五矿期货-金属期权日报-221214

>> 五矿期货-金属期权日报-221214

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研究报告全文：金属期权日报期权研究2022年12月14日星期三基本面信息铜产业层面昨日LME库存减少2425至81875吨注销仓单占比降低Cash3M贴水448美元吨国内方面昨日上海地区现货升水下调至45元吨下游买兴一般成交活跃度低进出口方面昨日国内现货进口亏损缩至400元吨左右洋山铜溢价持平废铜方面昨日国内精废价差小幅扩至960元吨废铜替代优势略提高铝SMM现货A00铝报均价18930元吨A00铝锭升贴水平均价-60铝期货仓单32524吨较前一日增加251吨LME铝库存496425吨下降5250吨2022年12月12日SMM统计国内电解铝社会库存50万吨较上周四库存持稳较卢品先11月底月度库存下降16万吨较去年同期库存下降416万吨锌LME公布数据显示上周伦锌库存加速下滑库存拐点尚未来临最新库存水平为36700吨降至逾三十二投研经理年新低位上期所公布的数据显示近期沪锌库存处于区间波动格局上周库存有所回升12月9日当周周度库0755-23375252存增加1393至20428吨位于历史相对低位lupxwkjyqhcom转载需保留出处-上海有色网伦锌库存继续下滑再刷逾三十二年新低httpsnewssmmcnnews102033777黄金COMEX金涨168报18225美元盎司COMEX银涨238报2396美元盎司沪金夜盘涨11报从业资格号4077元克沪银夜盘涨159报5380元千克10年期国债收益率跌11个基点报35美元指数报10408F3047321铁矿石现货市场成交活跃度不佳询盘情况一般PB粉价格较上个交易日下跌5-10元吨本周中国45港进口交易咨询号铁矿石库存总量1352605万吨环比上周一增加48万吨东北华北华南三个地区库存均有增量Z0015541期权分析及操作建议1铜期权沪铜维持近三周以来沿着多头趋势方向上震荡上行温和上涨涨幅067报收于66350期权隐含波动率上升071报收于2264持仓量PCR小幅回升维持在高位水平报收于151操作建议沪铜近三周以来沿着20天均线的多头方向震荡上行温和上涨而上方有前期高点压力期权隐含波动率小幅回升持仓量PCR维持在较高水平构建卖出看涨看跌偏多头组合策略获取时间价值收益和方向性收益若市场行情快速大跌则平仓逐渐离场如CU2301SCU2301P66000SCU2301P67000和SCU2301C67000SCU2301C680002铝期权沪铝延续一个月以来的多头趋势上涨突破8月以来高点后上周以来高位盘整震荡本周以来大幅下挫跌破震荡区间下限而下方有60天均线支撑涨幅053报收于18800期权隐含波动率上升080报收于1765持仓量PCR报收于083操作建议沪铝形成短期弱势中长期趋势线向上的市场行情格局期权隐含波动率连续三周持续下降后窄幅波动期权持仓量PCR窄幅波波动构建卖出偏空头方向的看涨看跌期权组合策略获取时间价值和方向性收益若市场行情快速大涨或大跌则平仓离场如AL2301SAL2301P1870010SAL2301P1880010和SAL2301C1880010SAL2301C18900103锌期权沪锌ZN2301一个月以来波浪形上涨当前处于第二浪的加速上行突破上涨突破8月以来高点市场行情表现为较强的多头情绪信号而后维持近一周以来多头趋势方向上高位震荡跌幅002报收于24880期权隐含波动率上升093报收于2408持仓量PCR报收于155操作建议沪锌沿着多头趋势方向高位震荡市场行情多头情绪较浓期权隐含波动率小幅度上升沪锌期权持仓量PCR小幅波动仍维持高位水平构建卖出宽跨式期权的偏多头组合策略获取时间价值收益和方向性收益若市场行情快速大涨或大跌则平仓离场如ZN2301SZN2301P24800SZN2301P25000和SZN2301C25000SZN2301C255004黄金期权黄金上周以来连续报收大阴线跌破前两周以来高位大幅震荡的区间下限而后低位大幅波动上有20天均线压力下有60天均线支撑本周以来逐渐上涨回升涨幅110报收于40770期权隐含波动率上升027报收于1342期权持仓量PCR报收于059操作建议黄金高位回落后快速反弹上升延续偏多头趋势方向上大幅波动的行情格局下方有60天均线支撑上方有前期高点压力期权隐含波动率小幅下降期权持仓量PCR窄幅盘整构建卖出偏多头的看涨看跌期权组合策略获取时间价值若市场行情快速大涨或大跌则平仓离场如AU2302SAU2302-C-40810SAU2302-C-41610和SAU2302-P-40010SAU2312-P-408105铁矿石期权铁矿石I2302超跌反弹V型反转后维持一个月以来的多头上涨趋势突破6月中旬以来的高点上周以来加速上涨本周以来高位盘整震荡涨幅073报收于82600期权隐含波动率下降039报收于3342期权持仓量PCR报收于197操作建议铁矿石持续一个月以来的多头上涨趋势上周加速上涨而本周以来高位盘整期权隐含波动率高位小幅下降期权持仓量PCR快速下降构建卖出偏多头的看涨看跌期权组合策略获取时间价值若市场行情快速大涨或大跌则平仓离场如I2302SI2302-C-830SI2302-C-840和SI2302-P-820SI2302-P-830市场行情期权品种标的合约收盘价涨跌涨跌幅成交量万成交额亿CUCU230166350004400006759319527ALAL2301188000010000053181516973ZNZN23012488000-500-002157519599AUAU23024077044411078631711II2302826006000732011652数据来源wind资讯五矿期货期权事业部主力期货合成期权期权标的合约平值期权权利金C权利金P合成价格涨跌涨跌幅升贴水剩余天数到期日CU23016600010260097200660543400005-29600132022-12-26AL230118800215002710018744-3700-020-5600132022-12-26ZN2301248003990047500247249500039-15600132022-12-26AU2302408476910404016004-404382023-01-