【基本面信息】
　　铜：产业层面，昨日LME库存减少525至83575吨，注销仓单占比下降，Cash/3M贴水32.5美元/吨。国内方面，周末社会库存环比去化逾1万吨，市场流通货源偏紧，昨日上海地区现货升水涨至490元/吨，成交回暖。进出口方面，昨日国内铜现货进口亏损缩窄至100元/吨左右，洋山铜溢价持平。
　　铝：SMM现货A00铝报均价18740元/吨。A00铝锭升贴水平均价120。铝期货仓单45871吨，较前一日下降124吨。LME铝库存479525吨，上升1875吨。2022年12月19日，SMM统计国内电解铝社会库存48.3万吨。
　　黄金：COMEX金跌0.19%，报1796.8美元/盎司，COMEX银跌0.66%，报23.18美元/盎司；沪金夜盘跌0.05%，报404.38元/克，沪银夜盘跌0.52%，报5199元/千克；10年期国债收益率涨10.8个基点，报3.59%，美元指数报104.67
　　铁矿石：表观需求数据显示，建材成交量持续增加，表观需求处于近4周高位，并且全国钢材总库存再度走低，根据中钢协统计数据显示，12月上旬，21个城市5大品种钢材社会库存735万吨，环比下降0.5%，库存继续小幅下降，对市场情绪有极大的拉动。现货市场成交活跃度不高，钢厂按需补库，询盘情况不佳，PB粉价格较上个交易日下跌15-20元/吨。
　　

研究报告全文：金属期权日报期权研究2022年12月20日星期二基本面信息铜产业层面昨日LME库存减少525至83575吨注销仓单占比下降Cash3M贴水325美元吨国内方面周末社会库存环比去化逾1万吨市场流通货源偏紧昨日上海地区现货升水涨至490元吨成交回暖进出口方面昨日国内铜现货进口亏损缩窄至100元吨左右洋山铜溢价持平铝SMM现货A00铝报均价18740元吨A00铝锭升贴水平均价120铝期货仓单45871吨较前一日下降124吨LME铝库存479525吨上升1875吨2022年12月19日SMM统计国内电解铝社会库存483万吨卢品先黄金COMEX金跌019报17968美元盎司COMEX银跌066报2318美元盎司沪金夜盘跌005报40438元克沪银夜盘跌052报5199元千克10年期国债收益率涨108个基点报359美元指数报10467投研经理铁矿石表观需求数据显示建材成交量持续增加表观需求处于近4周高位并且全国钢材总库存再度走低0755-23375252根据中钢协统计数据显示12月上旬21个城市5大品种钢材社会库存735万吨环比下降05库存继续小幅下lupxwkjyqhcom降对市场情绪有极大的拉动现货市场成交活跃度不高钢厂按需补库询盘情况不佳PB粉价格较上个交易日下跌15-20元吨从业资格号F3047321期权分析及操作建议交易咨询号1铜期权Z0015541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上周周以来上涨趋势减弱有所回落涨幅009报收于65370期权隐含波动率下降091报收于1905持仓量PCR快速上升维持在高位水平报收于166操作建议沪铜高位盘整震荡后逐渐下降回落形成短期趋势偏空中期趋势偏多头的市场行情格局期权隐含波动率持续下降持仓量PCR小幅波动维持较高水品构建卖出看涨看跌宽跨式期权组合策略获取时间价值收益若市场行情快速大跌或急速大涨则平仓逐渐离场如CU2301SCU2301P64000SCU2301P65000和SCU2301C65000SCU2301C660002铝期权沪铝延续一个月以来的多头趋势上涨突破8月以来高点后高位盘整震荡上周周以来大幅下挫跌破震荡区间下限而后在21天均线和55天均线之间震荡跌幅048报收于18570期权隐含波动率下降040报收于1619持仓量PCR报收于082操作建议沪铝震荡下行逐渐回落短期弱势偏空头期权隐含波动率持续下降至较低水平期权持仓量PCR快速上涨构建卖出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AL2301SAL2301P1850010SAL2301P1840010和SAL2301C1870010SAL2301C18600103锌期权沪锌ZN2301上周高位回落后连续跳空低开大幅下跌短期市场行情较强的空头情绪跌幅194报收于23470期权隐含波动率下降060报收于2145持仓量PCR报收于141操作建议沪锌高位回落后连续报收大阴线形成短期趋势上方有压力的弱势偏空头期权隐含波动率持续下降回落沪锌期权持仓量PCR快速回落构建卖出宽跨式期权偏空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ZN2301SZN2301P23200SZN2301P23400和SZN2301C23600SZN2301C234004黄金期权黄金延续多头趋势方向上大幅波动本周以来快速上涨后快速下跌市场行情波动剧烈跌幅005报收于40438期权隐含波动率下降006报收于1386期权持仓量PCR报收于056操作建议黄金维持偏多头趋势方向上大幅波动的市场行情格局下方有60天均线支撑上方有前期高点压力期权隐含波动率小幅波动期权持仓量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-39610SAU2312-P-400105铁矿石期权铁矿石I2302超跌反弹V型反转后维持一个半月以来的多头上涨趋势突破6月中旬以来的高点上周冲高回落跌幅067报收于81650期权隐含波动率上升021报收于3406期权持仓量PCR大幅度下降报收于186操作建议铁矿石持续一个半月以来的多头上涨趋势而后高位逐渐回落形成短期上方有压力中期趋势线方向向上的市场行情格局期权隐含波动率持续下降回落期权持仓量PCR急速上涨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I2305SI2301-C-810SI2305-C-800和SI2305-P-790SI2305-P-780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CUCU23016537000600000976124855ALAL23011857000-9000-048161815099ZNZN23012347000-46500-194150017953AUAU230240438-020-00599540263II230281650-550-0672522070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CU230165000740005660065174-8800-013-1960072022-12-26AL230118600139001940018545-19500-104-250072022-12-26ZN230123400606001320023874-21400-0894040072022-12-26AU2302408454714405248062102322023-01-20I230282