【基本面信息】
　　铜：产业层面，昨日LME库存减少75至81400吨，注销仓单占比降低，Cash/3M贴水21.5美元/吨。国内方面，昨日上海地区现货贴水扩至120元/吨，市场交易活跃度不佳。进出口方面，昨日国内铜现货进口亏损扩大至700元/吨左右，洋山铜溢价持平。
　　铝：SMM现货A00铝报均价18970元/吨。A00铝锭升贴水平均价-50。铝期货仓单35492吨，较前一日减少100吨。LME铝库存461725吨，减少4875吨。
　　黄金：COMEX金跌0.61%，报1812美元/盎司，COMEX银跌2.05%，报23.72美元/盎司；沪金夜盘涨0.04%，报410.36元/克，沪银夜盘跌1.29%，报5294元/千克；10年期国债收益率涨0.1个基点，报3.886%，美元指数跌0.1%，报104.41。
　　铁矿石：当前我国已进入钢厂节前补库的阶段，而目前钢厂库存整体水平依然较低，因而预计短期内仍有补库动力，因而运价仍将有一定的基本面支撑。

研究报告全文：金属期权日报期权研究2022年12月29日星期四基本面信息铜产业层面昨日LME库存减少75至81400吨注销仓单占比降低Cash3M贴水215美元吨国内方面昨日上海地区现货贴水扩至120元吨市场交易活跃度不佳进出口方面昨日国内铜现货进口亏损扩大至700元吨左右洋山铜溢价持平铝SMM现货A00铝报均价18970元吨A00铝锭升贴水平均价-50铝期货仓单35492吨较前一日减少100吨LME铝库存461725吨减少4875吨卢品先黄金COMEX金跌061报1812美元盎司COMEX银跌205报2372美元盎司沪金夜盘涨投研经理004报41036元克沪银夜盘跌129报5294元千克10年期国债收益率涨01个基点报0755-233752523886美元指数跌01报10441lupxwkjyqhcom铁矿石当前我国已进入钢厂节前补库的阶段而目前钢厂库存整体水平依然较低因而预计短期内仍有补库动力因而运价仍将有一定的基本面支撑从业资格号F3047321期权分析及操作建议交易咨询号1铜期权Z0015541沪铜沿着多头趋势方向震荡上行温和上涨跌幅026报收于66350期权隐含波动率上升044报收于1720持仓量PCR小幅下降维持在高位水平报收于183操作建议沪铜沿着偏多头趋势方向高位盘整震荡逐渐上行期权隐含波动率小幅上升至较低水平持仓量PCR窄幅波动仍维持较高水平构建卖出看涨看跌宽跨式偏多头期权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CU2302SCU2302P66000SCU2302P65000和SCU2302C67000SCU2302C680002铝期权沪铝低位盘整震荡一周后前日大幅上涨昨日快速回落延续前期的宽幅震荡区间跌幅124报收于18705期权隐含波动率下降127报收于1415持仓量PCR报收于083操作建议沪铝突破盘整震荡两周的区间上限形成短期偏多头行情格局而后快速回落且上方有前期高点压力期权隐含波动率持续小幅下降期权持仓量PCR快速下降操作建议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AL2302SAL2302P1860010SAL2302P1870010和SAL2302C1870010SAL2302C18800103锌期权沪锌ZN2301上周高位回落后连续跳空低开大幅下跌本周以来超跌反弹持续上涨回升涨幅000报收于23805期权隐含波动率大幅下降492报收于1769持仓量PCR小幅下降报收于091操作建议沪锌空头压力线下反弹回升期权隐含波动率大幅下降沪锌期权持仓量PCR小幅下降构建卖出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涨或大跌则平仓离场如ZN2302SZN2302P23600SZN2302P23800和SZN2302C24000SZN2302C238004黄金期权黄金延续多头趋势方向上大幅波动的市场行情格局涨幅004报收于40956期权隐含波动率下降082报收于1253期权持仓量PCR报收于067操作建议黄金延续偏多头趋势方向上大幅波动下方有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-40810SAU2302-P-408105铁矿石期权铁矿石I2302超跌反弹V型反转后维持两个月以来的多头上涨趋势上周以来高位盘整震荡大幅波动涨幅036报收于84600期权隐含波动率下降253报收于3117期权持仓量PCR快速下降报收于246操作建议铁矿石持续两个月以来的多头上涨趋势上周以来涨幅收窄形成高位宽幅矩形区间震荡期权隐含波动率大幅度下降期权持仓量PCR急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I2305SI2301-C-850SI2305-C-860和SI2305-P-840SI2305-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CUCU23026635000-17000-02650116653ALAL23021870500-23500-124238322571ZNZN2302238050000000097111560AUAU23024095601600478332062II2302846003000361931630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CU230266000116400730006643416000028400232023-01-20AL230218700302002090018793-28100-1478800232023-01-20ZN2302238004690030500239641630006815900232023-01-20AU2302408468390409064016-078232023-01-20I230285012701730845180021-060122023-01-09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MA20UPLOWCU2302165617801720044196121291792AL2302147113441415-127159816931502ZN2302169218531769-492212122781964AU2302129911691253-082134513911299I2302249234243117-253336835763161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CU230290749597106005877716047183-003AL230217372137730790211703014073083-003ZN23025764536509302772366603091-001AU2302106165699054-0031604110802067002I23023531571704203-05256872140149246-005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2570000664400020650001560000105500055000002022-09-092022-10-262022-12-022022-06-272022-06-302022-07-052022-07-082022-07-132022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-072022-12-122022-12-152022-12-202022-12-232022-12-28图2铝主力合约走势图2400050成交量万收盘价230004022000210003020000187850019000201800010170001600002022-07-132022-07-262022-11-162022-11-292022-06-272022-06-302022-07-052022-07-082022-07-182022-07-212022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-212022-11-242022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-28图3锌主力合约走势图3000060成交量万收盘价28000504026000302400020239650022000102000002022-11-242022-11-292022-12-022022-12-072022-06-272022-06-302022-07-052022-07-082022-07-132022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-12-122022-12-152022-12-202022-12-232022-12-28图4黄金主力合约走势图20成交量万收盘价420408604051039037536002022-06-272022-06-302022-07-052022-07-082022-07-132022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-28图5铁矿石主力合约走势图1000140成交量万收盘价120900846501008008070060