【基本面信息】
　　铜：产业层面，昨日LME库存增加1450至69525吨，注销仓单比例下降，Cash/3M升水2.3美元/吨。国内方面，昨日上海地区现货升水微涨至30元/吨，现货成交仍以贸易商为主，持货商挺价情绪加强。
　　铝：SMM现货A00铝报均价18570元/吨。A00铝锭升贴水平均价-70。铝期货仓单207730吨，较前一日下降250吨。LME铝库存525275吨，减少3900吨。
　　铁矿石：现货市场成交情况一般，主流品种价格较上一交易日上涨5-10元/吨，钢厂按需采购为主，采购积极性一般。钢联数据显示，本周建材产量回升，两库继续去库，小样本表需正常回升，大样本表需年内新高，数据中性偏多，成材需求回升，带动矿价上行。

研究报告全文：金属期权日报期权研究2023年3月31日星期五基本面信息铜产业层面昨日LME库存增加1450至69525吨注销仓单比例下降Cash3M升水23美元吨国内方面昨日上海地区现货升水微涨至30元吨现货成交仍以贸易商为主持货商挺价情绪加强铝SMM现货A00铝报均价18570元吨A00铝锭升贴水平均价-70铝期货仓单207730吨较前一日下降250吨LME铝库存525275吨减少3900吨铁矿石现货市场成交情况一般主流品种价格较上一交易日上涨5-10元吨钢厂按需采购为主卢品先采购积极性一般钢联数据显示本周建材产量回升两库继续去库小样本表需正常回升大样本表需投研经理年内新高数据中性偏多成材需求回升带动矿价上行0755-23375252lupxwkjyqhcom期权分析及策略建议1铜期权从业资格号沪铜CU2305上周止跌反弹连续回暖上升连续大幅上涨修复前一周下跌空间企稳20天均线和60F3047321天均线本周以来高位震荡形成短期偏多头趋势方向上高位震荡跌幅034报收于69460期权隐含波交易咨询号动率下降104报收于2423持仓量PCR有所下降维持较高水平报收于213操作建议沪铜CU2305上周Z0015541止跌反弹回暖上升连续上涨而后高位震荡形成短期偏多头趋势方向上的高位盘整市场行情走势形态期权隐含波动率小幅波动期权持仓量PCR持续上升仍维持较高水平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CU2305SCU2305P68000SCU2305P69000和SCU2305C71000SCU2305C700002铝期权沪铝AL2305上周以来止跌反弹回暖上升连续报收阳线突破上行修复前两周的跌幅涨幅003报收于18715期权隐含波动率小幅下降012报收于1439持仓量PCR小幅盘整报收于124操作建议沪铝AL2305止跌反弹回暖上升后连续报收阳线突破上涨形成短期偏多头市场行情形态期权隐含波动率有所上升期权持仓量PCR小幅波动维持在较高水平位置构建卖出看涨看跌期权偏多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跌则平仓离场如AL2305SAL2305P1860010SAL2305P1870010和SAL2305C1880010SAL2305C18900103锌期权沪锌ZN2305维持一周多以来低位宽幅矩形区间大幅波动而后逐渐反弹回暖上升上方有60天均线压力跌幅068报收于22735期权隐含波动率下降015报收于1874持仓量PCR小幅盘整报收于121操作建议沪锌ZN2305经过前期连续空头下跌后上周以来低位宽幅矩形区间震荡上行形成上方有压力的反弹回暖上升期权隐含波动率小幅波动沪锌期权持仓量PCR快速上升至100以上构建卖出宽跨式期权偏中性的组合策略获取时间价值收益若市场行情快速大跌或急速大涨则平仓离场如ZN2305SZN2305P22600SZN2305P22400和SZN2305C23000SZN2305C228004黄金期权黄金AU2306经过前期两周以来持续多头上涨突破一个月以来高点上周以来冲高回落反弹上升高位大幅波动上涨053报收于44072期权隐含波动率上升012报收于1596期权持仓量PCR小幅波动报收于095操作建议黄金AU2306维持多头趋势方向上高位大幅震荡且趋势线方向仍向上期权隐含波动率小幅波动期权持仓量PCR小幅上涨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AU2306BAU2306-C-43210BAU2306-C-42410和SAU2306-C-45610SAU2306-C-448105铁矿石期权铁矿石I2305上周以来高位震荡连续大幅下跌而后超跌反弹持续上涨偏多头上行涨幅139报收于90900期权隐含波动率下降016报收于3246期权持仓量PCR小幅上升报收于212操作建议铁矿石I2505近两周以来V型反转偏多头突破上行期权隐含波动率小幅下降期权持仓量PCR窄幅盘整构建卖出偏多头的看涨看跌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-89010SI2305-P-90010和SI2301-C-92020SI2305-C-91010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CUCU23056946000-24000-03473925759ALAL23051871500500003132512400ZNZN23052273500-15500-068111812795AUAU230644072234053103945543II2305909001250139462341460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CU230569000179000109000697004240006124000252023-04-24AL230518700238002550018683-600-003-3200252023-04-24ZN2305228004250034800228771160005114200252023-04-24AU23064408921010439094021-190562023-05-25I2305910120016809051480166-380112023-04-10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MA20UPLOWCU2305209426432423-104228727131860AL2305135814961439-012149216431342ZN2305178619311874-015209324171769AU2306162815441596012172122571186I2305256336563246-016338935963182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CU230515493230941490341502431933213-001AL230512899181131400281952224159124003ZN23051274119576154026828210024121002AU2306102666206060-0031447213800095-001I2305128833214793167-009186523394797212007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696600020700001565000106000055500002022-12-122023-01-192023-03-062022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-242023-03-012023-03-092023-03-142023-03-172023-03-222023-03-272023-03-30图2铝主力合约走势图2000040成交量万收盘价19500186950035190003018500251800020175001517000101650051600002022-10-132022-10-262023-02-162023-03-012022-09-202022-09-232022-09-282022-10-102022-10-182022-10-212022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-212023-02-242023-03-062023-03-092023-03-142023-03-172023-03-222023-03-272023-03-30图3锌主力合约走势图2600050成交量万收盘价25000402400030230002022000228550021000102000002023-02-242023-03-012023-03-062023-03-092022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-03-142023-03-172023-03-222023-03-272023-03-30图4黄金主力合约走势图4504389030成交量万收盘价435420204053901037536002022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-242023-03-012023-03-062023-03-092023-03-142023-03-172023-03-222023-03-272023-03-30图5铁矿石主力合约走势图1000140成交量万收盘价905501209001008008070060