【市场概要】F3047321投资咨询号五矿经易期货金属期权日报期权研究2021年4月30日 星期五 铜：产业层面，昨日LME库存减少1650至147325吨，注销仓单占比降至50.7%，Cash/3M升水4.3美元/吨。国内方面，上海地区现货贴水缩至125元/吨，市场成交表现良好，因期现套利买盘增多，且下游节前刚需备货增多。昨日铜进口维持亏损，其中现货亏损1050元/吨左右，3月期亏损510元/吨。废铜方面，昨日国内精废价差扩至3000元/吨，废铜供需略微转松。价格层面，全球新增确诊病例数维持高位，海外宽松政策持续，叠加铜矿供应扰动、国内消费季节性旺季，铜价支撑较强，但短期铜价涨幅已较大，且价格处于历史高位附近，预计波动将有所加剧，同时关注今日公布的中国PMI数据对市场情绪的指引。 铝：国内方面，沪铝触及19000元/吨，周四社会库存继续维持健康下降态势，沪铝back结构重新走强。高铝价下，现货维持平水，反映消费相对难以更上步伐。沪铝仍应该作为一个多头品种配置，其供需矛盾难以解决，而抛储仍是不确定因素，高铝价使得终端较为难受，短期仍以下跌买入为主，追多风险较大。 锌：近期锌价走高主因来自宏观面推动，并与国内降库超预期构成共振。产业面，预计5月内蒙部分矿山陆续复产，国内锌矿供应有望边际恢复，海外锌矿流入增加，锌精矿港口库存亦有回升，加工费存回升预期，加之锌价抬升改善冶炼利润，矿端和金属端均存在供应增长压力，锌基本面并不强势，前端贴水限制期锌涨幅，继续做多赔率不佳，短期锌价或高位震荡。 铁矿石：铁矿石现货方面，曹妃甸港进口矿价全天涨跌互现，PB粉1287降3，纽曼筛后块1614涨9，卡粉1530涨7，超特粉995降5，混合粉1130平。铁矿石港口现货成交157万吨，远期现货成交75万吨。钢厂节前补库接近尾声，基本以按需采购为主，多数开始观望。市场部分获利资金套现，且由于近期铁矿石的连续上涨，贸易商对于高价已经有一定恐慌情绪蔓延。 （1）铜期权。沪铜连续两周以来多头上涨后高位盘整震荡，上涨0.99%报收72380，期权隐含波动率下跌0.22%至22.16%，持仓量PCR报收于1.17。操作建议，继续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逐渐下行格局，下跌0.03%报收372.68；期权隐含波动率下跌1.01%至19.42%；期权持仓量PCR报收于0.39。操作建议，节假日期间，空仓规避风险。 （3）铁矿石期权。铁矿石高位受阻回落后连续报收大阴线，跌幅0.84%报收1126.50，期权隐含波动率上涨0.57%至41.89%，持仓量PCR报收于3.96。操作建议，铁矿石波动巨大，节假日空仓规避风险。 Z0015541卢品先投资经理lupx@wkjyqh.com从业资格号 【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72,0001,780.001,750.0072,030680.000.95-350.00 1518,900424.00433.0018,891439.002.3826.001522,200577.00519.0022,258134.000.61-7.00 153726.205.583731.260.34-0.06 151,12090.5076.101,134-3.90 -0.34 7.9067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22.5421.7622.16-0.22 23.1220.0221.89-2.04 26.0723.2825.272.3320.7017.3319.42-1.01 36.8144.5641.890.57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9,7719,172-0.01 10,50312,3230.1017,43811,5370.2021,72216,079-0.00 18,1077,274-0.18 8,7174,370-0.24 7,4754,6150.2422,8058,921-0.01 8,76016,6750.1222,59089,3870.04数据来源：wind资讯，五矿经易期权事业部AL21060.660.74ZN21060.400.50AU21060.620.39I21091.903.96【标的价量关系】图1: 铜主力合约走势图期权标的合约量-PCR持仓-PCRCU21060.941.17AL210621.0323.1318.93ZN210622.1524.1820.13AU210619.0519.8318.27I210939.7242.1237.31期权标的合约MA20UPLOWCU210621.7724.0919.45ZN21062021-05-25AU21062021-05-25I21092021-08-06CU21062021-05-25涨跌涨跌幅(%)成交量(万)成交额(亿)AL21062021-05-2518,865.00430.002.3338.58361.4822,265.00140.000.6326.23292.12372.68-0.12 -0.03 13.8672,380.00710.000.9919.76714.80期权标的合约到期日收盘价-9.50 -0.84 40.32456.00516.881,126.5072,380.00 