报告行业投资评级 未提及相关内容 报告的核心观点 - 有色金属偏多上行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；贵金属反弹回暖上升构建牛市价差组合策略[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 | CU2601 | 92,390 | -180 | -0.19% | 18.34 | 2.58 | 16.58 | -2.28 | | 铝 | AL2601 | 21,820 | -10 | -0.05% | 12.24 | 2.16 | 14.58 | -1.63 | | 锌 | ZN2601 | 23,215 | -195 | -0.83% | 16.86 | -2.05 | 8.33 | -0.81 | | 铅 | PB2601 | 16,875 | -195 | -1.14% | 4.15 | 1.18 | 3.24 | -0.14 | | 镍 | NI2601 | 112,530 | -2,470 | -2.15% | 13.00 | 2.96 | 10.52 | 0.03 | | 锡 | SN2601 | 324,850 | -6,210 | -1.88% | 38.24 | 3.39 | 3.98 | -0.85 | | 氧化铝 | AO2601 | 2,527 | -19 | -0.75% | 59.94 | 32.44 | 20.60 | -3.56 | | 黄金 | AU2602 | 975.52 | -1.76 | -0.18% | 43.98 | 14.80 | 20.30 | -0.08 | | 白银 | AG2602 | 14,815 | 105 | 0.71% | 235.72 | 63.06 | 38.18 | -3.29 | | 碳酸锂 | LC2602 | 99,360 | 1,280 | 1.31% | 1.21 | -0.34 | 3.35 | -0.03 | | 工业硅 | SI2602 | 8,415 | 60 | 0.72% | 4.05 | -0.62 | 9.30 | -0.11 | | 多晶硅 | PS2602 | 58,865 | 1,835 | 3.22% | 3.47 | 0.07 | 4.01 | -0.05 | | 螺纹钢 | RB2601 | 3,086 | 7 | 0.23% | 13.75 | 1.39 | 26.22 | -3.18 | | 铁矿石 | I2602 | 773.00 | 3.50 | 0.45% | 1.71 | 1.18 | 7.23 | -0.18 | | 锰硅 | SM2602 | 5,748 | 38 | 0.67% | 2.16 | 0.20 | 3.04 | -0.01 | | 硅铁 | SF2602 | 5,396 | 52 | 0.97% | 4.63 | 0.18 | 3.77 | -0.39 | | 玻璃 | FG2602 | 991 | -4 | -0.40% | 2.42 | -0.32 | 4.19 | -0.06 | [3] 期权因子—量仓PCR | 期权品种 | 成交量PCR | 量PCR变化 | 持仓量PCR | 仓PCR变化 | | --- | --- | --- | --- | --- | | 铜 | 0.59 | 0.21 | 0.80 | -0.09 | | 铝 | 0.42 | 0.23 | 0.59 | 0.01 | | 锌 | 0.57 | 0.23 | 0.86 | -0.02 | | 铅 | 0.77 | 0.18 | 0.63 | 0.08 | | 镍 | 0.49 | -0.18 | 0.60 | -0.10 | | 锡 | 0.51 | 0.09 | 0.92 | -0.23 | | 氧化铝 | 0.32 | -0.31 | 0.28 | 0.02 | | 黄金 | 0.29 | -0.03 | 0.55 | 0.01 | | 白银 | 0.81 | 0.11 | 1.52 | -0.09 | | 碳酸锂 | 0.39 | -0.05 | 0.81 | 0.03 | | 工业硅 | 0.36 | -0.06 | 0.63 | -0.02 | | 多晶硅 | 0.53 | -0.02 | 1.32 | 0.21 | | 螺纹钢 | 0.92 | -0.23 | 0.66 | -0.03 | | 铁矿石 | 1.42 | -0.33 | 1.64 | -0.09 | | 锰硅 | 0.34 | -0.24 | 0.63 | -0.02 | | 硅铁 | 0.38 | -0.26 | 0.88 | -0.12 | | 玻璃 | 0.51 | -0.19 | 0.64 | -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 | CU2601 | 92,000 | 94,000 | -4,000 | 90,000 | 0 | 7,801 | 7,259 | | 铝 | AL2601 | 21,800 | 22,000 | 0 | 21,800 | 0 | 7,424 | 3,262 | | 锌 | ZN2601 | 23,400 | 24,000 | 0 | 23,000 | 0 | 3,499 | 2,599 | | 铅 | PB2601 | 17,000 | 19,600 | 0 | 16,800 | 0 | 1,509 | 849 | | 镍 | NI2601 | 114,000 | 120,000 | 0 | 114,000 | 0 | 6,405 | 3,465 | | 锡 | SN2601 | 325,000 | 360,000 | 25,000 | 