【基本面信息】
　　铜：产业层面，昨日LME库存增加25至84800吨，注销仓单比例提高，Cash/3M贴水17美元/吨。国内方面，昨日上海地区现货升水下调至平水于期货，货源偏紧令基差报价降幅较小，成交延续偏淡。
　　铝：SMM现货A00铝报均价18070元/吨。A00铝锭升贴水平均价-70。铝期货仓单51989吨，较前一日上升6334吨。LME铝库存413700吨，下降5175吨。
　　黄金：COMEX金涨0.17%，报1879.7美元/盎司，COMEX银跌0.53%，报23.54美元/盎司；10年期国债收益率跌1.3个基点，报3.54%，美元指数报103.23。
　　铁矿石：现货市场成交情况一般，贸易商出货积极性较高，钢厂按需补库，PB粉现货价格较上一交易日上涨5-10元/吨。

研究报告全文：金属期权日报期权研究2023年1月12日星期四基本面信息铜产业层面昨日LME库存增加25至84800吨注销仓单比例提高Cash3M贴水17美元吨国内方面昨日上海地区现货升水下调至平水于期货货源偏紧令基差报价降幅较小成交延续偏淡铝SMM现货A00铝报均价18070元吨A00铝锭升贴水平均价-70铝期货仓单51989吨较前一日上升6334吨LME铝库存413700吨下降5175吨黄金COMEX金涨017报18797美元盎司COMEX银跌053报2354美元盎司10年期国债收卢品先益率跌13个基点报354美元指数报10323投研经理铁矿石现货市场成交情况一般贸易商出货积极性较高钢厂按需补库PB粉现货价格较上一交易0755-23375252日上涨5-10元吨lupxwkjyqhcom期权分析及操作建议从业资格号1铜期权F3047321沪铜CU2302上周以来冲高回落后连续空头下跌而后超跌反弹持续大幅上涨本周以来加速上涨交易咨询号突破2022年11月以来高点涨幅200报收于68740期权隐含波动率上升097报收于2028持仓量PCRZ0015541持续上升报收于242操作建议沪铜超跌反弹回暖上升后持续大幅上涨延续前期的偏多头市场行情趋势期权隐含波动率有所下降持仓量PCR持续上升维持在200以上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CU2302SCU2302P68000SCU2302P69000和SCU2302C69000SCU2302C700002铝期权沪铝AL2302经过前一周连续大幅下挫后上周以来低位盘整弱势震荡后逐渐回暖连续三天报收阳线夜盘延续上涨趋势涨幅071报收于18365期权隐含波动率下降030报收于1602持仓量PCR报收于080操作建议沪铝低位反弹回暖上升后持续大幅上涨而上方有前期高点压力形成短期偏多头中期偏空头的市场行情格局期权隐含波动率持续下降期权持仓量PCR窄幅盘整有所回升构建看涨看跌卖方偏多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跌则逐渐平仓离场如AL2302SAL2302P1830010SAL2302P1820010和SAL2302C18400010SAL2302C18400103锌期权沪锌ZN2302上周以来低位反弹后持续上涨偏多头上行企稳20天均线和60天均线涨幅086报收于23925期权隐含波动率上升036报收于1870持仓量PCR小幅盘整报收于125操作建议沪锌短期趋势偏多头上涨而上方有前期高点压力的市场行情格局期权隐含波动率小幅上升沪锌期权持仓量PCR窄幅波动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SZN2302C24000SZN2302C242004黄金期权黄金沿着多头趋势方向上震荡上行突破上涨而日间振幅加剧本周以来上涨幅度有所收窄跌幅031报收于41208期权隐含波动率小幅上升042报收于1355期权持仓量PCR报收于074操作建议黄金延续偏多头趋势方向震荡上行突破上涨日间振幅加大多空博弈剧烈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维持两个月以来的多头上涨趋势上周以来高位盘整震荡逐渐回落本周以来延续上升通道继续上涨涨幅053报收于84850期权隐含波动率上升085报收于3797期权持仓量PCR小幅上涨报收于271操作建议铁矿石持续两个月以来的多头上涨趋势突破上行上周市场行情逐渐转为弱势连续大幅下跌后反弹回暖且趋势线方向仍向上期权隐含波动率小幅上升期权持仓量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急速大跌则平仓离场如I2305SI2305-C-860SI2305-C-850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CUCU2302687400013500020040913794ALAL2302183650013000071146913396ZNZN230223925002050008697011503AUAU230241208-130-0311737141II230584850450053554646822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CU2302690002620013800067882131600198-8580072023-01-18AL230218400860025200182347900044-1310072023-01-18ZN230224000109004540023655-9700-041-2700072023-01-18AU230241619841841409602317272023-01-18I230585050505240848790094-040892023-04-10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MA20UPLOWCU2302179022332028097186320111715AL2302151517131602-030155316851421ZN2302177519771870036195021461754AU2302135013611355042132313901257I2305308841213797085331635973035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CU230234181397241160111105526729242029AL230229615232490790202228317758080007ZN23021888717054090019938111770125-016AU2302642655000860011474710853074001I2305167173660521905858096157521271013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7500025成交量万收盘价70000679100020650001560000105500055000002022-09-232022-11-082022-12-152022-07-082022-07-132022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-202022-12-232022-12-282023-01-032023-01-062023-01-11图2铝主力合约走势图2000040成交量万收盘价19500351900018245003018500251800020175001517000101650051600002022-07-262022-08-082022-11-292022-12-122022-07-082022-07-132022-07-182022-07-212022-07-292022-08-032022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-12-022022-12-072022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-11图3锌主力合约走势图2600050成交量万收盘价25000402400030230002367000202200021000102000002022-12-072022-12-122022-12-152022-12-202022-07-082022-07-132022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-232022-12-282023-01-032023-01-062023-01-11图4黄金主力合约走势图20成交量万收盘价420414804051039037536002022-07-082022-07-132022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-11图5铁矿石主力合约走势图1000140成交量万收盘价120900847501008008070060406002050002022