【基本面信息】
　　铜：产业层面，昨日LME库存减少3150至62275吨，减量来自亚洲和欧洲仓库，注销仓单占比下滑至42.0%，Cash/3M贴水3美元/吨。国内方面，昨日上海地区现货升水下滑至10元/吨，期货月间价差较大造成基差报价下滑，下游买盘环比改善。
　　铝：SMM现货A00铝报均价18380元/吨。A00铝锭升贴水平均价-30。铝期货仓单194896吨，较前一日减少1202吨。LME铝库存512725吨，减少4075吨。2023年4月10日，SMM统计国内电解铝锭社会库存100.6万吨。
　　铁矿石：现货市场成交情况一般，主流品种价格较上个交易日上涨5-10元/吨，钢厂按需采购为主，最低仓单价格回升至931元/吨，现货表现表现较为坚挺。
　　

研究报告全文：金属期权日报期权研究2023年4月12日星期三基本面信息铜产业层面昨日LME库存减少3150至62275吨减量来自亚洲和欧洲仓库注销仓单占比下滑至420Cash3M贴水3美元吨国内方面昨日上海地区现货升水下滑至10元吨期货月间价差较大造成基差报价下滑下游买盘环比改善铝SMM现货A00铝报均价18380元吨A00铝锭升贴水平均价-30铝期货仓单194896吨较前一日减少1202吨LME铝库存512725吨减少4075吨2023年4月10日SMM统计国内电解铝锭社会库存1006万吨卢品先投研经理铁矿石现货市场成交情况一般主流品种价格较上个交易日上涨5-10元吨钢厂按需采购为主0755-23375252最低仓单价格回升至931元吨现货表现表现较为坚挺lupxwkjyqhcom期权分析及策略建议从业资格号1铜期权F3047321沪铜CU2305多头趋势方向上高位震荡逐渐回落而趋势线方向仍向上涨幅047报收于68870交易咨询号期权隐含波动率下降164报收于2035持仓量PCR有所下降维持较高水平报收于205操作建议沪铜Z0015541CU2305维持两周多以来的高位矩形区间震荡有所下降回落期权隐含波动率小幅波动期权持仓量PCR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CU2305SCU2305P68000SCU2305P67000和SCU2305C69000SCU2305C700002铝期权沪铝AL2305前两周止跌反弹回暖上升连续报收阳线突破上行而后维持一周多以来高位震荡逐渐回落跌幅024报收于18420期权隐含波动率持续下降123报收于1424持仓量PCR小幅盘整报收于115操作建议沪铝AL2305维持一周多以来高位宽幅矩形区间盘整震荡有所下降的行情格局期权隐含波动率有所下降期权持仓量PCR小幅上涨仍维持较高水平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AL2305SAL2305P1850010SAL2305P1860010和SAL2305C1860010SAL2305C18700103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上升受阻回落延续弱势偏空头跌幅034报收于21960期权隐含波动率下降043报收于1985持仓量PCR小幅盘整报收于105操作建议沪锌ZN2305延续上方有压力的弱势偏空头趋势期权隐含波动率小幅波动沪锌期权持仓量PCR持续上升至120以上构建卖出宽跨式期权的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ZN2305SZN2305P21800SZN2305P22000和SZN2305C22200SZN2305C224004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而后冲高回落高位大幅波动涨幅065报收于44586期权隐含波动率下降016报收于1818期权持仓量PCR小幅波动报收于108操作建议黄金AU2306维持多头趋势方向上高位大幅震荡而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窄幅盘整构建卖出DELTA为负值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涨或大跌则平仓离场如AU2306SAU2306-P-43210SAU2306-P-44010和SAU2306-C-45610SAU2306-C-448105铁矿石期权铁矿石I2309前一周超跌反弹持续上涨偏多头上行上周以来上升受阻回落连续下跌维持前期的偏空头趋势而后区间震荡涨幅076报收于79200期权隐含波动率下降081报收于2813期权持仓量PCR大幅下降报收于162操作建议铁矿石I2509前一周逐渐回暖上升而后受阻回落形成短期弱势偏空下得区间震荡市场行情格局期权隐含波动率小幅波动期权持仓量PCR快速下降构建卖出偏空头的看涨看跌期权期权组合策略获取时间价值和方向性收益若市场行情急速上涨则逐渐平仓离场如I2305SI2309-P-78010SI2309-P-79010和SI2309-C-80020SI2309-C-81010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CUCU230568870003200004771424487ALAL23051842000-4500-024189617507ZNZN23052196000-7500-034121113345AUAU230644586288065107647661II230979200600076659851888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CU23056900081000938006887214600021200132023-04-24AL230518400224001400018484-11800-0636400132023-04-24ZN230522000380002520022128-600-00316800132023-04-24AU23064488281140445204046-098442023-05-25I23097905150440079821002705501182023-08-07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MA20UPLOWCU2305175821792035-164250527432266AL2305138914561424-123153216501413ZN2305174821151985-043217824351920AU2306188217251818-016193422991570I2309254030652813-081334035993081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CU230517675341671930321823337310205-006AL230541128444151080083058235299115-018ZN230525008457611830301394714579105-008AU23061647511378069-0181705217974105-002I23094527649051108-0015653191331162-009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688800020700001565000106000055500002022-12-212023-02-062023-03-152022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-092023-02-142023-02-172023-02-222023-02-272023-03-022023-03-072023-03-102023-03-202023-03-232023-03-282023-03-312023-04-062023-04-11图2铝主力合约走势图2000040成交量万收盘价19500351848500190003018500251800020175001517000101650051600002022-10-242022-11-042023-02-272023-03-102022-09-292022-10-112022-10-142022-10-192022-10-272022-11-012022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-222023-03-022023-03-072023-03-152023-03-202023-03-232023-03-282023-03-312023-04-062023-04-11图3锌主力合约走势图2600050成交量万收盘价25000402400030230002022000221250021000102000002023-03-072023-03-102023-03-152023-03-202022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-222023-02-272023-03-022023-03-232023-03-282023-03-312023-04-062023-04-11图4黄金主力合约走势图4448445030成交量万收盘价435420204053901037536002022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-222023-02-272023-03-022023-03-072023-03-102023-03-152023-03-202023-03-232023-03-282023-03-312023-04-062023-04-11图5铁矿石主力合约走势图1000140成交量万收盘价120900798501008008070060406