Report Industry Investment Rating - Not provided in the content Core Viewpoints - For all the analyzed options (EG, PF, PR, PX, TA), the implied volatility maintains above the annual average level, and the PCR of open interest is at a relatively high level for most options, except for PR. The recommended directional strategy is to construct a bull spread combination strategy of call options to obtain directional returns, and due to large geopolitical risks, seller - based strategies are not recommended [6][18][30][42][54] Summary by Directory 1. Ethylene Glycol (EG) - Market Data: The eg2605 contract closed at 4849 yuan yesterday, up 53 yuan (1.10%) from the previous day. The trading volume was 669,625 lots, an increase of 43,645 lots, and the open interest was 327,155 lots, an increase of 364 lots [3][6] - Option Factors - Volume and Open Interest PCR: The trading volume of call options was 41,575 lots, a decrease of 67,088 lots; the open interest was 47,611 lots, an increase of 3,493 lots. The trading volume of put options was 21,856 lots, a decrease of 70,535 lots; the open interest was 54,006 lots, an increase of 4,347 lots. The trading volume PCR was 0.53, a decrease of 0.32, and the open interest PCR was 1.13, an increase of 0.01 [4] - Option Factors - Pressure and Support: The target contract is eq2605, the at - the - money strike price is 4850, the pressure level is 5000, the support level is 4000, the weighted implied volatility is 54.63%, a decrease of 3.10%, the annual average implied volatility is 21.41%, and HISV20 is 45.39% [5] - Strategy Suggestions: Directional strategy: Construct a bull spread combination strategy of call options to obtain directional returns. Volatility strategy: Due to large geopolitical risks, seller - based strategies (such as single - selling and double - selling) are not recommended [7] 2. Short - Fiber (PF) - Market Data: The PF606 contract closed at 8182 yuan yesterday, down 32 yuan (0.38%) from the previous day. The trading volume was 160,493 lots, an increase of 17,419 lots, and the open interest was 132,670 lots, an increase of 2049 lots [15][18] - Option Factors - Volume and Open Interest PCR: The trading volume of call options was 1104 lots, an increase of 60 lots; the open interest was 11,444 lots, an increase of 195 lots. The trading volume of put options was 1116 lots, a decrease of 987 lots; the open interest was 16,400 lots, an increase of 62 lots. The trading volume PCR was 1.01, and the open interest PCR was 1.43, a decrease of 0.02 [16] - Option Factors - Pressure and Support: The target contract is PF605, the at - the - money strike price is 8200, the pressure level is 8400, the support level is 6100, the weighted implied volatility is 44.72%, a decrease of 3.44%, the annual average implied volatility is 21.60%, and HISV20 is 32.24% [17] - Strategy Suggestions: Directional strategy: Construct a bull spread combination strategy of call options to obtain directional returns. Volatility strategy: Due to large geopolitical risks, seller - based strategies (such as single - selling and double - selling) are not recommended [19] 3. Bottle Chip (PR) - Market Data: The PR605 contract closed at 8550 yuan yesterday, down 206 yuan (2.35%) from the previous day. The trading volume was 196,360 lots, a decrease of 46,330 lots, and the open interest was 50,495 lots, an increase of 2715 lots [27][30] - Option Factors - Volume and Open Interest PCR: The trading volume of call options was 529 lots, a decrease of 510 lots; the open interest was 3607 lots, an increase of 148 lots. The trading volume of put options was 391 lots, a decrease of 408 lots; the open interest was 3386 lots, an increase of 45 lots. The trading volume PCR was 0.74, a decrease of 0.03, and the open interest PCR was 0.94, a decrease of 0.03 [28] - Option Factors - Pressure and Support: The target contract is PR605, the pressure level is 10600, the support level is 6300, the weighted implied volatility is 72.45%, a decrease of 5.40%, the annual average implied volatility is 22.09%, and HISV20 is 47.25% [29] - Strategy Suggestions: Directional strategy: Construct a bull spread combination strategy of call options to obtain directional returns. Volatility strategy: Due to large geopolitical risks, seller - based strategies (such as single - selling and double - selling) are not recommended [31] 4. Paraxylene (PX) - Market Data: The PX605 contract closed at 9874 yuan yesterday, down 42 yuan (0.42%) from the previous day. The trading volume was 762,892 lots, a decrease of 84,789 lots, and the open interest was 220,410 lots, an increase of 328 lots [39][42] - Option Factors - Volume and Open Interest PCR: The trading volume of call options was 116,417 lots, an increase of 49,875 lots; the open interest was 63,018 lots, an increase of 12,210 lots. The trading volume of put options was 94,610 lots, an increase of 16,897 lots; the open interest was 109,429 lots, an increase of 12,559 lots. The trading volume PCR was 0.81, a decrease of 0.36, and the open interest PCR was 1.74, a decrease of 0.17 [40] - Option Factors - Pressure and Support: The target contract is PX605, the pressure level is 12200, the support level is 6100, the weighted implied volatility is 79.12%, a decrease of 0.90%, the annual average implied volatility is 27.21%, and HISV20 is 42.82% [41] - Strategy Suggestions: Directional strategy: Construct a bull spread combination strategy of call options to obtain directional returns. Volatility strategy: Due to large geopolitical risks, seller - based strategies (such as single - selling and double - selling) are not recommended [43] 5. Purified Terephthalic Acid (TA) - Market Data: The TA605 contract closed at 6790 yuan yesterday, down 52 yuan (0.76%) from the previous day. The trading volume was 1,820,590 lots, a decrease of 48,593 lots, and the open interest was 1,132,890 lots, an increase of 8176 lots [51][54] - Option Factors - Volume and Open Interest PCR: The trading volume of call options was 176,927 lots, an increase of 23,166 lots; the open interest was 167,520 lots, an increase of 6387 lots. The trading volume of put options was 138,498 lots, a decrease of 3286 lots; the open interest was 219,788 lots, an increase of 6744 lots. The trading volume PCR was 0.78, a decrease of 0.14, and the open interest PCR was 1.31, a decrease of 0.01 [52] - Option Factors - Pressure and Support: The target contract is TA605, the at - the - money strike price is 6800, the pressure level is 8500, the support level is 5000, the weighted implied volatility is 64.26%, a decrease of 7.66%, the annual average implied volatility is 26.36%, and HISV20 is 38.97% [53] - Strategy Suggestions: Directional strategy: Construct a bull spread combination strategy of call options to obtain directional returns. Volatility strategy: Due to large geopolitical risks, seller - based strategies (such as single - selling and double - selling) are not recommended [55]
聚酯期权早报-20260319
Wu Kuang Qi Huo·2026-03-19 05:05