【基本面信息】
　　铜：产业层面，昨日LME库存减少325吨至180675吨，增加库存来自新新奥尔良仓库和巴生港仓库；注销仓单14575吨，注销比例8.07%，Cash/3M现货贴水75美元/吨。
　　铝：LME铝库存减少2000吨至484600吨，减少的库存主要来自光阳仓库。注销仓单291250吨，注销比例60.10%。
　　锌：LME锌库存减少1600吨至81850吨，库存减少主要来自新加坡仓库。注销仓单27975吨，注销比例37.35%。
　　铁矿石：全国47个港口进口铁矿石库存总量11524.60万吨，环比本周一下降116万吨，环比节前9月28日下降498.82万吨，47港日均疏港量336.19万吨，环比节前降20.20万吨。

研究报告全文：金属期权日报期权研究2023年10月18日星期三基本面信息卢品先铜产业层面昨日LME库存减少325吨至180675吨增加库存来自新新奥尔良仓库和巴生港仓库注销仓单14575吨注销比例807Cash3M现货贴水75美元吨投研经理铝LME铝库存减少2000吨至484600吨减少的库存主要来自光阳仓库注销仓单291250吨注销比例60100755-23375252锌LME锌库存减少1600吨至81850吨库存减少主要来自新加坡仓库注销仓单27975吨注销比例3735lupxwkqhcn铁矿石全国47个港口进口铁矿石库存总量1152460万吨环比本周一下降116万吨环比节前9月28日下降从业资格号49882万吨47港日均疏港量33619万吨环比节前降2020万吨F3047321期权分析及策略建议交易咨询号1铜期权Z0015541沪铜CU2311延续近两周以来空头趋势线下的弱势盘整震荡逐渐下行的市场行情格局涨幅036报收于66410期权隐含波动率报收于1709038持仓量PCR小幅盘整报收于112常俊萍期权分析期权角度期权持仓量PCR仍维持较高水平波动性期权隐含波动率小幅波动历史中位数偏低水平期权研究员策略建议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changjpwkqhcn或大跌突破损益平衡点则平仓逐渐离场如CU2311SCU2311P66000SCU2311P65000和SCU2311C67000从业资格号SCU2311C68000F031174062铝期权沪铝AL2311经过前期一个半月以来沿着多头趋势方向震荡上行而后维持近两周以来的空头下行形成中期趋势方向向上短期弱势偏空的市场行情走势形态涨幅024报收于18880期权隐含波动率报收于1197079持仓量PCR小幅度盘整报收于085期权分析标的行情沪铝整体表现为多头趋势方向上高位下降后弱势盘整的市场行情走势形态期权角度期权持仓量PCR小幅区间盘整偏中性偏空波动上期权隐含波动率小幅波动报收于历史偏低水平策略建议构建卖出偏中性的宽跨式期权组合策略获取方向性收益根据市场行情变化动态地调整持仓delta使得持仓保持中性若市场行情快速大跌或大涨突破损益平衡点则平仓离场如AL2311SAL2311P1880010SAL2311P1890010和SAL2311C1890010SAL2311C19000103锌期权沪锌ZN2311维持近两周以来高位宽幅矩形区间大幅震荡有所偏向弱势形成新的小幅震荡区间的市场行情走势涨幅079报收于21180期权隐含波动率报收于1802006持仓量PCR小幅波动仍处于中性偏上水平报收于102期权分析标的行情沪锌表现为小幅区间弱势盘整震荡的市场行情走势形态期权角度沪锌期权持仓量PCR仍维持偏低水平波动性期权隐含波动率小幅波动至历史中位数偏低水平策略建议构建偏中性的卖出看涨看跌期权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或大跌突破损益平衡点则平仓离场如ZN2311SZN2311P21000SZN2311P20800和SZN2311C21400SZN2311C212004黄金期权黄金AU2312经过近两周以来的大幅下跌后快速大涨延续前期震荡区间盘整涨幅035报收于46430期权隐含波动率报收于1325-048期权持仓量PCR小幅波动报收于103期权分析标的行情黄金表现为经过一周以来的连续大幅下挫而后低位区间盘整震荡本周以来快速上升形成上方有压力下方有支撑的市场行情期权角度期权持仓量PCR维持100附近波动上期权隐含波动率小幅波动历史较低水平策略建议构建卖出看涨看跌期权偏中性的组合策略获取时间价值收益和方向性收益如黄金市场行情急速大涨至损益平衡点则平仓离场如AU2312SAU2312-P-46410SAU2312-P-45610和SAU2312-C-46410SAU2312-C-472105铁矿石期权铁矿石I2401节前高位盘整震荡后连续大幅下跌止跌反弹回暖上升近两周以来形成短期V型反转偏多上行短期多头上涨涨幅081报收于87150期权隐含波动率报收于2890-045期权持仓量PCR维持较高位置报收于287期权分析标的行情铁矿石表现为短期偏偏强回升的市场行情走势形态期权角度期权持仓量PCR小幅盘整仍维持在较高位置波动上期权隐含波动率较高位置水平逐渐下降策略建议构建卖出看涨看跌期权偏中性的组合策略获取方向性价值收益和时间价值收益根据市场行情变化动态地调整持仓delta使得持仓保持中性若市场行情急速大涨或大跌突破损益平衡点则平仓离场如I2401SI2401-P-87010SI2401-P-86010和SI2401-C-88010SI2401-C-89010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CUCU2311664102400003674624680ALAL2311188804500024198118664ZNZN23112118016500079162017031AUAU23124643016203577936051AGAG23125833002600045365531839LCLC240116915000-20000-012291649145SISI2312145600055000384042927RBRB2401364800-400-0111068039008II240187150700081478941409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CU231166000544006340065910-72000-108300082023-10-25AL231118800117001340018783-20100-10630082023-10-25ZN231120800254001980020856-45800-21510082023-10-25AU2312464658734463194042-016382023-11-24AG2312580014750150005798-1600-028450382023-11-24LC2401170000952098901696301320078480512023-12-07SI231214600250002690014581125000862100212023-11-07RB240136509600100003646-1400-038-100692023-12-25I240187031803720865320037-140512023-12-07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MA20UPLOWCU2311160317801709038173419701498AL2311121511821197079143916441234ZN2311172818631802006191820621774AU2312141011631325-048134114581225AG2312224419912148-019000000000LC2401416643644235-033000000000SI2312205519172016-074000000000RB2401168615571628-025000000000I2401249831472890-045223323752090