【基本面信息】
　　铜：产业层面，昨日LME库存减少425至71300吨，注销仓单比例降低，Cash/3M贴水20美元/吨。国内方面，周末社会库存延续去化，昨日上海地区现货升水持平于95元/吨，持货商挺价情绪较浓，成交有所转弱。进出口方面，昨日国内现货铜进口亏损缩窄至盈亏平衡，洋山铜溢价回升。
　　铝：SMM现货A00铝报均价18220元/吨。A00铝锭升贴水平均价-20。铝期货仓单224641吨，较前一日增加3544吨。LME铝库存543525吨，下降4850吨。2023年3月13日，SMM统计国内电解铝锭社会库存124.6万吨。
　　铁矿石：现货市场成交情况一般，投机需求有所增加，钢厂采购仍较为谨慎，按需采购为主。主流PB粉价格较上周五上涨10-15元/吨。上周螺纹钢厂库和社库均转为去化，表需大超季节性增加，数据较为利好，市场情绪极为乐观。
　　

研究报告全文：金属期权日报期权研究2023年3月14日星期二基本面信息铜产业层面昨日LME库存减少425至71300吨注销仓单比例降低Cash3M贴水20美元吨国内方面周末社会库存延续去化昨日上海地区现货升水持平于95元吨持货商挺价情绪较浓成交有所转弱进出口方面昨日国内现货铜进口亏损缩窄至盈亏平衡洋山铜溢价回升铝SMM现货A00铝报均价18220元吨A00铝锭升贴水平均价-20铝期货仓单224641吨较前一日增加3544吨LME铝库存543525吨下降4850吨2023年3月13日SMM统计国内电解铝锭社会库存1246万吨卢品先投研经理铁矿石现货市场成交情况一般投机需求有所增加钢厂采购仍较为谨慎按需采购为主主流PB0755-23375252粉价格较上周五上涨10-15元吨上周螺纹钢厂库和社库均转为去化表需大超季节性增加数据较为利lupxwkjyqhcom好市场情绪极为乐观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上周以来高位回落后震荡下行逐渐转为偏弱势而下方有55天均线支撑跌幅019Z0015541报收于68840期权隐含波动率涨幅097报收于1905持仓量PCR有所下降报收于178操作建议沪铜CU2304形成上方有压力下方有支撑的短期弱势偏空头行情期权隐含波动率小幅波动期权持仓量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若市场行情快速大涨或大跌则平仓逐渐离场如CU2304SCU2304P67000SCU2304P68000和SCU2304C69000SCU2304C700002铝期权沪铝AL2304前一周上升而后受阻回落延续近两周以来弱势偏空头市场行情走势涨幅027报收于18310期权隐含波动率下降057报收于1388持仓量PCR快速下降报收于083操作建议沪铝AL2304延续空头压力线下弱势盘整震荡逐渐下行形成上方有压力的偏空头趋势期权隐含波动率小幅波动期权持仓量PCR持续下降回落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维持两周多以来55天均线压力向下大幅波动上周以来转向偏弱势涨幅048报收于22940期权隐含波动率上升067报收于1971持仓量PCR持续下降报收于112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离场如ZN2304SZN2304P22600SZN2304P22800和SZN2304C23000SZN2304C232004黄金期权黄金AU2304上周止跌反弹回暖上升后连续大幅上涨突破上涨形成短期多头上涨趋势涨幅124报收于42454期权隐含波动率小幅上升143报收于1300期权持仓量PCR报收于077操作建议黄金AU2304多头突破上涨市场表现较浓的情绪期权隐含波动率小幅上升期权持仓量PCR窄幅盘整构建看跌期权牛市价差组合策略获取方向性收益若市场行情快速大跌至低行权价则平仓离场如AU2304BAU2304-P-40810BAU2304-P-41610和SAU2304-P-43210SAU2304-P-440105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而后继续突破前期高点加速上涨涨幅114报收于93250期权隐含波动率下降141报收于3382期权持仓量PCR有所上升报收于327操作建议铁矿石I2505多头趋势方向震荡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-92010和SI2305-C-96010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CUCU23046884000-13000-019110638136ALAL230418310005000027210219192ZNZN2304229400011000048169619361AUAU23044245451812494739712II2305932501050114630758178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CU23046900010440081800692263800005538600142023-03-27AL2304183002720013700184351590008712500142023-03-27ZN230423000324003550022969108000472900142023-03-27AU2304424198574420360086-430142023-03-27I2305930280029309291870205-380282023-04-10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MA20UPLOWCU2304176420181905097178518691701AL2304139013851388-057142315111336ZN2304189920171971067179518921699AU2304131012801300143118112461117I2305274936743382-141320933413078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CU23044147852323126-0031479426347178-003AL230434518368841070053121626028083-014ZN23043246750155154-0081232713804112-008AU23041959510498054-0191748413470077004I230579500172153217003134884440605327002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69270007000020650001560000105500055000002022-11-232022-12-302023-02-152022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-202023-02-232023-02-282023-03-032023-03-082023-03-13图2铝主力合约走势图2000040成交量万收盘价19500351900018435003018500251800020175001517000101650051600002022-09-192022-09-302023-01-302023-02-102022-08-312022-09-052022-09-082022-09-142022-09-222022-09-272022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-02-022023-02-072023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-13图3锌主力合约走势图2600050成交量万收盘价25000402400030230002022000229850021000102000002023-02-072023-02-102023-02-152023-02-202022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-232023-02-282023-03-032023-03-082023-03-13图4黄金主力合约走势图30成交量万收盘价42042420405203901037536002022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-13图5铁矿石主力合约走势图1000140成交量万收盘价929001209001008008070060406002050002022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