【市场概要】F3047321投资咨询号五矿期货金属期权日报期权研究2021年10月14日 星期四【基本面信息】 铜：产业层面，昨日LME库存减少2400至195250吨，注销仓单占比进一步提升至66.5%，Cash/3M升水61.8美元/吨。国内方面，上海地区现货大幅下调至60元/吨，下游买盘表现偏弱。进出口方面，随着LME现货升水走高，昨日国内现货进口转为亏损，洋山铜溢价继续上涨，表明清关需求仍强。废铜方面，昨日国内精废价差缩窄至710元/吨，价差维持相对低位。 铝：高盛再次下调美国今明两年经济增长预期，原因是财政支持措施预计将在明年年底前减少，而消费者支出的复苏也将比此前预期的更为迟缓。该行将2021年美国GDP增长预期从此前的5.7%下调至5.6%，将2022年增长预期从此前的4.4%下调至4%。国内能耗双控持续发力，青海、甘肃关停部分电解铝产能，铝市供给持续收缩，且电解铝生产成本被抬高，叠加外盘伦铝表现较为强势，对铝价形成较强支撑。 锌：限电限产继续抬升锌价，LME锌库存续降0.23万吨，至19.15万吨，海外加速去库驱动锌价上涨。我的有色网报周一国内库存较上周五增加0.25万吨，国内现货市场升水扩大，上海现货升水70-80元/吨，广东升水100-110元/吨，天津维持平水。 铁矿石：市场交投情绪冷清，成交寥寥。现PB粉915跌3，卡粉1168跌2，超特粉583跌12，混合粉670跌2。9月份以来海运费快速上涨，抬升铁矿石到岸成本，也使得部分中小矿山减少对中国的发货量。【期权分析及操作建议】（1）铜期权 沪铜持续大幅上涨突破矩形区间上线，夜盘延续大涨，涨幅1.90%报收71480，期权隐含波动率下降1.23%至24.25%，持仓量PCR报收于0.73。操作建议，空仓规避风险。（2）铝期权 沪铝延续多头上升趋势高位震荡，夜盘有所回落，跌幅1.31%报收23400，期权隐含波动率上涨1.46%至37.84%，持仓量PCR报收于1.29。操作建议，持有看跌期权牛市价差组合策略，若市场行情跌破低行权价，则平仓离场，如AL2111，B_AL2111P23200和S_AL2111P23800。（3）锌期权 沪锌国庆节后反弹回升，连续5天报收大阳线突破上涨，夜盘跳空高开大幅上涨，涨幅4.10%报收24775，期权隐含波动率下降1.88%至28.48%，持仓量PCR报收于0.63。操作建议，沪锌多头突破上涨， 构建看涨期权牛市价差组合策略，若市场行情跌破低行权价，则平仓离场，如ZN2111，B_ZN2111C24600和S_ZN2111C24800。（4）黄金期权 沪金维持在60天均线压力下大幅波动，夜盘报收大阳线，涨幅1.28%报收372.96；期权隐含波动率下降0.65%至18.63%；期权持仓量PCR报收于0.52。操作建议，空仓规避风险。（5）铁矿石期权 铁矿石反弹上升受阻回落，延续空头下跌趋势，跌幅4.55%报收723.50；期权隐含波动率下跌0.70%至56.13%，持仓量PCR报收于0.62。操作建议，空仓规避风险。 卢品先Z0015541投资经理0755-23375252lupx@wkjyqh.com从业资格号 【市场行情】期权品种标的合约CUCU2111ALAL2111ZNZN2111AUAU2112II2201数据来源：wind资讯，五矿期货期权事业部【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71,000704.001,460.0070,244622.000.89-1,236.00 823,400645.00434.0023,61184.000.36211.00824,800223.001,284.0023,73960.000.25-1,036.00 83726.049.86368-0.26 -0.07 -4.78 3072066.2053.20733-31.60 -4.13 9.5039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】IMP-CIMP-PIMP-T变化24.3424.1224.25-1.23 38.0837.5337.841.4628.5628.2728.48-1.88 19.1317.6818.63-0.65 55.7454.6455.13-0.70 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】量-Call量-Put变化持仓-Call持仓-Put变化22,61514,2660.0615,81211,4720.0232,00924,1050.2221,86728,3030.0515,2046,4300.0412,4597,7890.053,9772,0840.0413,0916,780-0.01 36,49844,6800.44109,75067,867-0.06 数据来源：wind资讯，五矿期货期权事业部AL21110.751.29ZN21110.420.63AU21120.520.52I22011.220.62【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-PCRCU21110.630.73AL211129.3433.6125.06ZN211123.4426.8320.05AU211219.6423.1316.15I220151.2655.7446.79期权标的合约MA20UPLOWCU211123.7725.5821.96ZN21112021-10-25AU21122021-11-24I22012021-12-07CU21112021-10-25涨跌涨跌幅(%)成交量(万)成交额(亿)AL21112021-10-2523,400.00190.00-1.31 