【基本面信息】
　　·铜：产业层面，上周三大交易所库存续减3.0万吨，其中上期所库存减少3.3至18.2万吨，LME库存增加0.3至7.5万吨，COMEX库存持平于1.4万吨。上海保税区库存环比增加0.6万吨，上周铜进口窗口一度打开，洋山铜溢价低位显著回升，进口清关需求改善。
　　 ·铝：截止3月16日，据Mysteel统计10个主流港口氧化铝现货库存量为29.9万吨，较前一周下降3.9万吨。上周国内氧化铝港口库存主要是青岛港下降。
　　 ·铁矿石：建材表需本周并没有继续增加，但当前仍处于历史同期相对较高水平，需求韧性较强。钢厂利润连续几周持续回升，保证了钢厂对于铁矿石的刚需，有力支撑矿价。

研究报告全文：金属期权周报期权研究2023年3月20日星期一基本面信息铜产业层面上周三大交易所库存续减30万吨其中上期所库存减少33至182万吨LME库存增加03至75万吨COMEX库存持平于14万吨上海保税区库存环比增加06万吨上周铜进口窗口一度打开洋山铜溢价低位显著回升进口清关需求改善铝截止3月16日据Mysteel统计10个主流港口氧化铝现货库存量为299万吨较前一周下降39万吨上周国内氧化铝港口库存主要是青岛港下降铁矿石建材表需本周并没有继续增加但当前仍处于历史同期相对较高水平需求韧性较强钢厂利润连续几周持续回升保证了钢厂对于铁矿石的刚需有力支撑矿价卢品先标的行情与期权分析投研经理0775-23375252两周以来的弱势偏空头下跌趋势上周以来加速下跌后低位弱势盘整沪锌上周连续下跌跌破两周以来的震荡区间下限而后地低位弱势盘整形成上方有压力的弱势偏空头趋势铁矿石延续近一个月以来的偏多头趋势方向上的lupxwkqhcn高位盘整震荡黄金上周低位反弹回暖上升后连续报收大阳线突破上行形成短期多头较强趋势截止上周五收从业资格号盘沪铜周跌幅2784报收于67130沪铝周跌幅074报收于18125沪锌周跌幅247报收于22495沪金周涨幅F3047321373报收于44234铁矿石周跌幅103报收于91150交易咨询号降贵金属黄金期权日均成交量大幅上升增加其中铜期权增加435万手至1067万手沪铝期权增加278万手至Z0015541817万手沪锌期权增加283万手至753万手黄金期权增加254万手至440万手铁矿石期权减少228万手至3046万手日均持仓量上周有色金属铜期权铝期权和锌期权连续两周持续增加贵金属黄金期权日均持仓量小幅增加而铁矿石期权日均持仓量增加幅度较大其中铜期权增加132万手至716万手铝期权增加140万手至860万手锌期权增加088万手至383万手黄金期权增加044万手至540万手铁矿石期权大幅增加452万手至6684万手PCR快速下降报收于168沪铝期权持仓量PCR小幅下降报收于092沪锌期权持仓量PCR持续回落报收于103黄金期权持仓量PCR直线上升报收于108铁矿石期权持仓量PCR持续下降维持较高水平报收于277隐含波动率上周有色金属铜期权和贵金属黄金期权隐含波动率直线大幅拉升铝期权和锌期权隐隐含波动率大幅上升后快速下降而铁矿石期权隐含波动率逐渐上升截至收盘沪铜期权隐含波动率报收于2765沪铝期权隐含波动率报收于1643沪锌期权隐含波动率报收于2555黄金期权隐含波动率报收于2081铁矿石期权隐含波动率报收于3719结论与操作建议1沪铝期权沪铝AL2304延续近两周以来的弱势偏空头下跌趋势上周以来加速下跌后低位弱势盘整期权隐含波动率急速上升至上轨后快速下降期权持仓量PCR快速回落仍维持较高水平操作建议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AL2304SAL2304P1810010SAL2304P1800010和SAL2304C1810010SAL2304C18200102沪铜期权沪铜CU2304上周连续下跌回落跌破维持近两周震荡区间下限形成短期弱势中期向上趋势期权隐含波动率急速上升至上轨期权持仓量PCR快速回落仍维持较高水平操作建议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CU2304SCU2304P66000SCU2304P67000和SCU2304C67000SCU2304C680003沪锌期权沪锌ZN2304上周连续下跌跌破两周以来的震荡区间下限而后地低位弱势盘整形成上方有压力的弱势偏空头趋势期权隐含波动率快速拉升后急速下降沪锌期权持仓量PCR持续下降至100以上操作建议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ZN2304SZN2304P22200SZN2304P22400和SZN2304C22600SZN2304C228004铁矿石期权铁矿石I2505延续近一个月以来的偏多头趋势方向上的高位盘整震荡期权隐含波动率持续上升期权持仓量PCR有所回落操作建议构建卖出偏多头的宽跨式期权组合策略获取方向性收益和时间价值若市场行情快速大跌则平仓离场如I2305SI2301-P-91010SI2305-P-90010和SI2301-C-91020SI2305-C-920105黄金期权黄金AU2304上周低位反弹回暖上升后连续报收大阳线突破上行形成短期多头较强趋势期权隐含波动率快速上涨期权持仓量PCR直线上升操作建议构建看涨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-C-43210BAU2304-C-44010和SAU2304-C-45610SAU2304-C-44810一周市场行情回顾期权品种标的合约收盘价涨跌涨跌幅周日均成交量万增减上周日均持仓量万增减CUCU230467130-168000-27811242501154-368ALAL230418125-14000-07417221201605-353ZNZN230422495-37500-2471323125745-118AUAU2304442342558373583-246285-383II230591150150-103696717877804-946数据来源wind资讯五矿期货期权事业部期权总成交与持仓上周日均总成交量万张上周日均总持仓量万张期权品种CallPut合计变化PCRCallPut合计变化PCRCU40544661111066554354016326350452907164013241172AL3602845631816602579112744162418458600713990095ZN285254681775342283111641805820268383258798112AU260251795443980254220692890225138540404436087I103042201555304597-2276519617473849362666836445176282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CU23046700099400790006720472800110740062023-03-27AL230418100242001030018239106000581140062023-03-27ZN23042240036500238002252742700193320062023-03-27AU23044402241054432206048-106462023-03-27I2305910317025609161520169460152023-04-10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MA20UPLOWCU2304213930912765043190422231585AL2304145517501643-471143515631307ZN2304220927112555-269189121921589AU2304213920132081083131015921028I2305306239883719010326734713064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CU230430638588671920261839230894168-005AL230422550392411740063207029481092-002ZN23042036545124222-0301419414648103-003AU230418394159610870231619317446108010I230592410225285244013161616446961277-010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70000206722000650001560000105500055000002022-11-292023-01-062023-02