【基本面信息】
　　铜：产业层面，昨日LME库存减少1125至73475吨，注销仓单比例降至45.1%，Cash/3M升水12美元/吨。国内方面，昨日上海地区现货升水上调至50元/吨，持货商挺价意愿仍强，买盘询盘积极性上升。
　　铝：SMM现货A00铝报均价18150元/吨。A00铝锭升贴水平均价-90。铝期货仓单214412吨，较前一日下降905吨。LME铝库存538950吨，减少2375吨。
　　铁矿石：现货市场成交情况一般，贸易商观望为主，主流品种价格下跌15-20元/吨，钢厂按需采购为主。本周钢联库存数据显示，螺纹钢产量小幅下降，主要是长流程的减量。
　　

研究报告全文：金属期权日报期权研究2023年3月24日星期五基本面信息铜产业层面昨日LME库存减少1125至73475吨注销仓单比例降至451Cash3M升水12美元吨国内方面昨日上海地区现货升水上调至50元吨持货商挺价意愿仍强买盘询盘积极性上升铝SMM现货A00铝报均价18150元吨A00铝锭升贴水平均价-90铝期货仓单214412吨较前一日下降905吨LME铝库存538950吨减少2375吨铁矿石现货市场成交情况一般贸易商观望为主主流品种价格下跌15-20元吨钢厂按需采购为卢品先主本周钢联库存数据显示螺纹钢产量小幅下降主要是长流程的减量投研经理0755-23375252期权分析及策略建议lupxwkjyqhcom1铜期权沪铜CU2305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暖从业资格号上升连续大幅上涨修复上周下跌空间企稳20天均线和60天均线形成短期偏多头上升趋势涨幅F3047321080报收于69140期权隐含波动率持续大幅下降188报收于2386持仓量PCR有所上升维持较高水平交易咨询号报收于191操作建议沪铜CU2305止跌反弹回暖上升后连续大幅上涨形成短期偏多头市场行情格局Z0015541期权隐含波动率持续下降期权持仓量PCR持续上涨构建卖出偏多头的看涨看跌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或大跌则平仓逐渐离场如CU2305SCU2305P68000SCU2305P69000和SCU2305C70000SCU2305C710002铝期权沪铝AL2305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矩形区间震荡逐渐反弹上升上方有21天均线和55天均线压力涨幅046报收于18365期权隐含波动率小幅下降058报收于1609持仓量PCR小幅盘整报收于091操作建议沪铝AL2304延续空头趋势方向下回暖上升整期权隐含波动率小幅度上升期权持仓量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AL2305SAL2305P1820010SAL2305P1830010和SAL2305C1840010SAL2305C18500103锌期权沪锌ZN2305上周连续大幅下跌跌破两周多的矩形震荡区间下限空头力量较强而后一周以来低位宽幅矩形区间大幅波动涨幅076报收于22485期权隐含波动率下降118报收于2309持仓量PCR小幅上升报收于116操作建议沪锌ZN2304空头压力线下矩形区间大幅震荡期权隐含波动率小幅下降沪锌期权持仓量PCR有所回落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ZN2305SZN2305P22200SZN2305P22400和SZN2305C22600SZN2305C228004黄金期权黄金AU2306经过近两周以来多头上涨突破一个月以来高点本周以来冲高回落连续大幅下跌后反弹回升持续大幅上涨且趋势线方向仍向上涨幅104报收于44102期权隐含波动率下降032报收于2445期权持仓量PCR快速下降报收于119操作建议黄金AU2304多头趋势方向上高位大幅回落后持续反弹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AU2306BAU2306-P-43210BAU2306-P-44010和SAU2306-P-44810SAU2306-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连续大幅下跌先后跌破21天均线和55天均线形成上方有压力的偏空头趋势跌幅133报收于85225期权隐含波动率下降025报收于3459期权持仓量PCR快速下降报收于196操作建议铁矿石I2505高位震荡回落后连续报收阴线形成市场短期弱势偏空头市场行情期权隐含波动率小幅下降期权持仓量PCR快速下跌构建卖方delta值为负的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涨则平仓离场如I2305SI2301-P-84010SI2301-P-85010和SI2305-C-86010SI2305-C-87010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CUCU230469140005500008039613573ALAL2304183650085000466926322ZNZN23042248500170000764965530AUAU23044410245410430813460II230585250-1150-133640955397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CU23046900022800758006847032400048-6700042023-03-27AL230418400400017300182676600036-980042023-03-27ZN23042240067002860022181-20100-090-3040042023-03-27AU2304440218440438312072-32442023-03-27I230585024602040854-1170-135170182023-04-10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MA20UPLOWCU2304208725662386-188208725271647AL2304150217041609-058146716251309ZN2304229923142309-118201623811651AU2304248623902445-03215702144995I2305305936563459-025334235803105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CU23042761445917166-0521424227257191012AL23043047434318113-0293146528694091-003ZN23042466839603161-0791261014600116004AU23042262217021075-0141722820432119-006I2305126883257119203004199233391021196-013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207000068470001565000106000055500002022-12-052023-01-122023-02-272022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-172023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-222023-03-022023-03-072023-03-102023-03-152023-03-202023-03-23图2铝主力合约走势图2000040成交量万收盘价19500351900018265003018500251800020175001517000101650051600002022-09-292022-10-192023-02-092023-02-222022-09-132022-09-162022-09-212022-09-262022-10-112022-10-142022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-142023-02-172023-02-272023-03-022023-03-072023-03-102023-03-152023-03-202023-03-23图3锌主力合约走势图2600050成交量万收盘价25000402400030230002022000221800021000102000002023-02-172023-02-222023-02-272023-03-022022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-092023-02-142023-03-072023-03-102023-03-152023-03-202023-03-23图4黄金主力合约走势图4504383630成交量万收盘价435420204053901037536002022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-222023-02-272023-03-022023-03-072023-03-102023-03-152023-03-202023-03-23图5铁矿石主力合约走势图1000