【基本面信息】
　　铜：产业层面，昨日LME库存减少525至76400吨，注销仓单比例提高，Cash/3M升水3.8美元/吨。国内方面，昨日上海地区现货升水下调至30元/吨，月间价差缩窄买盘有所改善。进出口方面，昨日国内现货铜进口转为亏损200元/吨左右，洋山铜溢价持平。
　　铝：SMM现货A00铝报均价18110元/吨。A00铝锭升贴水平均价-60。铝期货仓单219638吨，较前一日下降5382吨。LME铝库存541875吨，下降4325吨。
　　铁矿石：中国45港进口铁矿石库存总量13606.92万吨，环比上周一减少23万吨，47港库存总量14266.92万吨，环比减少19万吨。

研究报告全文：金属期权日报期权研究2023年3月22日星期三基本面信息铜产业层面昨日LME库存减少525至76400吨注销仓单比例提高Cash3M升水38美元吨国内方面昨日上海地区现货升水下调至30元吨月间价差缩窄买盘有所改善进出口方面昨日国内现货铜进口转为亏损200元吨左右洋山铜溢价持平铝SMM现货A00铝报均价18110元吨A00铝锭升贴水平均价-60铝期货仓单219638吨较前一日下降5382吨LME铝库存541875吨下降4325吨卢品先铁矿石中国45港进口铁矿石库存总量1360692万吨环比上周一减少23万吨47港库存总量投研经理1426692万吨环比减少19万吨0755-23375252lupxwkjyqhcom期权分析及策略建议1铜期权从业资格号沪铜CU2304上周以来高位回落后震荡下行连续大幅下跌跌破2个月以来低点而后逐渐反弹回F3047321暖上升形成上方有压力的短期偏多头回升涨幅095报收于68190期权隐含波动率持续大幅上升有所交易咨询号下降132报收于2800持仓量PCR逐渐反弹回升维持较高水平报收于184操作建议沪铜CU2304超跌Z0015541反弹回暖上升连续上涨回升修复上周的跳空缺口而上方有60天均线压力期权隐含波动率小幅下降期权持仓量PCR持续上涨构建卖出偏空头的看涨看跌组合策略获取方向性收益和时间价值收益若市场行情快速大涨则平仓逐渐离场如CU2304SCU2304P67000SCU2304P68000和SCU2304CP68000SCU2304C690002铝期权沪铝AL2304经过前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017报收于18200期权隐含波动率小幅下降090报收于1632持仓量PCR小幅盘整报收于093操作建议沪铝AL2304延续空头趋势方向震荡下行后低位弱势盘整期权隐含波动率小幅度下降期权持仓量PCR窄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上周连续大幅下跌跌破两周多以来矩形震荡区间下限空头力量较强而后低位弱势盘整大幅波动跌幅049报收于22420期权隐含波动率上升015报收于2495持仓量PCR小幅上升报收于120操作建议沪锌ZN2304空头压力线下大幅波动期权隐含波动率小幅上升沪锌期权持仓量PCR有所上升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ZN2304SZN2304P22200SZN2304P22400和SZN2304C22600SZN2304C228004黄金期权黄金AU2304经过近两周以来多头上涨突破一个月以来高点昨日大幅下跌夜盘延续下跌行情而趋势线方向仍向上跌幅175报收于43388期权隐含波动率下降214报收于2521期权持仓量PCR小幅上涨报收于148操作建议黄金AU2304多头趋势方向上高位大幅回落而趋势线方向仍向上期权隐含波动率逐渐下降期权持仓量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-42410BAU2304-P-43210和SAU2304-P-44810SAU2304-P-456105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本周以来高位震荡逐渐下跌回落而下方有60天均线支撑跌幅051报收于88000期权隐含波动率下降093报收于3660期权持仓量PCR小幅下降报收于241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后大幅下跌而下方有中期趋势方向支撑期权隐含波动率小幅下降期权持仓量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-87010SI2301-P-88010和SI2305-C-89010SI2305-C-90010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CUCU230468190006400009549116587ALAL230418200003000017127711602ZNZN23042242000-11000-0497888881AUAU230443388-774-17541018126II230588000-450-051636156273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CU23046800049800908006759074400111-6000062023-03-27AL23041820011000155001815511400063-450062023-03-27ZN230422400258002360022422450002020062023-03-27AU23044321056156441-330-07471262023-03-27I230588026502650880-550-062000202023-04-10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MA20UPLOWCU2304218231222800-132200624401572AL2304147517471632-090145015971303ZN2304222826462495015195723071607AU2304256324542521-21414441938951I2305318539233660-093330635513062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CU23042237943032192-0251697731275184005AL23042356932361137-0053347431231093-002ZN23041435825252176-0111321615838120008AU230422270139070620021493322171148002I2305108007194498180-040179487433068241-007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70000676000020650001560000105500055000002022-12-012023-01-102023-02-232022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-282023-03-032023-03-082023-03-132023-03-162023-03-21图2铝主力合约走势图2000040成交量万收盘价19500351900018150003018500251800020175001517000101650051600002022-09-272022-10-172023-02-072023-02-202022-09-082022-09-142022-09-192022-09-222022-09-302022-10-122022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-102023-02-152023-02-232023-02-282023-03-032023-03-082023-03-132023-03-162023-03-21图3锌主力合约走势图2600050成交量万收盘价25000402400030230002022000224500021000102000002023-02-152023-02-202023-02-232023-02-282022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-03-032023-03-082023-03-132023-03-162023-03-21图4黄金主力合约走势图30成交量万收盘价420405203901037536002022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-132023-03-162023-03-21图5铁矿石主力合约走势图1000140成交量万收盘价879001209001008008070060406002050002022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