar strategy are recommended [15]. 3.6 Charts - Provide price charts, trading volume, and open interest charts, PCR charts, implied volatility charts, and historical volatility cone charts for various metal options such as copper, aluminum, zinc, etc [16][37][55]

Group 1: Report Overview - The report is a metal option strategy morning report dated November 10, 2025, covering有色金属, precious metals, and black metals [1][2] - It provides option strategies and suggestions for selected metal varieties based on market analysis and option factor research [8] Group 2: Market Conditions Futures Market - The latest prices, changes, trading volumes, and open interests of various metal futures contracts are presented, showing different trends in each metal [3] Option Factors - The volume and open interest PCR, pressure and support levels, implied volatility, and historical volatility of each metal option are analyzed, providing insights into market sentiment and risk [4][5][6] Group 3: Option Strategies Non - ferrous Metals - **Copper**: Build a short - volatility seller option portfolio and a spot hedging strategy [7] - **Aluminum**: Construct a bull spread of call options, a short call + put option portfolio, and a spot collar strategy [9] - **Zinc**: Build a short neutral call + put option portfolio and a spot collar strategy [9] - **Nickel**: Construct a short bearish call + put option portfolio and a spot covered call strategy [10] - **Tin**: Build a short - volatility strategy and a spot collar strategy [10] - **Lithium Carbonate**: Construct a short neutral call + put option portfolio and a spot long + put + call option strategy [11] Precious Metals - **Gold**: Build a short - volatility neutral option seller portfolio and a spot hedging strategy [12] Black Metals - **Rebar**: Build a short bearish call + put option portfolio and a spot covered call strategy [13] - **Iron Ore**: Build a short bearish call + put option portfolio and a spot collar strategy [13] - **Ferro - alloy**: Build a short - volatility strategy for manganese silicon [14] - **Industrial Silicon**: Build a short - volatility call + put option portfolio and a spot hedging strategy [14] - **Glass**: Build a short - volatility call + put option portfolio and a spot collar strategy [15] Group 4: Charts - Charts of price trends, option volume and open interest, PCR, implied volatility, and historical volatility for various metals are provided, visually presenting market changes [19][21][27][38][40][46]

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.