【基本面信息】
　　铜：产业层面，昨日LME库存增加675至65500吨，注销仓单比例提高，Cash/3M贴水26美元/吨。国内方面，周末社会库存小幅增加，昨日上海地区现货贴水扩至80元/吨，市场货源相对充裕，贸易商拿货积极性尚可。
　　铝：SMM现货A00铝报均价18690元/吨。A00铝锭升贴水平均价-100。铝期货仓单217910吨，较前一日下降1223吨。LME铝库存585750吨，减少6200吨。2023年2月20日，SMM统计国内电解铝锭社会库存123.3万吨，较上周四库存增加1.7万吨。
　　黄金：COMEX金涨0.01%，报1850.3美元/盎司，COMEX银涨0.46%，报21.82美元/盎司；沪金夜盘涨0.04%，报411.9元/克，沪银夜盘涨1.06%，报4973元/千克；10年期国债收益率报3.82%，美元指数报103.85。
　　铁矿石：现货市场方面，钢厂按需采购，成交情况一般，现货价格与上一交易日上涨5-10元/吨。上周五大商所发布铁矿石市场风险提示公告，但未对盘面价格形成影响。本周澳洲发往中国的量1539.7万吨，环比增加398.6万吨。

研究报告全文：金属期权日报期权研究2023年2月21日星期二基本面信息铜产业层面昨日LME库存增加675至65500吨注销仓单比例提高Cash3M贴水26美元吨国内方面周末社会库存小幅增加昨日上海地区现货贴水扩至80元吨市场货源相对充裕贸易商拿货积极性尚可铝SMM现货A00铝报均价18690元吨A00铝锭升贴水平均价-100铝期货仓单217910吨较前一日下降1223吨LME铝库存585750吨减少6200吨2023年2月20日SMM统计国内电解铝锭社会库存1233万吨较上周四库存增加17万吨卢品先黄金COMEX金涨001报18503美元盎司COMEX银涨046报2182美元盎司沪金夜盘涨004报4119元克沪银夜盘涨106报4973元千克10年期国债收益率报382美元指数报10385投研经理铁矿石现货市场方面钢厂按需采购成交情况一般现货价格与上一交易日上涨5-10元吨上周五大商所0755-23375252发布铁矿石市场风险提示公告但未对盘面价格形成影响本周澳洲发往中国的量15397万吨环比增加3986万吨lupxwkjyqhcom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上周企稳回升后连续上涨本周以来延续偏多头上涨趋势涨幅136报收于70050期权隐含波Z0015541动率小幅上升068报收于1856持仓量PCR持续上升报收于139操作建议沪铜CU2304沿着多头趋势方向震荡上行突破上涨期权隐含波动率小幅上升期权持仓量PCR则快速上升构建卖出看涨看跌偏多头的看涨看跌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CU2304SCU2304P69000SCU2304P70000和SCU2304C71000SCU2304C720002铝期权沪铝AL2303前一周高位回落连续报收大阴线大幅下跌上周低位盘整震荡本周以来快速反弹上涨形成上方有压力的短期偏多头市场行情涨幅107报收于18880期权隐含波动率上升053报收于1548持仓量PCR小幅上升报收于128操作建议沪铝AL2304上方有压力的市场行情走势形态期权隐含波动率小幅波动期权持仓量PCR维持较高水平构建卖出看涨看跌期权偏多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跌则平仓离场如AL2304SAL2304P1880010SAL2304P1890010和SAL2304C1890010SAL2304C19000103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型市场行情走势昨日超跌反弹大幅上涨夜盘延续上涨趋势涨幅170报收于23570期权隐含波动率下降108报收于1763持仓量PCR有所上升报收于1047操作建议沪锌ZN2304近一个月以来形成倒V型走势的市场行情而后止跌反弹回暖上升而上方有20天均线和60天均线压力期权隐含波动率小幅上升沪锌期权持仓量PCR大幅度上升构建卖出宽跨式期权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快速大跌则平仓离场如ZN2304SZN2304P23200SZN2304P23400和SZN2304C23600SZN2304C2382004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而后维持近两周以来低位弱势盘整震荡涨幅004报收于41190期权隐含波动率小幅下降017报收于1215期权持仓量PCR报收于087操作建议黄金AU2304维持近两周以来的宽幅矩形区间盘整震荡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上周以来连续报收阳线突破上涨本周以来急速上行多头信号较强涨幅321报收于91700期权隐含波动率上升094报收于3253期权持仓量PCR小幅上升报收于331操作建议铁矿石I2505延续多头信号持续上涨期权隐含波动率小幅波动期权持仓量PCR维持较高水平构建看涨期权反向比率策略获取方向性收益如I2305BI2305-C-94020和SI2305-C-90010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CUCU230470050009400013637212865ALAL2304188800020000107126511815ZNZN23042357000395001708389708AUAU230441190018004104142855II2305917002850321599953310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CU2304700001176001682006949454400079-55600352023-03-27AL23041890031600426001879025600138-9000352023-03-27ZN23042360042100701002332043800191-25000352023-03-27AU2304408768310413240059068352023-03-27I230592025605140894560063-2280492023-04-10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MA20UPLOWCU2304173420161856068200722641750AL2304155515391548053159016781503ZN2304171218401763-108197721511802AU2304129611231215-017127314051140I2305272935663253094353937833295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CU230482547287088-060792511021139-005AL2304104617576072-0631063513635128-031ZN23047596654008600658916100104-005AU230476946829089-0131341111649087001I2305400616729916802691058301544331009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69400007000020650001560000105500055000002022-11-022022-12-092023-01-182022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-302023-02-022023-02-072023-02-102023-02-152023-02-20图2铝主力合约走势图2000040成交量万收盘价19500187750035190003018500251800020175001517000101650051600002022-08-262022-09-082022-12-302023-01-132022-08-102022-08-152022-08-182022-08-232022-08-312022-09-052022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272023-01-052023-01-102023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-20图3锌主力合约走势图2600050成交量万收盘价25000402400030230002335500202200021000102000002023-01-102023-01-132023-01-182023-01-302022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-02-022023-02-072023-02-102023-02-152023-02-20图4黄金主力合约走势图30成交量万收盘价42041230405203901037536002022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-20图5铁矿石主力合约走势图1000140成交量万收盘价894001209001008008070060406002050002022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-20铜期权持仓分布铜期权持仓分布图铜期权持仓变化图1600400140035030012002501000200800150600100504000200-500-1005000050000520005400056000580006000062000640006600068000700007200074000760007800080000840005000052000540005600058000600006200064000660006800070000720007400076000780008000084000OIPOICOICHANGEPOICHANGEC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80000750007000065000600005500050000450002022-08-232022-12-142022-12-302022-08-102022-08-152022-08-182022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-192022-12-222022-