报告行业投资评级 未提及 报告的核心观点 - 有色金属区间震荡，构建卖方中性波动率策略策略；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；贵金属高位回落连续大幅下跌，构建现货避险策略 [2] 根据相关目录分别进行总结 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|85,860|430|0.50|14.23|-2.44|21.70|-1.05| |铝|AL2512|21,445|95|0.44|19.33|-1.83|22.51|-3.10| |锌|ZN2512|22,600|-10|-0.04|10.08|-4.97|11.25|-0.44| |铅|PB2512|17,505|5|0.03|4.64|1.37|6.57|-0.04| |镍|NI2512|119,370|-460|-0.38|12.34|0.06|11.52|-0.33| |锡|SN2512|282,700|670|0.24|7.12|0.83|3.26|-0.18| |氧化铝|AO2512|2,757|12|0.44|0.46|-0.06|1.47|-0.04| |黄金|AU2512|916.70|6.10|0.67|33.81|0.51|14.14|-0.32| |白银|AG2512|11,364|160|1.43|80.57|2.19|24.43|-1.28| |碳酸锂|LC2601|79,140|-360|-0.45|51.57|-46.02|45.33|-0.41| |工业硅|SI2601|9,020|-5|-0.06|27.62|-10.36|23.28|-0.93| |多晶硅|PS2601|53,355|-1,335|-2.44|17.52|-9.91|12.51|-0.38| |螺纹钢|RB2601|3,023|-2|-0.07|114.96|13.31|203.18|6.52| |铁矿石|I2601|774.00|1.50|0.19|28.16|0.50|54.47|-0.31| |锰硅|SM2512|5,768|16|0.28|0.32|-0.13|0.83|-0.10| |硅铁|SF2512|5,540|46|0.84|0.95|0.27|2.05|-0.11| |玻璃|FG2512|1,109|-5|-0.45|1.30|0.29|2.34|0.09| [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|158,752|-13,067|144,720|3,322|0.79|0.18|0.77|-0.01| |铝|67,934|-19,446|86,207|449|0.54|0.18|0.70|0.03| |锌|34,083|-40,820|35,345|1,437|0.56|0.26|0.83|0.00| |铅|20,554|14,509|13,749|1,187|0.16|-0.05|0.55|-0.04| |镍|46,879|8,639|48,453|902|1.04|-0.02|0.66|0.02| |锡|24,431|4,796|16,529|811|1.03|0.67|0.69|0.05| |氧化铝|53,634|9,601|130,949|6,041|0.32|0.01|0.33|-0.00| |黄金|137,907|3,513|163,714|1,482|0.93|0.35|0.77|-0.01| |白银|431,614|37,897|338,222|5,871|1.41|0.45|1.20|-0.01| |碳酸锂|424,462|-355,203|370,762|15,508|0.68|-0.17|0.55|0.08| |工业硅|260,517|-99,661|162,494|5,269|0.65|-0.25|0.63|0.12| |多晶硅|420,041|-58,789|234,666|7,403|1.26|0.26|0.97|-0.07| |螺纹钢|88,914|3,394|312,203|10,101|0.75|0.19|0.53|0.00| |铁矿石|136,323|-15,224|346,738|7,671|1.35|0.14|1.27|-0.03| |锰硅|77,494|-3,148|133,742|1,977|0.71|-0.37|0.72|0.01| |硅铁|123,438|49,006|76,531|1,614|0.66|-0.71|1.04|-0.01| |玻璃|742,418|211,624|1,038,703|26,890|0.50|-0.02|0.42|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|86,000|90,000|0|84,000|0|12,257|11,114| |铝|AL2512|21,400|21,800|0|19,900|0|9,716|3,107| |锌|ZN2512|22,600|22,800|0|22,000|0|2,659|2,829| |铅|PB2512|17,400|18