20I230283028002900829530064300282023-01-10数据来源wind资讯五矿期货期权事业部注平值是以主力月合约call与put权利金相减最小为基准平值合成期权升贴水平值call权利金-pu权利金-标的价格主力期权合约隐含波动率期权标的合约IMP-CIMP-PIMP-T变化MA20UPLOWCU2301204324072264071216923821957AL2301171318061765080171618271605ZN2301230224972408093224723732120AU2302147711531342027138515151255I2302309635583342-039384742103484数据来源wind资讯五矿期货期权事业部主力期权合约持仓量PCR期权标的合约量-Call量-Put量-PCR变化持仓-Call持仓-Put持仓-PCR变化CU230117281267461550301904828853151003AL230122150274651240323089925518083008ZN230121627257071190081230419064155000AU230240342876071002164439636059000I23025200959147114-01051206100650197-027数据来源wind资讯五矿期货期权事业部标的价量关系图1铜主力合约走势图7500030成交量万收盘价7000025660700020650001560000105500055000002022-08-252022-10-112022-11-172022-06-102022-06-152022-06-202022-06-232022-06-282022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-222022-11-252022-11-302022-12-052022-12-082022-12-13图2铝主力合约走势图2400050成交量万收盘价230004022000210003020000187400019000201800010170001600002022-06-282022-07-112022-11-012022-11-142022-06-102022-06-152022-06-202022-06-232022-07-012022-07-062022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-042022-11-092022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-13图3锌主力合约走势图3000060成交量万收盘价28000504026000302400024730002022000102000002022-11-092022-11-142022-11-172022-11-222022-06-102022-06-152022-06-202022-06-232022-06-282022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-252022-11-302022-12-052022-12-082022-12-13图4黄金主力合约走势图20成交量万收盘价420403544051039037536002022-06-102022-06-152022-06-202022-06-232022-06-282022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-13图5铁矿石主力合约走势图1000140成交量万收盘价120900830501008008070060406002050002022-06-102022-06-152022-06-202022-06-232022-06-282022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-13铜期权持仓分布铜期权持仓分布图铜期权持仓变化图4500400400030035002003000100250002000-10015001000-200500-3000-4004700047000490005100053000550005700059000610006300065000670006900071000730007500077000790004700049000510005300055000570005900061000630006500067000690007100073000750007700079000OIPOICOICHANGEPOICHANGEC铜期权最大未平仓铜认购认沽合约最大持仓量所在的行权价8500080000750007000065000600005500050000450002022-06-232022-10-142022-11-012022-06-102022-06-152022-06-202022-06-282022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-192022-10-242022-10-272022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-13铜期权到期日收盘价C最大持仓P最大持仓铜期权持仓量PCR铜期权隐含波动率280OIPCR7500050260CLOSE4524070000220402003518065000301606607000251406000020120100150805500010060040500002022-08-092022-09-022022-06-102022-06-202022-06-282022-07-062022-07-142022-07-222022-08-012022-08-172022-08-252022-09-132022-09-212022-09-292022-10-142022-10-242022-11-012022-11-092022-11-172022-11-252022-12-052022-12