五矿期货金属期权日报

【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11月30日 星期二【基本面信息】 铜：产业层面，昨日LME库存减少3725至80075吨，注销仓单占比降至19.2%，Cash/3M升水112美元/吨。国内方面，周末社会库存微降，盘面大跌后下游买兴回暖，昨日上海地区现货升水涨至275元/吨。进出口方面，昨日国内现货进口小幅亏损，洋山铜溢价回落。废铜方面，昨日国内精废价差缩至1540元/吨，废铜替代优势降低。 铝：房地产政策的利好带动铝价部分回调，云南方面电解铝冶炼厂事故涉及产能已全面恢复。下游消费在限电结束后有所改善。但随着“金九银十”结束后消费逐渐进入淡季，美联储收紧货币政策对宏观上行经济构成压力。在国内电解铝库存出现明显去库趋势之前，铝价整体维持震荡走势可能较大。 锌：LME库存减少0.2万吨，至16.1万吨；钢联口径周一国内社库增加0.01万吨，至12.3万吨，现货市场成交偏弱，贸易商出货积极，下游按需采购为主，沪市升水20-30元/吨，广东贴水60-80元/吨，天津升水20元/吨。下调三季度海外锌精矿产量至207万吨，同比减少1%，环比减少2%，三季度海外锌矿产量不及预期主因多重因素影响，而非来自疫情，预计四季度海外锌矿产量环比将有所增长；11月国内锌矿加工费维持不变，锌精矿供应仍然偏紧。 黄金：COMEX 2月黄金期货收跌0.2%，报1785.20美元/盎司，comex白银期货跌0.91%，报22.93美元/盎司；10年期美债收益率上涨2个基点，报1.502；美元指数涨0.11%，报96.17。 铁矿石：铁矿石现货方面，青岛港进口铁矿全天价格上涨20-45。市场交投情绪较为活跃，成交尚可。PB粉670涨41，超特粉435涨20，杨迪粉508涨45。消息面上唐山解除重污染天气 II 级应急响应和唐山10家钢厂绩效级别由D级调整至C级，限产边际放松。【期权分析及操作建议】（1）铜期权 沪铜上周低位反弹震荡上行后报收大阴线，昨日延续跳空低开大幅下跌，夜盘回暖上升，涨幅0.43%报收于70160，期权隐含波动率上升2.36%报收于24.75%，持仓量PCR报收于1.15。操作建议，空仓规避风险。（2）铝期权 沪铝延续空头趋势线下弱势震荡，夜盘有所上升，涨幅0.98%报收19055，期权隐含波动率下降0.42%至27.00%，持仓量PCR报收于0.83。操作建议，持有卖出看涨期权组合策略，获取时间价值，若市场行情反弹一个行权价，则逐渐平仓离场，如AL2201，S_AL2201C19300，S_AL2201C19400和S_AL2201C19500，S_AL2201C19600。（3）锌期权 沪锌维持大幅波动的市场行情各局，昨日跳空低大幅下挫，夜盘延续弱势，涨幅0.35%报收22935，期权隐含波动率上升0.76%至29.02%，持仓量PCR报收于0.73。操作建议，空仓规避风险。（4）黄金期权 沪金上周高位回落后持续大幅下挫，而后低位大幅度震荡，跌幅0.79报收369.04；期权隐含波动率上升0.40%至17.80%；期权持仓量PCR报收于0.88。操作建议，空仓规避风险。（5）铁矿石期权 铁矿石上周低位反弹后连续四天报收大阳线，站上20天均线上有60天均线压力，涨幅4.37%报收621.00；期权隐含波动率上升6.19%至68.11%，持仓量PCR报收于0.52。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CUCU2201ALAL2201ZNZN2201AUAU2202II2201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70,0001,624.001,442.0070,182-366.00 -0.52 22.002019,100513.00556.0019,057110.000.582.002023,000556.00670.0022,886-564.00 -2.41 -49.00 2036810.767.32371-1.40 -0.38 2.404062019.8027.0061333.205.73-8.20 6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22.4326.1824.752.3625.9028.1427.00-0.42 30.6127.2829.020.7618.4517.0717.800.4068.9567.1568.116.19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10,76017,5700.6811,42713,1230.178,4378,2560.2817,16114,2200.026,1295,612-0.00 7,9615,7960.033,7763,3350.386,0395,3410.0793,86488,303-0.02 206,191105,2320.02数据来源：wind资讯，五矿期货期权事业部AL22010.980.83ZN22010.920.73AU22020.880.88I22010.940.51【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-PCRCU22011.631.15AL220132.4436.5828.29ZN220131.3834.8327.93AU220219.5721.5117.63I220159.1765.3852.96期权标的合约MA20UPLOWCU220126.1628.7223.61ZN22012021-12-27AU22022022-01-25I22012021-12-07CU22012021-12-27涨跌涨跌幅(%)成交量(万)成交额(亿)AL22012021-12-2719,055.00185.000.9844.11416.1822,935.0080.000.3525.66293.19369.04-2.94 -0.79 19.7570,160.00300.000.4315.98558.30期权标的合约到期日收盘价26.004.3783.87499.19734.80621.0070,230.00 05101520253060,00065,00070,00075,00080,0002021-05-252021-05-282021-06-022021-06-072021-06-102021-06-162021-06-212021-06-242021-06-292021-07-022021-07-072021-07-122021-07-152021-07-202021-07-232021-07-282021-08-022021-08-052021-08-102021-08-132021-08-182021-08-232021-08-262021-08-312021-09-032021-09-082021-09-132021-09-162021-09-232021-09-282021-10-082021-10-132021-10-182021-10-212021-10-262021-10-292021-11-032021-11-082021-11-112021-11-162021-11-192021-11-242021-11-29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614.50 0204060801001201403005007009001,1001,3001,5002021-05-252021-05-282021-06-022021-06-072021-06-102021-06-162021-06-212021-06-242021-06-292021-07-022021-07-072021-07-122021-07-152021-07-202021-07-232021-07-282021-08-022021-08-052021-08-102021-08-132021-08-182021-08-232021-08-262021-08-312021-09-032021-09-082021-09-132021-09-162021-09-232021-09-282021-10-082021-10-132021-10-182021-10-212021-10-262021-10-292021-11-032021-11-082021-11-112021-11-162021-11-192021-11-242021-11-29成交量(万)收盘价19,015.00 02040608010012016,00018,00020,00022,00024,00026,00028,0002021-05-252021-05-282021-06-022021-06-072021-06-102021-06-162021-06-212021-06-242021-06-292021-07-022021-07-072021-07-122021-07-152021-07-202021-07-232021-07-282021-08-022021-08-052021-08-102021-08-132021-08-182021-08-232021-08-262021-08-312021-09-032021-09-082021-09-132021-09-162021-09-232021-09-282021-10-082021-10-132021-10-182021-10-212021-10-262021-10-292021-11-032021-11-082021-11-112021-11-162021-11-192021-11-242021-11-29成交量(万)收盘价371.42 05101520253503603703803904002021-05-252021-05-282021-06-022021-06-072021-06-102021-06-162021-06-212021-06-242021-06-292021-07-022021-07-072021-07-122021-07-152021-07-202021-07-232021-07-282021-08-022021-08-052021-08-102021-08-132021-08-182021-08-232021-08-262021-08-312021-09-032021-09-082021-09-132021-09-162021-09-232021-09-282021-10-082021-10-132021-10-182021-10-212021-10-262021-10-292021-11-032021-11-082021-11-112021-11-162021-11-192021-11-242021-11-29成交量(万)收盘价22,925.00 0102030405020,00022,00024,00026,00028,00030,0002021-05-252021-05-282021-06-022021-06-072021-06-102021-06-162021-06-212021-06-242021-06-292021-07-022021-07-072021-07-122021-07-152021-07-202021-07-232021-07-282021-08-022021-08