【基本面信息】
　　铜：产业层面，昨日LME库存减少275至65225吨，注销仓单比例提高，Cash/3M贴水缩至17美元/吨。国内方面，昨日上海地区现货贴水扩至95元/吨，盘面走高基差报价小幅走弱，下游买盘相对谨慎。进出口方面，昨日铜现货进口亏损扩至930元/吨左右，洋山铜溢价持平。
　　铝：SMM现货A00铝报均价18610元/吨。A00铝锭升贴水平均价-110。铝期货仓单204959吨，较前一日下降12951吨。LME铝库存581300吨，下降4450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15-20元/吨。夜盘前大商所发布通知调整铁矿石期货部分合约交易限额，但对盘面多头情绪抑制的效果不理想，对盘面价格影响有限。

研究报告全文：金属期权日报期权研究2023年2月22日星期三基本面信息铜产业层面昨日LME库存减少275至65225吨注销仓单比例提高Cash3M贴水缩至17美元吨国内方面昨日上海地区现货贴水扩至95元吨盘面走高基差报价小幅走弱下游买盘相对谨慎进出口方面昨日铜现货进口亏损扩至930元吨左右洋山铜溢价持平铝SMM现货A00铝报均价18610元吨A00铝锭升贴水平均价-110铝期货仓单204959吨较前一日下降12951吨LME铝库存581300吨下降4450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卢品先增加17万吨黄金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报投研经理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103850755-23375252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15-20元吨夜盘前大商lupxwkjyqhcom所发布通知调整铁矿石期货部分合约交易限额但对盘面多头情绪抑制的效果不理想对盘面价格影响有限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CU2304上周企稳回升后连续上涨本周以来延续偏多头上涨趋势连续跳空高开突破上行涨幅093Z0015541报收于70590期权隐含波动率小幅下降021报收于1835持仓量PCR有所回落报收于131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下降期权持仓量PCR窄幅波动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AL2304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跌幅013报收于18790期权隐含波动率下降037报收于1511持仓量PCR小幅上升报收于114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AL2304SAL2304P1860010SAL2304P1870010和SAL2304C1890010SAL2304C18800103锌期权沪锌ZN2304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型市场行情走势本周以来超跌反弹连续上涨回暖上升而上方有60天均线压力涨幅011报收于23520期权隐含波动率上升117报收于1880持仓量PCR有所上升报收于107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SZN2304C23600SZN2304C238004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跌幅008报收于41192期权隐含波动率小幅上升141报收于1356期权持仓量PCR报收于080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加速上行多头信号较强涨幅011报收于91400期权隐含波动率上升125报收于3379期权持仓量PCR小幅上升报收于357操作建议铁矿石I2505延续多头信号持续上涨突破近期高点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CUCU230470590006500009352518355ALAL23041879000-2500-013109410297ZNZN23042352000250001185510049AUAU230441192-034-00860725023II230591400100011728166492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CU2304710001100001810007029079600115-30000342023-03-27AL230418800340003630018777-1300-007-1300342023-03-27ZN230423600498005530023545220000942500342023-03-27AU2304408698320412-062-015-014342023-03-27I2305910439034609192530283530482023-04-10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MA20UPLOWCU2304185118161835-021197622131739AL2304158214281511-037158016651496ZN2304195418071880117195821221794AU2304146611721356141127114021140I2305282437203379125351637533280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CU23041369310765079-010883511549131-008AL23041012085600850121235914130114-014ZN23046047623210301760556486107004AU230479994799060-0291484311932080-006I230586247140392163-00586994310372357026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70250007000020650001560000105500055000002022-11-032022-12-122023-01-192022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-312023-02-032023-02-082023-02-132023-02-162023-02-21图2铝主力合约走势图2000040成交量万收盘价19500187850035190003018500251800020175001517000101650051600002022-08-292022-09-092023-01-032023-01-162022-08-112022-08-162022-08-192022-08-242022-09-012022-09-062022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-062023-01-112023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-21图3锌主力合约走势图2600050成交量万收盘价25000402400030230002355500202200021000102000002023-01-112023-01-162023-01-192023-01-312022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-02-032023-02-082023-02-132023-02-162023-02-21图4黄金主力合约走势图30成交量万收盘价42041170405203901037536002022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-21图5铁矿石主力合约走势图1000140成交量万收盘价919001209001008008070060406002050002022