-13铜期权持仓分布铜期权持仓分布图铜期权持仓变化图350060030004002500200200001500-2001000500-4000-6005000050000520005400056000580006000062000640006600068000700007200074000760007800080000840005000052000540005600058000600006200064000660006800070000720007400076000780008000084000OIPOICOICHANGEPOICHANGEC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80000750007000065000600005500050000450002022-09-142023-01-052023-01-302022-08-312022-09-052022-09-082022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-102023-01-132023-01-182023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-13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280OIPCR7500040CLOSE352407000030200692700065000251602060000120150805500010040500002022-11-072022-12-012022-08-312022-09-082022-09-192022-09-272022-10-122022-10-202022-10-282022-11-152022-11-232022-12-092022-12-192022-12-272023-01-052023-01-132023-01-302023-02-072023-02-152023-02-232023-03-032023-03-132023-03-032022-09-132022-09-232022-10-122022-10-242022-11-032022-11-152022-11-252022-12-072022-12-192022-12-292023-01-112023-01-302023-02-092023-02-212022-08-31IMPVMA20UPLOW铝期权持仓分布铝期权持仓分布图铝期权持仓变化图50006004500400400035002003000250002000-20015001000-4005000-6001590015900208001500015000153001560016200165001680017100174001770018000183001860018900192001950019800202002140022000150001530015600159001620016500168001710017400177001800018300186001890019200195001980020200208002140022000OIPOICOICHANGEPOICHANGEC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2000019500190001850018000175001700016500160002023-01-102023-01-302022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-132023-01-182023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-13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16020000OIPCR300CLOSE195002801402601900024012018500220200100180001801843500160175000801401700012006010016500040160002022-08-312022-09-082022-09-192022-09-272022-10-122022-10-202022-10-282022-11-072022-11-152022-11-232022-12-012022-12-092022-12-192022-12-272023-01-052023-01-132023-01-302023-02-072023-02-152023-02-232023-03-032023-03-132023-03-032022-09-132022-09-232022-10-122022-10-242022-11-032022-11-152022-11-252022-12-072022-12-192022-12-292023-01-112023-01-302023-02-092023-02-212022-08-31IMPVMA20UPLOW锌期权持仓分布锌期权持仓分布图锌期权持仓变化图180050016004001400300120010002008001006000400200-1000-20018800188001920018400184001880019200196002000020400208002120021600220002240022800232002360024000244002480025500265002750028500295001840019600200002040020800212002160022000224002280023200236002400024400248002550026500275002850029500OIPOICOICHANGEPOICHANGEC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2880026800248002280020800188002022-09-052022-08-312022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-13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18028000OIPCR500160CLOSE27000260004001402500012030024000100230002000802200010006021000040200002022-08-312022-09-082022-09-192022-09-272022-10-122022-10-202022-10-282022-11-072022-11-152022-11-232022-12-012022-12-092022-12-192022-12-272023-01-052023-01-132023-01-302023-02-072023-02-152023-02-232023-03-032023-03-132023-03-032022-09-132022-09-232022-10-122022-10-242022-11-032022-11-152022-11-252022-12-072022-12-192022-12-292023-01-112023-01-302023-02-092023-02-212022-08-31IMPVMA20UPLOW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350040030003002002500100200001500-1001000-200500-3000-400496496376432328328336344352360368376384392400416432448464480328336344352360368384392400416448464480496OIPOICOICHANGEPOICHANGEC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5004504003503002022-10-282022-11-072022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-11-022022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-13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42042095430OIPCR25090CLOSE4200854102008007540007039015065380060100553700503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