【基本面信息】
　　铜：产业层面，昨日LME库存减少900至63200吨，注销仓单比例提高至41.0%，Cash/3M贴水10美元/吨。国内方面，昨日上海地区现货贴水持平于50元/吨，持货商挺价情绪仍存，下游询盘尚可。
　　铝：SMM现货A00铝报均价18440元/吨。A00铝锭升贴水平均价-90。铝期货仓单201883吨，较前一日下降632吨。LME铝库存550100吨，下降4800吨。2023年2月27日，SMM统计国内电解铝锭社会库存126.8万吨，较上周四库存增加2万吨，较1月底库存月度增加28.2万吨，较2022年2月份历史同期库存增加15.1万吨。
　　黄金：截至2月28日（周二），全球最大黄金上市交易基金（ETF）SPDRGold Trust黄金持仓量为29427686.3盎司或915.3吨，较前一交易日减少74383.01盎司或2.31吨，幅度为0.25%。
　　铁矿石：港口现货成交情况一般，现货价格持稳，钢厂按需采购。近期海外发运和到港量处于相对偏低水平，未来几周有到港量有望回升，目前港口库存仍在持续累库，港口现货资源充足。近几周钢厂利润虽有所回升，但也只是部分钢厂处于盈亏平衡线，其余钢厂仍处于亏损状态，所以钢厂铁矿石库存一直处于低位，补库意愿较低。

研究报告全文：金属期权日报期权研究2023年3月2日星期四基本面信息铜产业层面昨日LME库存减少900至63200吨注销仓单比例提高至410Cash3M贴水10美元吨国内方面昨日上海地区现货贴水持平于50元吨持货商挺价情绪仍存下游询盘尚可铝SMM现货A00铝报均价18440元吨A00铝锭升贴水平均价-90铝期货仓单201883吨较前一日下降632吨LME铝库存550100吨下降4800吨2023年2月27日SMM统计国内电解铝锭社会库存1268万吨较上周四库存增加2万吨较1月底库存月度增加282万吨较2022年2月份历史同期库存增加151万吨卢品先黄金截至2月28日周二全球最大黄金上市交易基金ETFSPDRGoldTrust黄金持仓量为294276863盎司或9153吨较前一交易日减少7438301盎司或231吨幅度为025投研经理铁矿石港口现货成交情况一般现货价格持稳钢厂按需采购近期海外发运和到港量处于相对偏低水平0755-23375252未来几周有到港量有望回升目前港口库存仍在持续累库港口现货资源充足近几周钢厂利润虽有所回升但也lupxwkjyqhcom只是部分钢厂处于盈亏平衡线其余钢厂仍处于亏损状态所以钢厂铁矿石库存一直处于低位补库意愿较低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前一周企稳回升后连续上涨偏多头上涨上周以来冲高回落震荡下行而后止跌反弹上升上方有Z0015541前期高点压力下方有中期趋势线方向向上涨幅049报收于70010期权隐含波动率下降072报收于17367持仓量PCR有所上升报收于178操作建议沪铜CU2304上周快速上涨后高位盘整震荡下跌回落后快速反弹上涨形成上方有压力下方有支撑的偏多头上行期权隐含波动率持续下降期权持仓量PCR则快速上升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CU2304SCU2304P69000SCU2304P70000和SCU2304C72000SCU2304C710002铝期权沪铝AL2304前一周以来超跌反弹逐渐回暖上升而后受阻回落上周延续上方有压力的弱势偏空头涨幅065报收于18670期权隐含波动率下降049报收于1343持仓量PCR小幅盘整报收于091操作建议沪铝AL2304延续空头压力线下弱势盘整震荡期权隐含波动率小幅波动期权持仓量PCR有所反弹上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AL2304SAL2304P1820010SAL2304P1830010和SAL2304C1840010SAL2304C18500103锌期权沪锌ZN2304上周以来超跌反弹连续上涨回暖上升而后上升受阻55天均线压力回落延续前期偏空头市场行情趋势本周以来逐渐回升涨幅120报收于23600期权隐含波动率上升037报收于1730持仓量PCR窄幅盘整报收于111操作建议沪锌ZN2304上方有压力的回暖上升延续前期弱势偏空头趋势期权隐含波动率持续下降回落后窄幅波动沪锌期权持仓量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涨则平仓离场如ZN2304SZN2304P23000SZN2304P22800和SZN2304C23400SZN2304C232004黄金期权黄金AU2304维持近一个月以来低位弱势盘整震荡跌幅005报收于41306期权隐含波动率小幅上升045报收于1172期权持仓量PCR报收于073操作建议黄金AU2304维持近一个月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快速大跌则平仓离场如AU2304SAU2304-P-40010SAU2304-P-40810和SAU2304-C-41610SAU2304-C-424105铁矿石期权铁矿石I2305前一周连续报收阳线突破上涨上周高位盘整震荡有所回落而趋势线方向仍向上涨幅095报收于90700期权隐含波动率上升315报收于3399期权持仓量PCR小幅上升报收于373操作建议铁矿石I2505多头趋势方向高位盘整震荡而趋势线方向斜率仍为正期权隐含波动率小幅波动期权持仓量PCR维持较高水平构建反向比率价差认购期权组合策略获取方向性收益若市场行情快速大跌则平仓离场如I2305BI2301-C-92020和SI2305-C-88010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CUCU230470010003400004987630521ALAL2304186700012000065162815101ZNZN2304236000028000120115013415AUAU230441306-022-00588836707II230590700850095534848068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CU230470000120000112200700781066001546800262023-03-27AL230418700253002680018685216001171500262023-03-27ZN23042360038000464002351635000151-8400262023-03-27AU2304416336510414152037120262023-03-27I2305910328034009091980223180402023-04-10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MA20UPLOWCU2304165918311736-072181219051719AL2304137912671343-049150915881430ZN2304175417041730037183219251739AU2304114812011172045119412641123I2305271037233399315331234883136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CU23043678629485080-0751274722707178013AL23043257915684048-0432476922461091001ZN23041724715949092-03388229825111002AU2304597950160840141743812750073-001I2305403228587921301992772345787373002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70080007000020650001560000105500055000002022-11-112022-12-202023-02-032022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-082023-02-132023-02-162023-02-212023-02-242023-03-01图2铝主力合约走势图2000040成交量万收盘价19500186750035190003018500251800020175001517000101650051600002022-09-062022-09-202023-01-112023-01-312022-08-192022-08-242022-08-292022-09-012022-09-092022-09-152022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-162023-01-192023-02-032023-02-082023-02-132023-02-162023-02-212023-02-242023-03-01图3锌主力合约走势图2600050成交量万收盘价25000402400030230002353000202200021000102000002023-01-192023-01-312023-02-032023-02-082022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-02-132023-02-162023-02-212023-02-242023-03-01图4黄金主力合约走势图30成交量万收盘价42041404405203901037536002022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-242023-03-01图5铁矿石主力合约走势图1000140成交量万收盘价908501209001008008070060406002050002022-08-192022-08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