-07-082022-07-132022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-11铜期权持仓分布铜期权持仓分布图铜期权持仓变化图50001200450010004000800350060030004002500200200001500-2001000-400500-6000-800570005700059000470004700049000510005300055000570005900061000630006500067000690007100073000750007700079000470004900051000530005500061000630006500067000690007100073000750007700079000OIPOICOICHANGEPOICHANGEC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750007000065000600005500050000450002022-07-212022-11-112022-11-292022-07-082022-07-132022-07-182022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-162022-11-212022-11-242022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-11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280OIPCR7500050CLOSE4524070000402003565000679100030160256000020120150805500010040500002022-09-062022-10-102022-07-082022-07-182022-07-262022-08-032022-08-112022-08-192022-08-292022-09-152022-09-232022-10-182022-10-262022-11-032022-11-112022-11-212022-11-292022-12-072022-12-152022-12-232023-01-032023-01-112023-01-032022-07-202022-08-012022-08-112022-08-232022-09-022022-09-152022-09-272022-10-142022-10-262022-11-072022-11-172022-11-292022-12-092022-12-212022-07-08IMPVMA20UPLOW铝期权持仓分布铝期权持仓分布图铝期权持仓变化图30004002500200200001500-2001000-400500-6000-8001580015800206001490014900152001550016100164001670017000173001760017900182001850018800191001940019700200002120021800149001520015500158001610016400167001700017300176001790018200185001880019100194001970020000206002120021800OIPOICOICHANGEPOICHANGEC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2000019500190001850018000175001700016500160002022-11-162022-11-292022-07-082022-07-132022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-212022-11-242022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-11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16019500OIPCR350CLOSE1900014030018500120250180001002001824500175000801501700010006016500040160002022-07-082022-07-182022-07-262022-08-032022-08-112022-08-192022-08-292022-09-062022-09-152022-09-232022-10-102022-10-182022-10-262022-11-032022-11-112022-11-212022-11-292022-12-072022-12-152022-12-232023-01-032023-01-112023-01-032022-07-202022-08-012022-08-112022-08-232022-09-022022-09-152022-09-272022-10-142022-10-262022-11-072022-11-172022-11-292022-12-092022-12-212022-07-08IMPVMA20UPLOW锌期权持仓分布锌期权持仓分布图锌期权持仓变化图2000300180020016001400100120001000800-100600-200400-3002000-400184001840018800180001800018400188001920019600200002040020800212002160022000224002280023200236002400024400248002550026500275002850029500180001920019600200002040020800212002160022000224002280023200236002400024400248002550026500275002850029500OIPOICOICHANGEPOICHANGEC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2880026800248002280020800188002022-07-132022-07-082022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-11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18028000OIPCR500160CLOSE27000260004001402500012030024000100230002000802200010006021000040200002022-07-082022-07-182022-07-262022-08-032022-08-112022-08-192022-08-292022-09-062022-09-152022-09-232022-10-102022-10-182022-10-262022-11-032022-11-112022-11-212022-11-292022-12-072022-12-152022-12-232023-01-032023-01-112023-01-032022-07-202022-08-012022-08-112022-08-232022-09-022022-09-152022-09-272022-10-142022-10-262022-11-072022-11-172022-11-292022-12-092022-12-212022-07-08IMPVMA20UPLOW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3000403025002020001001500-101000-20-30500-400-50480480400320320328336344352360368376384392400416432448464320328336344352360368376384392416432448464480OIPOICOICHANGEPOICHANGEC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5004504003503002022-08-292022-09-062022-07-082022-07-132022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-09-012022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-11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41480090420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