研究报告全文：金属期权日报期权研究2023年2月8日星期三基本面信息铜产业层面昨日LME库存续减975至66475吨注销仓单占比降低Cash3M贴水335美元吨国内方面昨日上海地区现货贴水缩窄至30元吨盘面回调下游买盘增加国内累库节奏放缓进出口方面昨日铜现货进口亏损维持700元吨左右洋山铜溢价下滑废铜方面上周国内精废价差小幅缩窄至1280元吨废铜替代优势降低铝SMM现货A00铝报均价18750元吨A00铝锭升贴水平均价-60铝期货仓单161048吨较前一日增加10083吨LME铝库存392200吨减少3050吨2023年2月6日SMM统计国内电解铝锭社会库存1143万吨较上周四库存增加卢品先96万吨较1月30上周一库存量增加158万吨黄金COMEX金涨03报18851美元盎司COMEX银跌021报2219美元盎司沪金夜盘跌014报投研经理41236元克沪银夜盘跌042报4987元千克10年期国债收益率报3679美元指数报103360755-23375252铁矿石现货市场方面钢厂按需采购少量补库成交活跃性一般现货价格与前一交易日下跌5-10元吨正lupxwkjyqhcom月十五已过未来的几周各地工地将逐步开工下游需求开始启动关注后续需求恢复情况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CU2303高位回落后延续近两周以来的震荡下行趋势而中期趋势方向仍向上涨幅022报收于Z0015541681600期权隐含波动率小幅上升037报收于1780持仓量PCR小幅盘整报收于115操作建议沪铜短期行情震荡下行偏弱势中期趋势方向仍向上期权隐含波动率有所上升持仓量PCR小幅盘整震荡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CU2303SCU2303P68000SCU2303P67000和SCU2303C69000SCU2303C700002铝期权沪铝AL2303偏多头趋势方向上区间盘整震荡涨幅011报收于19065期权隐含波动率上升047报收于1589持仓量PCR报收于099操作建议沪铝区间盘整震荡下方有均线支撑期权隐含波动率小幅波动期权持仓量PCR窄幅盘整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AL2303SAL2303P1890010SAL2303P1900010和SAL2303C19100010SAL2303C19200103锌期权沪锌ZN2303春节后一周以来弱势震荡而后快速大幅下跌跌破近期低点低位盘整涨幅088报收于23600期权隐含波动率上升029报收于1861持仓量PCR小幅盘整报收于083操作建议沪锌连续大幅回落后形成上方有压力的低位弱势盘整行情格局期权隐含波动率小幅波动沪锌期权持仓量PCR窄幅盘整构建卖出宽跨式偏空头方向的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涨则平仓离场如ZN2303SZN2303P23200SZN2303P23400和SZN2303C23600SZN2303C238004黄金期权黄金AU2304连续近三个月以来震荡上行突破上涨上周五冲高回落后连续报收大阴线大幅下挫跌破两周以来的低点跌幅014报收于41236期权隐含波动率小幅下降017报收于1197期权持仓量PCR报收于090操作建议黄金高位回落后连续大幅下挫而后低位窄幅波动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空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涨则逐渐平仓离场如AU2304SAU2304C41610SAU2304C42410和SAU2304P40010SAU2304P408105铁矿石期权铁矿石I2305维持两个半月以来的多头上涨趋势近一个月以来涨幅收窄先扬后抑震荡回落跌幅077报收于83550期权隐含波动率下降033报收于3534期权持仓量PCR小幅下降报收于335操作建议铁矿石弱势震荡逐渐回落期权隐含波动率小幅下降期权持仓量PCR持续下降构建卖出偏空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急速大涨策略将面临亏损则平仓离场如I2305SI2305-C-850SI2305-C-840和SI2305-P-830SI2305-P-820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CUCU230368160001500002276325941ALAL230319065002000011164915700ZNZN2303236000020500088118613873AUAU230441236-058-014107944544II230583550-650-077815568673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CU230368000966007000068266-11000-01610600152023-02-22AL23031910023500242001909329000152800152023-02-22ZN230323600248004610023387-14300-061-21300152023-02-22AU2304416478812413-120-029030482023-03-27I230584047504400844-950-111800622023-04-10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MA20UPLOWCU2303186217191780037208923491829AL2303158515931589047164117341548ZN2303192818061861029199021751805AU2304125511181197-017134514311259I2305304937993534-033367939143443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CU23032074327427132-0052010923122115-004AL23032212222638102-0162093920743099-002ZN23031192914397121008106988906083-004AU230464374654072-019111109973090003I2305296575414318301469074231234335-017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68260007000020650001560000105500055000002022-10-202022-11-282023-01-052022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-102023-01-132023-01-182023-01-302023-02-022023-02-07图2铝主力合约走势图2000040成交量万收盘价19095001950035190003018500251800020175001517000101650051600002022-08-152022-08-262022-12-192022-12-302022-07-282022-08-022022-08-052022-08-102022-08-182022-08-232022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-222022-12-272023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-07图3锌主力合约走势图2600050成交量万收盘价25000402400030230002336500202200021000102000002022-12-272022-