油品期权早报-20260318

Group 1: Report Information - Report title: Oil Options Morning Report [1] - Report date: March 18, 2026 [1] - Authors: Li Liqin (Senior Manager of Investment Research), Huang Kehan (Options Researcher) [2] - Contact information: Email: lilq@wkqh.cn, huangkh@wkqh.cn; Phone: 0755 - 23375252 [2] Group 2: Liquefied Petroleum Gas (PG) Options Market Data - Contract: pa2604 - Closing price: 5849 yuan, up 10 yuan (0.17%) from the previous day - Volume: 107,679 lots, down 1,149 lots from the previous day - Open interest: 37,698 lots, down 5,912 lots from the previous day [3][6] Option Factors - Volume and Open Interest PCR - Call option volume: 60,181, up 6,538 - Call option open interest: 3,148, down 18,786 - Put option volume: 32,664, up 4,218 - Put option open interest: 2,616, down 25,826 - Volume PCR: 0.54, up 0.01 - Open interest PCR: 0.83, down 0.47 [4] Option Factors - Pressure and Support - Contract: pa2605 - Pressure level: 5150 - Support level: 3400 - Weighted implied volatility: 26.60% [5][6] Market Analysis and Strategy Recommendations - Implied volatility of PG options fluctuates above the mean of 0.2660 - Open interest PCR of PG options is 0.831, at the 73.88% level in the past year - Directional strategy: Construct a bull call spread strategy to obtain directional returns - Volatility strategy: Due to high geopolitical risks, strategies based on selling (such as single selling and double selling) are not recommended [6][7] Group 3: Crude Oil (SC) Options Market Data - Contract: sc2605 - Closing price: 761.2 yuan, down 9.2 yuan (1.19%) from the previous day - Volume: 172,491 lots, up 172,491 lots from the previous day - Open interest: 56,587 lots, up 8,849 lots from the previous day [15][18] Option Factors - Volume and Open Interest PCR - Call option volume: 155,254, down 12,892 - Call option open interest: 47,464, up 6,200 - Put option volume: 134,978, up 57,086 - Put option open interest: 66,732, up 6,444 - Volume PCR: 0.87, up 0.41 - Open interest PCR: 1.41, down 0.06 [16] Option Factors - Pressure and Support - Contract: sc2605 - Pressure level: 940 - Support level: 500 - Weighted implied volatility: 102.37%, down 7.11% - Annual average implied volatility: 42.24% - HISV20: 90.69% [17] Market Analysis and Strategy Recommendations - Implied volatility of SC options fluctuates above the mean of 0.4224 - Open interest PCR of SC options is 1.4059, at the 93.88% level in the past year - Directional strategy: Construct a bull call spread strategy to obtain directional returns - Volatility strategy: Due to high geopolitical risks, strategies based on selling (such as single selling and double selling) are not recommended [18][19]