【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。进出口方面，昨日国内现货铜进口亏损扩至1000元/吨左右，洋山铜溢价持平。废铜方面，昨日国内精废价差缩窄至1730元/吨，废铜替代优势略降。
　　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。
　　黄金：截至3月2日（周四），全球最大黄金上市交易基金（ETF）SPDRGold Trust黄金持仓量为29344006.08盎司或912.69吨，较前一交易日持平。
　　铁矿石：港口现货成交情况一般，现货价格较上一交易日上涨15-20元/吨，钢厂按需采购。昨日唐山、秦皇岛等地结束环保限产，叠加宏观数据表现良好，刺激盘面价格偏强运行。从找钢网和钢谷网数据看，预计本周建材供应和需求呈现两弱格局需求没有延续好转态势。
　　

研究报告全文：金属期权日报期权研究2023年3月3日星期五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进出口方面昨日国内现货铜进口亏损扩至1000元吨左右洋山铜溢价持平废铜方面昨日国内精废价差缩窄至1730元吨废铜替代优势略降铝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吨卢品先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2万吨投研经理黄金截至3月2日周四全球最大黄金上市交易基金ETFSPDRGoldTrust黄金持仓量为2934400608盎0755-23375252司或91269吨较前一交易日持平lupxwkjyqhcom铁矿石港口现货成交情况一般现货价格较上一交易日上涨15-20元吨钢厂按需采购昨日唐山秦皇岛等地结束环保限产叠加宏观数据表现良好刺激盘面价格偏强运行从找钢网和钢谷网数据看预计本周建材供从业资格号应和需求呈现两弱格局需求没有延续好转态势F3047321交易咨询号期权分析及策略建议Z00155411铜期权沪铜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前期高点压力下方有中期趋势线方向向上跌幅080报收于69410期权隐含波动率上升075报收于1810持仓量PCR有所上升报收于182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高位大幅震荡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CU2304SCU2304P69000SCU2304P68000和SCU2304C70000SCU2304C710002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延续弱势偏空头市场行情走势本周以来空头压力线下大幅震荡跌幅032报收于18605期权隐含波动率上升010报收于1354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AL2304SAL2304P1840010SAL2304P1850010和SAL2304C1860010SAL2304C18700103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跌幅153报收于23170期权隐含波动率下降025报收于1705持仓量PCR窄幅盘整报收于116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本周以来有所反弹回升涨幅034报收于41464期权隐含波动率小幅下降015报收于1157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本周以来止跌反弹回升延续上涨趋势涨幅027报收于91200期权隐含波动率下降255报收于3144期权持仓量PCR小幅回落报收于367操作建议铁矿石I2505多头趋势方向高位盘整震荡逐渐上行且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CUCU23046941000-56000-08062421836ALAL23041860500-6000-032131512277ZNZN23042317000-36000-15391310749AUAU23044146414203481933862II230591200250027379434503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CU2304690001644009040069740-33800-04833000252023-03-27AL230418600283002260018657-2800-0155200252023-03-27ZN230423200610002490023561450001939100252023-03-27AU2304416290536414-072-017-110252023-03-27I230591032703120912270030-050392023-04-10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MA20UPLOWCU2304178318361810075180718971717AL2304140312821354010150215881416ZN2304173216731705-025182319191727AU2304116311501157-015118512491122I2305267633653144-255329134623121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CU230424912265231060261277223297182004AL230419920139140700222579023447091000ZN23041240010097081-011869310100116005AU230454184372081-0031751212711073-001I23053167767102212-00195864352169367-005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69780007000020650001560000105500055000002022-11-142022-12-212023-02-062022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-092023-02-142023-02-172023-02-222023-02-272023-03-02图2铝主力合约走势图2000040成交量万收盘价19500186500035190003018500251800020175001517000101650051600002022-09-072022-09-212023-01-122023-02-012022-08-222022-08-252022-08-302022-09-022022-09-132022-09-162022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-172023-01-202023-02-062023-02-092023-02-142023-02-172023-02-222023-02-272023-03-02图3锌主力合约走势图2600050成交量万收盘价25000402400030230002354500202200021000102000002023-01-202023-02-012023-02-062023-02-092022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-02-142023-02-172023-02-222023-02-272023-03-02图4黄金主力合约走势图30成交量万收盘价42041362405203901037536002022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-222023-02-272023-03-02图5铁矿石主力合约走势图1000140成交量万收盘价912501209001008008070060406002050002022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-222023-02-272023-03-02铜期权持仓分布铜期权持仓分布图铜期权持仓变化图30005004