【基本面信息】
　　铜：产业层面，昨日LME库存增加25至88575吨，注销仓单比例微降，Cash/3M贴水16美元/吨。国内方面，昨日上海地区现货升水下调至80元/吨，下游买盘减弱，现货成交转淡。进出口方面，昨日国内现货进口亏损维持300元/吨左右，洋山铜溢价持平。
　　铝：SMM现货A00铝报均价18020元/吨。A00铝锭升贴水平均价-40。铝期货仓单40918吨，较前一日增加252吨。LME铝库存442425吨，减少4825吨。2023年1月03日，SMM统计国内电解铝社会库存56.1万吨。
　　黄金：COMEX金涨0.79%，报1860.7美元/盎司，COMEX银跌1.3%，报23.92美元/盎司；10年期国债收益率跌1.9个基点，报3.69%，美元指数跌0.04%，报104.23。
　　铁矿石：现货市场成交情况一般，钢厂按需补库，PB粉价格较上一个交易日下跌5-10元/吨。钢谷网数据显示，本周建材产量下降，两库累库速度有所加快，表需下降，数据中性偏空

研究报告全文：金属期权日报期权研究2023年1月5日星期四基本面信息铜产业层面昨日LME库存增加25至88575吨注销仓单比例微降Cash3M贴水16美元吨国内方面昨日上海地区现货升水下调至80元吨下游买盘减弱现货成交转淡进出口方面昨日国内现货进口亏损维持300元吨左右洋山铜溢价持平铝SMM现货A00铝报均价18020元吨A00铝锭升贴水平均价-40铝期货仓单40918吨较前一日增加252吨LME铝库存442425吨减少4825吨2023年1月03日SMM统计国内电解铝社会库存561万吨卢品先黄金COMEX金涨079报18607美元盎司COMEX银跌13报2392美元盎司10年期国债收益投研经理率跌19个基点报369美元指数跌004报104230755-23375252铁矿石现货市场成交情况一般钢厂按需补库PB粉价格较上一个交易日下跌5-10元吨钢谷网lupxwkjyqhcom数据显示本周建材产量下降两库累库速度有所加快表需下降数据中性偏空从业资格号期权分析及操作建议F30473211铜期权交易咨询号沪铜上周以来冲高回落逐渐下行本周以来加速下跌跌幅129报收于64200期权隐含波动率上升Z0015541233报收于1757持仓量PCR持续大幅下降维持在高位水平报收于148操作建议沪铜高位回落后连续大幅下跌形成短期弱势偏空头趋势期权隐含波动率持续下降后快速反弹上升持仓量PCR大幅度下跌构建卖出看涨看跌宽跨式偏空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CU2302SCU2302P64000SCU2302P65000和SCU2302C65000SCU2302C660002铝期权沪铝上周冲高回落后弱势下行本周以来连续报收大阴线大幅下挫跌幅117报收于17795期权隐含波动率上升285报收于1640持仓量PCR报收于071操作建议沪铝弱势空头下行趋势期权隐含波动率持续快速上升期权持仓量PCR窄幅盘整构建看涨看跌卖方偏空头的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则逐渐平仓离场如AL2302SAL2302P1760010SAL2302P1770010和SAL2302C1780010SAL2302C17900103锌期权沪锌ZN2302上周超跌反弹而后受阻回落延续前期的弱势空头行情跌幅079报收于23155期权隐含波动率快速上升289报收于1938持仓量PCR急速上涨报收于134操作建议沪锌连续大幅下跌延续上方有压力的弱势偏空头行情期权隐含波动率大幅上升沪锌期权持仓量PCR急速上升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ZN2302SZN2302P23000SZN2302P22800和SZN2302C23200SZN2302C234004黄金期权黄金沿着多头趋势方向上震荡上行突破上涨涨幅045报收于41332期权隐含波动率上升041报收于1279期权持仓量PCR报收于068操作建议黄金延续偏多头趋势方向上震荡上行突破上涨本周以来加速上行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和方向性收益若市场行情快速大跌则逐渐平仓离场如AU2302SAU2302-C-42410SAU2302-C-41610和SAU2302-P-40810SAU2302-P-408105铁矿石期权铁矿石I2305超跌反弹V型反转后维持两个月以来的多头上涨趋势本周以来高位回落连续报收阴线跌幅147报收于83800期权隐含波动率下降100报收于2832期权持仓量PCR小幅下降报收于250操作建议铁矿石持续两个月以来的多头上涨趋势不断突破上涨本周以来涨幅收窄逐渐转为短期弱势而趋势线方向仍向上期权隐含波动率持续下降期权持仓量PCR窄幅波动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I2305SI2305-C-840SI2305-C-850和SI2305-P-820SI2305-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CUCU23026420000-84000-12964520984ALAL23021779500-21000-117217119543ZNZN23022315500-18500-079104912249AUAU23024133218604536414994II230583800-1250-147754164152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CU2302640001154005760064578-126200-19237800142023-01-18AL230217800267001870017880-38300-2108500142023-01-18ZN230223200294003890023105-36400-155-5000142023-01-18AU2302416230608412190046-110142023-01-18I230584060205430846-580-068790962023-04-10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MA20UPLOWCU2302169417931757233191421171712AL2302170715571640285154816751421ZN2302186419761938289204122711811AU2302126013161279041132813931262I2305261329872832-100324534333058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CU230214899255221710331133716587146-024AL23022756122134080-0072232815901071-000ZN2302981019406198055793810613134040AU230288044816055-0021512410240068003I2305150014210828107850486134243266008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7000025645600020650001560000105500055000002022-09-162022-11-012022-12-082022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-132022-12-162022-12-212022-12-262022-12-292023-01-04图2铝主力合约走势图2400045成交量万收盘价2300040220003521000302520000178650020190001518000101700051600002022-07-192022-08-012022-11-222022-12-052022-07-012022-07-062022-07-112022-07-142022-07-222022-07-272022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-252022-11-302022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-04图3锌主力合约走势图3000050成交量万收盘价280004026000302400020220002310500102000002022-11-302022-12-052022-12-082022-12-132022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-12-162022-12-212022-12-262022-12-292023-01-04图4黄金主力合约走势图20成交量万收盘价420413264051039037536002022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