聚酯期权早报-20260311
Wu Kuang Qi Huo·2026-03-11 07:51
  1. Report Industry Investment Rating There is no information about the report industry investment rating in the provided content. 2. Core Viewpoints of the Report - The report analyzes the market data, option factors, and market trends of multiple polyester - related options, including EG, PF, PR, PX, and TA options, and provides corresponding option strategy suggestions [6][18][30][42][53]. - For all these options, the recommended directional strategy is to construct a bull - spread combination strategy of call options to obtain directional returns, and there are no volatility strategies recommended [7][19][31][43][54]. 3. Summary by Relevant Catalogs 3.1 EG (Ethylene Glycol) - 标的期货市场数据: The latest price of the eg2605 contract is 4184, with a rise of 2.52%. The trading volume is 1353800, and the open interest is 140877 [3]. - Option Factor - Volume and Open Interest PCR: The trading volume of call options is 151401 (a decrease of 12615), and the open interest is 67220 (a decrease of 5205). The trading volume of put options is 71796 (an increase of 1875), and the open interest is 51669. The trading volume PCR is 0.47 (an increase of 0.05), and the open interest PCR is 0.77 (an increase of 0.15) [4]. - Option Factor - Pressure and Support: The at - the - money strike price is 4200, the resistance level is 5000, the support level is 3800, the weighted implied volatility is 45.82% (a decrease of 1.64%), the annual average implied volatility is 19.18%, and HISV20 is 28.66% [5]. - Market Interpretation and Strategy Suggestions: The eg2605 contract closed at 3700 yuan yesterday, a decrease of 62 yuan (1.64%) compared with the previous day. The trading volume was 288890 lots (an increase of 29890 lots), and the open interest was 491004 lots (an increase of 43294 lots). The implied volatility of EG options fluctuates above the mean of 0.1860. The open interest PCR of EG options is 0.516, at the 24.49% level in the past year. The resistance level of the EG option underlying is 4000, and the support level is 3800. The recommended directional strategy is to construct a bull - spread combination strategy of call options, such as B_EG2605C3800 and S_EG2605C4250 [6][7]. 3.2 PF (Short - Fiber) - 标的期货市场数据: The latest price of the PF604 contract is 7280, with a rise of 160 (2.4%). The trading volume is 245985, and the open interest is 97544 (a decrease of 4950) [15]. - Option Factor - Volume and Open Interest PCR: The trading volume of call options is 12086 (an increase of 2097), and the open interest is 14676 (an increase of 370). The trading volume of put options is 14058 (an increase of 3773), and the open interest is 21416 (an increase of 3503). The trading volume PCR is 1.16 (an increase of 0.44), and the open interest PCR is 1.46 (an increase of 0.21) [16]. - Option Factor - Pressure and Support: The at - the - money strike price is 7300, the resistance level is 7600, the support level is 5500, the weighted implied volatility is 45.59% (an increase of 11.26%), the annual average implied volatility is 19.97%, and HISV20 is 23.54% [17]. - Market Interpretation and Strategy Suggestions: The PF604 contract closed at 7002 yuan yesterday, an increase of 368 yuan (5.54%) compared with the previous day. The trading volume was 201161 lots (an increase of 89461 lots), and the open interest was 107051 lots (an increase of 351 lots). The implied volatility of PF options fluctuates above the mean of 0.1968. The open interest PCR of PF options is 1.1308, at the 76.33% level in the past year. The resistance level of the PF option underlying is 7600, and the support level is 6400. The recommended directional strategy is to construct a bull - spread combination strategy of call options, such as B_PF2605C6800 and S_PF2605C7300 [18][19]. 