140成交量万收盘价120900854001008008070060406002050002022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-222023-02-272023-03-022023-03-072023-03-102023-03-152023-03-202023-03-23铜期权持仓分布铜期权持仓分布图铜期权持仓变化图400012003500100080030006002500400200020015000-2001000-400500-6000-800600006000062000500005000052000540005600058000600006200064000660006800070000720007400076000780008000084000500005200054000560005800064000660006800070000720007400076000780008000084000OIPOICOICHANGEPOICHANGEC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80000750007000065000600005500050000450002022-09-262023-01-172023-02-092022-09-132022-09-162022-09-212022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-202023-02-012023-02-062023-02-142023-02-172023-02-222023-02-272023-03-022023-03-072023-03-102023-03-152023-03-202023-03-23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280OIPCR7500040CLOSE352407000030200650006847000251602060000120150805500010040500002022-11-172022-12-132022-09-132022-09-212022-09-292022-10-142022-10-242022-11-012022-11-092022-11-252022-12-052022-12-212022-12-292023-01-092023-01-172023-02-012023-02-092023-02-172023-02-272023-03-072023-03-152023-03-232023-03-152022-09-232022-10-122022-10-242022-11-032022-11-152022-11-252022-12-072022-12-192022-12-292023-01-112023-01-302023-02-092023-02-212023-03-032022-09-13IMPVMA20UPLOW铝期权持仓分布铝期权持仓分布图铝期权持仓变化图6000300200500010040000-1003000-2002000-300-4001000-5000-6001590015900208001500015000153001560016200165001680017100174001770018000183001860018900192001950019800202002140022000150001530015600159001620016500168001710017400177001800018300186001890019200195001980020200208002140022000OIPOICOICHANGEPOICHANGEC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20000195001900018500180001750017000165002023-01-202023-02-092022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-02-012023-02-062023-02-142023-02-172023-02-222023-02-272023-03-022023-03-072023-03-102023-03-152023-03-202023-03-23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16020000OIPCR300CLOSE195002801402601900024012018500220200100180001801601826500175000801401700012006010016500040160002022-09-132022-09-212022-09-292022-10-142022-10-242022-11-012022-11-092022-11-172022-11-252022-12-052022-12-132022-12-212022-12-292023-01-092023-01-172023-02-012023-02-092023-02-172023-02-272023-03-072023-03-152023-03-232023-03-152022-09-232022-10-122022-10-242022-11-032022-11-152022-11-252022-12-072022-12-192022-12-292023-01-112023-01-302023-02-092023-02-212023-03-032022-09-13IMPVMA20UPLOW锌期权持仓分布锌期权持仓分布图锌期权持仓变化图350060030004002500200200001500-2001000500-4000-60018800188001920018400184001880019200196002000020400208002120021600220002240022800232002360024000244002480025500265002750028500295001840019600200002040020800212002160022000224002280023200236002400024400248002550026500275002850029500OIPOICOICHANGEPOICHANGEC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2880026800248002280020800188002022-09-162022-09-132022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-222023-02-272023-03-022023-03-072023-03-102023-03-152023-03-202023-03-23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18028000OIPCR500160CLOSE27000260004001402500012030024000100230002000802200010006021000040200002022-09-132022-09-212022-09-292022-10-142022-10-242022-11-012022-11-092022-11-172022-11-252022-12-052022-12-132022-12-212022-12-292023-01-092023-01-172023-02-012023-02-092023-02-172023-02-272023-03-072023-03-152023-03-232023-03-152022-09-232022-10-122022-10-242022-11-032022-11-152022-11-252022-12-072022-12-192022-12-292023-01-112023-01-302023-02-092023-02-212023-03-032022-09-13IMPVMA20UPLOW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40008003500600300040025002000200150001000-2005000-400496496376432328328336344352360368376384392400416432448464480328336344352360368384392400416448464480496OIPOICOICHANGEPOICHANGEC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5004504003503002022-11-092022-11-172022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-142022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-222023-02-272023-03-022023-03-072023-03-102023-03-152023-03-202023-03-23黄金期权到期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