002050002022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-222023-02-272023-03-022023-03-072023-03-102023-03-152023-03-202023-03-232023-03-282023-03-312023-04-062023-04-11铜期权持仓分布铜期权持仓分布图铜期权持仓变化图60001000500080060040004003000200200001000-2000-400600006000062000500005000052000540005600058000600006200064000660006800070000720007400076000780008000084000500005200054000560005800064000660006800070000720007400076000780008000084000OIPOICOICHANGEPOICHANGEC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80000750007000065000600005500050000450002022-10-192023-02-092023-02-272022-09-292022-10-112022-10-142022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-142023-02-172023-02-222023-03-022023-03-072023-03-102023-03-152023-03-202023-03-232023-03-282023-03-312023-04-062023-04-11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280OIPCR7500040CLOSE352407000030200688800065000251602060000120150805500010040500002022-12-052022-12-292022-09-292022-10-142022-10-242022-11-012022-11-092022-11-172022-11-252022-12-132022-12-212023-01-092023-01-172023-02-012023-02-092023-02-172023-02-272023-03-072023-03-152023-03-232023-03-312023-04-112023-03-312022-10-182022-10-282022-11-092022-11-212022-12-012022-12-132022-12-232023-01-052023-01-172023-02-032023-02-152023-02-272023-03-092023-03-212022-09-29IMPVMA20UPLOW铝期权持仓分布铝期权持仓分布图铝期权持仓变化图900070080006007000500400600030050002004000100300002000-1001000-2000-3001590015900208001500015000153001560016200165001680017100174001770018000183001860018900192001950019800202002140022000150001530015600159001620016500168001710017400177001800018300186001890019200195001980020200208002140022000OIPOICOICHANGEPOICHANGEC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20000195001900018500180001750017000165002023-02-142023-02-272022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-092023-02-172023-02-222023-03-022023-03-072023-03-102023-03-152023-03-202023-03-232023-03-282023-03-312023-04-062023-04-11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16020000OIPCR26019500240140CLOSE1900022012020018500180100180001601848500175001400801700012006010016500040160002022-09-292022-10-142022-10-242022-11-012022-11-092022-11-172022-11-252022-12-052022-12-132022-12-212022-12-292023-01-092023-01-172023-02-012023-02-092023-02-172023-02-272023-03-072023-03-152023-03-232023-03-312023-04-112023-03-312022-10-182022-10-282022-11-092022-11-212022-12-012022-12-132022-12-232023-01-052023-01-172023-02-032023-02-152023-02-272023-03-092023-03-212022-09-29IMPVMA20UPLOW锌期权持仓分布锌期权持仓分布图锌期权持仓变化图3500800300060025004002000200150001000-200500-4000-60018400184001880018000180001840018800192001960020000204002080021200216002200022400228002320023600240002440024800255002650027500285001800019200196002000020400208002120021600220002240022800232002360024000244002480025500265002750028500OIPOICOICHANGEPOICHANGEC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2880026800248002280020800188002022-10-112022-09-292022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-222023-02-272023-03-022023-03-072023-03-102023-03-152023-03-202023-03-232023-03-282023-03-312023-04-062023-04-11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18028000OIPCR500160CLOSE27000260004001402500012030024000100230002000802200010006021000040200002022-09-292022-10-142022-10-242022-11-012022-11-092022-11-172022-11-252022-12-052022-12-132022-12-212022-12-292023-01-092023-01-172023-02-012023-02-092023-02-172023-02-272023-03-072023-03-152023-03-232023-03-312023-04-112023-03-312022-10-182022-10-282022-11-092022-11-212022-12-012022-12-132022-12-232023-01-052023-01-172023-02-032023-02-152023-02-272023-03-092023-03-212022-09-29IMPVMA20UPLOW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500040045003004000350020030001002500200001500-1001000-2005000-300512512384448336336344352360368376384392400416432448464480496336344352360368376392400416432464480496512OIPOICOICHANGEPOICHANGEC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5004504003503002022-11-252022-12-052022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-302022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-222023-02-272023-03-022023-03-072023-03-102023-03-152023-03-202023-03-232023-03-282023-03-312023-04-062023-04-11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PC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