12-302023-01-052023-01-102022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222023-01-132023-01-182023-01-302023-02-022023-02-07图4黄金主力合约走势图30成交量万收盘价42041262405203901037536002022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-07图5铁矿石主力合约走势图1000140成交量万收盘价120900840501008008070060406002050002022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-07铜期权持仓分布铜期权持仓分布图铜期权持仓变化图300060050025004002000300200150010010000-100500-2000-3004900049000510005300055000570005900061000630006500067000690007100073000750007700079000820004900051000530005500057000590006100063000650006700069000710007300075000770007900082000OIPOICOICHANGEPOICHANGEC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750007000065000600005500050000450002022-08-102022-12-012022-12-192022-07-282022-08-022022-08-052022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-062022-12-092022-12-142022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-07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280OIPCR7500050CLOSE4524070000402003565000682600030160256000020120150805500010040500002022-09-272022-10-282022-07-282022-08-052022-08-152022-08-232022-08-312022-09-082022-09-192022-10-122022-10-202022-11-072022-11-152022-11-232022-12-012022-12-092022-12-192022-12-272023-01-052023-01-132023-01-302023-02-072023-01-302022-08-092022-08-192022-08-312022-09-132022-09-232022-10-122022-10-242022-11-032022-11-152022-11-252022-12-072022-12-192022-12-292023-01-112022-07-28IMPVMA20UPLOW铝期权持仓分布铝期权持仓分布图铝期权持仓变化图40008003500700600300050025004002000300150020010010000500-1000-2001580015800206001490014900152001550016100164001670017000173001760017900182001850018800191001940019700200002120021800149001520015500158001610016400167001700017300176001790018200185001880019100194001970020000206002120021800OIPOICOICHANGEPOICHANGEC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2000019500190001850018000175001700016500160002022-12-062022-12-192022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-092022-12-142022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-07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16020000OIPCR350CLOSE195001403001900012018500250190950010018000200175000801501700006010016500040160002022-07-282022-08-052022-08-152022-08-232022-08-312022-09-082022-09-192022-09-272022-10-122022-10-202022-10-282022-11-072022-11-152022-11-232022-12-012022-12-092022-12-192022-12-272023-01-052023-01-132023-01-302023-02-072023-01-302022-08-092022-08-192022-08-312022-09-132022-09-232022-10-122022-10-242022-11-032022-11-152022-11-252022-12-072022-12-192022-12-292023-01-112022-07-28IMPVMA20UPLOW锌期权持仓分布锌期权持仓分布图锌期权持仓变化图25003002002000100150001000-100-200500-3000-400184001840018800180001800018400188001920019600200002040020800212002160022000224002280023200236002400024400248002550026500275002850029500180001920019600200002040020800212002160022000224002280023200236002400024400248002550026500275002850029500OIPOICOICHANGEPOICHANGEC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2880026800248002280020800188002022-08-022022-07-282022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-07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18028000OIPCR500160CLOSE27000260004001402500012030024000100230002000802200010006021000040200002022-07-282022-08-052022-08-152022-08-232022-08-312022-09-082022-09-192022-09-272022-10-122022-10-202022-10-282022-11-072022-11-152022-11-232022-12-012022-12-092022-12-192022-12-272023-01-052023-01-132023-01-302023-02-072023-01-302022-08-092022-08-192022-08-312022-09-132022-09-232022-10-122022