-212022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-242023-03-012023-03-062023-03-092023-03-142023-03-17图2铝主力合约走势图2000040成交量万收盘价35182300030251800020151051600002022-10-132023-01-112023-03-142022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-242023-03-012023-03-062023-03-092023-03-17图3锌主力合约走势图2600045成交量万收盘价402500035240002252000302523000202200015102100052000002022-09-092022-09-062022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-242023-03-012023-03-062023-03-092023-03-142023-03-17标的价量关系图4黄金主力合约走势图4324444025成交量万收盘价430204201541010400390538002022-09-282022-11-242023-03-092022-09-062022-09-092022-09-152022-09-202022-09-232022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-242023-03-012023-03-062023-03-142023-03-17图5铁矿石主力合约走势图95091500140成交量万收盘价9001208501008008075060700406502060002022-09-092022-11-292023-02-162022-09-062022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-212023-02-242023-03-012023-03-062023-03-092023-03-142023-03-17铜期权持仓分布铜期权持仓分布图铜期权持仓变化图5000300045002500400035002000300015002500200010001500500100005000-500600006000062000500005000052000540005600058000600006200064000660006800070000720007400076000780008000084000500005200054000560005800064000660006800070000720007400076000780008000084000OIPOICOICHANGEPOICHANGEC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7500070000650006000055000500002023-01-192023-02-032023-02-132022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-312023-02-082023-02-162023-02-212023-02-242023-03-012023-03-062023-03-092023-03-142023-03-17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29072000OIPCR4070000CLOSE352406800030660001906722000640002562000201406000015580000901056000040540002022-09-062022-11-212022-09-152022-09-232022-10-102022-10-182022-10-262022-11-032022-11-112022-11-292022-12-072022-12-152022-12-232023-01-032023-01-112023-01-192023-02-032023-02-132023-02-212023-03-012023-03-092023-03-172023-03-092022-09-192022-09-292022-10-182022-10-282022-11-092022-11-212022-12-012022-12-132022-12-232023-01-052023-01-172023-02-032023-02-152023-02-272022-09-06IMPVMA20UPLOW铝期权持仓分布铝期权持仓分布图铝期权持仓变化图60004003005000200100400003000-100-2002000-300-4001000-500-6001550015500224001520015200158001610016400167001700017300176001790018200185001880019100194001970020000206002120021800014900149001490015300157001610016500169001730017700181001850018900193001970020200210002180022600OIPOICOICHANGEPOICHANGEC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220002100020000190001800017000160002022-12-152023-01-062023-02-032023-02-242023-03-172022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-202022-12-232022-12-282023-01-032023-01-112023-01-162023-01-192023-01-312023-02-082023-02-132023-02-162023-02-212023-03-012023-03-062023-03-092023-03-14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160OIPCR2000030CLOSE1302520100180001507010040160002022-09-062022-09-152022-09-232022-10-102022-10-182022-10-262022-11-032022-11-112022-11-212022-11-292022-12-072022-12-152022-12-232023-01-032023-01-112023-01-192023-02-032023-02-132023-02-212023-03-012023-03-092023-03-172022-09-192022-09-292022-10-182022-10-282022-11-092022-11-212022-12-012022-12-132022-12-232023-01-052023-01-172023-02-032023-02-152023-02-272023-03-092022-09-06IMPVMA20UPLOW锌期权持仓分布锌期权持仓分布图锌期权持仓变化图25004003002000200150010010000-100500-2000-3002300023000182001820018600190001940019800202002060021000214002180022200226002340023800242002460025000260002700028000290003000031000182001860019000194001980020200206002100021400218002220022600230002340023800242002460025000260002700028000290003000031000OIPOICOICHANGEPOICHANGEC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2800026000240002200020000180002023-01-192023-02-032023-02-132022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-312023-02-082023-02-162023-02-212023