【基本面信息】
　　铜：产业层面，昨日LME库存增加1850至72400吨，增量来自亚洲仓库，注销仓单比例降低，Cash/3M贴水28美元/吨。国内方面，周末社会库存去化，昨日上海地区现货升水微缩至5元/吨，盘面回落市场买盘较为积极，成交改善。
　　铝：SMM现货A00铝报均价18470元/吨。A00铝锭升贴水平均价-70。铝期货仓单207169吨，较前一日上升3516吨。LME铝库存562325吨，减少2375吨。2023年3月6日，SMM统计国内电解铝锭社会库存126.9万吨。
　　黄金：周一（3月6日），国际贵金属期货普遍收跌，COMEX黄金期货跌0.12%报1852.4美元/盎司，COMEX白银期货跌0.44%报21.145美元/盎司。
　　铁矿石：港口现货市场成交情况尚可，现货价格较上一交易日下跌20-25元/吨，钢厂按需采购，交投情绪一般。上周五发改委发文表示专家建议加强铁矿石调控监管遏制价格不合理上涨，对市场乐观情绪有所抑制，短期上行动力不足。

研究报告全文：金属期权日报期权研究2023年3月7日星期二基本面信息铜产业层面昨日LME库存增加1850至72400吨增量来自亚洲仓库注销仓单比例降低Cash3M贴水28美元吨国内方面周末社会库存去化昨日上海地区现货升水微缩至5元吨盘面回落市场买盘较为积极成交改善铝SMM现货A00铝报均价18470元吨A00铝锭升贴水平均价-70铝期货仓单207169吨较前一日上升3516吨LME铝库存562325吨减少2375吨2023年3月6日SMM统计国内电解铝锭社会库存1269万吨卢品先黄金周一3月6日国际贵金属期货普遍收跌COMEX黄金期货跌012报18524美元盎司COMEX白银期货跌044报21145美元盎司投研经理铁矿石港口现货市场成交情况尚可现货价格较上一交易日下跌20-25元吨钢厂按需采购交投情绪一般0755-23375252上周五发改委发文表示专家建议加强铁矿石调控监管遏制价格不合理上涨对市场乐观情绪有所抑制短期上行lupxwkjyqhcom动力不足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上周以来冲高回落震荡下行而后止跌反弹上升维持近两周以来高位区间震荡涨幅016报收Z0015541于69630期权隐含波动率下降016报收于1814持仓量PCR有所上升报收于177操作建议沪铜CU2304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前一周上升而后受阻回落延续弱势偏空头市场行情走势上周以来空头压力线下大幅震荡涨幅021报收于18700期权隐含波动率上升019报收于1346持仓量PCR小幅盘整报收于088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AL2304SAL2304P1860010SAL2304P1850010和SAL2304C1880010SAL2304C18700103锌期权沪锌ZN2304维持两周多以来55天均线压力向下大幅波动涨幅041报收于23465期权隐含波动率上升065报收于1789持仓量PCR窄幅盘整报收于113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ZN2304SZN2304P23200SZN2304P23400和SZN2304C23600SZN2304C238004黄金期权黄金AU2304维持近一个月以来低位弱势盘整震荡上周以来持续上涨突破区间上限涨幅040报收于41864期权隐含波动率小幅上升047报收于1208期权持仓量PCR报收于076操作建议黄金AU2304偏多头上行突破维持近一个月以来的宽幅矩形区间上限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-40810SAU2304-P-41610和SAU2304-C-43210SAU2304-C-424105铁矿石期权铁矿石I2305近三周以来多头趋势方向上高位震荡趋势线方向向上涨幅056报收于90205期权隐含波动率下降030报收于3114期权持仓量PCR快速下降报收于322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CUCU230469630001100001655719376ALAL230418700004000021156414589ZNZN230423465009500041106412428AUAU23044186416604064827022II230590250500056801371920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CU2304700008300015080069322-50200-072-30800212023-03-27AL230418700191002950018596-18700-100-10400212023-03-27ZN230423400332004480023284-17400-074-18100212023-03-27AU2304416508280418270065-036212023-03-27I230590029803170898-2130-232-440352023-04-10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MA20UPLOWCU2304177918451814-016181018991721AL2304141412701346019148315831384ZN2304184317301789065181519141717AU2304111212951208047117712341121I2305277033583114-030324833973099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CU23042227925057112-0221403124770177002AL230424447217000890122685223747088-000ZN23041837316647091000904210246113005AU2304681674391090451729013189076004I230589765126447141-047112937364070322-054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69310007000020650001560000105500055000002022-11-162022-12-232023-02-082022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-132023-02-162023-02-212023-02-242023-03-012023-03-06图2铝主力合约走势图2000040成交量万收盘价19500351859000190003018500251800020175001517000101650051600002022-09-092022-09-232023-01-162023-02-032022-08-242022-08-292022-09-012022-09-062022-09-152022-09-202022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-192023-01-312023-02-082023-02-132023-02-162023-02-212023-02-242023-03-012023-03-06图3锌主力合约走势图2600050成交量万收盘价25000402400030230002328000202200021000102000002023-01-312023-02-032023-02-082023-02-132022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-02-162023-02-212023-02-242023-03-012023-03-06图4黄金主力合约走势图30成交量万收盘价41844420405203901037536002022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-242023-03-012023-03-06图5铁矿石主力合约走势图1000140成交量万收盘价897001209001008008070060406002050002022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-242023-03-012023-03-06铜期权持仓分布铜期权持仓分布图铜期权持仓变化图350020030001502500100200050150001000-50500