【基本面信息】
　　铜：产业层面，昨日LME库存增加1575至74975吨，增量主要来自亚洲仓库，注销仓单比例降低，Cash/3M贴水9.3美元/吨。国内方面，昨日上海地区现货升水涨至185元/吨，盘面大跌下游买兴积极，成交改善。进出口方面，昨日国内现货铜进口转为小幅盈利，洋山铜溢价延续回升。
　　铝：SMM现货A00铝报均价18140元/吨。A00铝锭升贴水平均价-50。铝期货仓单230775吨，较前一日下降4577吨。LME铝库存530550吨，下降1875吨。2023年3月16日，SMM统计国内电解铝锭社会库存121.1万吨，较上周四库存下降5.6万吨。
　　铁矿石：现货市场成交情况一般，钢厂按需采购为主低价补库，主流PB粉价格较上一交易日下跌10-20元/吨。本周澳巴总发货了较上周减少，供应有所回落。

研究报告全文：金属期权日报期权研究2023年3月17日星期五基本面信息铜产业层面昨日LME库存增加1575至74975吨增量主要来自亚洲仓库注销仓单比例降低Cash3M贴水93美元吨国内方面昨日上海地区现货升水涨至185元吨盘面大跌下游买兴积极成交改善进出口方面昨日国内现货铜进口转为小幅盈利洋山铜溢价延续回升铝SMM现货A00铝报均价18140元吨A00铝锭升贴水平均价-50铝期货仓单230775吨较前一日下降4577吨LME铝库存530550吨下降1875吨2023年3月16日SMM统计国内电解铝锭社会库存1211万卢品先吨较上周四库存下降56万吨投研经理铁矿石现货市场成交情况一般钢厂按需采购为主低价补库主流PB粉价格较上一交易日下跌10-0755-2337525220元吨本周澳巴总发货了较上周减少供应有所回落lupxwkjyqhcom期权分析及策略建议从业资格号1铜期权F3047321沪铜CU2304上周以来高位回落后震荡下行逐渐转为偏弱势昨日跳空低开大幅下挫跌破2个月交易咨询号以来低点夜盘弱势盘整跌幅052报收于66740期权隐含波动率急速上升635报收于2722持仓Z0015541量PCR快速下降维持较高水平报收于173操作建议沪铜CU2304震荡下行近两周后昨日大幅下跌破位下行形成短期空头趋势期权隐含波动率快速上涨期权持仓量PCR快速下降构建看跌期权熊市价差组合策略获取方向性收益若市场行情快速大涨至高行权价则平仓逐渐离场如CU2304BCU2304P68000BCU2304P69000和SCU2304P64000SCU2304P650002铝期权沪铝AL2304维持近两周以来弱势偏空头震荡下行的市场行情而后低位弱势震荡涨幅000报收于18135期权隐含波动率快速上升421报收于1827持仓量PCR小幅上升报收于094操作建议沪铝AL2304延续空头趋势方向震荡下行期权隐含波动率快速上升期权持仓量PCR小幅盘整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AL2304SAL2304P1790010SAL2304P1800010和SAL2304C1820010SAL2304C18100103锌期权沪锌ZN2304维持两周多以来55天均线压力下大幅波动而后逐渐回落下行急速下跌空头力量较强跌幅069报收于22220期权隐含波动率直线上升771报收于28243持仓量PCR小幅下降报收于106操作建议沪锌ZN2304沿着空头趋势方向大幅下跌回落空头情绪较浓期权隐含波动率急速上涨沪锌期权持仓量PCR小幅下降构建卖出偏空头的看涨看跌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ZN2304SZN2304P22200SZN2304P22000和SZN2304C22400SZN2304C222004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一个月以来高点本周以来急速上涨而后高位震荡跌幅028报收于42970期权隐含波动率大幅上涨482报收于1998期权持仓量PCR报收于098操作建议黄金AU2304沿着多头趋势方向突破上涨而后后高位盘整市场表现较浓的情绪期权隐含波动率快速上升期权持仓量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-41610BAU2304-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突破高点后快速下跌回落跌幅066报收于90500期权隐含波动率快速上升350报收于3709期权持仓量PCR大幅下降报收于287操作建议铁矿石I2505多头趋势方向上高位宽幅矩形区间震荡而后逐渐下跌回落下方有55天均线支撑期权隐含波动率大幅上涨期权持仓量PCR维持较高水平构建卖方的正DELTA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I2305SI2301-P-90010SI2301-P-89010和SI2305-C-91010SI2305-C-92010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CUCU23046674000-35000-052166255748ALAL23041813500000000187216976ZNZN23042222000-15500-069150316810AUAU230442970-122-02856824456II230590500-600-066853877816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CU2304670007840013200066464-224400-327-27600112023-03-27AL230418100228001950018133-24100-131-200112023-03-27ZN230422200340004520022088-65600-288-13200112023-03-27AU2304432444680430378089-006112023-03-27I230591025103400901-2450-265-390252023-04-10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MA20UPLOWCU2304237529312722635185521011608AL2304164919321827421142815471308ZN2304267228842824771185621141599AU2304207318811998482126814831052I2305308239813709350323934143065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CU230444470739311660271764430518173-021AL230428607479831680693186430073094008ZN230420243509892521171399914868106-008AU23042415715525064-0011597215661098012I2305107255247327231057154765443854287-042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70000664200020650001560000105500055000002022-11-282023-01-052023-02-202022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-232023-02-282023-03-032023-03-082023-03-132023-03-16图2铝主力合约走势图2000040成交量万收盘价19500351900018135003018500251800020175001517000101650051600002022-09-222022-10-122023-02-022023-02-152022-09-052022-09-082022-09-142022-09-192022-09-272022-09-302022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-072023-02-102023-02-202023-02-232023-02-282023-03-032023-03-082023-03-132023-03-16图3锌主力合约走势图2600050成交量万收盘价25000402400030230002022000220950021000102000002023-02-102023-02-152023-02-202023-02-232022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-282023-03-032023-03-082023-03-132023-03-16图4黄金主力合约走势图30成交量万收盘价420405203901037536002022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