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CU2311292557661970143415838088112-000AL2311114420761810683400628919085-005ZN2311274942501550432452125059102-009AU231244601803040-0032338524155103-001AG2312264817970680166035728599047000LC24019117130780082785812053043001SI2312223154069-003100379140091-006RB240113131333102037118197109270092-003I24011353512920095-03798631283043287022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7200025成交量万收盘价70000206800015658800066000106400056200002023-05-082023-05-292023-06-192023-07-122023-04-072023-04-122023-04-172023-04-202023-04-252023-04-282023-05-112023-05-162023-05-192023-05-242023-06-012023-06-062023-06-092023-06-142023-06-262023-06-292023-07-042023-07-072023-07-172023-07-202023-07-252023-07-282023-08-022023-08-072023-08-102023-08-152023-08-182023-08-232023-08-282023-08-312023-09-052023-09-082023-09-132023-09-182023-09-212023-09-262023-10-092023-10-122023-10-17图2铝主力合约走势图2000060成交量万收盘价1950050187800019000401850030180002017500101700002023-08-282023-09-082023-09-212023-10-122023-04-072023-04-122023-04-172023-04-202023-04-252023-04-282023-05-082023-05-112023-05-162023-05-192023-05-242023-05-292023-06-012023-06-062023-06-092023-06-142023-06-192023-06-262023-06-292023-07-042023-07-072023-07-122023-07-172023-07-202023-07-252023-07-282023-08-022023-08-072023-08-102023-08-152023-08-182023-08-232023-08-312023-09-052023-09-132023-09-182023-09-262023-10-092023-10-17图3锌主力合约走势图2300050成交量万收盘价220004021000302085500200002019000101800002023-04-072023-04-122023-04-172023-04-202023-04-252023-04-282023-05-082023-05-112023-05-162023-05-192023-05-242023-05-292023-06-012023-06-062023-06-092023-06-142023-06-192023-06-262023-06-292023-07-042023-07-072023-07-122023-07-172023-07-202023-07-252023-07-282023-08-022023-08-072023-08-102023-08-152023-08-182023-08-232023-08-282023-08-312023-09-052023-09-082023-09-132023-09-182023-09-212023-09-262023-10-092023-10-122023-10-17图4黄金主力合约走势图48040成交量万收盘价4704634030460450204401043042002023-07-252023-04-072023-04-122023-04-172023-04-202023-04-252023-04-282023-05-082023-05-112023-05-162023-05-192023-05-242023-05-292023-06-012023-06-062023-06-092023-06-142023-06-192023-06-262023-06-292023-07-042023-07-072023-07-122023-07-172023-07-202023-07-282023-08-022023-08-072023-08-102023-08-152023-08-182023-08-232023-08-282023-08-312023-09-052023-09-082023-09-132023-09-182023-09-212023-09-262023-10-092023-10-122023-10-17图5铁矿石主力合约走势图1000140成交量万收盘价950120866009001008508080060750700406502060002023-05-242023-07-072023-04-072023-04-122023-04-172023-04-202023-04-252023-04-282023-05-082023-05-112023-05-162023-05-192023-05-292023-06-012023-06-062023-06-092023-06-142023-06-192023-06-262023-06-292023-07-042023-07-122023-07-172023-07-202023-07-252023-07-282023-08-022023-08-072023-08-102023-08-152023-08-182023-08-232023-08-282023-08-312023-09-052023-09-082023-09-132023-09-182023-09-212023-09-262023-10-092023-10-122023-10-17铜期权持仓分布铜期权持仓分布图铜期权持仓变化图700010006000800500060040004003000200200001000-2000-400630006300082000690005500055000570005900061000650006700069000710007300075000770007900055000570005900061000630006500067000710007300075000770007900082000OIPOICOICHANGEPOICHANGEC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8000075000700006500060000550002023-06-012023-07-122023-08-182023-09-262023-04-072023-04-122023-04-172023-04-202023-04-252023-04-282023-05-082023-05-112023-05-162023-05-192023-05-242023-05-292023-06-062023-06-092023-06-142023-06-192023-06-262023-06-292023-07-042023-07-072023-07-172023-07-202023-07-252023-07-