【基本面信息】
　　铜：产业层面，昨日LME库存增加1975至74375吨，增量来自亚洲仓库，注销仓单比例降低，Cash/3M贴水26美元/吨。国内方面，昨日上海地区现货升水涨至30元/吨，市场成交依旧积极，成交偏好。进出口方面，昨日国内现货铜进口亏损600元/吨左右，洋山铜溢价下滑至19.5美元/吨。
　　铝：SMM现货A00铝报均价18560元/吨。A00铝锭升贴水平均价-60。铝期货仓单209947吨，较前一日上升2778吨。LME铝库存557925吨，减少4400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：鲍威尔在参议院银行委员会发表证词，认为最新经济数据强于预期，要使通胀回到2%，就需要降低核心服务的通胀水平。讲话公布后，市场对3月加息50个基点的概率回升，隔夜美元指数涨超1%，美黄金出现明显回落，关注下方支撑区间1790-1800美元/盎司的表现。
　　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上涨10元/吨，钢厂按需采购，交投情绪一般。近期海外发运量逐步回升，对价格造成一定压力

研究报告全文：金属期权日报期权研究2023年3月8日星期三基本面信息铜产业层面昨日LME库存增加1975至74375吨增量来自亚洲仓库注销仓单比例降低Cash3M贴水26美元吨国内方面昨日上海地区现货升水涨至30元吨市场成交依旧积极成交偏好进出口方面昨日国内现货铜进口亏损600元吨左右洋山铜溢价下滑至195美元吨铝SMM现货A00铝报均价18560元吨A00铝锭升贴水平均价-60铝期货仓单209947吨较前一日上升2778吨LME铝库存557925吨减少4400吨2023年3月6日SMM统计国内电解铝锭社会库存1269万吨卢品先投研经理黄金鲍威尔在参议院银行委员会发表证词认为最新经济数据强于预期要使通胀回到2就需要0755-23375252降低核心服务的通胀水平讲话公布后市场对3月加息50个基点的概率回升隔夜美元指数涨超1美lupxwkjyqhcom黄金出现明显回落关注下方支撑区间1790-1800美元盎司的表现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上涨10元吨钢厂按需采购交投情从业资格号绪一般近期海外发运量逐步回升对价格造成一定压力F3047321交易咨询号期权分析及策略建议Z00155411铜期权沪铜CU2304上周以来冲高回落震荡下行而后止跌反弹上升本周以来逐渐回落下行延续近两周以来高位区间震荡跌幅116报收于68750期权隐含波动率下降100报收于1713持仓量PCR有所下降报收于172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小幅下跌构建卖出看涨看跌偏空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涨则平仓逐渐离场如CU2304SCU2304P67000SCU2304P68000和SCU2304C70000SCU2304C690002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跌幅089报收于18475期权隐含波动率下降003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AL2304SAL2304P1830010SAL2304P1840010和SAL2304C1850010SAL2304C18600103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跌幅079报收于23240期权隐含波动率下降069报收于1720持仓量PCR窄幅盘整报收于119操作建议沪锌ZN2304上方有压力的低位震荡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小幅下降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ZN2304SZN2304P23200SZN2304P23000和SZN2304C23200SZN2304C234004黄金期权黄金AU2304上周以来持续上涨突破区间上限本周冲高回落大幅下跌跌幅085报收于41528期权隐含波动率小幅上升001报收于1209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而后快速下跌回落而趋势线方向仍向上期权隐含波动率小幅上升期权持仓量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-41610SAU2304-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066报收于91050期权隐含波动率上升027报收于3141期权持仓量PCR快速上升报收于328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维持较高水平构建牛市价差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-88010和SI2305-C-93010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CUCU23046875000-81000-11651217814ALAL23041847500-16500-089132412337ZNZN23042324000-18500-07989310465AUAU230441528-354-08542817905II230591050600066483143716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CU23046900013640075000696143420004986400202023-03-27AL230418500285001710018614120000613900202023-03-27ZN2304232005210025100234701950008423000202023-03-27AU2304416516242419046011346202023-03-27I2305910302030109101200134-040342023-04-10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MA20UPLOWCU2304166417601713-100180718981716AL2304139112761343-003147115721370ZN2304172117191720-069180819081708AU2304117412471209001117812351122I2305266433813141027322833633094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CU23042378325046105-0071438924812172-004AL23042489617842072-0172794525377091002ZN23041185311677099008944811290119006AU230445304166092-0171756213282076-001I23054950798156198057117437385664328006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69590007000020650001560000105500055000002022-11-172022-12-262023-02-092022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-142023-02-172023-02-222023-02-272023-03-022023-03-07图2铝主力合约走势图2000040成交量万收盘价19500186100035190003018500251800020175001517000101650051600002022-09-132022-09-262