【市场概要】五矿经易期货金属期权日报期权研究2021年4月28日 星期三 铜：价格层面，全球新增确诊病例数维持高位，政策仍有一定的宽松预期，且铜矿供应干扰犹存，叠加国内消费季节性旺季，铜价支撑较强，但当前价格下游节前补库预计较弱，铜价上涨节奏或将放缓。 铝：国内方面，中铝一季度利润9.67亿元，同比增3026%。高铝价使得下游压力进一步加大，沪铝back结构进一步走弱，但现货维持平水，反映消费相对疲软。 锌：宏观环境偏暖叠加国内去库存推升锌价走高，基本面变化不大，加工费仍维持低位，但4月有色网均价现上调，且听闻进口矿报价增加，五月国内锌矿供应有望恢复，加工费回升概率较大。 铁矿石：铁矿石现货方面，日照港进口矿全天价格上涨3-15，市场活跃度一般，PB粉1304，PB块1648，罗粉1052，超特粉1015，杨迪粉1098。铁矿石港口现货成交126万吨，远期现货成交112万吨。近期港口日成交情况良好，钢厂有一定节前补库意愿，采购较为积极。目前主流品种港口库存占比较去年同期明显下降，在钢厂旺盛的需求以及海外发货量同比去年下降的情况下，港口主流资源相对紧缺。 （1）铜期权。沪铜突破近一个半月以来的区间上限后不断突破上涨，涨幅3.01%报收72480，期权隐含波动率上涨0.93%至23.68%，持仓量PCR报收于1.13。操作建议，构建看涨期权牛市价差组合策略，若行情跌破低行权价，则平仓离场。如CU2106，B_CU2106C71000@10和S_CU2106C73000@10。 （2）黄金期权。沪金延续宽幅盘整区间震荡格局，下跌0.13%报收373.48；期权隐含波动率下跌0.85%至19.07%；期权持仓量PCR报收于0.41。操作建议，继续持有卖出宽跨式组合策略，若市场行情出现急涨或急跌，则平仓离场，如AU2106，S_AU2106P368和S_AU2106C376。 （3）铁矿石期权。铁矿石形成多头趋势后不断大幅上涨，夜盘大幅回落，涨幅1.89%报收1158.50，期权隐含波动率上涨3.93%至45.38%，持仓量PCR报收于3.88。操作建议，持有看涨期权牛市价差组合策略，若行情跌破低行权价，则平仓离场，如I2109，B_I2109C1100和S_I2109C1160。 Z0015541卢品先投资经理lupx@wkjyqh.com从业资格号F3047321投资咨询号 【市场行情】期权品种标的合约CUCU2106ALAL2106ZNZN2106AUAU2106II2109数据来源：wind资讯，五矿经易期权事业部【主力期货合成期权】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72,0002,080.001,500.0072,5801,576.002.22100.001718,600476.00450.0018,626244.001.3321.001722,200548.00505.0022,243370.001.698.00173727.125.36374-3.20 -0.85 0.28171,16086.6091.001,15613.301.16-2.90 69数据来源：wind资讯，五矿经易期权事业部注：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】IMP-CIMP-PIMP-T变化23.3624.1023.680.9325.1021.5223.78-0.12 22.4922.6822.550.7820.1716.6219.07-0.85 35.9848.6645.383.93数据来源：wind资讯，五矿经易期权事业部【主力期权合约持仓量PCR】量-Call量-Put变化持仓-Call持仓-Put变化15,34511,4740.049,87211,1530.1814,7398,563-0.19 20,81815,170-0.08 9,8644,838-0.01 5,5433,743-0.04 6,7453,0250.1122,8739,265-0.00 8,81525,2471.2122,33786,7430.29数据来源：wind资讯，五矿经易期权事业部72,480.002,120.003.0126.19942.32期权标的合约到期日收盘价21.501.8921.90251.99452.191,158.50CU21062021-05-25涨跌涨跌幅(%)成交量(万)成交额(亿)AL21062021-05-2518,605.00260.001.4235.51328.9522,235.00490.002.2525.04277.98373.48-0.50 -0.13 12.11期权标的合约MA20UPLOWCU210621.7824.1119.44ZN21062021-05-25AU21062021-05-25I21092021-08-06期权标的合约量-PCR持仓-PCRCU21060.751.13AL210621.0723.1918.95ZN210621.9923.8820.10AU210618.9919.7418.25I210940.1743.2737.07AL21060.580.73ZN21060.490.68AU21060.450.41I21092.863.88【标的价量关系】图1: 铜主力合约走势图72,480.00 