12-272023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-20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280OIPCR7500045CLOSE40240700003520069400006500030160256000020120150805500010040500002022-10-172022-11-102022-08-102022-08-182022-08-262022-09-052022-09-142022-09-222022-09-302022-10-252022-11-022022-11-182022-11-282022-12-062022-12-142022-12-222022-12-302023-01-102023-01-182023-02-022023-02-102023-02-202023-02-102022-08-222022-09-012022-09-142022-09-262022-10-132022-10-252022-11-042022-11-162022-11-282022-12-082022-12-202022-12-302023-01-122023-01-312022-08-10IMPVMA20UPLOW铝期权持仓分布铝期权持仓分布图铝期权持仓变化图180012001600100014008001200100060080040060020040020000-2001590015900208001500015000150001530015600162001650016800171001740017700180001830018600189001920019500198002020021400220001530015600159001620016500168001710017400177001800018300186001890019200195001980020200208002140022000OIPOICOICHANGEPOICHANGEC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2000019500190001850018000175001700016500160002022-12-192022-12-302022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-222022-12-272023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-20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16020000OIPCR350CLOSE195001403001900012018500250100187750018000200175000801501700006010016500040160002022-08-102022-08-182022-08-262022-09-052022-09-142022-09-222022-09-302022-10-172022-10-252022-11-022022-11-102022-11-182022-11-282022-12-062022-12-142022-12-222022-12-302023-01-102023-01-182023-02-022023-02-102023-02-202023-02-102022-08-222022-09-012022-09-142022-09-262022-10-132022-10-252022-11-042022-11-162022-11-282022-12-082022-12-202022-12-302023-01-122023-01-312022-08-10IMPVMA20UPLOW锌期权持仓分布锌期权持仓分布图锌期权持仓变化图900300800250700200600150500100400503002000100-500-10022000220002750018800192001840018400188001920019600200002040020800212002160022400228002320023600240002440024800255002650028500295001840019600200002040020800212002160022000224002280023200236002400024400248002550026500275002850029500OIPOICOICHANGEPOICHANGEC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2880026800248002280020800188002022-08-152022-08-102022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-20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18028000OIPCR500160CLOSE27000260004001402500012030024000100230002000802200010006021000040200002022-08-102022-08-182022-08-262022-09-052022-09-142022-09-222022-09-302022-10-172022-10-252022-11-022022-11-102022-11-182022-11-282022-12-062022-12-142022-12-222022-12-302023-01-102023-01-182023-02-022023-02-102023-02-202023-02-102022-08-222022-09-012022-09-142022-09-262022-10-132022-10-252022-11-042022-11-162022-11-282022-12-082022-12-202022-12-302023-01-122023-01-312022-08-10IMPVMA20UPLOW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2500200150200010015005010000-50500-1000-150496496376432328328336344352360368376384392400416432448464480328336344352360368384392400416448464480496OIPOICOICHANGEPOICHANGEC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5004504003503002022-09-302022-10-172022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-10-122022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-20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095430OIPCR4123025090CLOSE4200854102008007540007039015065380060100553700503602022-08-102022-10-252022-08-182022-08-262022-09-052022-09-142022-09-222022-09-302022-10-172022-11-022022-11-102022-11-182022-11-282022-12-062022-12-142022-12-222022-12-302023-01-102023-01-182023-02-022023-02-102023-02-202023-02-102022-08-222022-09-012022-09-142022-09-262022-10-132022-10-252022-11-042022-11-162022-11-282022-12-082022-12-202022-12-302023-01-122023-01-312022-08-10IMPVMA20UPLOW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6000035003000500002500400002000150030000100020000500010000-5000-10007807807201100480480510540570600630660690720750810840870900930960990104011004805105405706006306606907507808108408709009309609901040OIPOICOICHANGEPOICHANGEC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10009509008508007507006506005505002022-09-082022-11-282023-01-302022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-02-022023-02-072023-02-102023-02-152023-02-20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89400410950OIPCR70360CLOSE90060310850502608004021075030160700201106500606002022-09-302022-11-182022-08-102022-08-182022-08-262022-09-052022-09-142022-09-222022-10-172022-10-252022-11-022022-11-102022-11-282022-12-062022-12-142022-12-222022-12-302023-01-102023-01-182023-02-022023-02-102023-02-202023-02-102022-08-222022-09-012022-09-142022-09-262022-10-132022-10-252022-11-042022-11-162022-11-282022-12-082022-12-202022-12-302023-01-122023-01-312022-08-10IMPVMA20UPLOW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