023-01-172023-02-062022-08-252022-08-302022-09-022022-09-072022-09-162022-09-212022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-202023-02-012023-02-092023-02-142023-02-172023-02-222023-02-272023-03-022023-03-07图3锌主力合约走势图2600050成交量万收盘价25000402400030230002348000202200021000102000002023-02-012023-02-062023-02-092023-02-142022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-172023-02-222023-02-272023-03-022023-03-07图4黄金主力合约走势图30成交量万收盘价41882420405203901037536002022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-222023-02-272023-03-022023-03-07图5铁矿石主力合约走势图1000140成交量万收盘价909501209001008008070060406002050002022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-222023-02-272023-03-022023-03-07铜期权持仓分布铜期权持仓分布图铜期权持仓变化图3500500300040030025002002000100150001000-100500-2000-3005000050000520005400056000580006000062000640006600068000700007200074000760007800080000840005000052000540005600058000600006200064000660006800070000720007400076000780008000084000OIPOICOICHANGEPOICHANGEC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80000750007000065000600005500050000450002022-09-072022-12-292023-01-172022-08-252022-08-302022-09-022022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262023-01-042023-01-092023-01-122023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-222023-02-272023-03-022023-03-07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280OIPCR7500040CLOSE352407000030200695900065000251602060000120150805500010040500002022-11-012022-11-252022-08-252022-09-022022-09-132022-09-212022-09-292022-10-142022-10-242022-11-092022-11-172022-12-052022-12-132022-12-212022-12-292023-01-092023-01-172023-02-012023-02-092023-02-172023-02-272023-03-072023-02-272022-09-062022-09-192022-09-292022-10-182022-10-282022-11-092022-11-212022-12-012022-12-132022-12-232023-01-052023-01-172023-02-032023-02-152022-08-25IMPVMA20UPLOW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2000019500190001850018000175001700016500160002023-01-042023-01-172022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-092023-01-122023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-222023-02-272023-03-022023-03-07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16020000OIPCR300CLOSE195002801402601900024012018500220200100186100018000180160175000801401700012006010016500040160002022-08-252022-09-022022-09-132022-09-212022-09-292022-10-142022-10-242022-11-012022-11-092022-11-172022-11-252022-12-052022-12-132022-12-212022-12-292023-01-092023-01-172023-02-012023-02-092023-02-172023-02-272023-03-072023-02-272022-09-062022-09-192022-09-292022-10-182022-10-282022-11-092022-11-212022-12-012022-12-132022-12-232023-01-052023-01-172023-02-032023-02-152022-08-25IMPVMA20UPLOW锌期权持仓分布锌期权持仓分布图锌期权持仓变化图140025012002001000150800100600504000200-500-10018800188001920018400184001880019200196002000020400208002120021600220002240022800232002360024000244002480025500265002750028500295001840019600200002040020800212002160022000224002280023200236002400024400248002550026500275002850029500OIPOICOICHANGEPOICHANGEC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2880026800248002280020800188002022-08-302022-08-252022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-222023-02-272023-03-022023-03-07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18028000OIPCR500160CLOSE27000260004001402500012030024000100230002000802200010006021000040200002022-08-252022-09-022022-09-132022-09-212022-09-292022-10-142022-10-242022-11-012022-11-092022-11-172022-11-252022-12-052022-12-132022-12-212022-12-292023-01-092023-01-172023-02-012023-02-092023-02-172023-02-272023-03-072023-02-272022-09-062022-09-192022