-1000-1505000050000520005400056000580006000062000640006600068000700007200074000760007800080000840005000052000540005600058000600006200064000660006800070000720007400076000780008000084000OIPOICOICHANGEPOICHANGEC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80000750007000065000600005500050000450002022-09-062022-12-282023-01-162022-08-242022-08-292022-09-012022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232023-01-032023-01-062023-01-112023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-242023-03-012023-03-06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280OIPCR7500040CLOSE352407000030200693100065000251602060000120150805500010040500002022-10-312022-11-242022-08-242022-09-012022-09-092022-09-202022-09-282022-10-132022-10-212022-11-082022-11-162022-12-022022-12-122022-12-202022-12-282023-01-062023-01-162023-01-312023-02-082023-02-162023-02-242023-03-062023-02-242022-09-052022-09-162022-09-282022-10-172022-10-272022-11-082022-11-182022-11-302022-12-122022-12-222023-01-042023-01-162023-02-022023-02-142022-08-24IMPVMA20UPLOW铝期权持仓分布铝期权持仓分布图铝期权持仓变化图45002004000150100350050300002500-502000-1001500-150-2001000-250500-3000-3501590015900208001500015000153001560016200165001680017100174001770018000183001860018900192001950019800202002140022000150001530015600159001620016500168001710017400177001800018300186001890019200195001980020200208002140022000OIPOICOICHANGEPOICHANGEC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2000019500190001850018000175001700016500160002023-01-032023-01-162022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-062023-01-112023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-242023-03-012023-03-06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16020000OIPCR300CLOSE195002801402601900024012018500220200100180001859000180160175000801401700012006010016500040160002022-08-242022-09-012022-09-092022-09-202022-09-282022-10-132022-10-212022-10-312022-11-082022-11-162022-11-242022-12-022022-12-122022-12-202022-12-282023-01-062023-01-162023-01-312023-02-082023-02-162023-02-242023-03-062023-02-242022-09-052022-09-162022-09-282022-10-172022-10-272022-11-082022-11-182022-11-302022-12-122022-12-222023-01-042023-01-162023-02-022023-02-142022-08-24IMPVMA20UPLOW锌期权持仓分布锌期权持仓分布图锌期权持仓变化图12002001501000100800506000-50400-100200-1500-20018800188001920018400184001880019200196002000020400208002120021600220002240022800232002360024000244002480025500265002750028500295001840019600200002040020800212002160022000224002280023200236002400024400248002550026500275002850029500OIPOICOICHANGEPOICHANGEC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2880026800248002280020800188002022-08-292022-08-242022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-242023-03-012023-03-06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18028000OIPCR500160CLOSE27000260004001402500012030024000100230002000802200010006021000040200002022-08-242022-09-012022-09-092022-09-202022-09-282022-10-132022-10-212022-10-312022-11-082022-11-162022-11-242022-12-022022-12-122022-12-202022-12-282023-01-062023-01-162023-01-312023-02-082023-02-162023-02-242023-03-062023-02-242022-09-052022-09-162022-09-282022-10-172022-10-272022-11-082022-11-182022-11-302022-12-122022-12-222023-01-042023-01-162023-02-022023-02-142022-08-24IMPVMA20UPLOW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30003002502500200150200010015005001000-50-100500-1500-200496496376432328328336344352360368376384392400416432448464480328336344352360368384392400416448464480496OIPOICOICHANGEPOICHANGEC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5004504003503002022-10-212022-10-312022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-262022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-242023-03-012023-03-06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09541844430OIPCR25090CL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