-132023-03-16图5铁矿石主力合约走势图1000140成交量万收盘价902001209001008008070060406002050002022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-132023-03-16铜期权持仓分布铜期权持仓分布图铜期权持仓变化图450080040006003500400200300002500-2002000-4001500-6001000-800500-10000-1200520005200084000500005000052000540005600058000600006200064000660006800070000720007400076000780008000084000500005400056000580006000062000640006600068000700007200074000760007800080000OIPOICOICHANGEPOICHANGEC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80000750007000065000600005500050000450002022-09-192023-01-102023-02-022022-09-052022-09-082022-09-142022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-132023-01-182023-01-302023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-132023-03-16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280OIPCR7500040CLOSE352407000030200650002516066420002060000120150805500010040500002022-11-102022-12-062022-09-052022-09-142022-09-222022-09-302022-10-172022-10-252022-11-022022-11-182022-11-282022-12-142022-12-222022-12-302023-01-102023-01-182023-02-022023-02-102023-02-202023-02-282023-03-082023-03-162023-03-082022-09-162022-09-282022-10-172022-10-272022-11-082022-11-182022-11-302022-12-122022-12-222023-01-042023-01-162023-02-022023-02-142023-02-242022-09-05IMPVMA20UPLOW铝期权持仓分布铝期权持仓分布图铝期权持仓变化图600080050006004004000200300002000-2001000-4000-6001590015900208001500015000153001560016200165001680017100174001770018000183001860018900192001950019800202002140022000150001530015600159001620016500168001710017400177001800018300186001890019200195001980020200208002140022000OIPOICOICHANGEPOICHANGEC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2000019500190001850018000175001700016500160002023-01-132023-02-022022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-182023-01-302023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-132023-03-16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16020000OIPCR300CLOSE195002801402601900024012018500220200100180001801601750008018135001401700012006010016500040160002022-09-052022-09-142022-09-222022-09-302022-10-172022-10-252022-11-022022-11-102022-11-182022-11-282022-12-062022-12-142022-12-222022-12-302023-01-102023-01-182023-02-022023-02-102023-02-202023-02-282023-03-082023-03-162023-03-082022-09-162022-09-282022-10-172022-10-272022-11-082022-11-182022-11-302022-12-122022-12-222023-01-042023-01-162023-02-022023-02-142023-02-242022-09-05IMPVMA20UPLOW锌期权持仓分布锌期权持仓分布图锌期权持仓变化图25006005002000400300200150010001000-100-200500-300-4000-50018800188001920018400184001880019200196002000020400208002120021600220002240022800232002360024000244002480025500265002750028500295001840019600200002040020800212002160022000224002280023200236002400024400248002550026500275002850029500OIPOICOICHANGEPOICHANGEC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2880026800248002280020800188002022-09-082022-09-052022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-132023-03-16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18028000OIPCR500160CLOSE27000260004001402500012030024000100230002000802200010006021000040200002022-09-052022-09-142022-09-222022-09-302022-10-172022-10-252022-11-022022-11-102022-11-182022-11-282022-12-062022-12-142022-12-222022-12-302023-01-102023-01-182023-02-022023-02-102023-02-202023-02-282023-03-082023-03-162023-03-082022-09-162022-09-282022-10-172022-10-272022-11-082022-11-182022-11-302022-12-122022-12-222023-01-042023-01-162023-02-022023-02-142023-02-242022-09-05IMPVMA20UPLOW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3500700600300050025004002000300200150010010000-100500-2000-300496496376432328328336344352360368376384392400416432448464480328336344352360368384392400416448464480496OIPOICOICHANGEPOICHANGEC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5004504003503002022-11-022022-11-102022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-072022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-132023-03-16黄金期权到期日收盘价C最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