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-21铜期权持仓分布铜期权持仓分布图铜期权持仓变化图16005001400400120030010002008001006000400-100200-2000-3005000050000520005400056000580006000062000640006600068000700007200074000760007800080000840005000052000540005600058000600006200064000660006800070000720007400076000780008000084000OIPOICOICHANGEPOICHANGEC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80000750007000065000600005500050000450002022-08-242022-12-152023-01-032022-08-112022-08-162022-08-192022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-202022-12-232022-12-282023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-21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280OIPCR7500045CLOSE40240700003520070250006500030160256000020120150805500010040500002022-10-182022-11-112022-08-112022-08-192022-08-292022-09-062022-09-152022-09-232022-10-102022-10-262022-11-032022-11-212022-11-292022-12-072022-12-152022-12-232023-01-032023-01-112023-01-192023-02-032023-02-132023-02-212023-02-132022-08-232022-09-022022-09-152022-09-272022-10-142022-10-262022-11-072022-11-172022-11-292022-12-092022-12-212023-01-032023-01-132023-02-012022-08-11IMPVMA20UPLOW铝期权持仓分布铝期权持仓分布图铝期权持仓变化图180040016003001400120020010001008006000400-1002000-2001590015900208001500015000153001560016200165001680017100174001770018000183001860018900192001950019800202002140022000150001530015600159001620016500168001710017400177001800018300186001890019200195001980020200208002140022000OIPOICOICHANGEPOICHANGEC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2000019500190001850018000175001700016500160002022-12-202023-01-032022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-232022-12-282023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-21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16020000OIPCR350CLOSE195001403001900012018500250100187850018000200175000801501700006010016500040160002022-08-112022-08-192022-08-292022-09-062022-09-152022-09-232022-10-102022-10-182022-10-262022-11-032022-11-112022-11-212022-11-292022-12-072022-12-152022-12-232023-01-032023-01-112023-01-192023-02-032023-02-132023-02-212023-02-132022-08-232022-09-022022-09-152022-09-272022-10-142022-10-262022-11-072022-11-172022-11-292022-12-092022-12-212023-01-032023-01-132023-02-012022-08-11IMPVMA20UPLOW锌期权持仓分布锌期权持仓分布图锌期权持仓变化图800200700150600100500400503000200-501000-10022000220002750018800192001840018400188001920019600200002040020800212002160022400228002320023600240002440024800255002650028500295001840019600200002040020800212002160022000224002280023200236002400024400248002550026500275002850029500OIPOICOICHANGEPOICHANGEC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2880026800248002280020800188002022-08-162022-08-112022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-21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18028000OIPCR500160CLOSE27000260004001402500012030024000100230002000802200010006021000040200002022-08-112022-08-192022-08-292022-09-062022-09-152022-09-232022-10-102022-10-182022-10-262022-11-032022-11-112022-11-212022-11-292022-12-072022-12-152022-12-232023-01-032023-01-112023-01-192023-02-032023-02-132023-02-212023-02-132022-08-232022-09-022022-09-152022-09-272022-10-142022-10-262022-11-072022-11-172022-11-292022-12-092022-12-212023-01-032023-01-132023-02-012022-08-11IMPVMA20UPLOW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250060050020004001500300100020010050000-100496496376432328328336344352360368376384392400416432448464480328336344352360368384392400416448464480496OIPOICOICHANGEPOICHANGEC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5004504003503002022-10-102022-10-182022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-132022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02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