研究报告全文：金属期权日报期权研究2023年2月17日星期五基本面信息铜现货端国内库存偏高近几日小幅反弹后采购量一般下游态度较为谨慎部分逢低入市补货而部分前几日已有备库则放缓观望上海平水铜升贴水报价-80-40元吨采购方对升水报价相对谨慎升水僵持观望市场整体出货量仍相对旺盛铝SMM现货铝锭报18460跌10贴30持平成交方面成交不温不火观望情绪较浓无锡市场报价贴水20至贴水10佛山报价均价至升水10卢品先黄金将迎来美国初请失业金人数变动和美国1月份PPI数据目前的市场预期略微偏向利多金价数据出炉前有望给金价提供一下反弹机会投研经理铁矿石现货市场方面钢厂按需采购询盘积极成交活跃度有所好转现货价格与上一交易日上涨5-10元0755-23375252吨根据近期海外发货数据推算未来几周到港量或有所下降供应或短期偏紧本周国内工程项目开复工率较上lupxwkjyqhcom期大幅提升环比和同比均不同程度增加从业资格号期权分析及策略建议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上周以来矩形区间盘整震荡逐渐回暖上升而中期Z0015541趋势方向仍向上涨幅142报收于69230期权隐含波动率小幅上升050报收于1879持仓量PCR小幅盘整报收于117操作建议沪铜CU2303高位回落后延续两周以来的震荡下行上周以来止跌反弹企稳回升震荡上行温和上涨下方有偏多头趋势线支撑期权隐含波动率窄幅波动期权持仓量PCR则小幅盘整震荡构建卖出看涨看跌偏多头的宽跨式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CU2303SCU2303P68000SCU2303P69000和SCU2303C70000SCU2303C710002铝期权沪铝AL2303高位盘整震荡两周后连续报收大阴线大幅下跌跌破震荡区间下限而后低位弱势盘整涨幅065报收于18510期权隐含波动率下降089报收于1474持仓量PCR小幅上升报收于089操作建议沪铝AL2303上周以来连续大幅下挫先后跌破21天均线和55天均线以及震荡区间的下限形成短期弱势偏空头趋势的市场行情状态期权隐含波动率小幅波动期权持仓量PCR小幅回升构建卖出看涨看跌期权偏空头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平仓离场如AL2303SAL2303P1840010SAL2303P1850010和SAL2303C1860010SAL2303C18700103锌期权沪锌ZN2303维持近三周以来的弱势偏空头趋势近一个月以来形成倒V型市场行情走势涨幅031报收于22845期权隐含波动率下降092报收于1837持仓量PCR有所上升报收于077操作建议沪锌ZN2303近一个月以来形成倒V型走势的市场行情短期弱势偏空头市场行情形态期权隐含波动率小幅波动沪锌期权持仓量PCR弱势下降维持较低水平构建卖出宽跨式期权的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急速大涨则平仓离场如ZN2303SZN2303P22400SZN2303P22600和SZN2303C22800SZN2303C230004黄金期权黄金AU2304前期经过近三个月以来震荡上行突破上涨前一周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上周以来低位弱势盘整震荡涨幅030报收于41198期权隐含波动率小幅下降043报收于1107期权持仓量PCR报收于086操作建议黄金AU2304上周以来形成上方有压力的弱势偏空头区间盘整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平仓离场如AU2304SAU2304-P-40010SAU2304-P-40810和SAU2304-C-41610SAU2304-C-424105铁矿石期权铁矿石I2305维持近三周以来围绕21天均线上下波动且均线斜率逐渐走平近三天以来连续报收阳线突破上行涨幅132报收于88350期权隐含波动率下降100报收于3199期权持仓量PCR小幅下降报收于319操作建议铁矿石I2505延续多头趋势方向上的高位震荡短期突破上涨期权隐含波动率持续下降期权持仓量PCR延续上升趋势位于较高位置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急速大跌则平仓离场如I2305SI2301-P-870SI2305-P-880和SI2305-C-890SI2305-C-900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CUCU230369230009700014273625109ALAL2303185100012000065122511263ZNZN230322845007000031100911496AUAU23044119812203098340361II2305883501150132676258993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CU230369000332007560068576-8400-012-6540062023-02-22AL23031850012300133001849014800081-200062023-02-22ZN230322800236001640022872-3400-015270062023-02-22AU2304408722382411-016-004-058392023-03-27I2305880368037708791440167-440532023-04-10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MA20UPLOWCU2303178219651879050205923271790AL2303144514991474-089161017031517ZN2303188517861837-092200221801824AU2304117710421107-043128314161150I2305267134373199-100359838263370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CU230331076348101120362087324397117003AL230323826278871170262697924023089004ZN23033060928206092-0101424111001077006AU230470307549107-0031313911247086-001I2305420919324422206089327285249319-009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68510007000020650001560000105500055000002022-10-312022-12-072023-01-162022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-192023-01-312023-02-032023-02-082023-02-132023-02-16图2铝主力合约走势图2000040成交量万收盘价19500351848500190003018500251800020175001517000101650051600002022-08-242022-09-062022-12-282023-01-112022-08-082022-08-112022-08-162022-08-192022-08-292022-09-012022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232023-01-032023-01-062023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-16图3锌主力合约走势图2600050成交量万收盘价25000402400030230002022000228800021000102000002023-01-062023-01-112023-01-162023-01-192022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-312023-02-032023-02-082023-02-132023-02-16图4黄金主力合约走势图30成交量万收盘价42041148405203901037536002022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-16图5铁矿石主力合约走势图1000140成交量万收盘价880001209001008008070060406002050002022-08-082022-08-112022-08-162022-08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