-10-242022-11-032022-11-152022-11-252022-12-072022-12-192022-12-292023-01-112022-07-28IMPVMA20UPLOW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200030018002501600200140015012001001000508000600400-50200-1000-150496496376432328328336344352360368376384392400416432448464480328336344352360368384392400416448464480496OIPOICOICHANGEPOICHANGEC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5004504003503002022-09-192022-09-272022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-222022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-07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41262095420OIPCR30090CLOSE410085250804000752039007015065380060370100550503602022-07-282022-10-122022-08-052022-08-152022-08-232022-08-312022-09-082022-09-192022-09-272022-10-202022-10-282022-11-072022-11-152022-11-232022-12-012022-12-092022-12-192022-12-272023-01-052023-01-132023-01-302023-02-072023-01-302022-08-092022-08-192022-08-312022-09-132022-09-232022-10-122022-10-242022-11-032022-11-152022-11-252022-12-072022-12-192022-12-292023-01-112022-07-28IMPVMA20UPLOW铁矿石期权持仓分布铁矿石期权持仓分布图铁矿石期权持仓变化图45000200040000150035000300001000250005002000015000010000-50050000-10005805809407001000490490520550610640670700730760790820850880910970100010604905205505806106406707307607908208508809109409701060OIPOICOICHANGEPOICHANGEC铁矿石期权最大未平仓铁矿石认购认沽合约最大持仓量所在的行权价10009509008508007507006506005505002022-08-262022-11-152023-01-102022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-132023-01-182023-01-302023-02-022023-02-07铁矿石期权到期日收盘价C最大持仓P最大持仓铁矿石期权持仓量PCR铁矿石期权隐含波动率41084050900OIPCR70CLOSE360850603108002605075021040700160301106500606002022-09-192022-11-072022-07-282022-08-052022-08-152022-08-232022-08-312022-09-082022-09-272022-10-122022-10-202022-10-282022-11-152022-11-232022-12-012022-12-092022-12-192022-12-272023-01-052023-01-132023-01-302023-02-072023-01-302022-08-092022-08-192022-08-312022-09-132022-09-232022-10-122022-10-242022-11-032022-11-152022-11-252022-12-072022-12-192022-12-292023-01-112022-07-28IMPVMA20UPLOW免责声明五矿期货有限公司是经中国证监会批准设立的期货经营机构已具备有商品期货经纪金融期货经纪资产管理期货交易咨询等业务资格本刊所有信息均建立在可靠的资料来源基础上我们力求能为您提供精确的数据客观的分析和全面的观点但我们必须声明对所有信息可能导致的任何损失概不负责本报告并不提供量身定制的交易建议报告的撰写并未虑及读者的具体财务状况及目标五矿期货研究团队建议交易者应独立评估特定的交易和战略并鼓励交易者征求专业财务顾问的意见具体的交易或战略是否恰当取决于交易者自身的状况和目标文中所提及的任何观点都仅供参考不构成买卖建议版权声明本报告版权为五矿期货有限公司所有本刊所含文字数据和图表未经五矿期货有限公司书面许可任何人不得以电子机械影印录音或其它任何形式复制传播或存储于任何检索系统不经许可复制本刊任何内容皆属违反版权法行为可能将受到法律起诉并承担与之相关的所有损失赔偿和法律费用五矿期货分支机构深圳总部业务一部深圳市南山区滨海大道3165号五矿金融大厦13-16层电话400-888-5398电话0755-83252740业务二部业务三部电话0755-88917165电话0755-83752356业务四部业务五部电话010-68331868-183电话028-85053476深圳营业部北京分公司深圳市福田区福华三路1006号诺德大厦30D1北京市海淀区首体南路6号新世纪世行饭店写字楼1253室电话0755-83752310电话010-68332068上海分公司成都分公司上海市浦东新区向城路288号国华人寿金融大厦902903成都高新区天府大道北段1288号1幢3单元12层12041205电话021-58784529电话028-86131072青岛分公司北京营业部山东省青岛市东海西路35号太平洋中心1写字楼409北京市丰台区广安路9号院6号楼408409电话0532-85780820电话010-64185322广州营业部湛江营业部广东省广州市天河区珠江西路17号广晟国际大厦24楼2407广东省湛江市开发区乐山东路35号银隆广场12层A1210室电话020-29117582电话0759-2856220天津营业部西安营业部天津市滨海高新区华苑产业区梅苑路5号金座广场2101-陕西省西安市新城区纬什街新科路1号楼一层2102电话029-87572985电话022-23778878宁波中山西路营业部重庆营业部浙江省宁波市海曙区布政巷16号12楼1205室重庆市江北区江北城西大街25号11-1电话0574-87330527电话023-67078086郑州营业部南通营业部郑州市未来路69号未来大厦16层1612号江苏省南通市青年东路81号南通大饭店B楼财富中心2003室电话0371-65619030电话0513-81026105杭州民心路营业部台州爱华路营业部浙江省杭州市江干区万银大厦1408室浙江省台州市椒江区爱华新台州大厦8-A电话0571-81969926电话0576-89811511济南营业部昆明营业部山东省济南市历下区山大路201号天业科技商务大厦401云南省昆明市盘龙区北京路612号银海国际公寓D座3201室427室电话0871-63338532电话0531-83192255大连营业部唐山营业部辽宁省大连市沙河口区会展路大连国际金融中心A座大连期河北省唐山市路北区军鑫里凤城国贸1楼21层2104号货大厦2001号电话0315-5936395电话0411-84800452武汉营业部湖北省武汉市江岸区三阳路8号天悦星辰A栋26楼2602室电话0755-23375007