,000|0|17,000|0|1,746|589| |镍|NI2512|120,000|124,000|0|120,000|0|4,176|3,710| |锡|SN2512|280,000|335,000|0|270,000|0|1,748|1,176| |氧化铝|AO2512|2,750|3,000|0|2,700|0|10,452|2,761| |黄金|AU2512|912|1,000|0|800|0|12,015|7,632| |白银|AG2512|11,300|12,000|0|10,000|0|23,276|30,982| |碳酸锂|LC2601|79,000|100,000|0|70,000|0|19,914|9,056| |工业硅|SI2601|9,000|10,000|0|8,500|0|9,758|2,495| |多晶硅|PS2601|53,000|60,000|0|45,000|-5,000|8,018|4,808| |螺纹钢|RB2601|3,000|3,700|0|3,000|0|28,618|17,206| |铁矿石|I2601|780|900|0|700|0|25,810|25,237| |锰硅|SM2512|5,800|6,000|0|5,700|0|8,344|4,592| |硅铁|SF2512|5,500|5,600|-100|5,400|0|2,698|4,142| |玻璃|FG2512|1,100|1,200|0|1,040|0|55,784|26,888| [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|15.32|18.08|-0.93|18.47|19.12|16.77|21.14|-5.82| |铝|10.67|11.68|-0.46|12.53|11.79|11.48|11.86|-1.19| |锌|11.35|12.83|0.03|15.06|13.07|12.42|12.84|-1.49| |铅|11.57|14.79|0.03|15.21|15.01|13.45|12.68|-1.11| |镍|12.39|16.40|-1.24|24.74|15.84|16.94|17.61|-5.23| |锡|14.43|22.35|-1.70|28.11|24.01|20.74|23.33|-8.91| |氧化铝|18.24|23.10|0.78|30.61|24.62|18.42|23.64|-5.40| |黄金|19.17|22.12|-2.05|22.82|23.22|20.94|23.62|-4.45| |白银|26.05|28.79|-0.74|28.92|28.14|29.24|31.05|-5.00| |碳酸锂|28.17|27.02|-3.43|38.46|27.28|26.64|31.16|-3.00| |工业硅|20.68|21.37|-1.84|33.83|21.38|21.34|22.99|-2.32| |多晶硅|28.91|34.68|0.07|43.93|35.41|34.11|35.17|-6.26| |螺纹钢|12.40|15.37|0.23|16.88|16.81|13.46|15.18|-2.79| |铁矿石|19.10|18.71|-0.02|22.41|18.28|19.04|19.26|-0.17| |锰硅|12.52|14.83|0.49|23.57|15.02|14.55|14.68|-2.16| |硅铁|15.82|16.98|1.02|24.05|16.92|17.06|17.29|-1.47| |玻璃|28.04|32.42|0.70|36.79|34.37|28.50|33.55|-5.52| [6] 策略与建议 有色金属 - 铜期权：标的行情方面，三大交易所库存环比增加1.7万吨，沪铜8月以来小幅区间盘整震荡后上涨；期权因子研究显示，隐含波动率维持历史均值偏上水平，持仓量PCR维持在0.80附近；策略建议构建做空波动率的卖方期权组合策略和现货套保策略 [7] - 铝期权：标的行情方面，铝锭等库存有变化，沪铝7月以来呈偏多头上涨高位震荡走势；期权因子研究显示，隐含波动率维持历史均值水平，持仓量PCR报收于0.90以下；策略建议构建看涨期权牛市价差组合策略、卖出偏偏多的看涨+看跌期权组合策略和现货领口策略 [9] - 锌期权：标的行情方面，锌精矿相关数据有显示，沪锌9月以来震荡回暖；期权因子研究显示，隐含波动率持续下降至历史均值水平，持仓量PCR报收于1.00附近；策略建议构建卖出偏中性的看涨+看跌期权组合策略和现货领口策略 [9] - 镍期权：标的行情方面，全球镍显性库存增加，沪镍8月以来呈上方有空头压力的宽幅区间震荡走势；期权因子研究显示，隐含波动率维持均值偏下水平，持仓量PCR报收于0.60以下；策略建议构建卖出偏空头的看涨+看跌期权组合策略和现货备兑策略 [10] - 锡期权：标的行情方面，缅甸佤邦锡矿复产进度缓慢，沪锡8月以来呈下方有支撑的短期高位震荡后突破上行走势；期权因子研究显示，隐含波动率维持历史均值偏下水平，持仓量PCR报收于0.60附近；策略建议构建做空波动率策略和现货领口策略 [10] -