406002050002022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-242023-03-012023-03-062023-03-092023-03-142023-03-172023-03-222023-03-272023-03-30铜期权持仓分布铜期权持仓分布图铜期权持仓变化图6000600500500040040003003000200100200001000-1000-2005000050000520005400056000580006000062000640006600068000700007200074000760007800080000840005000052000540005600058000600006200064000660006800070000720007400076000780008000084000OIPOICOICHANGEPOICHANGEC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80000750007000065000600005500050000450002022-10-102023-01-312023-02-162022-09-202022-09-232022-09-282022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-02-032023-02-082023-02-132023-02-212023-02-242023-03-012023-03-062023-03-092023-03-142023-03-172023-03-222023-03-272023-03-30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280OIPCR7500040CLOSE352407000030200696600065000251602060000120150805500010040500002022-11-242022-12-202022-09-202022-09-282022-10-132022-10-212022-10-312022-11-082022-11-162022-12-022022-12-122022-12-282023-01-062023-01-162023-01-312023-02-082023-02-162023-02-242023-03-062023-03-142023-03-222023-03-302023-03-222022-09-302022-10-192022-10-312022-11-102022-11-222022-12-022022-12-142022-12-262023-01-062023-01-182023-02-062023-02-162023-02-282023-03-102022-09-20IMPVMA20UPLOW铝期权持仓分布铝期权持仓分布图铝期权持仓变化图5000800450070040006003500500400300030025002002000100150001000-100500-2000-3001590015900208001500015000153001560016200165001680017100174001770018000183001860018900192001950019800202002140022000150001530015600159001620016500168001710017400177001800018300186001890019200195001980020200208002140022000OIPOICOICHANGEPOICHANGEC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20000195001900018500180001750017000165002023-02-032023-02-162022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-082023-02-132023-02-212023-02-242023-03-012023-03-062023-03-092023-03-142023-03-172023-03-222023-03-272023-03-30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16020000OIPCR300CLOSE195002801402601900024012018500220200100186950018000180160175000801401700012006010016500040160002022-09-202022-09-282022-10-132022-10-212022-10-312022-11-082022-11-162022-11-242022-12-022022-12-122022-12-202022-12-282023-01-062023-01-162023-01-312023-02-082023-02-162023-02-242023-03-062023-03-142023-03-222023-03-302023-03-222022-09-302022-10-192022-10-312022-11-102022-11-222022-12-022022-12-142022-12-262023-01-062023-01-182023-02-062023-02-162023-02-282023-03-102022-09-20IMPVMA20UPLOW锌期权持仓分布锌期权持仓分布图锌期权持仓变化图180060016005001400400120030010002008001006004000200-1000-20018800188001920018400184001880019200196002000020400208002120021600220002240022800232002360024000244002480025500265002750028500295001840019600200002040020800212002160022000224002280023200236002400024400248002550026500275002850029500OIPOICOICHANGEPOICHANGEC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2880026800248002280020800188002022-09-232022-09-202022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-242023-03-012023-03-062023-03-092023-03-142023-03-172023-03-222023-03-272023-03-30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18028000OIPCR500160CLOSE27000260004001402500012030024000100230002000802200010006021000040200002022-09-202022-09-282022-10-132022-10-212022-10-312022-11-082022-11-162022-11-242022-12-022022-12-122022-12-202022-12-282023-01-062023-01-162023-01-312023-02-082023-02-162023-02-242023-03-062023-03-142023-03-222023-03-302023-03-222022-09-302022-10-192022-10-312022-11-102022-11-222022-12-022022-12-142022-12-262023-01-062023-01-182023-02-062023-02-162023-02-282023-03-102022-09-20IMPVMA20UPLOW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40003503500300300025025002002000150150010010005050000-50496496328328336344352360368376384392400416432448464480328336344352360368376384392400416432448464480496OIPOICOICHANGEPOICHANGEC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5004504003503002022-11-162022-11-242022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-212022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-242023-03-012023-03-062023-03-092023-03-142023-03-172023-03-22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