【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5月13日 星期四 铜：产业层面，昨日LME库存减少2925至115950吨，库存减少仍来自仓单注销后的出库，cash/3m贴水扩至11.5美元/吨。国内方面，上海地区现货贴水65元/吨，临近交割现货报价相对坚挺，成交环比回落。昨日进口窗口维持关闭，现货进口亏损750元/吨，3月期进口亏损150元/吨。废铜方面，昨日国内精废价差扩至1550元/吨，废铜供需仍偏紧，由于马来西亚疫情加剧实施“封国”，进口废铜供应或受影响。价格层面，通胀升温后政策边际收紧预期加强，铜价面临一定的回调压力，尽管短期而言，海外铜原料供应干扰风险犹存、国内需求较强。 铝：美国cpi大超市场预期，通胀压力引发流动性收缩担忧，4月国内社融进一步回落。风险资产大幅调整，考虑到有色金属上涨更多来源于流动性推动，因此受此影响较大。铝锭其基本面依然坚实，现货贴水并未大幅扩大，整数关口的多空分歧加大。 锌：LME锌库存减少575吨，至28.8万吨。国内下游逢低多采，现货成交好转，沪市主流品牌贴水转至平水。供应端，3月LME off-warrant增加0.56万吨，至9.31万吨，整个1-3月off-warrant累计减少2.82万吨，修正一季度海外精炼锌消费增速至-0.8%，由于去年的低基数，预计二季度海外消费增速将扩大至9%。精矿方面，从已公布的财报看，一季度海外锌精矿基本符合我们此前同比微增的预期，二季度海外精矿增速有望达到26%。 铁矿石：铁矿石现货价格涨跌互现，日照港PB粉报1658持稳，混合粉报1455涨10，卡粉报1893涨13，金布巴报1580跌3，整体现货市场以稳为主。港口现货成交80万吨，远期现货成交182万吨，现货市场成交量明显收缩，市场投机活跃度有所下降，铁矿石盘面有所回落，但现货价格回调幅度较小，贸易商心态乐观。 （1）铜期权。沪铜多头趋势大幅上涨，夜盘有所回落，涨幅1.62%报收77090，期权隐含波动率上涨3.01%至27.17%，持仓量PCR报收于1.29。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_CU2106C75000@10和S_CU2106C78000@10。 （2）黄金期权。沪金上周突破近期区间上限后形成高位盘整震荡，上涨0.09%报收382.44；期权隐含波动率下跌2.87%至20.24%；期权持仓量PCR报收于0.41。操作建议，构建卖出虚一档的宽跨式组合策略，若市场行情出现急涨急跌，则平仓离场，如AU2106，S_AU2106C384和S_AU2106P376。 （3）铁矿石期权。铁矿石持续大涨后高位偏多震荡，涨幅收窄，上涨2.85%报收1337.00，期权隐含波动率下跌0.07%至51.13%，持仓量PCR报收于4.55。操作建议，铁矿石持续多头上涨，防范回落风险，构建看涨期权牛市价差组合策略，若下跌回落至低行权价，则平仓离场，如I2109，B_I2109-C-1280和S_I2109-C-1360。 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77,0001,560.001,480.0077,0801,094.001.44-10.00 920,000353.00356.0019,99767.000.3412.00922,600377.00494.0022,483-2.00 -0.01 -37.00 93844.221.803864.841.273.9891,340114.30115.801,33933.902.601.5061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27.3427.0227.173.0130.7021.1426.84-2.20 29.9223.0427.80-0.07 20.8218.5820.24-2.87 44.3654.3651.13-0.07 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11,52712,2610.1512,80016,538-0.00 11,4387,7490.0422,34622,3680.027,6103,397-0.02 12,2745,496-0.01 8,9443,121-0.07 20,9628,6410.0114,48030,3150.6623,352106,2790.05数据来源：wind资讯，五矿经易期权事业部AL21060.681.00ZN21060.450.45AU21060.350.41I21092.094.55【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-PCRCU21061.061.29AL210622.1224.8919.35ZN210623.9929.3818.60AU210619.3620.5418.17I210942.4347.3837.49期权标的合约MA20UPLOWCU210622.1524.7419.55ZN21062021-05-25AU21062021-05-25I21092021-08-06CU21062021-05-25涨跌涨跌幅(%)成交量(万)成交额(亿)AL21062021-05-2519,985.0050.000.2538.42382.9722,520.0045.000.2014.38161.32382.440.360.0913.6777,090.001,230.001.6219.93761.19期权标的合约到期日收盘价37.002.8541.97551.97520.511,337.0077,090.00 0102030405045,00050,00055,00060,00065,00070,00075,00080,0002020-11-032020-11-062020-11-112020-11-162020-11-192020-11-242020-11-272020-12-022020-12-072020-12-102020-12-152020-12-182020-12-232020-12-282020-12-312021-01-062021-01-112021-01-142021-01-192021-01-222021-01-272021-02-012021-02-042021-02-092021-02-192021-02-242021-03-012021-03-042021-03-092021-03-122021-03-172021-03-222021-03-252021-03-302021-04-022021-04-082021-04-132021-04-162021-04-212021-04-262021-04-292021-05-072021-05-12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1,337.00 0204060801001201401601806007008009001,0001,1001,2001,3001,4002020-11-032020-11-062020-11-112020-11-162020-11-192020-11-242020-11-272020-12-022020-12-072020-12-102020-12-152020-12-182020-12-232020-12-282020-12-312021-01-062021-01-112021-01-142021-01-192021-01-222021-01-272021-02-012021-02-042021-02-092021-02-192021-02-242021-03-012021-03-042021-03-092021-03-122021-03-172021-03-222021-03-252021-03-302021-04-022021-04-082021-04-132021-04-162021-04-212021-04-262021-04-292021-05-072021-05-12成交量(万)收盘价19,985.00 010203040506012,00013,00014,00015,00016,00017,00018,00019,00020,00021,0002020-11-032020-11-062020-11-112020-11-162020-11-192020-11-242020-11-272020-12-022020-12-072020-12-102020-12-152020-12-182020-12-232020-12-282020-12-312021-01-062021-01-112021-01-142021-01-192021-01-222021-01-272021-02-012021-02-042021-02-092021-02-192021-02-242021-03-012021-03-042021-03-092021-03-122021-03-172021-03-222021-03-252021-03-302021-04-022021-04-082021-04-132021-04-162021-04-212021-04-262021-04-292021-05-072021-05-12成交量(万)收盘价382.44 0510152025303503603703803904004104202020-11-032020-11-062020-11-112020-11-162020-11-192020-11-242020-11-272020-12-022020-12-072020-12-102020-12-152020-12-182020-12-232020-12-282020-12-312021-01-062021-01-112021-01-142021-01-192021-01-222021-01-272021-02-012021-02-042021-02-092021-02-192021-02-242021-03-012021-03-042021-03-092021-03-122021-03-172021-03-222021-03-252021-03-302021-04-022021-04-082021-04-132021-04-162021-04-212021-04-262021-04-292021-05-072021-05-12成交量(万)收盘价22,520.00 0510152025303518,00019,00020,00021,00022,00023,00024,0002020-11-032020-11-062020-11-112020-11-162020-11-192020-11-242020-11-272020-12-022020-12-072020-12-102020-12-152020-12-182020-12-232020-12-282020-12-312021-01-062021-01-112021-01-142021-01-192021-01-222021-01-272021-02-012021-02-042021-02-092021-02-192021-02-2