Report Summary 1. Report Industry Investment Rating No investment rating information is provided in the report. 2. Core Views - For both PG (Liquefied Gas) and SC (Crude Oil) options, the implicit volatility remains above the annual average level. The PCR of open interest is at a high level in the past year, indicating a relatively bearish market sentiment. It is recommended to construct a bull spread strategy for call options to obtain directional returns, and not to adopt seller - based strategies due to high geopolitical risks [6][7][18][19]. 3. Summary by Directory 3.1 PG (Liquefied Gas) Options - Futures Market Data: The pg2604 contract closed at 5884 yuan yesterday, up 172 yuan or 3.01% from the previous day. The trading volume was 108,828 lots, a decrease of 9040 lots from the previous day, and the open interest was 43,610 lots, a decrease of 1599 lots [3][6]. - Option Factor - Volume and Open Interest PCR: The trading volume of call options was 53,643 lots, an increase of 28,481 lots; the open interest was 21,934 lots, an increase of 4936 lots. The trading volume of put options was 28,446 lots, an increase of 16,814 lots; the open interest was 28,442 lots, an increase of 4408 lots. The trading volume PCR was 0.53, an increase of 0.07, and the open - interest PCR decreased by 0.12 [4]. - Option Factor - Pressure and Support: The at - the - money strike price was 5900, the resistance level was 6500, and the support level was 5000. The weighted implied volatility was 94.23%, an increase of 12.33%, and the annual average implied volatility was 26.44%, with HISV20 at 53.31% [5]. - Option Strategy Suggestions: Directional strategy: Construct a bull spread strategy for 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 [7]. 3.2 SC (Crude Oil) Options - Futures Market Data: The sc2604 contract closed at 765.5 yuan yesterday, up 12.4 yuan or 1.64% from the previous day. The trading volume was 100,580 lots, unchanged from the previous day, and the open interest was 20,840 lots, a decrease of 8985 lots [15][18]. - Option Factor - Volume and Open Interest PCR: The trading volume of call options was 168,146 lots, a decrease of 603,058 lots; the open interest was 41,264 lots, an increase of 6946 lots. The trading volume of put options was 77,892 lots, a decrease of 372,990 lots; the open interest was 60,288 lots, an increase of 10,250 lots. The trading volume PCR was 0.46, a decrease of 0.12, and the open - interest PCR was 1.46 [16]. - Option Factor - Pressure and Support: The at - the - money strike price was 770, the resistance level was 940, and the support level was 500. The weighted implied volatility was 108.00%, a decrease of 2.84%, and the annual average implied volatility was 41.97%, with HISV20 at 92.89% [17]. - Option Strategy Suggestions: Directional strategy: Construct a bull spread strategy for 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 [19].
油品期权早报-20260317
Wu Kuang Qi Huo·2026-03-17 03:34