0102030405045,00050,00055,00060,00065,00070,00075,0002020-10-222020-10-272020-10-302020-11-042020-11-092020-11-122020-11-172020-11-202020-11-252020-11-302020-12-032020-12-082020-12-112020-12-162020-12-212020-12-242020-12-292021-01-042021-01-072021-01-122021-01-152021-01-202021-01-252021-01-282021-02-022021-02-052021-02-102021-02-222021-02-252021-03-022021-03-052021-03-102021-03-152021-03-182021-03-232021-03-262021-03-312021-04-062021-04-092021-04-142021-04-192021-04-222021-04-27成交量(万)收盘价 图2: 铝主力合约走势图图4: 黄金主力合约走势图图3: 锌主力合约走势图图5: 铁矿石主力合约走势图1,158.50 0204060801001201401601806007008009001,0001,1001,2001,3002020-10-222020-10-272020-10-302020-11-042020-11-092020-11-122020-11-172020-11-202020-11-252020-11-302020-12-032020-12-082020-12-112020-12-162020-12-212020-12-242020-12-292021-01-042021-01-072021-01-122021-01-152021-01-202021-01-252021-01-282021-02-022021-02-052021-02-102021-02-222021-02-252021-03-022021-03-052021-03-102021-03-152021-03-182021-03-232021-03-262021-03-312021-04-062021-04-092021-04-142021-04-192021-04-222021-04-27成交量(万)收盘价18,605.00 0102030405012,00013,00014,00015,00016,00017,00018,00019,0002020-10-222020-10-272020-10-302020-11-042020-11-092020-11-122020-11-172020-11-202020-11-252020-11-302020-12-032020-12-082020-12-112020-12-162020-12-212020-12-242020-12-292021-01-042021-01-072021-01-122021-01-152021-01-202021-01-252021-01-282021-02-022021-02-052021-02-102021-02-222021-02-252021-03-022021-03-052021-03-102021-03-152021-03-182021-03-232021-03-262021-03-312021-04-062021-04-092021-04-142021-04-192021-04-222021-04-27成交量(万)收盘价373.48 0510152025303503603703803904004104202020-10-222020-10-272020-10-302020-11-042020-11-092020-11-122020-11-172020-11-202020-11-252020-11-302020-12-032020-12-082020-12-112020-12-162020-12-212020-12-242020-12-292021-01-042021-01-072021-01-122021-01-152021-01-202021-01-252021-01-282021-02-022021-02-052021-02-102021-02-222021-02-252021-03-022021-03-052021-03-102021-03-152021-03-182021-03-232021-03-262021-03-312021-04-062021-04-092021-04-142021-04-192021-04-222021-04-27成交量(万)收盘价22,235.00 0510152025303518,00019,00020,00021,00022,00023,00024,0002020-10-222020-10-272020-10-302020-11-042020-11-092020-11-122020-11-172020-11-202020-11-252020-11-302020-12-032020-12-082020-12-112020-12-162020-12-212020-12-242020-12-292021-01-042021-01-072021-01-122021-01-152021-01-202021-01-252021-01-282021-02-022021-02-052021-02-102021-02-222021-02-252021-03-022021-03-052021-03-102021-03-152021-03-182021-03-232021-03-262021-03-312021-04-062021-04-092021-04-142021-04-192021-04-222021-04-27成交量(万收盘价 【铜期权持仓分布】【铜期权最大未平仓】【铜期权持仓量PCR】【铜期权隐含波动率】40,00045,00050,00055,00060,00065,00070,00075,0002020-10-222020-10-272020-10-302020-11-042020-11-092020-11-122020-11-172020-11-20