Report Industry Investment Rating - Not provided in the content Core Viewpoints of the Report - For various polyester options (EG, PF, PR, PX, TA), the implied volatility of options generally fluctuates above the annual average, and the PCR of option positions is at a relatively high level in the past year. It is recommended to construct a bull spread combination strategy of call options for directional trading, and not to adopt seller - based strategies due to high geopolitical risks [7][19][31][43][56] Summary by Relevant Catalogs 1. EG (Ethylene Glycol Option) 1.1. Futures Market Data - The closing price of the eg2605 contract yesterday was 4,826 yuan, down 62 yuan or 1.26% from the previous day. The trading volume was 625,980 lots, a decrease of 223,944 lots from the previous day, and the open interest was 326,791 lots, a decrease of 14,866 lots from the previous day [4][7] 1.2. Option Factor - Volume and Open Interest PCR - The trading volume of EG call options was 108,663 lots, a decrease of 48,892 lots; the open interest was 44,118 lots, a decrease of 35,894 lots. The trading volume PCR was 0.85, with a change of 0.33; the open - interest PCR was 1.13, with a change of - 0.04 [5] 1.3. Option Factor - Pressure and Support - The at - the - money strike price was 4,850, the resistance level was 5,000, and the support level was 4,000. The weighted implied volatility was 57.63%, a decrease of 41.14%, and the annual average implied volatility was 21.24% [6] 1.4. Option Strategy Suggestion - 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 are not recommended [8] 2. PF (Short - Fiber Option) 2.1. Futures Market Data - The closing price of the PF606 contract yesterday was 8,278 yuan, down 78 yuan or 0.93% from the previous day. The trading volume was 143,074 lots, a decrease of 30,153 lots from the previous day, and the open interest was 130,621 lots, an increase of 3,812 lots from the previous day [16][19] 2.2. Option Factor - Volume and Open Interest PCR - The trading volume of PF call options was 1,044 lots, an increase of 416 lots; the open interest was 11,249 lots, an increase of 120 lots. The trading volume PCR was 2.01, with a change of - 0.27; the open - interest PCR was 1.45, with a change of 0.02 [17] 2.3. Option Factor - Pressure and Support - The at - the - money strike price was 8,400, the resistance level was 8,400, and the support level was 6,100. The weighted implied volatility was 48.16%, a decrease of 8.66%, and the annual average implied volatility was 21.48% [18] 2.4. Option Strategy Suggestion - 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 are not recommended [20] 3. PR (Bottle - Chip Option) 3.1. Futures Market Data - The closing price of the PR605 contract yesterday was 8,738 yuan, down 100 yuan or 1.13% from the previous day. The trading volume was 242,690 lots, an increase of 9,863 lots from the previous day, and the open interest was 47,780 lots, a decrease of 4,171 lots from the previous day [28][31] 2.2. Option Factor - Volume and Open Interest PCR - The trading volume of PR call options was 1,039 lots, a decrease of 91 lots; the open interest was 3,459 lots, an increase of 220 lots. The trading volume PCR was 0.77, with a change of 0.34; the open - interest PCR was 0.97, with a change of - 0.05 [29] 2.3. Option Factor - Pressure and Support - The at - the - money strike price was 8,700, the resistance level was 7,000, and the support level was 6,300. The weighted implied volatility was 76.05%, a decrease of 6.51%, and the annual average implied volatility was 21.85% [30] 2.4. Option Strategy Suggestion - 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 are not recommended [32] 4. PX (Para - Xylene Option) 4.1. Futures Market Data - The closing price of the PX605 contract yesterday was 10,018 yuan, down 194 yuan or 1.89% from the previous day. The trading volume was 847,681 lots, a decrease of 112,927 lots from the previous day, and the open interest was 220,082 lots, a decrease of 12,310 lots from the previous day [40][43] 4.2. Option Factor - Volume and Open Interest PCR - The trading volume of PX call options was 66,542 lots, a decrease of 13,942 lots; the open interest was 50,808 lots, an increase of 2,600 lots. The trading volume PCR was 1.17, with a change of 0.24; the open - interest PCR was 1.91, with a change of - 0.02 [41] 4.3. Option Factor - Pressure and Support - The at - the - money strike price was 10,000, the resistance level was 11,000, and the support level was 6,100. The weighted implied volatility was 89.69%, a decrease of 13.40%, and the annual average implied volatility was 26.97% [42] 4.4. Option Strategy Suggestion - 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 are not recommended [44] 5. TA (Purified Terephthalic Acid Option) 5.1. Futures Market Data - The closing price of the TA605 contract yesterday was 6,918 yuan, down 88 yuan or 1.25% from the previous day. The trading volume was 1,869,180 lots, a decrease of 476,276 lots from the previous day, and the open interest was 1,124,720 lots, a decrease of 40,227 lots from the previous day [53][56] 5.2. Option Factor - Volume and Open Interest PCR - The trading volume of TA call options was 153,761 lots, a decrease of 55,241 lots; the open interest was 161,133 lots, an increase of 2,887 lots. The trading volume PCR was 0.92, with a change of 0.08; the open - interest PCR was 1.32, with a change of 0.04 [54] 5.3. Option Factor - Pressure and Support - The at - the - money strike price was 6,900, the resistance level was 8,500, and the support level was 5,000. The weighted implied volatility was 71.92%, a decrease of 9.62%, and the annual average implied volatility was 26.18% [55] 5.4. Option Strategy Suggestion - 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 are not recommended [57]
聚酯期权早报-20260318
Wu Kuang Qi Huo·2026-03-18 05:16