002500300200200010015000-1001000-200-300500-4000-5005000050000520005400056000580006000062000640006600068000700007200074000760007800080000840005000052000540005600058000600006200064000660006800070000720007400076000780008000084000OIPOICOICHANGEPOICHANGEC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80000750007000065000600005500050000450002022-09-022022-12-262023-01-122022-08-222022-08-252022-08-302022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-292023-01-042023-01-092023-01-172023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-222023-02-272023-03-02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280OIPCR7500040CLOSE352407000030200697800065000251602060000120150805500010040500002022-10-272022-11-222022-08-222022-08-302022-09-072022-09-162022-09-262022-10-112022-10-192022-11-042022-11-142022-11-302022-12-082022-12-162022-12-262023-01-042023-01-122023-01-202023-02-062023-02-142023-02-222023-03-022023-02-222022-09-012022-09-142022-09-262022-10-132022-10-252022-11-042022-11-162022-11-282022-12-082022-12-202022-12-302023-01-122023-01-312023-02-102022-08-22IMPVMA20UPLOW铝期权持仓分布铝期权持仓分布图铝期权持仓变化图450050040004003500300300025002002000100150001000500-1000-2001590015900208001500015000153001560016200165001680017100174001770018000183001860018900192001950019800202002140022000150001530015600159001620016500168001710017400177001800018300186001890019200195001980020200208002140022000OIPOICOICHANGEPOICHANGEC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2000019500190001850018000175001700016500160002022-12-292023-01-122022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262023-01-042023-01-092023-01-172023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-222023-02-272023-03-02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16020000OIPCR300CLOSE195002801402601900024012018500220200100186500018000180160175000801401700012006010016500040160002022-08-222022-08-302022-09-072022-09-162022-09-262022-10-112022-10-192022-10-272022-11-042022-11-142022-11-222022-11-302022-12-082022-12-162022-12-262023-01-042023-01-122023-01-202023-02-062023-02-142023-02-222023-03-022023-02-222022-09-012022-09-142022-09-262022-10-132022-10-252022-11-042022-11-162022-11-282022-12-082022-12-202022-12-302023-01-122023-01-312023-02-102022-08-22IMPVMA20UPLOW锌期权持仓分布锌期权持仓分布图锌期权持仓变化图12002001000150100800506000400-50200-1000-15018800188001920018400184001880019200196002000020400208002120021600220002240022800232002360024000244002480025500265002750028500295001840019600200002040020800212002160022000224002280023200236002400024400248002550026500275002850029500OIPOICOICHANGEPOICHANGEC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2880026800248002280020800188002022-08-252022-08-222022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-222023-02-272023-03-02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18028000OIPCR500160CLOSE27000260004001402500012030024000100230002000802200010006021000040200002022-08-222022-08-302022-09-072022-09-162022-09-262022-10-112022-10-192022-10-272022-11-042022-11-142022-11-222022-11-302022-12-082022-12-162022-12-262023-01-042023-01-122023-01-202023-02-062023-02-142023-02-222023-03-022023-02-222022-09-012022-09-142022-09-262022-10-132022-10-252022-11-042022-11-162022-11-282022-12-082022-12-202022-12-302023-01-122023-01-312023-02-102022-08-22IMPVMA20UPLOW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3000200150250010020005015000-501000-100500-1500-200496496376432328328336344352360368376384392400416432448464480328336344352360368384392400416448464480496OIPOICOICHANGEPOICHANGEC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5004504003503002022-10-192022-10-272022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-242022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-1220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