-132022-12-052022-06-222022-07-042022-07-142022-07-262022-08-052022-08-172022-08-292022-09-082022-09-212022-10-102022-10-202022-11-012022-11-112022-11-232022-06-10IMPVMA20UPLOW铝期权持仓分布铝期权持仓分布图铝期权持仓变化图600025005000200040001500300010002000500100000-5001580015800206001490014900149001520015500161001640016700170001730017600179001820018500188001910019400197002000021200218001520015500158001610016400167001700017300176001790018200185001880019100194001970020000206002120021800OIPOICOICHANGEPOICHANGEC铝期权最大未平仓铝认购认沽合约最大持仓量所在的行权价220002100020000190001800017000160002022-10-192022-11-012022-06-102022-06-152022-06-202022-06-232022-06-282022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-242022-10-272022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-13铝期权到期日收盘价C最大持仓P最大持仓铝期权持仓量PCR铝期权隐含波动率16021000OIPCR35020500CLOSE14020000300195001202501900010018500200180001874000150080175000601700010016500040160002022-06-102022-06-202022-06-282022-07-062022-07-142022-07-222022-08-012022-08-092022-08-172022-08-252022-09-022022-09-132022-09-212022-09-292022-10-142022-10-242022-11-012022-11-092022-11-172022-11-252022-12-052022-12-132022-12-052022-06-222022-07-042022-07-142022-07-262022-08-052022-08-172022-08-292022-09-082022-09-212022-10-102022-10-202022-11-012022-11-112022-11-232022-06-10IMPVMA20UPLOW锌期权持仓分布锌期权持仓分布图锌期权持仓变化图300060050025004002000300200150010010000-100500-2000-300184001840018800180001800018400188001920019600200002040020800212002160022000224002280023200236002400024400248002550026500275002850029500180001920019600200002040020800212002160022000224002280023200236002400024400248002550026500275002850029500OIPOICOICHANGEPOICHANGEC锌期权最大未平仓锌认购认沽合约最大持仓量所在的行权价2880026800248002280020800188002022-06-152022-06-102022-06-202022-06-232022-06-282022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-13锌期权到期日收盘价C最大持仓P最大持仓锌期权持仓量PCR锌期权隐含波动率18028000OIPCR500160CLOSE27000260004001402500012030024000100230002000802200010006021000040200002022-06-102022-06-202022-06-282022-07-062022-07-142022-07-222022-08-012022-08-092022-08-172022-08-252022-09-022022-09-132022-09-212022-09-292022-10-142022-10-242022-11-012022-11-092022-11-172022-11-252022-12-052022-12-132022-12-052022-06-222022-07-042022-07-142022-07-262022-08-052022-08-172022-08-292022-09-082022-09-212022-10-102022-10-202022-11-012022-11-112022-11-232022-06-10IMPVMA20UPLOW黄金期权持仓分布黄金期权持仓分布图黄金期权持仓变化图30003002502500200200015015001005010000500-500-100480480368416320320328336344352360368376384392400416432448464320328336344352360376384392400432448464480OIPOICOICHANGEPOICHANGEC黄金期权最大未平仓黄金认购认沽合约最大持仓量所在的行权价5004504003503002022-08-012022-08-092022-06-102022-06-152022-06-202022-06-232022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