报告核心观点 - 有色金属偏多震荡，构建卖方中性波动率策略；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；贵金属高位盘整震荡，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 | CU2509 | 78,840 | -180 | -0.23 | 4.48 | -0.53 | 14.74 | -0.51 | | 铝 | AL2509 | 20,615 | 5 | 0.02 | 10.94 | 1.30 | 17.30 | -2.08 | | 锌 | ZN2509 | 22,245 | -130 | -0.58 | 8.02 | -0.30 | 6.96 | -0.67 | | 铅 | PB2509 | 16,795 | 5 | 0.03 | 3.06 | -0.20 | 4.95 | -0.17 | | 镍 | NI2509 | 120,660 | -120 | -0.10 | 7.81 | -0.95 | 6.25 | -0.38 | | 锡 | SN2509 | 266,380 | -480 | -0.18 | 3.48 | -1.06 | 2.21 | 0.00 | | 氧化铝 | AO2509 | 3,144 | -30 | -0.95 | 4.52 | -2.87 | 5.68 | -0.74 | | 黄金 | AU2510 | 775.04 | -1.02 | -0.13 | 12.92 | -3.14 | 19.40 | -0.37 | | 白银 | AG2510 | 9,225 | 15 | 0.16 | 29.88 | -12.14 | 35.07 | 0.46 | | 碳酸锂 | LC2510 | 89,280 | 3,960 | 4.64 | 4.90 | 1.33 | 5.67 | 0.13 | | 工业硅 | SI2510 | 8,600 | -30 | -0.35 | 3.18 | 0.82 | 6.92 | 0.30 | | 多晶硅 | PS2510 | 52,355 | 970 | 1.89 | 1.44 | -0.78 | 3.19 | -0.06 | | 螺纹钢 | RB2510 | 3,156 | -17 | -0.54 | 131.65 | 19.75 | 160.99 | -0.81 | | 铁矿石 | I2510 | 786.50 | -4.50 | -0.57 | 1.67 | 0.11 | 7.23 | 0.01 | | 锰硅 | SM2510 | 6,030 | 18 | 0.30 | 2.73 | -0.99 | 5.17 | -0.13 | | 硅铁 | SF2510 | 5,688 | -18 | -0.32 | 5.05 | -5.77 | 6.35 | 0.33 | | 玻璃 | FG2510 | 1,152 | -4 | -0.35 | 6.19 | 1.28 | 3.34 | 0.37 | [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 | 71,198 | 13,298 | 120,000 | 996 | 0.63 | 0.01 | 0.78 | 0.00 | | 铝 | 69,006 | 26,946 | 87,444 | -629 | 1.04 | 0.37 | 0.87 | -0.04 | | 锌 | 40,538 | 14,189 | 45,521 | -492 | 0.77 | -0.01 | 0.79 | 0.07 | | 铅 | 6,807 | -6,266 | 14,678 | 92 | 0.47 | -0.48 | 0.60 | 0.05 | | 镍 | 78,859 | 23,487 | 73,065 | 3,040 | 0.20 | -0.12 | 0.31 | 0.00 | | 锡 | 15,596 | -6,742 | 20,840 | 1,328 | 0.40 | -0.80 | 0.62 | -0.01 | | 氧化铝 | 280,228 | -3,442 | 279,476 | 11,168 | 0.57 | 0.09 | 0.44 | 0.02 | | 黄金 | 68,488 | 14,047 | 139,677 | 7,887 | 1.06 | -0.20 | 0.69 | -0.00 | | 白银 | 255,353 | -22,580 | 277,264 | 8,953 | 1.01 | 0.10 | 1.06 | 0.02 | | 碳酸锂 | 286,668 | 91,650 | 287,120 | 13,122 | 0.44 | -0.08 | 0.94 | 0.13 | | 工业硅 | 176,285 | -10,220 | 224,776 | 16,119 | 0.31 | -0.10 | 0.33 | -0.02 | | 多晶硅 | 144,463 | -81,369 | 169,506 | 11,669 | 0.73 | -0.07 | 1.52 | 0.11 | | 螺纹钢 | 263,051 | 83,505 | 582,434 | 14,800 | 0.49 | -0.06 | 0.49 | -0.02 | | 铁矿石 | 467,639 | 211,258 | 140,841 | -374,572 | 1.01 | -0.03 | 0.99 | -0.20 | | 锰硅 | 61,954 | 1,806 | 105,937 | 7,858 | 0.52 | -0.21 | 0.69 | 0.01 | | 硅铁 | 33,773 | 49 | 67,389 | 2,635 | 0.49 | 0.05 | 0.72 | 0.01 | | 玻璃 | 502,210 | 119,608 | 474,720 | 59,926 | 0.42 | 0.08 | 0.45 | -0.02 | [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 | CU2509 | 79,000 | 80,000 | -2,000 | 78,000 | 0 | 9,853 | 5,611 | | 铝 | AL2509 | 20,600 | 21,000 | 0 | 20,000 | 0 | 5,988 | 5,637 | | 锌 | ZN2509 | 22,400 | 23,000 | 0 | 22,000 | 0 | 2,715 | 2,435 | | 铅 | PB2509 | 16,800 | 18,000 | 0 | 16,600 | -200 | 1,510 | 817 | | 镍 | NI2509 | 120,000 | 130,000 | 0 | 118,000 | -2,000 | 12,771 | 2,236 | | 锡 | SN2509 | 265,000 | 320,000 | 0 | 260,000 | 0 | 2,250 | 1,464 | | 氧化铝 | AO2509 | 3,150 | 4,200 | 0 | 3,000 | 0 | 31,933 | 10,481 | | 黄金 | AU2510 | 776 | 968 | 0 | 768 | 0 | 10,700 | 3,989 | | 白银 | AG2510 | 9,300 | 10,000 | 0 | 8,000 | 0 | 11,052 | 9,014 | | 碳酸锂 | LC2510 | 89,000 | 99,000 | 0 | 70,000 | 10,000 | 36,815 | 15,568 | | 工业硅 | SI2510 | 8,600 | 14,800 | 0 | 8,000 | 0 | 46,330 | 6,123 | | 多晶硅 | PS2510 | 52,000 | 60,000 | 0 | 40,000 | 0 | 11,014 | 18,310 | | 螺纹钢 | RB2510 | 3,150 | 3,850 | 0 | 3,000 | 0 | 48,674 | 17,715 | | 铁矿石 | I2510 | 790 | 930 | 0 | 700 | 0 | 5,027 | 5,291 | | 锰硅 | SM2510 | 6,000 | 6,500 | 0 | 5,800 | 0 | 14,132 | 5,159 | | 硅铁 | SF2510 | 5,700 | 6,500 | 0 | 5,500 | 0 | 4,931 | 2,281 | | 玻璃 | FG2510 | 1,140 | 1,580 | 0 | 1,000 | 0 | 51,730 | 15,718 | [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 | 8.89 | 14.24 | 0.48 | 17.91 | 15.21 | 12.71 | 14.32 | -5.44 | | 铝 | 9.23 | 13.24 | 0.47 | 12.64 | 13.45 | 13.04 | 11.55 | -2.32 | | 锌 | 11.33 | 14.47 | 0.20 | 16.21 | 14.71 | 14.17 | 13.35 | -2.02 | | 铅 | 9.02 | 17.12 | 1.77 | 15.86 | 19.33 | 12.25 | 13.82 | -4.80 | | 镍 | 14.91 | 28.29 | 1.08 | 26.40 | 30.25 | 18.39 | 26.59 | -11.69 | | 锡 | 14.22 | 24.34 | 0.29 | 30.06 | 25.89 | 20.48 | 21.09 | -6.87 | | 氧化铝 | 26.51 | 34.71 | 0.14 | 30.47 | 38.55 | 27.94 | 32.86 | -6.35 | | 黄金 | 11.24 | 17.56 | 1.60 | 21.97 | 18.73 | 16.45 | 16.69 | -5.45 | | 白银 | 18.97 | 22.60 | 0.66 | 26.93 | 22.28 | 22.91 | 21.26 | -2.29 | | 碳酸锂 | 46.96 | 48.49 | -1.72 | 31.53 | 48.27 | 48.98 | 43.13 | 3.83 | | 工业硅 | 36.05 | 46.22 | 1.79 | 28.81 | 49.97 | 33.99 | 38.26 | -2.21 | | 多晶硅 | 49.11 | 54.16 | 0.61 | 34.01 | 56.37 | 51.12 | 49.79 | -0.69 | | 螺纹钢 | 16.59 | 20.99 | 1.20 | 16.97 | 22.93 | 17.00 | 18.85 | -2.27 | | 铁矿石 | 18.84 | 21.33 | -2.85 | 24.19 | 21.03 | 21.58 | 22.81 | -3.98 | | 锰硅 | 18.