油品期权早报-20260316

1. Report Industry Investment Rating - No information provided 2. Core Viewpoints of the Report - For both PG (liquefied gas) and SC (crude oil) options, it is recommended to construct a bull spread combination strategy of call options to obtain directional returns, and not to adopt seller - based strategies due to high geopolitical risks [7][19] 3. Summary by Relevant Catalogs 3.1 PG (Liquefied Gas) Options 3.1.1 Option Factor - Volume and Position PCR - The trading volume of PG (liquefied gas call options) is 25,162, with a change of - 25,840; the position is 16,998, with a change of 150; the trading volume PCR is 0.46, with a change of 0.14; the position PCR is 1.41, with a change of 0.06 - The trading volume of PG (liquefied gas put options) is 11,632, with a change of - 4,592; the position is 24,034, with a change of 1,296 [4] 3.1.2 Option Factor - Pressure and Support - For PG (liquefied gas options), the underlying contract is pg2604, the at - the - money strike price is 5,750, the resistance level is 5,900, the support level is 4,500, the weighted implied volatility is 81.90%, with a change of - 18.63%, the annual average implied volatility is 26.14%, and HISV20 is 54.58% [5] 3.1.3 Market Interpretation and Strategy Recommendations - The pg2604 contract closed at 5,734 yuan yesterday, up 49 yuan or 0.86% from the previous day; the trading volume was 117,868 lots, a decrease of 75,609 lots from the previous day; the position transfer volume was 45,209 lots, a decrease of 3,604 lots from the previous day - The implied volatility of PG (liquefied gas options) fluctuates above the mean of 0.2614 - The position PCR of PG options is reported at 1.4139, at the 99.59% level in the past year - From the perspective of options, the resistance level of the PG option underlying is 5,900, and the support level is 4,500 - Directional strategy: Construct a bull spread combination strategy of call options to obtain directional returns - Volatility strategy: Due to high geopolitical risks, seller - based strategies (such as single selling and double selling) are not recommended [6][7] 3.2 SC (Crude Oil) Options 3.2.1 Option Factor - Volume and Position PCR - The trading volume of SC (crude oil call options) is 771,204, with a change of 113,670; the position is 34,318, with a change of - 70,524; the trading volume PCR is 0.58, with a change of 0.02; the position PCR is 1.46, with a change of 0.24 - The trading volume of SC (crude oil put options) is 450,882, with a change of 77,020; the position is 50,038, with a change of - 77,400 [16] 3.2.2 Option Factor - Pressure and Support - For SC (crude oil options), the underlying contract is sc2605, the at - the - money strike price is 750, the resistance level is 940, the support level is 375, the weighted implied volatility is 110.83%, with a change of - 71.96%, the annual average implied volatility is 41.67%, and HISV20 is 92.76% [17] 3.2.3 Market Interpretation and Strategy Recommendations - The sc2604 contract closed at 750.8 yuan yesterday, up 38.5 yuan or 5.40% from the previous day; the trading volume was 142,180 lots, unchanged from the previous day; the position was 29,825 lots, a decrease of 2,917 lots from the previous day - The implied volatility of SC (crude oil options) fluctuates above the mean of 0.4167 - The position PCR of SC options is reported at 1.4581, at the 94.69% level in the past year - From the perspective of options, the resistance level of the SC option underlying is 940, and the support level is 375 - Directional strategy: Construct a bull spread combination strategy of call options to obtain directional returns - Volatility strategy: Due to high geopolitical risks, seller - based strategies (such as single selling and double selling) are not recommended [18][19]