【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12月8日 星期三【基本面信息】 铜：产业层面，昨日LME库存减少3650至74225吨，注销仓单占比降至3.9%，Cash/3M升水53.3美元/吨。国内方面，上海地区现货升水下调至0元/吨，持货商抛货情绪较浓，成交一般。进出口方面，昨日国内现货进口转为小幅亏损，洋山铜溢价持平。废铜方面，昨日国内精废价差缩至660元/吨，替代优势仍有利于精炼铜消费。 铝：沪铝仓单日增3595吨，现为227967吨；LME铝仓单减少4800吨，现为893650吨。且LME库存持续下降，目前已处于07年以来低位，对铝价形成一定支撑。不过当前氧化铝及其他辅料价格持续下调，电解铝成本弱化，且宏观情绪偏空对铝价形成更为强势的压力。 锌：上周LME库存减少0.06万吨，至15.2万吨，周一国内社库增加0.06万吨，至12.25万吨，现货市场变化不大，贸易商出货积极，下游维持按需采购，上海现货小幅升水60-70元/吨，广东贴水40-60元/吨，天津平水。 黄金：comex金涨0.3%，报1784.7美元/盎司，comex银涨0.6%，报22.52美元/盎司；10年期国债收益率涨3.9个基点，报1.477，美元指数涨涨0.03%，报96.30。 铁矿石：进口铁矿港口现货全天价格上涨27-51。青岛港PB粉720涨47，超特粉465涨42；曹妃甸PB粉710涨44，超特粉463涨38；天津港PB粉738涨51。复产预期的存在和宏观利好消息使得资金集体入场，市场认为钢厂的高利润和钢厂铁矿石的低库存会刺激钢厂补库。【期权分析及操作建议】（1）铜期权 沪铜一周多以来为维持在20天均线和60天均线以下震荡，夜盘跳空高开冲高回落，涨幅0.49%报收于69860，期权隐含波动率下降0.61%报收于22.79%，持仓量PCR报收于1.17。操作建议，空仓规避风险。（2）铝期权 沪铝延续近两周以来的弱势震荡，且趋势线仍向下，涨幅0.83%报收18910，期权隐含波动率下降0.85%至24.81%，持仓量PCR报收于0.78。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60天均线以下20天均线附近大幅波动，夜盘跳空高开大幅上涨，涨幅1.38%报收23165，期权隐含波动率下降2.55%至25.55%，持仓量PCR报收于0.91。操作建议，空仓规避风险。（4）黄金期权 沪金两周以来的持续空头下跌后，逐渐形成弱势宽幅震荡，涨幅0.04%报收367.94；期权隐含波动率下降0.49%至17.26%；期权持仓量PCR报收于0.77。操作建议，空仓规避风险。（5）铁矿石期权 铁矿石维持两周以来在20天均线和60天均线间大幅波动，昨日大幅反弹上升，夜盘延续上涨趋势，涨幅3.08%报收669.00；期权隐含波动率大幅下跌18.84%至35.31%，持仓量PCR报收于0.64。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CUCU2201ALAL2201ZNZN2201AUAU2202II2205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70,000908.001,454.0069,454346.000.50-406.00 1418,900351.00432.0018,81996.000.51-91.00 1423,200345.00655.0022,890177.000.78-275.00 143688.028.28368-0.92 -0.25 -0.20 3467067.0076.7066044.507.23-8.70 81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21.2123.9822.79-0.61 24.5625.1024.81-0.85 25.7325.3925.55-2.55 17.6316.6217.26-0.49 22.6953.5535.31-18.84 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12,17215,976-0.09 15,43117,995-0.03 10,2559,0770.1319,29915,0930.043,6744,130-0.42 8,8188,042-0.01 3,0081,739-0.11 7,7095,9030.0034,95024,455-0.03 47,76430,596-0.06 数据来源：wind资讯，五矿期货期权事业部AL22010.890.78ZN22011.120.91AU22020.580.77I22050.700.64【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-PCRCU22011.311.17AL220129.2233.1225.33ZN220129.3732.1726.58AU220218.9320.8017.05I220556.1163.5448.67期权标的合约MA20UPLOWCU220124.5725.9323.21ZN22012021-12-27AU22022022-01-25I22052022-04-11CU22012021-12-27涨跌涨跌幅(%)成交量(万)成交额(亿)AL22012021-12-2718,910.00155.000.8327.40256.9323,165.00315.001.3811.85135.40367.940.160.049.5469,860.00340.000.499.08315.68期权标的合约到期日收盘价20.003.08127.42827.37350.93669.0069,420.00 05101520253060,00065,00070,00075,00080,0002021-06-022021-06-072021-06-102021-06-162021-06-212021-06-242021-06-292021-07-022021-07-072021-07-122021-07-152021-07-202021-07-232021-07-282021-08-022021-08-052021-08-102021-08-132021-08-182021-08-232021-08-262021-08-312021-09-032021-09-082021-09-132021-09-162021-09-232021-09-282021-10-082021-10-132021-10-182021-10-212021-10-262021-10-292021-11-032021-11-082021-11-112021-11-162021-11-192021-11-242021-11-292021-12-022021-12-07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643.00 0204060801001201403005007009001,1001,3001,5002021-06-022021-06-072021-06-102021-06-162021-06-212021-06-242021-06-292021-07-022021-07-072021-07-122021-07-152021-07-202021-07-232021-07-282021-08-022021-08-052021-08-102021-08-132021-08-182021-08-232021-08-262021-08-312021-09-032021-09-082021-09-132021-09-162021-09-232021-09-282021-10-082021-10-132021-10-182021-10-212021-10-262021-10-292021-11-032021-11-082021-11-112021-11-162021-11-192021-11-242021-11-292021-12-022021-12-07成交量(万)收盘价18,790.00 02040608010012016,00018,00020,00022,00024,00026,00028,0002021-06-022021-06-072021-06-102021-06-162021-06-212021-06-242021-06-292021-07-022021-07-072021-07-122021-07-152021-07-202021-07-232021-07-282021-08-022021-08-052021-08-102021-08-132021-08-182021-08-232021-08-262021-08-312021-09-032021-09-082021-09-132021-09-162021-09-232021-09-282021-10-082021-10-132021-10-182021-10-212021-10-262021-10-292021-11-032021-11-082021-11-112021-11-162021-11-192021-11-242021-11-292021-12-022021-12-07成交量(万)收盘价367.88 0510152025303503553603653703753803853903952021-06-022021-06-072021-06-102021-06-162021-06-212021-06-242021-06-292021-07-022021-07-072021-07-122021-07-152021-07-202021-07-232021-07-282021-08-022021-08-052021-08-102021-08-132021-08-182021-08-232021-08-262021-08-312021-09-032021-09-082021-09-132021-09-162021-09-232021-09-282021-10-082021-10-132021-10-182021-10-212021-10-262021-10-292021-11-032021-11-082021-11-112021-11-162021-11-192021-11-242021-11-292021-12-022021-12-07成交量(万)收盘价22,860.00 0102030405020,00022,00024,00026,00028,00030,0002021-06-022021-06-072021-06-102021-06-162021-06-212021-06-242021-06-292021-07-022021-07-072021-07-122021-07-152021-07-202021-07-232021-07-282021-08-022021-08-052021-08-102021-08-132021-08-182021-08-232021-08-262021-08-312021-09-032021-09-082021-09-132021-