021402830813-2350-281-340222023-01-10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MA20UPLOWCU2301180019891905-091207022011938AL2301163716031619-040166317101616ZN2301211921632145-060220422912117AU2302145312791386-006135314421264I2302311036093406021367940263332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CU23012291128203123-0381771629369166013AL230123047271351180313121325468082-002ZN23011646524167147-0181167616422141-013AU230267074186062-0151863010458056001I2302627739122714500563522118215186-029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7000025651100020650001560000105500055000002022-08-312022-10-172022-11-232022-06-162022-06-212022-06-242022-06-292022-07-042022-07-072022-07-122022-07-152022-07-202022-07-252022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-282022-12-012022-12-062022-12-092022-12-142022-12-19图2铝主力合约走势图2400050成交量万收盘价230004022000210003020000185400019000201800010170001600002022-07-042022-07-152022-11-072022-11-182022-06-162022-06-212022-06-242022-06-292022-07-072022-07-122022-07-202022-07-252022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-102022-11-152022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-19图3锌主力合约走势图3000060成交量万收盘价28000504026000302400020237900022000102000002022-11-152022-11-182022-11-232022-11-282022-06-162022-06-212022-06-242022-06-292022-07-042022-07-072022-07-122022-07-152022-07-202022-07-252022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-12-012022-12-062022-12-092022-12-142022-12-19图4黄金主力合约走势图20成交量万收盘价420405304051039037536002022-06-162022-06-212022-06-242022-06-292022-07-042022-07-072022-07-122022-07-152022-07-202022-07-252022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-19图5铁矿石主力合约走势图1000140成交量万收盘价120900814001008008070060406002050002022-06-162022-06-212022-06-242022-06-292022-07-042022-07-072022-07-122022-07-152022-07-202022-07-252022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-19铜期权持仓分布铜期权持仓分布图铜期权持仓变化图4500500400040030035002003000100250002000-1001500-200-3001000-400500-5000-6004700047000490005100053000550005700059000610006300065000670006900071000730007500077000790004700049000510005300055000570005900061000630006500067000690007100073000750007700079000OIPOICOICHANGEPOICHANGEC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8500080000750007000065000600005500050000450002022-06-292022-10-202022-11-072022-06-162022-06-212022-06-242022-07-042022-07-072022-07-122022-07-152022-07-202022-07-252022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-252022-10-282022-11-022022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-19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280OIPCR7500050260CLOSE4524070000220402003518065000301602514065110006000020120100150805500010060040500002022-08-152022-09-082022-06-162022-06-242022-07-042022-07-122022-07-202022-07-282022-08-052022-08-232022-08-312022-09-192022-09-272022-10-122022-10-202022-10-282022-11-072022-11-152022-11-232022-12-012022-12-092022-12-192022-12-092022-06-282022-07-082022-07-202022-08-012022-08-