300,000 | 0 | 3,042 | 2,859 | | 氧化铝 | AO2601 | 2,550 | 3,000 | 0 | 2,400 | 0 | 18,310 | 6,342 | | 黄金 | AU2602 | 984 | 1,000 | 0 | 904 | 0 | 5,347 | 1,198 | | 白银 | AG2602 | 14,800 | 15,900 | 0 | 12,000 | 0 | 11,097 | 26,038 | | 碳酸锂 | LC2602 | 99,000 | 110,000 | 10,000 | 90,000 | 0 | 19,888 | 13,138 | | 工业硅 | SI2602 | 8,400 | 9,000 | 0 | 8,000 | 0 | 11,999 | 6,383 | | 多晶硅 | PS2602 | 59,000 | 67,000 | 0 | 50,000 | 0 | 14,599 | 18,945 | | 螺纹钢 | RB2601 | 3,100 | 3,200 | 0 | 3,000 | 0 | 22,518 | 24,279 | | 铁矿石 | I2602 | 770 | 900 | 100 | 770 | 0 | 22,235 | 40,141 | | 锰硅 | SM2602 | 5,700 | 5,800 | 0 | 5,600 | 0 | 6,977 | 4,280 | | 硅铁 | SF2602 | 5,400 | 5,800 | 200 | 5,200 | 0 | 2,283 | 1,416 | | 玻璃 | FG2602 | 1,000 | 1,100 | 0 | 950 | -50 | 14,018 | 4,877 | [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 | 16.98 | 21.44 | -0.11 | 18.27 | 23.02 | 18.75 | 16.46 | 0.52 | | 铝 | 10.70 | 13.70 | -1.91 | 12.52 | 14.32 | 12.23 | 11.13 | -0.44 | | 锌 | 13.22 | 15.63 | -1.60 | 14.14 | 17.08 | 13.09 | 10.86 | 2.36 | | 铅 | 11.11 | 13.86 | -1.79 | 14.66 | 14.59 | 12.90 | 12.40 | -1.29 | | 镍 | 15.55 | 18.91 | 0.67 | 22.86 | 19.65 | 17.41 | 15.30 | 0.24 | | 锡 | 25.95 | 32.23 | -0.27 | 26.63 | 34.86 | 27.05 | 24.03 | 1.92 | | 氧化铝 | 24.56 | 29.85 | 1.29 | 29.00 | 31.09 | 25.95 | 22.99 | 1.56 | | 黄金 | 23.11 | 25.89 | 0.86 | 22.15 | 26.76 | 22.90 | 21.87 | 1.24 | | 白银 | 42.95 | 43.73 | -0.54 | 30.70 | 42.04 | 45.82 | 33.70 | 9.25 | | 碳酸锂 | 38.93 | 40.85 | 0.33 | 40.13 | 43.58 | 33.86 | 35.45 | 3.47 | | 工业硅 | 25.69 | 28.17 | 1.05 | 33.14 | 29.32 | 24.93 | 23.88 | 1.81 | | 多晶硅 | 40.89 | 42.57 | 2.20 | 44.10 | 41.41 | 44.78 | 36.06 | 4.83 | | 螺纹钢 | 11.47 | 13.80 | 0.26 | 16.46 | 14.05 | 13.52 | 13.36 | -1.89 | | 铁矿石 | 15.58 | 19.65 | -0.85 | 21.35 | 16.88 | 21.60 | 18.53 | -2.96 | | 锰硅 | 11.99 | 15.63 | 1.25 | 21.33 | 16.37 | 13.43 | 13.74 | -1.75 | | 硅铁 | 15.46 | 17.45 | 1.85 | 22.71 | 18.37 | 15.02 | 14.10 | 1.35 | | 玻璃 | 27.83 | 31.74 | -1.13 | 36.81 | 34.03 | 27.26 | 29.17 | -1.34 | [6] 各品种策略与建议 有色金属 - 铜期权：基本面三大交易所库存环比增加1.1万吨；行情9 - 12月表现为多头上涨趋势回落；期权隐含波动率维持历史均值偏上，持仓量PCR维持在0.90附近，压力位94000，支撑位90000；建议构建看涨期权牛市价差组合、做空波动率卖方期权组合、现货多头套保策略[7] - 铝期权：基本面铝锭、铝棒、LME全球铝库存有降有增，保税区库存增加；行情9 - 12月表现为偏多头上涨快速下降回落；期权隐含波动率维持历史均值偏上，持仓量PCR报收于0.60附近，压力位22000，支撑位21800；建议构建卖出偏多的看涨 + 看跌期权组合、现货领口策略[9] - 锌期权：基本面上期所和LME锌锭库存有数据记录；行情9 - 12月表现为上方有压力的震荡回暖偏多上行；期权隐含波动率维持历史均值偏上，持仓量PCR报收于0.90附近，压力位24000，支撑位23000；建议构建卖出偏多头的看涨 + 看跌期权组合、现货领口策略[9] - 镍期权：基本面中间品成交一般，全球镍显性库存增加；行情9 - 12月表现为上方有空头压力的偏弱势震荡