-02-242023-03-012023-03-062023-03-092023-03-142023-03-17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20030000OIPCR40180CLOSE28000160301402600012020100240000802200010060040200002022-09-062022-09-152022-09-232022-10-102022-10-182022-10-262022-11-032022-11-112022-11-212022-11-292022-12-072022-12-152022-12-232023-01-032023-01-112023-01-192023-02-032023-02-132023-02-212023-03-012023-03-092023-03-172023-03-092022-09-192022-09-292022-10-182022-10-282022-11-092022-11-212022-12-012022-12-132022-12-232023-01-052023-01-172023-02-032023-02-152023-02-272022-09-06IMPVMA20UPLOW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3500300030002500250020002000150015001000100050050000-500400400328328336344352360368376384392400416432448464480328336344352360368376384392416432448464480OIPOICOICHANGEPOICHANGEC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4804604404204003803603403203002022-11-032022-11-112022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-082022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-242023-03-012023-03-062023-03-092023-03-142023-03-17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120OIPCR4404324425CLOSE11043042020100410090154000803901007038050603700503602022-09-062022-09-152022-09-232022-10-102022-10-182022-10-262022-11-032022-11-112022-11-212022-11-292022-12-072022-12-152022-12-232023-01-032023-01-112023-01-192023-02-032023-02-132023-02-212023-03-012023-03-092023-03-172022-12-232022-09-192022-09-292022-10-182022-10-282022-11-092022-11-212022-12-012022-12-132023-01-052023-01-172023-02-032023-02-152023-02-272023-03-092022-09-06IMPVMA20UPLOW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7000035003000600002500500002000150040000100030000500020000-500-100010000-15000-200054054069093099048048051057060063066072075078081084087090093096099010404805105405706006306606907207507808108408709009601040OIPOICOICHANGEPOICHANGEC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120010008006004002022-10-102022-10-132022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-242023-03-012023-03-062023-03-092023-03-142023-03-17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91500400950OIPCR50350CLOSE9003008504025080020075030150700100200506500006002022-10-182022-12-152022-09-062022-09-152022-09-232022-10-102022-10-262022-11-032022-11-112022-11-212022-11-292022-12-072022-12-232023-01-032023-01-112023-01-192023-02-032023-02-132023-02-212023-03-012023-03-092023-03-172023-03-092022-09-192022-09-292022-10-182022-10-282022-11-092022-11-212022-12-012022-12-132022-12-232023-01-052023-01-172023-02-032023-02-152023-02-272022-09-06IMPVMA20UPLOW策略应用和分析沪铝日行情K线图沪铝期权投资策略和到期损益图沪铝AL2304延续近两周以来的弱势偏空头下跌趋势上周以来加速下跌后低位弱势盘整期权隐含波动率急速上升至上轨后快速下降期权持仓量PCR快速回落仍维持较高水平操作建议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AL2304SAL2304P1810010SAL2304P1800010和SAL2304C1810010SAL2304C1820010策略到期损益图如下策略应用和分析沪铜日行情K线图沪铜期权投资策略和到期损益图沪铜CU2304上周连续下跌回落跌破维持近两周震荡区间下限形成短期弱势中期向上趋势期权隐含波动率急速上升至上轨期权持仓量PCR快速回落仍维持较高水平操作建议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CU2304SCU2304P66000SCU2304P67000和SCU2304C67000SCU2304C68000策略到期损益图如下策略应用和分析锌日行情K线图锌期权投资策略和到期损益图沪锌ZN2304上周连续下跌跌破两周以来的震荡区间下限而后地低位弱势盘整形成上方有压力的弱势偏空头趋势期权隐含波动率快速拉升后急速下降沪锌期权持仓量PCR持续下降至100以上操作建议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ZN2304SZN2304P22200SZN2304P22400和SZN2304C22600SZN2304C22800策略到期损益图如下策略应用和分析铁矿石日行情K线图铁矿石期权投资策略和到期损益图铁矿石I2505延续近一个月以来的偏多头趋势方向上的高位盘整震荡期权隐含波动率持续上升期权持仓量PCR有所回落操作建议构建卖出偏多头的宽跨式期权组合策略获取方向性收益和时间价值若市场行情快速大跌则平仓离场如I2305SI2301-P-91010SI2305-P-90010和SI2301-C-91020SI2305-C-92010策略到期损益图如下策略应用和分析黄金日行情K线图黄金期权投资策略和到期损益图黄金AU2304上周低位反弹回暖上升后连续报收大阳线突破上行形成短期多头较强趋势期权隐含波动率快速上涨期权持仓量PCR直线上升操作建议构建看涨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-C-43210BAU2304-C-44010和SAU2304-C-45610SAU2304-C-44810策略到期损益图如下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