406002050002022-06-272022-06-302022-07-052022-07-082022-07-132022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-28铜期权持仓分布铜期权持仓分布图铜期权持仓变化图25004003002000200150010010000500-1000-2004700047000490005100053000550005700059000610006300065000670006900071000730007500077000790004700049000510005300055000570005900061000630006500067000690007100073000750007700079000OIPOICOICHANGEPOICHANGEC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8500080000750007000065000600005500050000450002022-07-082022-10-312022-11-162022-06-272022-06-302022-07-052022-07-132022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-11-032022-11-082022-11-112022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-28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280OIPCR7500050260CLOSE4524070000220402003518065000301606644000251406000020120100150805500010060040500002022-08-242022-09-202022-06-272022-07-052022-07-132022-07-212022-07-292022-08-082022-08-162022-09-012022-09-092022-09-282022-10-132022-10-212022-10-312022-11-082022-11-162022-11-242022-12-022022-12-122022-12-202022-12-282022-12-202022-07-072022-07-192022-07-292022-08-102022-08-222022-09-012022-09-142022-09-262022-10-132022-10-252022-11-042022-11-162022-11-282022-12-082022-06-27IMPVMA20UPLOW铝期权持仓分布铝期权持仓分布图铝期权持仓变化图25006005002000400300150020010010000500-100-2000-3001580015800206001490014900152001550016100164001670017000173001760017900182001850018800191001940019700200002120021800149001520015500158001610016400167001700017300176001790018200185001880019100194001970020000206002120021800OIPOICOICHANGEPOICHANGEC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220002100020000190001800017000160002022-11-032022-11-162022-06-272022-06-302022-07-052022-07-082022-07-132022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-082022-11-112022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-28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16020000OIPCR350CLOSE195001403001900012018500250100187850018000200175000801501700006010016500040160002022-06-272022-07-052022-07-132022-07-212022-07-292022-08-082022-08-162022-08-242022-09-012022-09-092022-09-202022-09-282022-10-132022-10-212022-10-312022-11-082022-11-162022-11-242022-12-022022-12-122022-12-202022-12-282022-12-202022-07-072022-07-192022-07-292022-08-102022-08-222022-09-012022-09-142022-09-262022-10-132022-10-252022-11-042022-11-162022-11-282022-12-082022-06-27IMPVMA20UPLOW锌期权持仓分布锌期权持仓分布图锌期权持仓变化图800150700100600500504003000200-501000-100216002160026500184001880018000180001840018800192001960020000204002080021200220002240022800232002360024000244002480025500275002850029500180001920019600200002040020800212002160022000224002280023200236002400024400248002550026500275002850029500OIPOICOICHANGEPOICHANGEC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2880026800248002280020800188002022-06-302022-06-272022-07-052022-07-082022-07-132022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-28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18028000OIPCR500160CLOSE27000260004001402500012030024000100230002000802200010006021000040200002022-06-272022-07-052022-07-132022-07-212022-07-292022-08-082022-08-162022-08-242022-09-012022-09-092022-09-202022-09-282022-10-132022-10-212022-10-312022-11-082022-11-162022-11-242022-12-022022-12-122022-12-202022-12-282022-12-202022-07-072022-07-192022-07-292022-08-102022-08-222022-09-012022-09-142022-09-262022-10-132022-10-252022-11-042022-11-162022-11-282022-12-082022-06-27IMPVMA20UPLOW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3000200150250010050200001500-50-1001000-150-200500-2500-300480480368416320320328336344352360368376384392400416432448464320328336344352360376384392400432448464480OIPOICOICHANGEPOICHANGEC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5004504003503002022-08-162022-08-242022-06-272022-06-302022-07-052022-07-082022-07-132022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-192022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-28黄金期权到期日收盘价C最大持仓P最大持仓黄金期权持仓量PCR黄金期权隐含波动率100420OIPCR4086035095CLOSE09041030085400250800753902007015065380060370100550503602022-06-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