-04图5铁矿石主力合约走势图1000140成交量万收盘价120900858501008008070060406002050002022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-04铜期权持仓分布铜期权持仓分布图铜期权持仓变化图300010002500500200001500-5001000-10005000-1500490004900079000470004700049000510005300055000570005900061000630006500067000690007100073000750007700079000470005100053000550005700059000610006300065000670006900071000730007500077000OIPOICOICHANGEPOICHANGEC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8500080000750007000065000600005500050000450002022-07-142022-11-042022-11-222022-07-012022-07-062022-07-112022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-092022-11-142022-11-172022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-04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280OIPCR7500050260CLOSE4524070000220402003518065000301602514064560006000020120100150805500010060040500002022-08-302022-09-262022-07-012022-07-112022-07-192022-07-272022-08-042022-08-122022-08-222022-09-072022-09-162022-10-112022-10-192022-10-272022-11-042022-11-142022-11-222022-11-302022-12-082022-12-162022-12-262023-01-042022-12-262022-07-132022-07-252022-08-042022-08-162022-08-262022-09-072022-09-202022-09-302022-10-192022-10-312022-11-102022-11-222022-12-022022-12-142022-07-01IMPVMA20UPLOW铝期权持仓分布铝期权持仓分布图铝期权持仓变化图3000150025001000500200001500-5001000-1000500-15000-20001580015800206001490020000149001490015200155001610016400167001700017300176001790018200185001880019100194001970020000212002180015200155001580016100164001670017000173001760017900182001850018800191001940019700206002120021800OIPOICOICHANGEPOICHANGEC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220002100020000190001800017000160002022-11-092022-11-222022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-142022-11-172022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-04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16019500OIPCR350CLOSE1900014030018500120250180001002001750008017865001501700010006016500040160002022-07-012022-07-112022-07-192022-07-272022-08-042022-08-122022-08-222022-08-302022-09-072022-09-162022-09-262022-10-112022-10-192022-10-272022-11-042022-11-142022-11-222022-11-302022-12-082022-12-162022-12-262023-01-042022-12-262022-07-132022-07-252022-08-042022-08-162022-08-262022-09-072022-09-202022-09-302022-10-192022-10-312022-11-102022-11-222022-12-022022-12-142022-07-01IMPVMA20UPLOW锌期权持仓分布锌期权持仓分布图锌期权持仓变化图14001000120080010006008004006002004000200-2000-400180001800028500180001800018400188001920019600200002040020800212002160022000224002280023200236002400024400248002550026500275002850029500184001880019200196002000020400208002120021600220002240022800232002360024000244002480025500265002750029500OIPOICOICHANGEPOICHANGEC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2880026800248002280020800188002022-07-062022-07-012022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-04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18028000OIPCR500160CLOSE27000260004001402500012030024000100230002000802200010006021000040200002022-07-012022-07-112022-07-192022-07-272022-08-042022-08-122022-08-222022-08-302022-09-072022-09-162022-09-262022-10-112022-10-192022-10-272022-11-042022-11-142022-11-222022-11-302022-12-082022-12-162022-12-262023-01-042022-12-262022-07-132022-07-252022-08-042022-08-162022-08-262022-09-072022-09-202022-09-302022-10-192022-10-312022-11-102022-11-222022-12-022022-12-142022-07-01IMPVMA20UPLOW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300010050250002000-501500-100-1501000-200500-2500-300480480368416320320328336344352360368376384392400416432448464320328336344352360376384392400432448464480OIPOICOICHANGEPOICHANGEC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5004504003503002022-08-222022-08-302022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-252022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-04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41326100420OIPCR35095CLOSE090410300854002508007539020070150653800603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