58.52693.8324,775.00355.004.1025.30301.15372.960.641.2810.2371,480.00-210.00 1.9014.45507.05期权标的合约到期日收盘价-46.00 -4.55 93.33707.58376.54723.5070,100.00 0510152025303560,00065,00070,00075,00080,0002021-04-022021-04-082021-04-132021-04-162021-04-212021-04-262021-04-292021-05-072021-05-122021-05-172021-05-202021-05-252021-05-282021-06-022021-06-072021-06-102021-06-162021-06-212021-06-242021-06-292021-07-022021-07-072021-07-122021-07-152021-07-202021-07-232021-07-282021-08-022021-08-052021-08-102021-08-132021-08-182021-08-232021-08-262021-08-312021-09-032021-09-082021-09-132021-09-162021-09-232021-09-282021-10-082021-10-13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731.00 0204060801001206007008009001,0001,1001,2001,3001,4002021-04-022021-04-082021-04-132021-04-162021-04-212021-04-262021-04-292021-05-072021-05-122021-05-172021-05-202021-05-252021-05-282021-06-022021-06-072021-06-102021-06-162021-06-212021-06-242021-06-292021-07-022021-07-072021-07-122021-07-152021-07-202021-07-232021-07-282021-08-022021-08-052021-08-102021-08-132021-08-182021-08-232021-08-262021-08-312021-09-032021-09-082021-09-132021-09-162021-09-232021-09-282021-10-082021-10-13成交量(万)收盘价23,600.00 0102030405060708016,00018,00020,00022,00024,0002021-04-022021-04-082021-04-132021-04-162021-04-212021-04-262021-04-292021-05-072021-05-122021-05-172021-05-202021-05-252021-05-282021-06-022021-06-072021-06-102021-06-162021-06-212021-06-242021-06-292021-07-022021-07-072021-07-122021-07-152021-07-202021-07-232021-07-282021-08-022021-08-052021-08-102021-08-132021-08-182021-08-232021-08-262021-08-312021-09-032021-09-082021-09-132021-09-162021-09-232021-09-282021-10-082021-10-13成交量(万)收盘价368.10 05101520253503603703803904002021-04-022021-04-082021-04-132021-04-162021-04-212021-04-262021-04-292021-05-072021-05-122021-05-172021-05-202021-05-252021-05-282021-06-022021-06-072021-06-102021-06-162021-06-212021-06-242021-06-292021-07-022021-07-072021-07-122021-07-152021-07-202021-07-232021-07-282021-08-022021-08-052021-08-102021-08-132021-08-182021-08-232021-08-262021-08-312021-09-032021-09-082021-09-132021-09-162021-09-232021-09-282021-10-082021-10-13成交量(万)收盘价24,000.00 01020304020,00021,00022,00023,00024,00025,00026,0002021-04-022021-04-082021-04-132021-04-162021-04-212021-04-262021-04-292021-05-072021-05-122021-05-172021-05-202021-05-252021-05-282021-06-022021-06-072021-06-102021-06-162021-06-212021-06-242021-06-292021-07-022021-07-072021-07-122021-07-152021-07-202021-07-232021-07-282021-08-022021-08-052021-08-102021-08-132