【基本面信息】
　　铜：产业层面，昨日LME库存减少425至65000吨，注销仓单比例降低，Cash/3M贴水扩至19美元/吨。国内方面，昨日上海地区现货贴水缩至95元/吨，期货盘面下跌及近月Contango结构扩大使得基差报价反弹，下游买盘仍较谨慎。进出口方面，昨日铜现货进口亏损维持1100/吨左右，洋山铜溢价下滑。
　　铝：SMM现货A00铝报均价18620元/吨。A00铝锭升贴水平均价-120。铝期货仓单203865吨，较前一日上升1349吨。LME铝库存568800吨，减少5225吨。2023年2月23日，SMM统计国内电解铝锭社会库存124.8万吨，较上周四库存增加3.2万吨，较本周一周内库存增加1.5万吨。
　　黄金：COMEX金跌0.65%，报1829.6美元/盎司，COMEX银跌1.07%，报21.45美元/盎司；沪金夜盘跌0.27%，报411.52元/克，沪银夜盘跌0.88%，报4935元/千克；10年期国债收益率报3.89%，美元指数报104.53。
　　铁矿石：本周全国开复工率继续回升，同比明显增加。从钢谷网和找钢网数据看，预计本周建材产量增加，厂库转为去化，表需继续增加，数据偏利多。从近期各项数据看，下游需求正在全面复苏，再次提振市场信心，同时国内宏观政策也积极配合

研究报告全文：金属期权日报期权研究2023年2月24日星期五基本面信息铜产业层面昨日LME库存减少425至65000吨注销仓单比例降低Cash3M贴水扩至19美元吨国内方面昨日上海地区现货贴水缩至95元吨期货盘面下跌及近月Contango结构扩大使得基差报价反弹下游买盘仍较谨慎进出口方面昨日铜现货进口亏损维持1100吨左右洋山铜溢价下滑铝SMM现货A00铝报均价18620元吨A00铝锭升贴水平均价-120铝期货仓单203865吨较前一日上升1349吨LME铝库存568800吨减少5225吨2023年2月23日SMM统计国内电解铝锭社会库存1248万吨较上周四库存增卢品先加32万吨较本周一周内库存增加15万吨黄金COMEX金跌065报18296美元盎司COMEX银跌107报2145美元盎司沪金夜盘跌027报投研经理41152元克沪银夜盘跌088报4935元千克10年期国债收益率报389美元指数报104530755-23375252铁矿石本周全国开复工率继续回升同比明显增加从钢谷网和找钢网数据看预计本周建材产量增加厂lupxwkjyqhcom库转为去化表需继续增加数据偏利多从近期各项数据看下游需求正在全面复苏再次提振市场信心同时国内宏观政策也积极配合从业资格号F3047321期权分析及策略建议交易咨询号1铜期权Z0015541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而后高位盘整震荡夜盘大幅下跌回落跌幅150报收于69170期权隐含波动率小幅下降114报收于1612持仓量PCR有所上升报收于150操作建议沪铜CU2304沿着多头趋势方向震荡上行突破上涨后高位震荡夜盘大幅下跌回落而趋势线方向仍向上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CU2304SCU2304P69000SCU2304P68000和SCU2304C71000SCU2304C700002铝期权沪铝AL2304前一周高位回落连续报收大阴线大幅下跌本周以来超跌反弹逐渐回暖上升而后受阻回落延续上方有压力的弱势偏空头跌幅099报收于18560期权隐含波动率下降061报收于1434持仓量PCR小幅上升报收于113操作建议沪铝AL2304上方有压力的弱势偏空头市场行情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AL2304SAL2304P1840010SAL2304P1850010和SAL2304C1860010SAL2304C18700103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后上升受阻回落且上方有60天均线压力跌幅034报收于23425期权隐含波动率下降143报收于1707持仓量PCR有所上升报收于114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小幅盘整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维持近两周以来低位弱势盘整震荡跌幅027报收于41152期权隐含波动率小幅下降013报收于1200期权持仓量PCR报收于075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后高位盘整涨幅075报收于91650期权隐含波动率下降161报收于3031期权持仓量PCR小幅回落报收于353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CUCU23046917000-105000-15058320453ALAL23041856000-18500-099139013026ZNZN23042342500-8000-03487710304AUAU230441152-110-02788136337II230591650500055548950037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CU2304690001816007760070040-17600-02587000322023-03-27AL230418600347002680018679-8400-04511900322023-03-27ZN230423400514004000023514-4800-0208900322023-03-27AU2304408688298412-110-027038322023-03-27I230592031004150910-030-003-700462023-04-10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MA20UPLOWCU2304156116611612-114189720821711AL2304153413351434-061155016131488ZN2304178716391707-143190720361778AU2304132510431200-013124613631130I2305275132403031-161344436843204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CU23041913219660103035964714431150010AL230414463144671000031615318235113001ZN230491051060211602473258374114005AU230471605729080-0251624812189075-004I2305400275395713500892690327583353004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70010007000020650001560000105500055000002022-11-072022-12-142023-01-302022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-02-022023-02-072023-02-102023-02-152023-02-202023-02-23图2铝主力合约走势图2000040成交量万收盘价19500186800035190003018500251800020175001517000101650051600002022-08-312022-09-142023-01-052023-01-182022-08-152022-08-182022-08-232022-08-262022-09-052022-09-082022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-102023-01-132023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-23图3锌主力合约走势图2600050成交量万收盘价25000402400030230002352000202200021000102000002023-01-132023-01-182023-01-302023-02-022022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-02-072023-02-102023-02-152023-02-202023-02-23图4黄金主力合约走势图30成交量万收盘价42041194405203901037536002022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