At 9 a.m. on September 2, 2024, lead, nickel, tin and alumina options were officially listed on the Shanghai Futures Exchange (hereinafter referred to as the "Shanghai Futures Exchange").
Overall, lead, nickel, tin and alumina options traded well. Option prices are running relatively smoothly. Nickel and tin puts traded significantly stronger than calls, lead and alumina front-month puts traded significantly stronger than calls, and far-month calls traded stronger than puts.
The implied volatility of lead at-the-money options is 17.52%, which is lower than the historical volatility of futures (23.89%). The implied volatility of the main nickel option is 23.05%, which is lower than the historical volatility of futures (24.13%). The implied volatility of the main tin option is 22.77%, which is lower than the historical volatility of futures (29.25%). The implied volatility of the main alumina option is 24%, which is lower than the historical volatility of futures (28.22%). Several new options are underpriced. From the perspective of volatility skewness, the volatility of several new options is skewed, and the implied volatility of imaginary put options is significantly higher than that of at-the-money and call options, indicating that the options market sentiment is pessimistic.
Option trading positions
Overall, lead, nickel, tin and alumina options traded well. Option prices are running relatively smoothly. Nickel and tin puts traded significantly stronger than calls, lead and alumina front-month puts traded significantly stronger than calls, and far-month calls traded stronger than puts.
Lead options are listed on PB2412 and PB2501 option contracts. Among them, the main option contract PB2412 series options have the best liquidity. The trading volume of PB2412 series options contracts is 1057 lots, and the open interest is 712 lots. The main option PB2412 has a trading PCR of 2.12 and a position PCR of 1.76.
Nickel options are listed on NI2412 and NI2501 option contracts. The main nickel option NI2412 series contract has the best liquidity, with a trading volume of 1817 lots and an open interest of 930 lots. The trading PCR of the main nickel options is 1.07, and the position PCR is 1.04.
Tin options are listed on SN2412 and SN2501 option contracts. The main tin option SN2412 series contract has the best liquidity, with a trading volume of 764 lots and an open interest of 487 lots. The trading PCR of the main tin options is 1.92, and the PCR of the position is 1.65.
The alumina options are listed on AO2412 and AO2501 option contracts. The AO2412 series of main alumina options has the best liquidity, with a trading volume of 5,507 lots and an open interest of 3,547 lots. The trading PCR of the main alumina options is 1.39, and the position PCR is 1.49.
Options volatility
The implied volatility of lead at-the-money options is 17.52%, which is lower than the historical volatility of futures (23.89%). The implied volatility of the main nickel option is 23.05%, which is lower than the historical volatility of futures (24.13%). The implied volatility of the main tin option is 22.77%, which is lower than the historical volatility of futures (29.25%). The implied volatility of the main alumina option is 24%, which is lower than the historical volatility of futures (28.22%). Several new options are underpriced. From the perspective of volatility skewness, the volatility of several new options is skewed, and the implied volatility of out-of-the-money put options is significantly higher than that of at-the-money and call options, indicating that the options market sentiment is pessimistic.
Authors: Zhou Xiaoshu Z0014889, Jie Ting, F03114103
Important Disclaimer: The content and opinions in this report are for learning and reference only and do not constitute any investment advice. The market is risky, and investors need to be cautious.