-09-292022-10-182022-10-282022-11-092022-11-212022-12-012022-12-132022-12-232023-01-052023-01-172023-02-032023-02-152022-08-25IMPVMA20UPLOW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350035030030002502500200200015010015005010000-50500-1000-150496496376432328328336344352360368376384392400416432448464480328336344352360368384392400416448464480496OIPOICOICHANGEPOICHANGEC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5004504003503002022-10-242022-11-012022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-272022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-222023-02-272023-03-022023-03-07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09541882430OIPCR25090CLOSE4200854102008007540007039015065380060100553700503602022-08-252022-11-092022-09-022022-09-132022-09-212022-09-292022-10-142022-10-242022-11-012022-11-172022-11-252022-12-052022-12-132022-12-212022-12-292023-01-092023-01-172023-02-012023-02-092023-02-172023-02-272023-03-072023-02-272022-09-062022-09-192022-09-292022-10-182022-10-282022-11-092022-11-212022-12-012022-12-132022-12-232023-01-052023-01-172023-02-032023-02-152022-08-25IMPVMA20UPLOW铁矿石期权持仓分布铁矿石期权持仓分布图铁矿石期权持仓变化图6000090008000500007000600040000500040003000030002000020001000100000-10000-20007807807201100480480510540570600630660690720750810840870900930960990104011004805105405706006306606907507808108408709009309609901040OIPOICOICHANGEPOICHANGEC铁矿石期权最大未平仓铁矿石认购认沽合约最大持仓量所在的行权价10009509008508007507006506005505002022-09-262022-12-132023-02-142022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-092023-02-172023-02-222023-02-272023-03-022023-03-07铁矿石期权到期日收盘价C最大持仓P最大持仓铁矿石期权持仓量PCR铁矿石期权隐含波动率90950410950OIPCR60360CLOSE900503108502608004021075030160700201106500606002022-10-242022-12-052022-08-252022-09-022022-09-132022-09-212022-09-292022-10-142022-11-012022-11-092022-11-172022-11-252022-12-132022-12-212022-12-292023-01-092023-01-172023-02-012023-02-092023-02-172023-02-272023-03-072023-02-272022-09-062022-09-192022-09-292022-10-182022-10-282022-11-092022-11-212022-12-012022-12-132022-12-232023-01-052023-01-172023-02-032023-02-152022-08-25IMPVMA20UPLOW免责声明五矿期货有限公司是经中国证监会批准设立的期货经营机构已具备有商品期货经纪金融期货经纪资产管理期货交易咨询等业务资格本刊所有信息均建立在可靠的资料来源基础上我们力求能为您提供精确的数据客观的分析和全面的观点但我们必须声明对所有信息可能导致的任何损失概不负责本报告并不提供量身定制的交易建议报告的撰写并未虑及读者的具体财务状况及目标五矿期货研究团队建议交易者应独立评估特定的交易和战略并鼓励交易者征求专业财务顾问的意见具体的交易或战略是否恰当取决于交易者自身的状况和目标文中所提及的任何观点都仅供参考不构成买卖建议版权声明本报告版权为五矿期货有限公司所有本刊所含文字数据和图表未经五矿期货有限公司书面许可任何人不得以电子机械影印录音或其它任何形式复制传播或存储于任何检索系统不经许可复制本刊任何内容皆属违反版权法行为可能将受到法律起诉并承担与之相关的所有损失赔偿和法律费用五矿期货分支机构深圳总部业务一部深圳市南山区滨海大道3165号五矿金融大厦13-16层电话400-888-5398电话0755-83252740业务二部业务三部电话0755-88917165电话0755-83752356业务四部业务五部电话010-68331868-183电话028-85053476深圳营业部北京分公司深圳市福田区福华三路1006号诺德大厦30D1北京市海淀区首体南路6号新世纪世行饭店写字楼1253室电话0755-83752310电话010-68332068上海分公司成都分公司上海市浦东新区向城路288号国华人寿金融大厦902903成都高新区天府大道北段1288号1幢3单元12层12041205电话021-58784529电话028-86131072青岛分公司北京营业部山东省青岛市东海西路35号太平洋中心1写字楼409北京市丰台区广安路9号院6号楼408409电话0532-85780820电话010-64185322广州营业部湛江营业部广东省广州市天河区珠江西路17号广晟国际大厦24楼2407广东省湛江市开发区乐山东路35号银隆广场12层A1210室电话020-29117582电话0759-2856220天津营业部西安营业部天津市滨海高新区华苑产业区梅苑路5号金座广场2101-陕西省西安市新城区纬什街新科路1号楼一层2102电话029-87572985电话022-23778878宁波中山西路营业部重庆营业部浙江省宁波市海曙区布政巷16号12楼1205室重庆市江北区江北城西大街25号11-1电话0574-87330527电话023-67078086郑州营业部南通营业部郑州市未来路69号未来大厦16层1612号江苏省南通市青年东路81号南通大饭店B楼财富中心2003室电话0371-65619030电话0513-81026105杭州民心路营业部台州爱华路营业部浙江省杭州市江干区万银大厦1408室浙江省台州市椒江区爱华新台州大厦8-A电话0571-81969926电话0576-89811511济南营业部昆明营业部山东省济南市历下区山大路201号天业科技商务大厦401云南省昆明市盘龙区北京路612号银海国际公寓D座3201室427室电话0871-63338532电话0531-83192255大连营业部唐山营业部辽宁省大连市沙河口区会展路大连国际金融中心A座大连期河北省唐山市路北区军鑫里凤城国贸1楼21层2104号货大厦2001号电话0315-5936395电话0411-84800452武汉营业部湖北省武汉市江岸区三阳路8号天悦星辰A栋26楼2602室电话0755-23375007