-132023-03-162023-03-21铜期权持仓分布铜期权持仓分布图铜期权持仓变化图450040040002003500030002500-2002000-4001500-6001000500-8000-1000520005200084000500005000052000540005600058000600006200064000660006800070000720007400076000780008000084000500005400056000580006000062000640006600068000700007200074000760007800080000OIPOICOICHANGEPOICHANGEC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80000750007000065000600005500050000450002022-09-222023-01-132023-02-072022-09-082022-09-142022-09-192022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-182023-01-302023-02-022023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-132023-03-162023-03-21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280OIPCR7500040CLOSE352407000030200650002516067600002060000120150805500010040500002022-11-152022-12-092022-09-082022-09-192022-09-272022-10-122022-10-202022-10-282022-11-072022-11-232022-12-012022-12-192022-12-272023-01-052023-01-132023-01-302023-02-072023-02-152023-02-232023-03-032023-03-132023-03-212023-03-132022-09-212022-10-102022-10-202022-11-012022-11-112022-11-232022-12-052022-12-152022-12-272023-01-092023-01-192023-02-072023-02-172023-03-012022-09-08IMPVMA20UPLOW铝期权持仓分布铝期权持仓分布图铝期权持仓变化图50001000450080040003500600300040025002000200150001000-2005000-4001590015900208001500015000150001530015600162001650016800171001740017700180001830018600189001920019500198002020021400220001530015600159001620016500168001710017400177001800018300186001890019200195001980020200208002140022000OIPOICOICHANGEPOICHANGEC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2000019500190001850018000175001700016500160002023-01-182023-02-072022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-302023-02-022023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-132023-03-162023-03-21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16020000OIPCR300CLOSE195002801402601900024012018500220200100180001801601750008018150001401700012006010016500040160002022-09-082022-09-192022-09-272022-10-122022-10-202022-10-282022-11-072022-11-152022-11-232022-12-012022-12-092022-12-192022-12-272023-01-052023-01-132023-01-302023-02-072023-02-152023-02-232023-03-032023-03-132023-03-212023-03-132022-09-212022-10-102022-10-202022-11-012022-11-112022-11-232022-12-052022-12-152022-12-272023-01-092023-01-192023-02-072023-02-172023-03-012022-09-08IMPVMA20UPLOW锌期权持仓分布锌期权持仓分布图锌期权持仓变化图3000250200250015010020005015000-501000-100-150500-2000-25018800188001920018400184001880019200196002000020400208002120021600220002240022800232002360024000244002480025500265002750028500295001840019600200002040020800212002160022000224002280023200236002400024400248002550026500275002850029500OIPOICOICHANGEPOICHANGEC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2880026800248002280020800188002022-09-142022-09-082022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-132023-03-162023-03-21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18028000OIPCR500160CLOSE27000260004001402500012030024000100230002000802200010006021000040200002022-09-082022-09-192022-09-272022-10-122022-10-202022-10-282022-11-072022-11-152022-11-232022-12-012022-12-092022-12-192022-12-272023-01-052023-01-132023-01-302023-02-072023-02-152023-02-232023-03-032023-03-132023-03-212023-03-132022-09-212022-10-102022-10-202022-11-012022-11-112022-11-232022-12-052022-12-152022-12-272023-01-092023-01-192023-02-072023-02-172023-03-012022-09-08IMPVMA20UPLOW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40005003500400300030025002002000100150001000500-1000-200496496376432328328336344352360368376384392400416432448464480328336344352360368384392400416448464480496OIPOICOICHANGEPOICHANGEC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5004504003503002022-11-072022-11-152022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-102022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-132023-03-162023-03-21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170430OIPC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