112022-08-232022-09-022022-09-152022-09-272022-10-142022-10-262022-11-072022-11-172022-11-292022-06-16IMPVMA20UPLOW铝期权持仓分布铝期权持仓分布图铝期权持仓变化图60008006005000400400020030000-2002000-4001000-6000-8001580015800206001490014900152001550016100164001670017000173001760017900182001850018800191001940019700200002120021800149001520015500158001610016400167001700017300176001790018200185001880019100194001970020000206002120021800OIPOICOICHANGEPOICHANGEC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220002100020000190001800017000160002022-10-252022-11-072022-06-162022-06-212022-06-242022-06-292022-07-042022-07-072022-07-122022-07-152022-07-202022-07-252022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-282022-11-022022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-19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16020500OIPCR35020000140CLOSE195003001201900025018500100200180001854000080175001501700006010016500040160002022-06-162022-06-242022-07-042022-07-122022-07-202022-07-282022-08-052022-08-152022-08-232022-08-312022-09-082022-09-192022-09-272022-10-122022-10-202022-10-282022-11-072022-11-152022-11-232022-12-012022-12-092022-12-192022-12-092022-06-282022-07-082022-07-202022-08-012022-08-112022-08-232022-09-022022-09-152022-09-272022-10-142022-10-262022-11-072022-11-172022-11-292022-06-16IMPVMA20UPLOW锌期权持仓分布锌期权持仓分布图锌期权持仓变化图4000600350040030002002500200001500-2001000-4005000-600184001840018800180001800018400188001920019600200002040020800212002160022000224002280023200236002400024400248002550026500275002850029500180001920019600200002040020800212002160022000224002280023200236002400024400248002550026500275002850029500OIPOICOICHANGEPOICHANGEC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2880026800248002280020800188002022-06-212022-06-162022-06-242022-06-292022-07-042022-07-072022-07-122022-07-152022-07-202022-07-252022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-19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18028000OIPCR500160CLOSE27000260004001402500012030024000100230002000802200010006021000040200002022-06-162022-06-242022-07-042022-07-122022-07-202022-07-282022-08-052022-08-152022-08-232022-08-312022-09-082022-09-192022-09-272022-10-122022-10-202022-10-282022-11-072022-11-152022-11-232022-12-012022-12-092022-12-192022-12-092022-06-282022-07-082022-07-202022-08-012022-08-112022-08-232022-09-022022-09-152022-09-272022-10-142022-10-262022-11-072022-11-172022-11-292022-06-16IMPVMA20UPLOW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30001008025006020004015002001000-20500-400-60480480320320328336344352360368376384392400416432448464320328336344352360368376384392400416432448464480OIPOICOICHANGEPOICHANGEC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5004504003503002022-08-052022-08-152022-06-162022-06-212022-06-242022-06-292022-07-042022-07-072022-07-122022-07-152022-07-202022-07-252022-07-282022-08-022022-08-102022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-1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