3.3 PR (Bottle Chip) - 标的期货市场数据: The latest price of the PR605 contract is 6778, with a rise of 166 (2.51%). The trading volume is 143551, and the open interest is 46391 (an increase of 1362) [27]. - Option Factor - Volume and Open Interest PCR: The trading volume of call options is 2025 (an increase of 541), and the open interest is 6232. The trading volume of put options is 1446 (an increase of 571), and the open interest is 6636 (an increase of 225). The trading volume PCR is 0.71 (an increase of 0.12), and the open interest PCR is 1.06 (an increase of 0.03) [28]. - Option Factor - Pressure and Support: The at - the - money strike price is 6800, the resistance level is 7100, the support level is 6100, the weighted implied volatility is 40.13% (an increase of 4.69%), the annual average implied volatility is 19.93%, and HISV20 is 24.45% [29]. - Market Interpretation and Strategy Suggestions: The PR605 contract closed at 6490 yuan yesterday, an increase of 356 yuan (5.80%) compared with the previous day. The trading volume was 90987 lots (an increase of 35930 lots), and the open interest was 44615 lots (an increase of 1103 lots). The implied volatility of PR options fluctuates above the mean of 0.1964. The open interest PCR of PR options is 0.9677, at the 43.27% level in the past year. The resistance level of the PR option underlying is 7100, and the support level is 6100. The recommended directional strategy is to construct a bull - spread combination strategy of call options, such as B_PR2605C6300 and S_PR2605C7000 [30][31]. 3.4 PX (Para - Xylene) - 标的期货市场数据: The latest price of the PX605 contract is 777x (assumed to be 7770), with a rise of 290 (3.60%). The trading volume is 825244, and the open interest is 257168 (an increase of 110) [39]. - Option Factor - Volume and Open Interest PCR: The trading volume of call options is 35304 (an increase of 12543), and the open interest is 19636 (an increase of 1913). The trading volume of put options is 23388 (an increase of 7495), and the open interest is 19928 (an increase of 4378). The trading volume PCR is 0.66 (a decrease of 0.04), and the open interest PCR is 1.01 (an increase of 0.14) [40]. - Option Factor - Pressure and Support: The at - the - money strike price is 8300, the resistance level is 8800, the support level is 7000, the weighted implied volatility is 49.09% (an increase of 5.75%), the annual average implied volatility is 24.72%, and HISV20 is 27.11% [41]. - Market Interpretation and Strategy Suggestions: The PX605 contract closed at 7836 yuan yesterday, an increase of 496 yuan (6.75%) compared with the previous day. The trading volume was 514606 lots (an increase of 259452 lots), and the open interest was 277536 lots (an increase of 5048 lots). The implied volatility of PX options fluctuates above the mean of 0.2441. The open interest PCR of PX options is 0.77, at the 26.12% level in the past year. The resistance level of the PX option underlying is 8400, and the support level is 7000. The recommended directional strategy is to construct a bull - spread combination strategy of call options, such as B_PX2605C7600 and S_PX2605C8400 [42][43]. 3.5 TA (Purified Terephthalic Acid) - 标的期货市场数据: The latest price of the TA605 contract is 5820, with a rise of 168 (2.97%). The trading volume is 3248920, and the open interest is 1385570 (an increase of 94954) [50]. - Option Factor - Volume and Open Interest PCR: The trading volume of call options is 744858 (an increase of 220698), and the open interest is 172316 (a decrease of 11284). The trading volume of put options is 481297 (an increase of 145639), and the open interest is 221321 (an increase of 27230). The trading volume PCR is 0.65 (an increase of 0.01), and the open interest PCR is 1.28 (an increase of 0.23) [51]. - Option Factor - Pressure and Support: The at - the - money strike price is 5800, the resistance level is 5400, the support level is 5000, the weighted implied volatility is 52.08% (an increase of 7.78%), the annual average implied volatility is 24.08%, and HISV20 is 28.44% [52]. - Market Interpretation and Strategy Suggestions: The TA605 contract closed at 5552 yuan yesterday, an increase of 336 yuan (6.44%) compared with the previous day. The trading volume was 2276100 lots (an increase of 1336643 lots), and the open interest was 1467480 lots (an increase of 20629 lots). The implied volatility of TA options fluctuates above the mean of 0.2373. The open interest PCR of TA options is 0.9048, at the 69.39% level in the past year. The resistance level of the TA option underlying is 5800, and the support level is 5000. The recommended directional strategy is to construct a bull - spread combination strategy of call options, such as B_TA2605C5300 and S_TA2605C6000 [53][54].
聚酯期权早报-20260311 - Reportify