282023-08-022023-08-072023-08-102023-08-152023-08-232023-08-282023-08-312023-09-052023-09-082023-09-132023-09-182023-09-212023-10-092023-10-122023-10-17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280OIPCR7200030CLOSE28240700002624200226800020160186600016120141265880000806400010040620002023-07-252023-04-072023-04-172023-04-252023-05-082023-05-162023-05-242023-06-012023-06-092023-06-192023-06-292023-07-072023-07-172023-08-022023-08-102023-08-182023-08-282023-09-052023-09-132023-09-212023-10-092023-10-17IMPVMA20UPLOW2023-08-282023-09-192023-04-072023-04-192023-05-042023-05-162023-05-262023-06-072023-06-192023-07-032023-07-132023-07-252023-08-042023-08-162023-09-072023-10-09铝期权持仓分布铝期权持仓分布图铝期权持仓变化图600010008005000600400400020003000-2002000-400-6001000-800-10000-1200189001890015000150001530015600159001620016500168001710017400177001800018300186001920019500198002020020800214001500015300156001590016200165001680017100174001770018000183001860018900192001950019800202002080021400OIPOICOICHANGEPOICHANGEC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2100020500200001950019000185001800017500170002023-08-022023-08-182023-09-052023-04-072023-04-122023-04-172023-04-202023-04-252023-04-282023-05-082023-05-112023-05-162023-05-192023-05-242023-05-292023-06-012023-06-062023-06-092023-06-142023-06-192023-06-262023-06-292023-07-042023-07-072023-07-122023-07-172023-07-202023-07-252023-07-282023-08-072023-08-102023-08-152023-08-232023-08-282023-08-312023-09-082023-09-132023-09-182023-09-212023-09-262023-10-092023-10-122023-10-17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22020000OIPCR220200CLOSE1950020018018016019000160140185001401201878000120100180001000801750080060040170002023-04-172023-05-242023-06-292023-08-022023-09-052023-04-072023-04-252023-05-082023-05-162023-06-012023-06-092023-06-192023-07-072023-07-172023-07-252023-08-102023-08-182023-08-282023-09-132023-09-212023-10-092023-10-17IMPVMA20UPLOW2023-08-282023-09-192023-04-072023-04-192023-05-042023-05-162023-05-262023-06-072023-06-192023-07-032023-07-132023-07-252023-08-042023-08-162023-09-072023-10-09锌期权持仓分布锌期权持仓分布图锌期权持仓变化图60001500500010004000500300002000-5001000-10000-1500204002040017600176001800018400188001920019600200002040020800212002160022000224002280023200236002400017600180001840018800192001960020000208002120021600220002240022800232002360024000OIPOICOICHANGEPOICHANGEC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2700025000230002100019000170002023-06-142023-09-262023-10-092023-04-072023-04-122023-04-172023-04-202023-04-252023-04-282023-05-082023-05-112023-05-162023-05-192023-05-242023-05-292023-06-012023-06-062023-06-092023-06-192023-06-262023-06-292023-07-042023-07-072023-07-122023-07-172023-07-202023-07-252023-07-282023-08-022023-08-072023-08-102023-08-152023-08-182023-08-232023-08-282023-08-312023-09-052023-09-082023-09-132023-09-182023-09-212023-10-122023-10-17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180OIPCR26000300160CLOSE25000280260240001402402300022012020022000180100160210001400802000012010006019000040180002023-04-072023-04-172023-04-252023-05-082023-05-162023-05-242023-06-012023-06-092023-06-192023-06-292023-07-072023-07-172023-07-252023-08-022023-08-102023-08-182023-08-282023-09-052023-09-132023-09-212023-10-092023-10-17IMPVMA20UPLOW2023-08-282023-09-192023-04-072023-04-192023-05-042023-05-162023-05-262023-06-072023-06-192023-07-032023-07-132023-07-252023-08-042023-08-162023-09-072023-10-09黄金期权持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