报告核心观点 - 有色金属区间震荡，构建卖方中性波动率策略 [2] - 黑色系维持大幅度波动行情走势，适合构建做空波动率组合策略 [2] - 贵金属高位回落连续大幅下跌，构建现货避险策略 [2] 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（万手） | 量变化 | 持仓量（万手） | 仓变化 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 铜 | CU2512 | 87,270 | -1,220 | -1.38 | 25.45 | 5.68 | 28.15 | -0.87 | | 铝 | AL2512 | 21,265 | 0 | 0.00 | 16.86 | 1.68 | 27.60 | -0.73 | | 锌 | ZN2512 | 22,390 | -30 | -0.13 | 11.11 | -0.31 | 11.98 | 0.09 | | 铅 | PB2512 | 17,375 | 15 | 0.09 | 3.95 | -0.69 | 6.93 | -0.42 | | 镍 | NI2512 | 120,760 | -480 | -0.40 | 9.91 | -1.01 | 10.79 | -0.18 | | 锡 | SN2512 | 282,840 | -1,850 | -0.65 | 7.43 | -0.36 | 3.85 | -0.26 | | 氧化铝 | AO2512 | 2,796 | -24 | -0.85 | 1.38 | 0.26 | 1.57 | -0.03 | | 黄金 | AU2512 | 920.40 | 10.08 | 1.11 | 41.21 | 4.89 | 16.36 | -0.51 | | 白银 | AG2512 | 11,448 | 166 | 1.47 | 82.09 | 7.30 | 28.32 | -2.12 | | 碳酸锂 | LC2512 | 83,260 | 980 | 1.19 | 4.08 | 0.52 | 8.17 | -0.07 | | 工业硅 | SI2512 | 9,185 | 100 | 1.10 | 6.16 | 1.29 | 10.52 | -1.22 | | 多晶硅 | PS2512 | 55,020 | -50 | -0.09 | 4.56 | -1.63 | 6.43 | -0.43 | | 螺纹钢 | RB2601 | 3,108 | -13 | -0.42 | 144.10 | 20.14 | 189.49 | 0.09 | | 铁矿石 | I2601 | 795.50 | -9.00 | -1.12 | 32.59 | -2.86 | 55.15 | 0.87 | | 锰硅 | SM2512 | 5,826 | 24 | 0.41 | 4.61 | -3.62 | 1.68 | -0.24 | | 硅铁 | SF2512 | 5,542 | -26 | -0.47 | 3.58 | 0.28 | 2.99 | -0.48 | | 玻璃 | FG2512 | 1,106 | -5 | -0.45 | 4.97 | 1.59 | 2.81 | -0.03 | [3] 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PCR | 量PCR变化 | 持仓量PCR | 仓PCR变化 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 铜 | 198,863 | 49,918 | 133,684 | 10,775 | 0.41 | 0.03 | 0.75 | 0.00 | | 铝 | 43,001 | 188 | 71,558 | 1,871 | 0.40 | 0.03 | 0.77 | 0.05 | | 锌 | 20,355 | -619 | 28,855 | 1,892 | 0.47 | 0.04 | 0.73 | 0.04 | | 铅 | 10,589 | 3,908 | 10,348 | 1,257 | 0.50 | -0.03 | 0.62 | -0.00 | | 镍 | 33,910 | 3,391 | 40,453 | 3,090 | 0.39 | -0.18 | 0.54 | -0.04 | | 锡 | 14,104 | -8,304 | 13,919 | 876 | 0.44 | 0.23 | 0.63 | 0.01 | | 氧化铝 | 112,516 | 44,889 | 111,578 | 11,633 | 0.30 | 0.02 | 0.32 | 0.01 | | 黄金 | 170,123 | 13,994 | 161,740 | 4,502 | 0.63 | -0.14 | 0.72 | 0.01 | | 白银 | 340,978 | -3,442 | 315,244 | 10,191 | 0.84 | 0.03 | 1.20 | -0.05 | | 碳酸锂 | 397,331 | 121,076 | 279,132 | 17,329 | 0.52 | -0.01 | 0.60 | 0.03 | | 工业硅 | 311,925 | 123,232 | 134,249 | 11,680 | 0.46 | 0.08 | 0.63 | 0.07 | | 多晶硅 | 290,527 | -29,860 | 200,626 | 12,440 | 0.58 | -0.06 | 1.19 | -0.06 | | 螺纹钢 | 120,456 | 43,246 | 290,810 | -5,121 | 0.69 | 0.28 | 0.52 | 0.00 | | 铁矿石 | 180,200 | -890 | 319,393 | 8,251 | 1.57 | 0.36 | 1.43 | 0.02 | | 锰硅 | 87,257 | -1497 | 123,693 | 5,199 | 0.36 | -0.02 | 0.72 | -0.01 | | 硅铁 | 71,402 | 11,822 | 70,716 | 1,962 | 0.59 | -0.01 | 0.96 | 0.05 | | 玻璃 | 803,057 | 166,350 | 923,828 | 64,959 | 0.55 | 0.13 | 0.40 | 0.00 | [4] 期权因子 - 压力位和支撑位 | 期权品种 | 标的合约 | 平值行权价 | 压力点 | 压力点偏移 | 支撑点 | 支撑点偏移 | 购最大持仓 | 沽最大持仓 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 铜 | CU2512 | 88,000 | 90,000 | 0 | 80,000 | -2,000 | 16,489 | 7,199 | | 铝 | AL2512 | 21,200 | 21,800 | 0 | 19,900 | 0 | 6,968 | 4,037 | | 锌 | ZN2512 | 22,400 | 22,800 | 0 | 22,000 | 0 | 2,414 | 2,011 | | 铅 | PB2512 | 17,400 | 18,000 | 0 | 16,400 | 0 | 1,140 | 491 | | 镍 | NI2512 | 120,000 | 124,000 | 0 | 120,000 | 0 | 3,964 | 2,687 | | 锡 | SN2512 | 285,000 | 335,000 | 0 | 270,000 | 0 | 1,265 | 823 | | 氧化铝 | AO2512 | 2,800 | 3,000 | 0 | 2,750 | 0 | 9,768 | 2,264 | | 黄金 | AU2512 | 912 | 1,000 | 0 | 800 | 0 | 12,369 | 7,747 | | 白银 | AG2512 | 11,300 | 12,000 | 0 | 10,000 | 0 | 25,597 | 29,337 | | 碳酸锂 | LC2512 | 83,000 | 100,000 | 0 | 75,000 | 0 | 16,818 | 9,495 | | 工业硅 | SI2512 | 9,200 | 9,500 | -500 | 8,800 | 300 | 6,272 | 5,630 | | 多晶硅 | PS2512 | 55,000 | 60,000 | -6,000 | 50,000 | 0 | 17,713 | 20,107 | | 螺纹钢 | RB2601 | 3,100 | 3,700 | 0 | 3,000 | 0 | 31,883 | 17,545 | | 铁矿石 | I2601 | 800 | 900 | 0 | 700 | 0 | 20,733 | 25,290 | | 锰硅 | SM2512 | 5,800 | 6,000 | 0 | 5,700 | 0 | 8,072 | 3,918 | | 硅铁 | SF2512 | 5,500 | 5,800 | 0 | 5,300 | 0 | 1,912 | 2,742 | | 玻璃 | FG2512 | 1,100 | 1,200 | 0 | 1,040 | 40 | 48,072 | 22,959 | [5] 期权因子 - 隐含波动率(%) | 期权品种 | 平值隐波率 | 加权隐波率 | 加权隐波率变化 | 年平均 | 购隐波率 | 沽隐波率 | HISV20 | 隐历波动率差 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 铜 | 22.45 | 24.64 | -0.42 | 18.54 | 26.04 | 21.23 | 23.08 | -0.63 | | 铝 | 12.18 | 14.11 | 0.00 | 12.57 | 14.67 | 12.72 | 12.14 | 0.04 | | 锌 | 11.05 | 13.25 | -0.19 | 15.30 | 13.79 | 12.11 | 13.25 | -2.21 | | 铅 | 12.67 | 14.87 | 0.27 | 15.44 | 15.66 | 13.29 | 12.92 | -0.25 | | 镍 | 12.57 | 17.39 | -0.49 | 25.15 | 17.93 | 16.04 | 18.69 | -6.12 | | 锡 | 18.34 | 24.13 | -1.82 | 28.66 | 25.89 | 20.19 | 24.20 | -5.86 | | 氧化铝 | 20.16 | 25.22 | 0.70 | 30.70 | 26.71 | 20.30 | 24.63 | -4.47 | | 黄金 | 23.76 | 27.15 | 1.19 | 23.31 | 28.82 | 24.49 | 23.03 | 0.73 | | 白银 | 29.89 | 32.37 | -0.26 | 29.07 | 33.19 | 31.38 | 33.65 | -3.76 | | 碳酸锂 | 32.10 | 34.07 | 0.61 | 38.23 | 35.83 | 30.71 | 31.51 | 0.58 | | 工业硅 | 23.16 | 25.44 | 1.10 | 33.88 | 26.62 | 22.90 | 22.88 | 0.27 | | 多晶硅 | 32.59 | 37.40 | 1.35 | 43.89 | 38.10 | 36.18 | 37.06 | -4.47 | | 螺纹钢 | 14.11 | 15.11 | -0.35 | 16.99 | 15.58 | 14.43 | 15.39 | -1.28 | | 铁矿石 | 18.74 | 20.18 | 0.05 | 22.72 | 18.32 | 21