【市场概要】五矿经易期货金属期权日报期权研究2021年5月27日 星期四 铜：产业层面，上周三大交易所铜库存减少0.3万吨，其中LME库存增加0.5至12.7万吨，上期所库存减少0.8至22.1万吨。中国保税区库存增加0.4万吨，当周进口窗口维持关闭。现货方面，LME市场Cash/3M贴水缩窄至16.5美元/吨，国内上海地区现货换月后转为贴水130元/吨。废铜方面，上周国内精废价差缩至1220元/吨，废铜替代优势有所降低。 铝：政策强干预下，铝价转为震荡。但考虑到今年本属于紧平衡市场，在内蒙、云南两大主投产区先后受到影响后，其国内供需平衡恐转为短缺（主要看进口铝能否填补）。供需情况依然良好，back结构收缩并不明显，铝棒加工费继续上涨，现货逐渐升水。 锌：LME锌库存减少700吨，至287725吨；国内社会库存续减，贸易商惜售情绪加重，现货报价坚挺。云南限电令5月精炼锌产出预期下调0.8-1万吨，二季度去库存预期在8万吨左右，去库加现货走强支撑锌价，但政府加强对上游产品价格监管力度，周边领涨品种回调，短期锌价或难破前高。 铁矿石：周二黑色系有企稳迹象，原材料强于成材。铁矿石主力合约下跌0.05%，报收1058元/吨。现货市场报价混乱，各品种涨跌互现，整体看有趋于平稳的态势。铁矿石现货表现稍强于成材，盘面价格也在1050附近波动。近期铁矿石持仓量增加，多空博弈激烈，尚未出现明确方向，且午后发改委又强调了做好对铁矿石等大宗商品价格异动应对，及时提出综合调控措施建议，强化市场预期管理。 （1）铜期权。沪铜延续空头下跌趋势，下跌0.77%报收71780，期权隐含波动率下跌0.62%至23.76%，持仓量PCR报收于1.01。操作建议，继续持有卖出看涨期权组合策略，获取时间价值，若市场行情快速反弹回升一个行权价，则平仓离场，如CU2107，S_CU2107C73000@10和S_CU2107C74000@10。 （2）黄金期权。沪金延续偏多温和上行趋势，上涨1.04%报收394.54；期权隐含波动率下跌1.39%至18.42%；期权持仓量PCR报收于0.58。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AU2108，B_AU2108C388和S_AU2108C396。 （3）铁矿石期权。铁矿石延续空头下跌趋势，下跌6.05%报收994.50；期权隐含波动率上涨1.00%至47.06%，持仓量PCR报收于2.2。操作建议，继续持有卖出看涨期权组合策略，获取时间价值，若市场行情快速反弹回升一个行权价，则平仓离场，如I2109，S_I2109C1060@10和S_I2109C1100@10。 卢品先Z0015541投资经理0755-23375252lupx@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CUCU2107ALAL2107ZNZN2107AUAU2108II2109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72,0001,600.001,760.0071,840-390.00 -0.54 60.002018,200452.00455.0018,197-204.00 -1.11 -13.00 2022,400549.00635.0022,314155.000.709.00203968.9210.243953.921.000.144299083.8076.30998-66.00 -6.21 3.0051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23.5323.9423.76-0.62 23.8322.6523.40-7.84 23.8127.0924.840.4819.3316.9718.42-1.39 48.4546.1247.061.00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7,5179,9630.1711,83211,944-0.01 7,7834,575-0.53 13,19613,821-0.05 6,4952,9500.066,3844,7450.046,8634,304-0.23 10,4066,008-0.00 26,50639,2000.3541,03390,128-0.37 数据来源：wind资讯，五矿经易期权事业部71,780.00-560.00 -0.77 15.20546.34期权标的合约到期日收盘价-64.00 -6.05 50.89526.77196.31994.50CU21072021-06-24涨跌涨跌幅(%)成交量(万)成交额(亿)AL21072021-06-2418,210.00-120.00 -0.65 24.88227.5822,305.0040.000.1817.07190.72394.544.061.044.99期权标的合约MA20UPLOWCU210724.3325.8322.82ZN21072021-06-24AU21082021-07-26I21092021-08-06期权标的合约量-PCR持仓-PCRCU21071.331.01AL210724.8027.9621.64ZN210726.6931.1422.24AU210819.7420.9018.57I210946.9350.6943.18AL21070.591.05ZN21070.450.74AU21080.630.58I21091.482.20【标的价量关系】图1: 铜主力合约走势图71,780.00 0102030405045,00050,00055,00060,00065,00070,00075,00080,0002020/11/172020/11/202020/11/252020/11/302020/12/032020/12/082020/12/112020/12/162020/12/212020/12/242020/12/292021/01/042021/01/072021/01/122021/01/152021/01/202021/01/252021/01/282021/02/022021/02/052021/02/102021/02/222021/02/252021/03/022021/03/052021/03/102021/03/152021/03/182021/03/232021/03/262021/03/312021/04/062021/04/092021/04/142021/04/192021/04/222021/04/272021/04/302021/05/102021/05/132021/05/182021/05/212021/05/26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994.50 0204060801001201401601806007008009001,0001,1001,2001,3001,4002020/11/172020/11/202020/11/252020/11/302020/12/032020/12/082020/12/112020/12/162020/12/212020/12/242020/12/292021/01/042021/01/072021/01/122021/01/152021/01/202021/01/252021/01/282021/02/022021/02/052021/02/102021/02/222021/02/252021/03/022021/03/052021/03/102021/03/152021/03/182021/03/232021/03/262021/03/312021/04/062021/04/092021/04/142021/04/192021/04/222021/04/272021/04/302021/05/102021/05/132021/05/182021/05/212021/05/26成交量(万)收盘价18,210.00 010203040506012,00013,00014,00015,00016,00017,00018,00019,00020,00021,0002020/11/172020/11/202020/11/252020/11/302020/12/032020/12/082020/12/112020/12/162020/12/212020/12/242020/12/292021/01/042021/01/072021/01/122021/01/152021/01/202021/01/252021/01/282021/02/022021/02/052021/02/102021/02/222021/02/252021/03/022021/03/052021/03/102021/03/152021/03/182021/03/232021/03/262021/03/312021/04/062021/04/092021/04/142021/04/192021/04/222021/04/272021/04/302021/05/102021/05/132021/05/182021/05/212021/05/26成交量(万)收盘价393.40 0510152025303503603703803904004102020/11/172020/11/202020/11/252020/11/302020/12/032020/12/082020/12/112020/12/162020/12/212020/12/242020/12/292021/01/042021/01/072021/01/122021/01/152021/01/202021/01/252021/01/282021/02/022021/02/052021/02/102021/02/222021/02/252021/03/022021/03/052021/03/102021/03/152021/03/182021/03/232021/03/262021/03/312021/04/062021/04/092021/04/142021/04/192021/04/222021/04/272021/04/302021/05/102021/05/132021/05/182021/05/212021/05/26成交量(万)收盘价22,305.00 0510152025303518,00019,00020,00021,00022,00023,00024,0002020/11/172020/11/202020/11/252020/11/302020/12/032020/12/082020/12/112020/12/162020/12/212020/12/242020/12/292021/01/042021/01/072021/01/122021/01/152021/01/202021/01/252021/01/282021/02/022021/02/052021/02/102021/02/222021/02/252021/03/022021/03/052021/03/102021/03/152021/03/182021/03/232021/03/262021/03/312021/04/062021/04/092021/04/142021/04/192021/04/222021/04/272021/04/302021/05/102021/0