0102030405045,00050,00055,00060,00065,00070,00075,0002020-10-262020-10-292020-11-032020-11-062020-11-112020-11-162020-11-192020-11-242020-11-272020-12-022020-12-072020-12-102020-12-152020-12-182020-12-232020-12-282020-12-312021-01-062021-01-112021-01-142021-01-192021-01-222021-01-272021-02-012021-02-042021-02-092021-02-192021-02-242021-03-012021-03-042021-03-092021-03-122021-03-172021-03-222021-03-252021-03-302021-04-022021-04-082021-04-132021-04-162021-04-212021-04-262021-04-29成交量(万)收盘价 图5: 铁矿石主力合约走势图图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1,126.50 0204060801001201401601806007008009001,0001,1001,2001,3002020-10-262020-10-292020-11-032020-11-062020-11-112020-11-162020-11-192020-11-242020-11-272020-12-022020-12-072020-12-102020-12-152020-12-182020-12-232020-12-282020-12-312021-01-062021-01-112021-01-142021-01-192021-01-222021-01-272021-02-012021-02-042021-02-092021-02-192021-02-242021-03-012021-03-042021-03-092021-03-122021-03-172021-03-222021-03-252021-03-302021-04-022021-04-082021-04-132021-04-162021-04-212021-04-262021-04-29成交量(万)收盘价18,865.00 0102030405012,00013,00014,00015,00016,00017,00018,00019,00020,0002020-10-262020-10-292020-11-032020-11-062020-11-112020-11-162020-11-192020-11-242020-11-272020-12-022020-12-072020-12-102020-12-152020-12-182020-12-232020-12-282020-12-312021-01-062021-01-112021-01-142021-01-192021-01-222021-01-272021-02-012021-02-042021-02-092021-02-192021-02-242021-03-012021-03-042021-03-092021-03-122021-03-172021-03-222021-03-252021-03-302021-04-022021-04-082021-04-132021-04-162021-04-212021-04-262021-04-29成交量(万)收盘价372.68 0510152025303503603703803904004104202020-10-262020-10-292020-11-032020-11-062020-11-112020-11-162020-11-192020-11-242020-11-272020-12-022020-12-072020-12-102020-12-152020-12-182020-12-232020-12-282020-12-312021-01-062021-01-112021-01-142021-01-192021-01-222021-01-272021-02-012021-02-042021-02-092021-02-192021-02-242021-03-012021-03-042021-03-092021-03-122021-03-172021-03-222021-03-252021-03-302021-04-022021-04-082021-04-132021-04-162021-04-212021-04-262021-04-29成交量(万)收盘价22,265.00 0510152025303518,00019,00020,00021,00022,00023,00024,0002020-10-262020-10-292020-11-032020-11-062020-11-112020-11-162020-11-192020-11-242020-11-272020-12-022020-12-072020-12-102020-12-152020-12-182020-12-232020-12-282020-12-312021-01-062021-01-112021-01-142021-01-192021-01-222021-01-272021-02-012021-02-042021-02-092021-02-192021-02-242021-03-012021-03-042021-03-092021-03-122021-03-172021-03-222021-03-252021-03-302021-04-02