贵金属期权早报-20260316

Report Summary 1. Report Industry Investment Rating No information provided. 2. Core Viewpoints - The closing price of the ag2606 contract yesterday was 20,923 yuan, a decrease of 915 yuan or 4.18% from the previous day. The trading volume was 519,958 lots, an increase of 105,949 lots from the previous day, and the open interest was 212,096 lots, an increase of 6,023 lots from the previous day [6]. - The implied volatility of AG (silver options) fluctuates above the mean of 0.4486 [6]. - The AG option open interest PCR is reported at 0.9178, at the 7.35% level in the past year [6]. - From the perspective of options, the resistance level of the AG option underlying is 37,600, and the support level is 6,700 [6]. - The closing price of the au2604 contract yesterday was 1,133 yuan, a decrease of 15.28 yuan or 1.33% from the previous day. The trading volume was 178,365 lots, an increase of 14,535 lots from the previous day, and the open interest was 102,674 lots, a decrease of 3,129 lots from the previous day [18]. - The implied volatility of AU (gold options) fluctuates above the mean of 0.2645 [18]. - The AU option open interest PCR is reported at 0.7395, at the 43.67% level in the past year [18]. - From the perspective of options, the resistance level of the AU option underlying is 1,200, and the support level is 1,000 [18]. 3. Summary by Related Contents Silver Options - Futures Market Data: The ag2606 contract's latest price is 20,923, with a drop of 915 and a decline rate of 4.18%. The trading volume is 519,958 lots (an increase of 105,949 lots), and the open interest is 212,096 lots (an increase of 6,023 lots) [3]. - Option Factors - Volume and Open Interest PCR: The trading volume of AG (silver call options) is 128,784 (an increase of 29,494), and the open interest is 124,769 (an increase of 5,278). The trading volume PCR is 0.83 (a decrease of 0.01), and the open interest PCR is 0.92 (a decrease of 0.01) [4]. - Option Factors - Pressure and Support: For the ag2604 contract, the at - the - money strike price is 21,100, the resistance level is 37,600, the support level is 6,700, the weighted implied volatility is 88.25% (a decrease of 0.89%), the annual average implied volatility is 44.86%, and HISV20 is 99.50% [5]. - Option Strategies: No directional strategy is recommended. For volatility strategies, a neutral short - volatility option seller portfolio strategy is suggested to obtain option time value. Positions should be dynamically adjusted to make the delta of the positions neutral, such as S_AG2604P2080, S_AG2604P21000, S_AG2604C21800, S_AG2604C22000 [7]. Gold Options - Futures Market Data: The au2604 contract's latest price is 1133, with a drop of 15.28 and a decline rate of 1.33%. The trading volume is 178,365 lots (an increase of 14,535 lots), and the open interest is 102,674 lots (a decrease of 3,129 lots) [15]. - Option Factors - Volume and Open Interest PCR: The trading volume of AU (gold call options) is 40,529 (a decrease of 1,662), and the open interest is 58,945 (a decrease of 192). The trading volume PCR is 0.72 (an increase of 0.17), and the open interest PCR is 0.74 (an increase of 0.01) [16]. - Option Factors - Pressure and Support: For the au2604 contract, the resistance level is 1200, the support level is 1000, the weighted implied volatility is 35.77% (a decrease of 0.98%), and the annual average implied volatility is 26.4 [17]. - Option Strategies: For directional strategies, a bull spread strategy of call options is recommended to obtain directional returns, such as B_AU2604C1120 and S_AU2604C1160. For volatility strategies, a strategy of selling call + put options is suggested to obtain option time value returns. Positions should be dynamically adjusted to keep the delta of the positions neutral, such as S_AU2604P1120, S_AU2604C1168 [19].