聚酯期权早报-20260317

Report Industry Investment Rating No relevant content provided. 2. Core View of the Report - For all the analyzed options (EG, PF, PR, PX, TA), the implied volatility of the options maintains above the annual average level, and the PCR of option positions is at a relatively high level in the past year. It is recommended to construct a bull - spread portfolio strategy of call options for directional trading, and due to high geopolitical risks, strategies dominated by sellers are not recommended [6][18][30][42][55]. 3. Summary by Directory 3.1 EG (Ethylene Glycol) - Futures Market Data: The closing price of the eg2605 contract yesterday was 4897 yuan, up 157 yuan or 3.31% from the previous day. The trading volume was 849,924 lots, a decrease of 49,695 lots from the previous day, and the open interest was 341,657 lots, an increase of 13,408 lots [3][6]. - Option Factor - Volume and Position PCR: The trading volume of call options was 127,552 lots with a change of 90,898 lots, and the open interest was 80,012 lots with a change of 13,248 lots. The trading volume of put options was 82,332 lots with a change of 34,916 lots, and the open interest was 93,663 lots with a change of 12,991 lots. The trading volume PCR was 0.52 with a change of - 0.19, and the open - interest PCR was 1.17 with a change of - 0.04 [4]. - Option Factor - Pressure and Support: The at - the - money strike price was 4900, the resistance level was 5000, the support level was 4000, the weighted implied volatility was 98.77% with a change of 21.43%, the annual average implied volatility was 21.07%, and HISV20 was 44.17% [5]. - Option Strategy Suggestion: Directional strategy: Construct a bull - spread portfolio strategy of call options to obtain directional returns. Volatility strategy: Due to high geopolitical risks, strategies dominated by sellers (such as single - selling and double - selling) are not recommended [7]. 3.2 PF (Short - Fiber) - Futures Market Data: The closing price of the PF606 contract yesterday was 8368 yuan, up 78 yuan or 0.94% from the previous day. The trading volume was 173,227 lots, an increase of 173,227 lots from the previous day, and the open interest was 126,809 lots, an increase of 9,862 lots [15][18]. - Option Factor - Volume and Position PCR: The trading volume of call options was 628 lots with a change of 177 lots, and the open interest was 11,129 lots. The trading volume of put options was 1437 lots with a change of 191 lots. The trading volume PCR was 2.29 with a change of 0.74, and the open - interest PCR was 1.43 [16]. - Option Factor - Pressure and Support: The at - the - money strike price was 8500, the resistance level was 8400, the support level was 6100, the weighted implied volatility was 56.83% with a change of 6.91%, the annual average implied volatility was 21.34%, and HISV20 was 31.20% [17]. - Option Strategy Suggestion: Directional strategy: Construct a bull - spread portfolio strategy of call options to obtain directional returns. Volatility strategy: Due to high geopolitical risks, strategies dominated by sellers (such as single - selling and double - selling) are not recommended [19]. 3.3 PR (Bottle Chip) - Futures Market Data: The closing price of the PR605 contract yesterday was 9068 yuan, up 628 yuan or 7.44% from the previous day. The trading volume was 232,827 lots, an increase of 37,091 lots from the previous day, and the open interest was 51,951 lots, an increase of 7,058 lots [27][30]. - Option Factor - Volume and Position PCR: The trading volume of call options was 1130 lots with a change of 92 lots, and the open interest was 3239 lots with a change of 352 lots. The trading volume of put options was 484 lots with a change of - 179 lots, and the open interest was 3294 lots with a change of 126 lots. The trading volume PCR was 0.43 with a change of - 0.21, and the open - interest PCR was 1.02 with a change of - 0.08 [28]. - Option Factor - Pressure and Support: The at - the - money strike price was 9100, the resistance level was 7000, the support level was 6300, the weighted implied volatility was 79.31% with a change of 6.20%, the annual average implied volatility was 21.58%, and HISV20 was 36.08% [29]. - Option Strategy Suggestion: Directional strategy: Construct a bull - spread portfolio strategy of call options to obtain directional returns. Volatility strategy: Due to high geopolitical risks, strategies dominated by sellers (such as single - selling and double - selling) are not recommended [31]. 3.4 PX (Para - Xylene) - Futures Market Data: The closing price of the PX605 contract yesterday was 10180 yuan, up 48 yuan or 0.47% from the previous day. The trading volume was 960,608 lots, a decrease of 550,352 lots from the previous day, and the open interest was 232,392 lots, a decrease of 5281 lots [39][42]. - Option Factor - Volume and Position PCR: The trading volume of call options was 80,484 lots with a change of - 26,146 lots, and the open interest was 48,208 lots with a change of 3338 lots. The trading volume of put options was 74,919 lots with a change of - 38,993 lots, and the open interest was 92,779 lots with a change of 12,456 lots. The trading volume PCR was 0.93 with a change of - 0.14, and the open - interest PCR was 1.92 with a change of 0.13 [40]. - Option Factor - Pressure and Support: The at - the - money strike price was 10200, the resistance level was 12200, the support level was 6100, the weighted implied volatility was 103.09% with a change of - 5.64%, the annual average implied volatility was 26.70%, and HISV20 was 41.61% [41]. - Option Strategy Suggestion: Directional strategy: Construct a bull - spread portfolio strategy of call options to obtain directional returns. Volatility strategy: Due to high geopolitical risks, strategies dominated by sellers (such as single - selling and double - selling) are not recommended [43]. 3.5 TA (Purified Terephthalic Acid) - Futures Market Data: The closing price of the TA605 contract yesterday was 6982 yuan, up 22 yuan or 0.31% from the previous day. The trading volume was 2,345,460 lots, a decrease of 600,775 lots from the previous day, and the open interest was 1,164,940 lots, a decrease of 15,916 lots [52][55]. - Option Factor - Volume and Position PCR: The trading volume of call options was 209,002 lots with a change of - 8102 lots, and the open interest was 158,246 lots with a change of 8676 lots. The trading volume of put options was 175,189 lots with a change of - 20,996 lots, and the open interest was 203,520 lots with a change of 16,271 lots. The trading volume PCR was 0.84 with a change of - 0.07, and the open - interest PCR was 1.29 with a change of 0.03 [53]. - Option Factor - Pressure and Support: The at - the - money strike price was 7000, the resistance level was 6500, the support level was 5000, the weighted implied volatility was 81.55% with a change of - 2.06%, the annual average implied volatility was 25.97%, and HISV20 was 38.29% [54]. - Option Strategy Suggestion: Directional strategy: Construct a bull - spread portfolio strategy of call options to obtain directional returns. Volatility strategy: Due to high geopolitical risks, strategies dominated by sellers (such as single - selling and double - selling) are not recommended [56].