-23图5铁矿石主力合约走势图1000140成交量万收盘价908501209001008008070060406002050002022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-23铜期权持仓分布铜期权持仓分布图铜期权持仓变化图2000600180050016004001400300120020010001008000600400-100200-2000-3005000050000520005400056000580006000062000640006600068000700007200074000760007800080000840005000052000540005600058000600006200064000660006800070000720007400076000780008000084000OIPOICOICHANGEPOICHANGEC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80000750007000065000600005500050000450002022-08-262022-12-192023-01-052022-08-152022-08-182022-08-232022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-222022-12-272022-12-302023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-23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280OIPCR7500040CLOSE352407000030200700100065000251602060000120150805500010040500002022-10-202022-11-152022-08-152022-08-232022-08-312022-09-082022-09-192022-09-272022-10-122022-10-282022-11-072022-11-232022-12-012022-12-092022-12-192022-12-272023-01-052023-01-132023-01-302023-02-072023-02-152023-02-232023-02-152022-08-252022-09-062022-09-192022-09-292022-10-182022-10-282022-11-092022-11-212022-12-012022-12-132022-12-232023-01-052023-01-172023-02-032022-08-15IMPVMA20UPLOW铝期权持仓分布铝期权持仓分布图铝期权持仓变化图300060050025004002000300150020010010000500-1000-2001590015900208001500015000153001560016200165001680017100174001770018000183001860018900192001950019800202002140022000150001530015600159001620016500168001710017400177001800018300186001890019200195001980020200208002140022000OIPOICOICHANGEPOICHANGEC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2000019500190001850018000175001700016500160002022-12-222023-01-052022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-272022-12-302023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-23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16020000OIPCR300CLOSE195002801402601900024012018500220200100186800018000180160175000801401700012006010016500040160002022-08-152022-08-232022-08-312022-09-082022-09-192022-09-272022-10-122022-10-202022-10-282022-11-072022-11-152022-11-232022-12-012022-12-092022-12-192022-12-272023-01-052023-01-132023-01-302023-02-072023-02-152023-02-232023-02-152022-08-252022-09-062022-09-192022-09-292022-10-182022-10-282022-11-092022-11-212022-12-012022-12-132022-12-232023-01-052023-01-172023-02-032022-08-15IMPVMA20UPLOW锌期权持仓分布锌期权持仓分布图锌期权持仓变化图1000300900250800200700600150500100400503000200100-500-10018800188001920018400184001880019200196002000020400208002120021600220002240022800232002360024000244002480025500265002750028500295001840019600200002040020800212002160022000224002280023200236002400024400248002550026500275002850029500OIPOICOICHANGEPOICHANGEC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2880026800248002280020800188002022-08-182022-08-152022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-23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18028000OIPCR500160CLOSE27000260004001402500012030024000100230002000802200010006021000040200002022-08-152022-08-232022-08-312022-09-082022-09-192022-09-272022-10-122022-10-202022-10-282022-11-072022-11-152022-11-232022-12-012022-12-092022-12-192022-12-272023-01-052023-01-132023-01-302023-02-072023-02-152023-02-232023-02-152022-08-252022-09-062022-09-192022-09-292022-10-182022-10-282022-11-092022-11-212022-12-012022-12-132022-12-232023-01-052023-01-172023-02-032022-08-15IMPVMA20UPLOW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30002502500200150200010015005010000500-500-100496496376432328328336344352360368376384392400416432448464480328336344352360368384392400416448464480496OIPOICOICHANGEPOICHANGEC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5004504003503002022-10-122022-10-202022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-172022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-10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